2021-07-09

#先引入后面可能用到的包（package）
import pandas as pd  
from datetime import datetime
import backtrader as bt
import matplotlib.pyplot as plt
%matplotlib auto 

#正常显示画图时出现的中文和负号
from pylab import mpl
mpl.rcParams['font.sans-serif']=['SimHei']
mpl.rcParams['axes.unicode_minus']=False


import tushare as ts
token='你的token'
pro=ts.pro_api(token)


def get_data(code,date='20200101'):
    data1=ts.pro_bar(ts_code=code, adj='qfq', start_date=date)
    data1=data1[['trade_date','open','high','low','close','vol']]
    data2=pro.daily_basic(ts_code=code,fields='trade_date,turnover_rate,pe,pb')
    data=pd.merge(data1,data2,on='trade_date')
    data.index=pd.to_datetime(data.trade_date)
    data=data.sort_index()
    data['volume']=data.vol
    data['openinterest']=0
    data['datetime']=pd.to_datetime(data.trade_date)
    data=data[['datetime','open','high','low','close',\
               'volume','openinterest','turnover_rate','pe','pb']]
    data=data.fillna(0)
    return data


#数据保存到本地
get_data('300002.SZ').to_csv('test.csv',index=False)
get_data('300002.SZ').head()


#pandas的数据格式
import backtrader as bt
from backtrader.feeds import PandasData
class Addmoredata(PandasData):
    lines = ('turnover_rate','pe','pb',)
    params = (('turnover_rate',7),('pe',8),('pb',9),)

#直接读取本地csv格式数据
from backtrader.feeds import GenericCSVData
class AddCsvData(GenericCSVData):
    lines = ('turnover_rate','pe','pb',)
    params = (('turnover_rate',7),('pe',8),('pb',9),)


添加其他数据——单只股票
class TestStrategy1(bt.Strategy):
    def log(self, txt, dt=None):
        dt = dt or self.datas[0].datetime.date(0)
        print('%s, %s' % (dt.isoformat(), txt))
        
    def next(self):
        self.log(f"换手率:{self.datas[0].turnover_rate[0]},市净率:{self.datas[0].pb[0]},市盈率:{self.datas[0].pe[0]}")

cerebro = bt.Cerebro()
cerebro.addstrategy(TestStrategy1)
feed = Addmoredata(dataname = get_data('300002.SZ','20200420'))
#如果是读取csv数据使用下式
#feed = AddCsvData(dataname = 'test.csv',dtformat=('%Y-%m-%d'))
cerebro.adddata(feed)
cerebro.run()

添加其他数据——多只股票
class TestStrategy2(bt.Strategy):
    def log(self, txt, dt=None):
        dt = dt or self.datas[0].datetime.date(0)
        print('%s, %s' % (dt.isoformat(), txt))
        
    def next(self):
        for data in self.datas:
            print(data._name)
            self.log(f"换手率:{data.turnover_rate[0]},市净率:{data.pb[0]},市盈率:{data.pe[0]}")



cerebro = bt.Cerebro()
cerebro.addstrategy(TestStrategy2)
codes=['600862.SH','300326.SZ','300394.SZ']
#加载最近两日交易数据
for code in codes:
    feed = Addmoredata(dataname = get_data(code,'20200506'),name=code)
    cerebro.adddata(feed)
cerebro.run()

 

以换手率和市盈率构建交易策略示例
class MyStrategy(bt.Strategy):

    def next(self):
        if not self.position: # 没有持仓
            if self.datas[0].turnover_rate[0]<3 and 0<self.datas[0].pe[0]<50:
                # 得到当前的账户价值
                total_value = self.broker.getvalue()
                #1手=100股，满仓买入
                ss=int((total_value/100)/self.datas[0].close[0])*100
                self.order=self.buy(size=ss)
        else:
            if self.datas[0].turnover_rate[0]>10 or self.datas[0].pe[0]>80 :
                self.close(self.datas[0])

cerebro = bt.Cerebro()  
cerebro.addstrategy(MyStrategy)
feed = Addmoredata(dataname = get_data('300002.SZ','20050101'))
cerebro.adddata(feed)
startcash = 100000
cerebro.broker.setcash(startcash) 
cerebro.broker.setcommission(commission=0.001) 
cerebro.run()
portvalue = cerebro.broker.getvalue()
pnl = portvalue - startcash
#打印结果
print(f'期初总资金: {round(startcash,2)}')
print(f'期末总资金: {round(portvalue,2)}')
print(f'净收益: {round(pnl,2)}')


cerebro.plot()

目前存在的几大问题，一个是构建股票的分时图时，因为mpl_finance更新升级为mplfinance，以及使用backtrader画图时，出现无法画图的情况，本人在此一次性告知大家，自己以后搭建环境准备，也帮助大家解答困惑。

back trader无法画图的问题：

pip uninstall matplotlib
pip install matplotlib==3.2.2

画分时图问题：

import mpl_finance as mpf

mpf.candlestick_ohlc(ax,df_idx,width=0.75, colorup='r', colordown='g', alpha=0.75)

ax.xaxis.set_major_locator(ticker.MaxNLocator(20))

对应的mplfinance版本

mpl-finance                 0.10.1  （留着当作纪念）
mplfinance                  0.12.7a17