230503 回测测试

backtrader/230503_bt.py

@@ -138,6 +138,7 @@ class TestStrategy(bt.Strategy):
             rate = self.params.rate / 100
             lowest = np.min(self.low.get(size=self.params.num))
             highest = np.max(self.high.get(size=self.params.num))
+            '''
             if (self.hl[-1] == 2 or self.hl[-1] == 1) and self.dataclose[0] > self.sma5[0] > self.sma5[-1] \
                     and self.sma5[-4]/self.sma5[-3] > self.sma5[-3]/self.sma5[-2]  \
                     and self.sma10[-4]/self.sma10[-3] > self.sma10[-3]/self.sma10[-2] \
@@ -145,6 +146,8 @@ class TestStrategy(bt.Strategy):
                     and (self.low[-2] < self.sma5[-2]*(1-rate) or self.low[-1] < self.sma5[-1]*(1-rate))\
                     and self.dataclose[0] > self.dataopen[0] \
                     and self.sma5[-1] < self.sma10[-1] < self.sma20[-1]:
+            '''
+            if self.dataclose[0] > self.sma5[0] > self.sma10[0] and self.sma5[-1] < self.sma10[-1]:
                 self.order = self.buy()
                 self.pos_price = self.low[-1]
 
@@ -285,7 +288,8 @@ if __name__ == '__main__':
     cursor.execute("show tables like '%%%s%%' " % fre)
     table_list = [tuple[0] for tuple in cursor.fetchall()]
     # print(table_list)
-    # table_list = table_list[0:10]
+    table_list = table_list[0:500]
+    print(f'计算个股数为：{len(table_list)}')
 
     list_date = mp.Manager().list()
     thread_list = []
@@ -293,7 +297,7 @@ if __name__ == '__main__':
     for num in range(60, 70, 20):
         for Volatility in range(5, 6, 1):
             for rate in range(3, 11, 1):
-                step = math.ceil(len(table_list) / mp.cpu_count())
+                # step = math.ceil(len(table_list) / mp.cpu_count())
                 result = []
                 result_change = []
                 result_change_fall = []
@@ -309,13 +313,6 @@ if __name__ == '__main__':
                 pool.apply_async(func=backtrader,
                                  args=(list_date, table_list, result, result_change, result_change_fall,
                                        num, Volatility, rate, err_list,), error_callback=err_call_back)
-                # p.start()
-                # p.join()
-                # print(thread_list)
-    # for thread in thread_list:
-    #     thread.start()
-    # for thread in thread_list:
-    #     thread.join()
     pool.close()
     pool.join()