我要用python建造一个回测平台_我要用python建造一个回测平台

今天看了一下quantdigger，pyalgotrade的回测，瞬间陷入痛苦之中，对于不熟悉的人，估计需要花很长时间来学习。我决定自己建造一个回测系统，参考quantdigger，pyalgotrade的优点。这是写的一个简单的均线回测平台，但是效率太低，也没有考虑手续费等问题，还有很遥远的距离需要走。

# -*- coding: utf-8 -*-

"""

Created on Tue Aug 22 15:57:36 2017

@author: Administrator

"""

import pandas as pd

import numpy as np

import matplotlib.pyplot as plt

########################################获取数据

data=pd.read_csv('C:/Users/Administrator/Desktop/rb00030.csv',encoding='gbk')

data=data.iloc[::,:7]

data.columns=['time','oepn','high','low','close','amt','opi']

data.head()

########################################确定交易信号

data['ma5']=data['close'].rolling(5).mean()

data['ma20']=data['close'].rolling(20).mean()

for i in range(len(data)):

if i>1:

if data.ix[i-1,'ma5']>data.ix[i-1,'ma20'] and data.ix[i,'ma5']<=data.ix[i,'ma20']:

data.ix[i,'sk']=-1

if data.ix[i-1,'ma5']=data.ix[i,'ma20']:

data.ix[i,'sk']=1

'''

for i in range(len(data)):

if i>0:

if data.ix[i-1,'sk']==-1 and data.ix[i,'sk']!=1:

data.ix[i,'position']=-1

if data.ix[i-1,'sk']==-1 and data.ix[i,'sk']==1:

data.ix[i,'position']=1

if data.ix[i-1,'sk']==1 and data.ix[i,'sk']!=-1:

data.ix[i,'position']=1

if data.ix[i-1,'sk']==1 and data.ix[i,'sk']==-1:

data.ix[i,'position']=-1

'''

data['position']=''

for i in range(len(data)):

if i>0:

if data.ix[i,'sk']==1:

data.ix[i,'position']=1

if data.ix[i,'sk']==-1:

data.ix[i,'position']=-1

if data.ix[i,'sk']!=1 and data.ix[i,'sk']!=-1:

data.ix[i,'position']=data.ix[i-1,'position']

for i in range(len(data)):

if i>0:

if data.ix[i-1,'position']==1:

data.ix[i,'profit']=data.ix[i,'close']-data.ix[i-1,'close']

if data.ix[i-1,'position']==-1:

data.ix[i,'profit']=-data.ix[i,'close']+data.ix[i-1,'close']

data.profit.cumsum().plot()