python搭积木_从零实现”搭积木式实现策略“的回测系统 part VI

本篇我们将对比经典量化回测框架pyalgotrade与ailabx，二者同时实现均线策略。

先看pyalgotrade的代码实现：

from pyalgotrade import strategy

from pyalgotrade.technical import ma

from pyalgotrade.technical import cross

from pyalgotrade.tools import quandl

class SMACrossOver(strategy.BacktestingStrategy):

def __init__(self, feed, instrument, smaPeriod):

super(SMACrossOver, self).__init__(feed)

self.__instrument = instrument

self.__position = None

# We'll use adjusted close values instead of regular close values.

self.setUseAdjustedValues(True)

self.__prices = feed[instrument].getPriceDataSeries()

self.__sma = ma.SMA(self.__prices, smaPeriod)

def getSMA(self):

return self.__sma

def onEnterOk(self, position):

execInfo = position.getEntryOrder().getExecutionInfo()

self.info("BUY at %.2f&#