策略优化 #

import datetime  #For datetime objects
import os.path  # To manage paths
import sys  # To find out the script name (in argv[0])
import backtrader as bt

class TestStrategy(bt.Strategy):
    params = (
        ('maperiod', 15),
        ('printlog', False),
    )

    def log(self, txt, dt=None, doprint=False):
        if self.params.printlog or doprint:
            dt = dt or self.datas[0].datetime.date(0)
            print('%s, %s' % (dt.isoformat(), txt))

    def __init__(self):
        self.dataclose = self.datas[0].close
        self.order = None
        self.buyprice = None
        self.buycomm = None
        self.sma = bt.indicators.SimpleMovingAverage(
            self.datas[0], period=self.params.maperiod)

    def notify_order(self, order):
        if order.status in [order.Submitted, order.Accepted]:
            return

        if order.status in [order.Completed]:
            if order.isbuy():
                self.buyprice = order.executed.price
                self.buycomm = order.executed.comm
            else:
            self.bar_executed = len(self)

        self.order = None

    def notify_trade(self, trade):
        if not trade.isclosed:
            return

    def next(self):
        if self.order:
            return

        if not self.position:
            if self.dataclose[0] > self.sma[0]:
                self.order = self.buy()
        else:
            if self.dataclose[0] < self.sma[0]:
                self.order = self.sell()

    def stop(self):
        self.log('(MA Period %2d) Ending Value %.2f' %
                 (self.params.maperiod, self.broker.getvalue()), doprint=True)

if __name__ == '__main__':
    cerebro = bt.Cerebro()
    strats = cerebro.optstrategy(
        TestStrategy,
        maperiod=range(10, 31))

    modpath = os.path.dirname(os.path.abspath(sys.argv[0]))
    datapath = os.path.join(modpath, '../../datas/orcl-1995-2014.txt')

    data = bt.feeds.YahooFinanceCSVData(
        dataname=datapath,
        fromdate=datetime.datetime(2000, 1, 1),
        todate=datetime.datetime(2000, 12, 31),
        reverse=False)

    cerebro.adddata(data)
    cerebro.broker.setcash(1000.0)
    cerebro.addsizer(bt.sizers.FixedSize, stake=10)
    cerebro.broker.setcommission(commission=0.0)

    cerebro.run(maxcpus=1)