BackTrader 中文文档（十二）（3）https://developer.aliyun.com/article/1505318
示例用法 scheduled.py
$ ./scheduled.py --help usage: scheduled.py [-h] [--data0 DATA0] [--fromdate FROMDATE] [--todate TODATE] [--cerebro kwargs] [--broker kwargs] [--sizer kwargs] [--strat kwargs] [--plot [kwargs]] Sample Skeleton optional arguments: -h, --help show this help message and exit --data0 DATA0 Data to read in (default: ../../datas/2005-2006-day-001.txt) --fromdate FROMDATE Date[time] in YYYY-MM-DD[THH:MM:SS] format (default: ) --todate TODATE Date[time] in YYYY-MM-DD[THH:MM:SS] format (default: ) --cerebro kwargs kwargs in key=value format (default: ) --broker kwargs kwargs in key=value format (default: ) --sizer kwargs kwargs in key=value format (default: ) --strat kwargs kwargs in key=value format (default: ) --plot [kwargs] kwargs in key=value format (default: )
示例用法 scheduled-min.py
$ ./scheduled-min.py --help usage: scheduled-min.py [-h] [--data0 DATA0] [--fromdate FROMDATE] [--todate TODATE] [--cerebro kwargs] [--broker kwargs] [--sizer kwargs] [--strat kwargs] [--plot [kwargs]] Timer Test Intraday optional arguments: -h, --help show this help message and exit --data0 DATA0 Data to read in (default: ../../datas/2006-min-005.txt) --fromdate FROMDATE Date[time] in YYYY-MM-DD[THH:MM:SS] format (default: ) --todate TODATE Date[time] in YYYY-MM-DD[THH:MM:SS] format (default: ) --cerebro kwargs kwargs in key=value format (default: ) --broker kwargs kwargs in key=value format (default: ) --sizer kwargs kwargs in key=value format (default: ) --strat kwargs kwargs in key=value format (default: ) --plot [kwargs] kwargs in key=value format (default: )
示例源 scheduled.py
from __future__ import (absolute_import, division, print_function, unicode_literals) import argparse import datetime import backtrader as bt class St(bt.Strategy): params = dict( when=bt.timer.SESSION_START, timer=True, cheat=False, offset=datetime.timedelta(), repeat=datetime.timedelta(), weekdays=[], ) def __init__(self): bt.ind.SMA() if self.p.timer: self.add_timer( when=self.p.when, offset=self.p.offset, repeat=self.p.repeat, weekdays=self.p.weekdays, ) if self.p.cheat: self.add_timer( when=self.p.when, offset=self.p.offset, repeat=self.p.repeat, cheat=True, ) self.order = None def prenext(self): self.next() def next(self): _, isowk, isowkday = self.datetime.date().isocalendar() txt = '{}, {}, Week {}, Day {}, O {}, H {}, L {}, C {}'.format( len(self), self.datetime.datetime(), isowk, isowkday, self.data.open[0], self.data.high[0], self.data.low[0], self.data.close[0]) print(txt) def notify_timer(self, timer, when, *args, **kwargs): print('strategy notify_timer with tid {}, when {} cheat {}'. format(timer.p.tid, when, timer.p.cheat)) if self.order is None and timer.p.cheat: print('-- {} Create buy order'.format(self.data.datetime.date())) self.order = self.buy() def notify_order(self, order): if order.status == order.Completed: print('-- {} Buy Exec @ {}'.format( self.data.datetime.date(), order.executed.price)) def runstrat(args=None): args = parse_args(args) cerebro = bt.Cerebro() # Data feed kwargs kwargs = dict( timeframe=bt.TimeFrame.Days, compression=1, sessionstart=datetime.time(9, 0), sessionend=datetime.time(17, 30), ) # Parse from/to-date dtfmt, tmfmt = '%Y-%m-%d', 'T%H:%M:%S' for a, d in ((getattr(args, x), x) for x in ['fromdate', 'todate']): if a: strpfmt = dtfmt + tmfmt * ('T' in a) kwargs[d] = datetime.datetime.strptime(a, strpfmt) # Data feed data0 = bt.feeds.BacktraderCSVData(dataname=args.data0, **kwargs) cerebro.adddata(data0) # Broker cerebro.broker = bt.brokers.BackBroker(**eval('dict(' + args.broker + ')')) # Sizer cerebro.addsizer(bt.sizers.FixedSize, **eval('dict(' + args.sizer + ')')) # Strategy cerebro.addstrategy(St, **eval('dict(' + args.strat + ')')) # Execute cerebro.run(**eval('dict(' + args.cerebro + ')')) if args.plot: # Plot if requested to cerebro.plot(**eval('dict(' + args.plot + ')')) def parse_args(pargs=None): parser = argparse.ArgumentParser( formatter_class=argparse.ArgumentDefaultsHelpFormatter, description=( 'Sample Skeleton' ) ) parser.add_argument('--data0', default='../../datas/2005-2006-day-001.txt', required=False, help='Data to read in') # Defaults for dates parser.add_argument('--fromdate', required=False, default='', help='Date[time] in YYYY-MM-DD[THH:MM:SS] format') parser.add_argument('--todate', required=False, default='', help='Date[time] in YYYY-MM-DD[THH:MM:SS] format') parser.add_argument('--cerebro', required=False, default='', metavar='kwargs', help='kwargs in key=value format') parser.add_argument('--broker', required=False, default='', metavar='kwargs', help='kwargs in key=value format') parser.add_argument('--sizer', required=False, default='', metavar='kwargs', help='kwargs in key=value format') parser.add_argument('--strat', required=False, default='', metavar='kwargs', help='kwargs in key=value format') parser.add_argument('--plot', required=False, default='', nargs='?', const='{}', metavar='kwargs', help='kwargs in key=value format') return parser.parse_args(pargs) if __name__ == '__main__': runstrat()
示例源 scheduled-min.py
from __future__ import (absolute_import, division, print_function, unicode_literals) import argparse import datetime import backtrader as bt class St(bt.Strategy): params = dict( when=bt.timer.SESSION_START, timer=True, cheat=False, offset=datetime.timedelta(), repeat=datetime.timedelta(), weekdays=[], weekcarry=False, monthdays=[], monthcarry=True, ) def __init__(self): bt.ind.SMA() if self.p.timer: self.add_timer( when=self.p.when, offset=self.p.offset, repeat=self.p.repeat, weekdays=self.p.weekdays, weekcarry=self.p.weekcarry, monthdays=self.p.monthdays, monthcarry=self.p.monthcarry, # tzdata=self.data0, ) if self.p.cheat: self.add_timer( when=self.p.when, offset=self.p.offset, repeat=self.p.repeat, weekdays=self.p.weekdays, weekcarry=self.p.weekcarry, monthdays=self.p.monthdays, monthcarry=self.p.monthcarry, # tzdata=self.data0, cheat=True, ) self.order = None def prenext(self): self.next() def next(self): _, isowk, isowkday = self.datetime.date().isocalendar() txt = '{}, {}, Week {}, Day {}, O {}, H {}, L {}, C {}'.format( len(self), self.datetime.datetime(), isowk, isowkday, self.data.open[0], self.data.high[0], self.data.low[0], self.data.close[0]) print(txt) def notify_timer(self, timer, when, *args, **kwargs): print('strategy notify_timer with tid {}, when {} cheat {}'. format(timer.p.tid, when, timer.p.cheat)) if self.order is None and timer.params.cheat: print('-- {} Create buy order'.format( self.data.datetime.datetime())) self.order = self.buy() def notify_order(self, order): if order.status == order.Completed: print('-- {} Buy Exec @ {}'.format( self.data.datetime.datetime(), order.executed.price)) def runstrat(args=None): args = parse_args(args) cerebro = bt.Cerebro() # Data feed kwargs kwargs = dict( timeframe=bt.TimeFrame.Minutes, compression=5, sessionstart=datetime.time(9, 0), sessionend=datetime.time(17, 30), ) # Parse from/to-date dtfmt, tmfmt = '%Y-%m-%d', 'T%H:%M:%S' for a, d in ((getattr(args, x), x) for x in ['fromdate', 'todate']): if a: strpfmt = dtfmt + tmfmt * ('T' in a) kwargs[d] = datetime.datetime.strptime(a, strpfmt) # Data feed data0 = bt.feeds.BacktraderCSVData(dataname=args.data0, **kwargs) cerebro.adddata(data0) # Broker cerebro.broker = bt.brokers.BackBroker(**eval('dict(' + args.broker + ')')) # Sizer cerebro.addsizer(bt.sizers.FixedSize, **eval('dict(' + args.sizer + ')')) # Strategy cerebro.addstrategy(St, **eval('dict(' + args.strat + ')')) # Execute cerebro.run(**eval('dict(' + args.cerebro + ')')) if args.plot: # Plot if requested to cerebro.plot(**eval('dict(' + args.plot + ')')) def parse_args(pargs=None): parser = argparse.ArgumentParser( formatter_class=argparse.ArgumentDefaultsHelpFormatter, description=( 'Timer Test Intraday' ) ) parser.add_argument('--data0', default='../../datas/2006-min-005.txt', required=False, help='Data to read in') # Defaults for dates parser.add_argument('--fromdate', required=False, default='', help='Date[time] in YYYY-MM-DD[THH:MM:SS] format') parser.add_argument('--todate', required=False, default='', help='Date[time] in YYYY-MM-DD[THH:MM:SS] format') parser.add_argument('--cerebro', required=False, default='', metavar='kwargs', help='kwargs in key=value format') parser.add_argument('--broker', required=False, default='', metavar='kwargs', help='kwargs in key=value format') parser.add_argument('--sizer', required=False, default='', metavar='kwargs', help='kwargs in key=value format') parser.add_argument('--strat', required=False, default='', metavar='kwargs', help='kwargs in key=value format') parser.add_argument('--plot', required=False, default='', nargs='?', const='{}', metavar='kwargs', help='kwargs in key=value format') return parser.parse_args(pargs) if __name__ == '__main__': runstrat()
