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@@ -82,6 +82,7 @@ class TestStrategy(bt.Strategy):
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self.sma5 = btind.MovingAverageSimple(self.datas[0].close, period=5)
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self.sma10 = btind.MovingAverageSimple(self.datas[0].close, period=10)
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self.sma20 = btind.MovingAverageSimple(self.datas[0].close, period=20)
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+ self.sma60 = btind.MovingAverageSimple(self.datas[0].close, period=60)
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def notify_order(self, order):
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"""
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@@ -142,10 +143,10 @@ class TestStrategy(bt.Strategy):
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and (((lowest * (1 - vola)) < self.low[-2] < (lowest * (1 + vola))) or (
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(lowest * (1 - vola)) < self.low[-1] < (lowest * (1 + vola)))) \
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and self.volume[0] >= self.volume[-1] and self.dataclose[0] > self.dataopen[0] \
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- and self.sma5[0] < self.sma10[0] < self.sma20[0]:
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+ and self.sma5[0] < self.sma10[0] and self.sma10[0] > self.sma20[0]:
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self.order = self.buy()
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self.pos_price = self.low[-1]
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- elif (self.hl[0] == 5 and ((highest * (1 - vola)) < self.high[-2] < (highest * (1 + vola)))) \
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+ elif ((self.hl[0] == 5 or self.dataclose[0] < self.sma5[0]) and ((highest * (1 - vola)) < self.high[-2] < (highest * (1 + vola)))) \
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or self.dataclose[0] < self.pos_price:
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self.order = self.close()
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self.pos_price = 0
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@@ -288,9 +289,9 @@ if __name__ == '__main__':
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list_date = mp.Manager().list()
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thread_list = []
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pool = mp.Pool(processes=mp.cpu_count())
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- for num in range(60, 180, 20):
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- for Volatility in range(5, 8, 1):
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- for rate in range(1, 3, 1):
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+ for num in range(20, 180, 20):
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+ for Volatility in range(5, 11, 1):
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+ for rate in range(1, 5, 1):
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step = math.ceil(len(table_list) / mp.cpu_count())
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result = []
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result_change = []
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