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最新推荐文章于 2025-09-21 08:20:53 发布

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最新推荐文章于 2025-09-21 08:20:53 发布 · 2.2k 阅读

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from __future__ import (absolute_import, division, print_function,
unicode_literals)
import argparse
from datetime import  datetime
import pandas as pd
#from pylab import mpl
import numpy as np
# The above could be sent to an independent module
import backtrader as bt
import backtrader.feeds as btfeeds
import backtrader.indicators as btind
import akshare as ak

class PairTradingStrategy(bt.Strategy):
    params = dict(
    period=10,
    stake=10,
    qty1=0,
    qty2=0,
    printout=True,

    #设置上限为2.1
    upper=2.1,

    #设置下限为-2.1
    lower=-2.1,
    up_medium=0.5,
    low_medium=-0.5,
    status=0,
    portfolio_value=10000,
    )

    def log(self, txt, dt=None):
        if self.p.printout:
            dt = dt or self.data.datetime[0]
            dt = bt.num2date(dt)
        print('%s, %s' % (dt.isoformat(), txt))

    def notify_order(self, order):
        if order.status in [bt.Order.Submitted, bt.Order.Accepted]:
            return # Await further notifications

        if order.status == order.Completed:
            if order.isbuy():
                buytxt = 'BUY COMPLETE, %.2f' % order.executed.price
                self.log(buytxt, order.executed.dt)
            else:
                selltxt = 'SELL COMPLETE, %.2f' % order.executed.price
                self.log(selltxt, order.executed.dt)

        elif order.status in [order.Expired, order.Canceled, order.Margin]:
            self.log('%s ,' % order.Status[order.status])
            pass # Simply log

            # Allow new orders  允许开新单
            self.orderid = None

    def __init__(self):
        # To control operation entries
        self.orderid = None
        self.qty1 = self.p.qty1
        self.qty2 = self.p.qty2
        self.upper_limit = self.p.upper
        self.lower_limit = self.p.lower
        self.up_medium = self.p.up_medium
        self.low_medium = self.p.low_medium
        self.status = self.p.status
        self.portfolio_value = self.p.portfolio_value

    # Signals performed with PD.OLS :  计算data0上data1的回归和zscord值
        se

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