230430 回测

backtrader/230429_bt.py

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