2021-09-30 Backtesting.py 恒生指数

简介

主要是使用backtesting.py做了个回测，对象是恒生指数，数据源是yahoo finance，策略是基于夏普率的Z-score 配合给定阈值，然后目标是计算9格平均夏普率的夏普率

载入packages

import numpy as np
import pandas as pd
from datetime import datetime

%matplotlib inline
import matplotlib
import matplotlib.pyplot as plt

from backtesting import Backtest, Strategy 
from backtesting.lib import SignalStrategy
from backtesting.lib import crossover, compute_stats
from backtesting.test import SMA 

from yahoo_fin.stock_info import get_data

读取数据

data = get_data("^HSI", index_as_date = True, interval = "1d")
df = data.dropna()

df = df[['open', 'high', 'low', 'close']]
df.columns = ['Open','High','Low','Close']

策略遍历，选择夏普率最高的阈值和周期

SR = []
SR1= []
period = (list(np.arange(5,1000,5))) #4年
threshhold_list = np.arange(0.25,2.75,0.25) #阈值为0.25~2.5，0.25为一跳
for i in threshhold_list:
    for j in period:
        class Strategy(SignalStrategy):   
            threshold = i
            n = j
            def init