|
|
@@ -145,9 +145,10 @@ class TestStrategy(bt.Strategy):
|
|
|
and self.low[-1] > self.low[0] and self.high[-1] < self.high[0]:
|
|
|
self.order = self.buy()
|
|
|
self.pos_price = self.low[-1]
|
|
|
- elif self.hl[0] == 5 and ((highest * (1 - vola)) < self.high[-2] < (highest * (1 + vola))) \
|
|
|
+ elif (self.hl[0] == 5 and ((highest * (1 - vola)) < self.high[-2] < (highest * (1 + vola)))) \
|
|
|
or self.dataclose[0] < self.pos_price:
|
|
|
self.order = self.close()
|
|
|
+ self.pos_price = 0
|
|
|
'''
|
|
|
if len(self) > self.params.num:
|
|
|
lowest = np.min(self.low.get(size=self.params.num))
|
|
|
@@ -199,68 +200,71 @@ def backtrader(list_date, table_list, result, result_change, result_change_fall,
|
|
|
# print(stock)
|
|
|
stk_df = pd.read_sql_table(stock, engine)
|
|
|
stk_df.time = pd.to_datetime(stk_df.time)
|
|
|
- stk_df['HL'] = stk_df['HL'].map({'L': 1,
|
|
|
- 'LL': 2,
|
|
|
- 'L*': 3,
|
|
|
- 'H': 4,
|
|
|
- 'HH': 5,
|
|
|
- 'H*': 6,
|
|
|
- '-': 7})
|
|
|
-
|
|
|
- if len(stk_df) > 60:
|
|
|
- cerebro = bt.Cerebro()
|
|
|
- cerebro.addstrategy(TestStrategy, num=num, Volatility=Volatility, rate=rate)
|
|
|
- cerebro.addsizer(bt.sizers.FixedSize, stake=10000)
|
|
|
- data = MyPandasData(dataname=stk_df,
|
|
|
- fromdate=datetime.datetime(2017, 1, 1),
|
|
|
- todate=datetime.datetime(2022, 10, 30),
|
|
|
- datetime='time',
|
|
|
- open='open_back',
|
|
|
- close='close_back',
|
|
|
- high='high_back',
|
|
|
- low='low_back',
|
|
|
- volume='volume_back',
|
|
|
- hl='HL',
|
|
|
- dif='dif',
|
|
|
- dea='dea',
|
|
|
- macd='macd',
|
|
|
- rsi_6='rsi_6',
|
|
|
- rsi_12='rsi_12',
|
|
|
- rsi_24='rsi_24',
|
|
|
- # change,_pct='change_pct',
|
|
|
- # net_amount_main='net_amount_main',
|
|
|
- # net_pct_main='net_pct_main',
|
|
|
- # net_amount_xl='net_amount_xl',
|
|
|
- # net_pct_xl='net_pct_xl',
|
|
|
- # net_amount_l='net_amount_l',
|
|
|
- # net_pct_l='net_pct_l',
|
|
|
- # net_amount_m='net_amount_m',
|
|
|
- # net_pct_m='net_pct_m',
|
|
|
- # net_amount_s='net_amount_s',
|
|
|
- # net_pct_s='net_pct_s',
|
|
|
- )
|
|
|
- # print('取值完成')
|
|
|
- cerebro.adddata(data, name=stock)
|
|
|
- cerebro.broker.setcash(100000.0)
|
|
|
- cerebro.broker.setcommission(0.005)
|
|
|
- cerebro.addanalyzer(bt.analyzers.PyFolio)
|
|
|
- # 策略执行前的资金
|
|
|
- # print('启动资金: %.2f' % cerebro.broker.getvalue())
|
|
|
- try:
|
|
|
- # 策略执行
|
|
|
- cerebro.run()
|
|
|
- except IndexError:
|
|
|
- err_list.append(stock)
|
|
|
- else:
|
|
|
- if cerebro.broker.getvalue() > 100000.0:
|
|
|
- result_change.append((cerebro.broker.getvalue() / 10000 - 1))
|
|
|
- result.append(stock)
|
|
|
- # print('recode！！！！！！！！！！！！！！！！！！！！！！！！！！！！！！！！！！！！')
|
|
|
- # print(result)
|
|
|
+ try:
|
|
|
+ stk_df['HL'] = stk_df['HL'].map({'L': 1,
|
|
|
+ 'LL': 2,
|
|
|
+ 'L*': 3,
|
|
|
+ 'H': 4,
|
|
|
+ 'HH': 5,
|
|
|
+ 'H*': 6,
|
|
|
+ '-': 7})
|
|
|
+ except BaseException:
|
|
|
+ print(f'{stock}数据不全，不做测试')
|
|
|
+ else:
|
|
|
+ if len(stk_df) > 60:
|
|
|
+ cerebro = bt.Cerebro()
|
|
|
+ cerebro.addstrategy(TestStrategy, num=num, Volatility=Volatility, rate=rate)
|
|
|
+ cerebro.addsizer(bt.sizers.FixedSize, stake=10000)
|
|
|
+ data = MyPandasData(dataname=stk_df,
|
|
|
+ fromdate=datetime.datetime(2017, 1, 1),
|
|
|
+ todate=datetime.datetime(2022, 10, 30),
|
|
|
+ datetime='time',
|
|
|
+ open='open_back',
|
|
|
+ close='close_back',
|
|
|
+ high='high_back',
|
|
|
+ low='low_back',
|
|
|
+ volume='volume_back',
|
|
|
+ hl='HL',
|
|
|
+ dif='dif',
|
|
|
+ dea='dea',
|
|
|
+ macd='macd',
|
|
|
+ rsi_6='rsi_6',
|
|
|
+ rsi_12='rsi_12',
|
|
|
+ rsi_24='rsi_24',
|
|
|
+ # change,_pct='change_pct',
|
|
|
+ # net_amount_main='net_amount_main',
|
|
|
+ # net_pct_main='net_pct_main',
|
|
|
+ # net_amount_xl='net_amount_xl',
|
|
|
+ # net_pct_xl='net_pct_xl',
|
|
|
+ # net_amount_l='net_amount_l',
|
|
|
+ # net_pct_l='net_pct_l',
|
|
|
+ # net_amount_m='net_amount_m',
|
|
|
+ # net_pct_m='net_pct_m',
|
|
|
+ # net_amount_s='net_amount_s',
|
|
|
+ # net_pct_s='net_pct_s',
|
|
|
+ )
|
|
|
+ # print('取值完成')
|
|
|
+ cerebro.adddata(data, name=stock)
|
|
|
+ cerebro.broker.setcash(100000.0)
|
|
|
+ cerebro.broker.setcommission(0.005)
|
|
|
+ cerebro.addanalyzer(bt.analyzers.PyFolio)
|
|
|
+ # 策略执行前的资金
|
|
|
+ # print('启动资金: %.2f' % cerebro.broker.getvalue())
|
|
|
+ try:
|
|
|
+ # 策略执行
|
|
|
+ cerebro.run()
|
|
|
+ except IndexError:
|
|
|
+ err_list.append(stock)
|
|
|
else:
|
|
|
- result_change_fall.append((1 - cerebro.broker.getvalue() / 10000))
|
|
|
- # print('aaaaaaaaaaa')
|
|
|
- # print(result_change_fall)
|
|
|
+ if cerebro.broker.getvalue() > 100000.0:
|
|
|
+ result_change.append((cerebro.broker.getvalue() / 10000 - 1))
|
|
|
+ result.append(stock)
|
|
|
+ # print('recode！！！！！！！！！！！！！！！！！！！！！！！！！！！！！！！！！！！！')
|
|
|
+ # print(result)
|
|
|
+ else:
|
|
|
+ result_change_fall.append((1 - cerebro.broker.getvalue() / 10000))
|
|
|
+ # print('aaaaaaaaaaa')
|
|
|
+ # print(result_change_fall)
|
|
|
|
|
|
if len(result) * len(result_change) * len(result_change_fall) != 0:
|
|
|
print(f'以{num}内最低值波动{Volatility}为支撑、量能增长率为{rate}%，结果状态为：')
|
