BackTrader 中文文档（十）（1）https://developer.aliyun.com/article/1505297
一个 PyFolio 运行
运行在 Jupyter Notebook 中时，pyfolio 的工作非常顺利，包括内联绘图。这就是笔记本
注意
runstrat 在此处使用[]作为参数运行，默认参数并跳过笔记本本身传递的参数
%matplotlib inline
from __future__ import (absolute_import, division, print_function, unicode_literals) import argparse import datetime import random import backtrader as bt class St(bt.Strategy): params = ( ('printout', False), ('stake', 1000), ) def __init__(self): pass def start(self): if self.p.printout: txtfields = list() txtfields.append('Len') txtfields.append('Datetime') txtfields.append('Open') txtfields.append('High') txtfields.append('Low') txtfields.append('Close') txtfields.append('Volume') txtfields.append('OpenInterest') print(','.join(txtfields)) def next(self): if self.p.printout: # Print only 1st data ... is just a check that things are running txtfields = list() txtfields.append('%04d' % len(self)) txtfields.append(self.data.datetime.datetime(0).isoformat()) txtfields.append('%.2f' % self.data0.open[0]) txtfields.append('%.2f' % self.data0.high[0]) txtfields.append('%.2f' % self.data0.low[0]) txtfields.append('%.2f' % self.data0.close[0]) txtfields.append('%.2f' % self.data0.volume[0]) txtfields.append('%.2f' % self.data0.openinterest[0]) print(','.join(txtfields)) # Data 0 for data in self.datas: toss = random.randint(1, 10) curpos = self.getposition(data) if curpos.size: if toss > 5: size = curpos.size // 2 self.sell(data=data, size=size) if self.p.printout: print('SELL {} @%{}'.format(size, data.close[0])) elif toss < 5: self.buy(data=data, size=self.p.stake) if self.p.printout: print('BUY {} @%{}'.format(self.p.stake, data.close[0])) def runstrat(args=None): args = parse_args(args) cerebro = bt.Cerebro() cerebro.broker.set_cash(args.cash) dkwargs = dict() if args.fromdate: fromdate = datetime.datetime.strptime(args.fromdate, '%Y-%m-%d') dkwargs['fromdate'] = fromdate if args.todate: todate = datetime.datetime.strptime(args.todate, '%Y-%m-%d') dkwargs['todate'] = todate data0 = bt.feeds.BacktraderCSVData(dataname=args.data0, **dkwargs) cerebro.adddata(data0, name='Data0') data1 = bt.feeds.BacktraderCSVData(dataname=args.data1, **dkwargs) cerebro.adddata(data1, name='Data1') data2 = bt.feeds.BacktraderCSVData(dataname=args.data2, **dkwargs) cerebro.adddata(data2, name='Data2') cerebro.addstrategy(St, printout=args.printout) if not args.no_pyfolio: cerebro.addanalyzer(bt.analyzers.PyFolio, _name='pyfolio') results = cerebro.run() if not args.no_pyfolio: strat = results[0] pyfoliozer = strat.analyzers.getbyname('pyfolio') returns, positions, transactions, gross_lev = pyfoliozer.get_pf_items() if args.printout: print('-- RETURNS') print(returns) print('-- POSITIONS') print(positions) print('-- TRANSACTIONS') print(transactions) print('-- GROSS LEVERAGE') print(gross_lev) import pyfolio as pf pf.create_full_tear_sheet( returns, positions=positions, transactions=transactions, gross_lev=gross_lev, live_start_date='2005-05-01', round_trips=True) if args.plot: cerebro.plot(style=args.plot_style) def parse_args(args=None): parser = argparse.ArgumentParser( formatter_class=argparse.ArgumentDefaultsHelpFormatter, description='Sample for pivot point and cross plotting') parser.add_argument('--data0', required=False, default='../../datas/yhoo-1996-2015.txt', help='Data to be read in') parser.add_argument('--data1', required=False, default='../../datas/orcl-1995-2014.txt', help='Data to be read in') parser.add_argument('--data2', required=False, default='../../datas/nvda-1999-2014.txt', help='Data to be read in') parser.add_argument('--fromdate', required=False, default='2005-01-01', help='Starting date in YYYY-MM-DD format') parser.add_argument('--todate', required=False, default='2006-12-31', help='Ending date in YYYY-MM-DD format') parser.add_argument('--printout', required=False, action='store_true', help=('Print data lines')) parser.add_argument('--cash', required=False, action='store', type=float, default=50000, help=('Cash to start with')) parser.add_argument('--plot', required=False, action='store_true', help=('Plot the result')) parser.add_argument('--plot-style', required=False, action='store', default='bar', choices=['bar', 'candle', 'line'], help=('Plot style')) parser.add_argument('--no-pyfolio', required=False, action='store_true', help=('Do not do pyfolio things')) import sys aargs = args if args is not None else sys.argv[1:] return parser.parse_args(aargs)
runstrat([]) • 1
Entire data start date: 2005-01-03 Entire data end date: 2006-12-29 Out-of-Sample Months: 20 Backtest Months: 3
[-0.012 -0.025]
pyfolioplotting.py:1210: FutureWarning: .resample() is now a deferred operation use .resample(...).mean() instead of .resample(...) **kwargs)
<matplotlib.figure.Figure at 0x23982b70>
样本的使用：
$ ./pyfoliotest.py --help usage: pyfoliotest.py [-h] [--data0 DATA0] [--data1 DATA1] [--data2 DATA2] [--fromdate FROMDATE] [--todate TODATE] [--printout] [--cash CASH] [--plot] [--plot-style {bar,candle,line}] [--no-pyfolio] Sample for pivot point and cross plotting optional arguments: -h, --help show this help message and exit --data0 DATA0 Data to be read in (default: ../../datas/yhoo-1996-2015.txt) --data1 DATA1 Data to be read in (default: ../../datas/orcl-1995-2014.txt) --data2 DATA2 Data to be read in (default: ../../datas/nvda-1999-2014.txt) --fromdate FROMDATE Starting date in YYYY-MM-DD format (default: 2005-01-01) --todate TODATE Ending date in YYYY-MM-DD format (default: 2006-12-31) --printout Print data lines (default: False) --cash CASH Cash to start with (default: 50000) --plot Plot the result (default: False) --plot-style {bar,candle,line} Plot style (default: bar) --no-pyfolio Do not do pyfolio things (default: False)
BackTrader 中文文档（十）（3）https://developer.aliyun.com/article/1505301
