2024.4.4

被引用的bkclass.py文件

import backtrader as bt
import openpyxl

class MyStrategy(bt.Strategy):
    """
    主策略程序
    """
    params = (("maperiod", 20),)  # 全局设定交易策略的参数

    def __init__(self, start_cash, start_date, end_date):
        """
        初始化函数
        """
        self.data_close = self.datas[0].close  # 指定价格序列
        # 初始化交易指令、买卖价格和手续费
        self.order = None
        self.buy_price = None
        self.buy_comm = None
        # 添加移动均线指标
        self.sma = bt.indicators.MovingAverageSimple(self.datas[0], period=self.params.maperiod)
        self.start_cash = start_cash
        self.start_date = start_date
        self.end_date = end_date

    def next(self):
        """
        执行逻辑
        """
        if self.order:  # 检查是否有指令等待执行,
            return
        # 检查是否持仓
        if not self.position:  # 没有持仓
            if self.data_close[0] > self.sma[0]:  # 执行买入条件判断：收盘价格上涨突破20日均线
                self.order = self.buy(size=100)  # 执行买入
                # print(f'self.order = {self.order}')
                self.order = False
        else:
            if self.data_close[0] < self.sma[0]:  # 执行卖出条件判断：收盘价格跌破20日均线
                self.order = self.sell(size=100)  # 执行卖出
                self.order = False

    def stop(self):
        port_value = 200
            #(cerebro.broker.getvalue())  # 获取回测结束后的总资金
        pnl = port_value - self.start_cash  # 盈亏统计
        wb = openpyxl.load_workbook(r'result.xlsx')
        wb.active.append(["MA%d" % self.params.maperiod, str(self.start_date)[0:10] + "——" + str(self.end_date)[0:10],
                          self.start_cash, pnl, f"{round(100 * pnl / self.start_cash, 3)}%"])
        wb.save(r'result.xlsx')
        print("MA%d, %d" % (self.params.maperiod, pnl))

MYbacktrader.py文件

from datetime import datetime
import openpyxl
import backtrader as bt  # 升级到最新版
import matplotlib.pyplot as plt  # 由于 Backtrader 的问题，此处要求 pip install matplotlib==3.2.2
import akshare as ak  # 升级到最新版
import pandas as pd
import bkclass

plt.rcParams["font.sans-serif"] = ["SimHei"]
plt.rcParams["axes.unicode_minus"] = False


def my_backtrader(maperiod_from=10, maperiod_to=21, stock_symbol="000001", mycash=1000000,
                  bk_time_from_year=datetime.now().year-1, bk_time_from_month=datetime.now().month, bk_time_from_day=datetime.now().day,
                  bk_time_to_year=datetime.now().year, bk_time_to_month=datetime.now().month, bk_time_to_day=datetime.now().day,
                  ):

    stock_hfq_df = ak.stock_zh_a_hist(symbol=stock_symbol, adjust="hfq").iloc[:, :6]  # 利用 AKShare 获取股票的后复权数据，这里只获取前 6 列
    # 处理字段命名，以符合 Backtrader 的要求
    stock_hfq_df.columns = [
        'date',
        'open',
        'close',
        'high',
        'low',
        'volume',
    ]

    # 把 date 作为日期索引，以符合 Backtrader 的要求
    stock_hfq_df.index = pd.to_datetime(stock_hfq_df['date'])

    cerebro = bt.Cerebro()  # 初始化回测系统
    start_date = datetime(bk_time_from_year, bk_time_from_month, bk_time_from_day)  # 回测开始时间
    end_date = datetime(bk_time_to_year, bk_time_to_month, bk_time_to_day)  # 回测结束时间
    data = bt.feeds.PandasData(dataname=stock_hfq_df, fromdate=start_date, todate=end_date)  # 加载数据
    # print(type(data))
    cerebro.adddata(data)  # 将数据传入回测系统
    # cerebro.addstrategy(MyStrategy)
    start_cash = mycash

    # 参数优化：maperiod遍历
    strats = cerebro.optstrategy(
        bkclass.MyStrategy,
        maperiod=range(maperiod_from, maperiod_to),
        start_date=start_date, end_date=end_date, start_cash=mycash)  # 将交易策略加载到回测系统中
    cerebro.broker.setcash(start_cash)  # 设置初始资本
    cerebro.broker.setcommission(commission=0.002)  # 设置交易手续费为 0.2%

    port_value = cerebro.broker.getvalue()  # 获取回测结束后的总资金
    pnl = port_value - start_cash  # 盈亏统计
    print("pnl = %d" % pnl)

    # 创建Excel表格
    wb = openpyxl.Workbook()
    ws = wb.active
    ws.append(["均线", "回测周期", "初始资金", "净收益", "收益率"])
    wb.save(r"result.xlsx")

    cerebro.run(maxcpus=1)  # 运行回测系统
    #cerebro.plot(style='candlestick')  # 画图

Question:

1、三个参数start_cash、start_date、end_date在传入到cerebro.optstrategy()之后，怎么传入到bkclass.Mystrategy类里面。