Python量化交易学习笔记（8）——第一个策略回测程序v6_如何回测自己的交易系统 python-CSDN博客

本文链接：https://blog.csdn.net/m0_46603114/article/details/104972556

v5中策略已经设置了买入条件，v6将设置卖出条件。

程序v6-加入卖出逻辑：

from __future__ import (absolute_import, division, print_function,
                        unicode_literals)
import datetime  # 用于datetime对象操作
import os.path  # 用于管理路径
import sys  # 用于在argvTo[0]中找到脚本名称
import backtrader as bt # 引入backtrader框架

# 创建策略
class TestStrategy(bt.Strategy):
    def log(self, txt, dt=None):
        ''' 策略的日志函数'''
        dt = dt or self.datas[0].datetime.date(0)
        print('%s, %s' % (dt.isoformat(), txt))
    def __init__(self):
        # 引用data[0]数据的收盘价数据
        self.dataclose = self.datas[0].close
        # 用于记录订单状态
        self.order = None
    def notify_order(self, order):
        if order.status in [order.Submitted, order.Accepted]:
            # 提交给代理或者由代理接收的买/卖订单 - 不做操作
            return
        # 检查订单是否执行完毕
        # 注意：如果没有足够资金，代理会拒绝订单
        if order.status in [order.Completed]:
            if order.isbuy():
                self.log('BUY EXECUTED, %.2f' % order.executed.price)
            elif order.issell():
                self.log('SELL EXECUTED, %.2f' % order.executed.price)
            self.bar_executed = len(self)
        elif order.status in [order.Canceled, order.Margin, order.Rejected]:
            self.log('Order Canceled/Margin/Rejected')
        # 无等待处理订单
        self.order = None
    def next(self):
        # 日志输出收盘价数据
        self.log('Close, %.2f' % self.dataclose[0])
        # 检查是否有订单等待处理，如果是就不再进行其他下单
        if self.order:
            return
        # 检查是否已经进场
        if not self.position:
            # 还未进场，则只能进行买入
            # 当日收盘价小于前一日收盘价
            if self.dataclose[0] < self.dataclose[-1]:
                    # 前一日收盘价小于前前日收盘价
                    if self.dataclose[-1] < self.dataclose[-2]:
                        # 买买买
                        self.log('BUY CREATE, %.2f' % self.dataclose[0])
                        # 记录订单避免二次下单
                        self.order = self.buy()
        # 如果已经在场内，则可以进行卖出操作
        else:
            # 卖卖卖
            if len(self) >= (self.bar_executed + 5):
                self.log('SELL CREATE, %.2f' % self.dataclose[0])
                # 记录订单避免二次下单
                self.order = self.sell()
                
# 创建cerebro实体
cerebro = bt.Cerebro()
# 添加策略
cerebro.addstrategy(TestStrategy)
# 先找到脚本的位置，然后根据脚本与数据的相对路径关系找到数据位置
# 这样脚本从任意地方被调用，都可以正确地访问到数据
modpath = os.path.dirname(os.path.abspath(sys.argv[0]))
datapath = os.path.join(modpath, '../TQDat/day/stk/000001.csv')
# 创建价格数据
data = bt.feeds.GenericCSVData(
        dataname = datapath,
        fromdate = datetime.datetime(2019, 10, 1),
        todate = datetime.datetime(2020, 2, 29),
        nullvalue = 0.0,
        dtformat = ('%Y-%m-%d'),
        datetime = 0,
        open = 1,
        high = 2,
        low = 3,
        close = 4,
        volume = 5,
        openinterest = -1
        )
# 在Cerebro中添加价格数据
cerebro.adddata(data)
# 设置启动资金
cerebro.broker.setcash(100000.0)
# 打印开始信息
print('Starting Portfolio Value: %.2f' % cerebro.broker.getvalue())
# 遍历所有数据
cerebro.run()
# 打印最后结果
print('Final Portfolio Value: %.2f' % cerebro.broker.getvalue())

v6输出为：

Starting Portfolio Value: 100000.00
2019-10-08, Close, 16.20
2019-10-09, Close, 16.25
2019-10-10, Close, 16.24
2019-10-11, Close, 16.81
2019-10-14, Close, 17.22
2019-10-15, Close, 17.18
2019-10-16, Close, 16.79
2019-10-16, BUY CREATE, 16.79
2019-10-17, BUY EXECUTED, 16.90
2019-10-17, Close, 16.70
2019-10-18, Close, 16.51
2019-10-21, Close, 16.89
2019-10-22, Close, 16.42
2019-10-23, Close, 16.45
2019-10-24, Close, 16.87
2019-10-24, SELL CREATE, 16.87
2019-10-25, SELL EXECUTED, 16.78
…
…
2020-01-23, Close, 15.54
2020-01-23, SELL CREATE, 15.54
2020-02-03, SELL EXECUTED, 13.99
2020-02-03, Close, 13.99
2020-02-03, BUY CREATE, 13.99
2020-02-04, BUY EXECUTED, 14.05
2020-02-04, Close, 14.60
Final Portfolio Value: 99999.16