BackTrader 中文文档（十七）（3）https://developer.aliyun.com/article/1505387
示例代码
from __future__ import (absolute_import, division, print_function, unicode_literals) import argparse import datetime import backtrader as bt class St(bt.Strategy): params = dict( ma=bt.ind.SMA, p1=5, p2=15, limit=0.005, limdays=3, limdays2=1000, hold=10, usebracket=False, # use order_target_size switchp1p2=False, # switch prices of order1 and order2 ) def notify_order(self, order): print('{}: Order ref: {} / Type {} / Status {}'.format( self.data.datetime.date(0), order.ref, 'Buy' * order.isbuy() or 'Sell', order.getstatusname())) if order.status == order.Completed: self.holdstart = len(self) if not order.alive() and order.ref in self.orefs: self.orefs.remove(order.ref) def __init__(self): ma1, ma2 = self.p.ma(period=self.p.p1), self.p.ma(period=self.p.p2) self.cross = bt.ind.CrossOver(ma1, ma2) self.orefs = list() if self.p.usebracket: print('-' * 5, 'Using buy_bracket') def next(self): if self.orefs: return # pending orders do nothing if not self.position: if self.cross > 0.0: # crossing up close = self.data.close[0] p1 = close * (1.0 - self.p.limit) p2 = p1 - 0.02 * close p3 = p1 + 0.02 * close valid1 = datetime.timedelta(self.p.limdays) valid2 = valid3 = datetime.timedelta(self.p.limdays2) if self.p.switchp1p2: p1, p2 = p2, p1 valid1, valid2 = valid2, valid1 if not self.p.usebracket: o1 = self.buy(exectype=bt.Order.Limit, price=p1, valid=valid1, transmit=False) print('{}: Oref {} / Buy at {}'.format( self.datetime.date(), o1.ref, p1)) o2 = self.sell(exectype=bt.Order.Stop, price=p2, valid=valid2, parent=o1, transmit=False) print('{}: Oref {} / Sell Stop at {}'.format( self.datetime.date(), o2.ref, p2)) o3 = self.sell(exectype=bt.Order.Limit, price=p3, valid=valid3, parent=o1, transmit=True) print('{}: Oref {} / Sell Limit at {}'.format( self.datetime.date(), o3.ref, p3)) self.orefs = [o1.ref, o2.ref, o3.ref] else: os = self.buy_bracket( price=p1, valid=valid1, stopprice=p2, stopargs=dict(valid=valid2), limitprice=p3, limitargs=dict(valid=valid3),) self.orefs = [o.ref for o in os] else: # in the market if (len(self) - self.holdstart) >= self.p.hold: pass # do nothing in this case def runstrat(args=None): args = parse_args(args) cerebro = bt.Cerebro() # Data feed kwargs kwargs = dict() # 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()
StopTrail(Limit)
原文：
www.backtrader.com/blog/posts/2017-03-22-stoptrail/stoptrail/
版本1.9.35.116为回测工具库添加了StopTrail和StopTrailLimit订单执行类型。
注意
这只在回测中实现了，尚未实现实时经纪人的功能
注意
更新至版本1.9.36.116。交互式经纪人支持StopTrail、StopTrailLimit和OCO。
OCO始终将一组中的第 1 个订单指定为参数ocoStopTrailLimit：经纪人模拟和IB经纪人具有相同的行为。指定：price作为初始止损触发价格（还要指定trailamount），然后plimi作为初始限价。两者之间的差异将确定limitoffset（限价价格与停止触发价格之间的距离）
使用模式完全集成到了策略实例的标准buy、sell和close市场操作方法中。要注意：
- 指定所需的执行类型，如
exectype=bt.Order.StopTrail - 以及尾随价格是固定距离还是基于百分比的距离计算
- 固定距离：
trailamount=10 - 基于百分比的距离：
trailpercent=0.02（即：2%）
如果通过发出buy进入市场，则使用StopTrail和trailamount的sell就是这样做的操作：
- 如果未指定
price，则使用最新的close价格 trailamount从价格中减去以找到stop（或触发）价格- broker的下一次迭代将检查触发价格是否已达到
- 如果是：订单将以
市价执行方式执行 - 如果否，则
stop价格会通过使用最新的close价格重新计算，并减去trailamount的距离。 - 如果新价格上涨，则会更新
- 如果新价格会下跌（或保持不变），则将其丢弃
也就是说：尾随止损价格会随着价格上涨而上涨，但如果价格开始下跌，价格将保持不变，以潜在地确保利润。
如果已经用sell进入市场，那么只需使用StopTrail发出buy订单就可以做相反的操作，即：价格向下跟随。
一些使用模式
# For a StopTrail going downwards # last price will be used as reference self.buy(size=1, exectype=bt.Order.StopTrail, trailamount=0.25) # or self.buy(size=1, exectype=bt.Order.StopTrail, price=10.50, trailamount=0.25) # For a StopTrail going upwards # last price will be used as reference self.sell(size=1, exectype=bt.Order.StopTrail, trailamount=0.25) # or self.sell(size=1, exectype=bt.Order.StopTrail, price=10.50, trailamount=0.25)
也可以指定trailpercent而不是trailamount，并且距离将以价格的百分比计算
# For a StopTrail going downwards with 2% distance # last price will be used as reference self.buy(size=1, exectype=bt.Order.StopTrail, trailpercent=0.02) # or self.buy(size=1, exectype=bt.Order.StopTrail, price=10.50, trailpercent=0.0.02) # For a StopTrail going upwards with 2% difference # last price will be used as reference self.sell(size=1, exectype=bt.Order.StopTrail, trailpercent=0.02) # or self.sell(size=1, exectype=bt.Order.StopTrail, price=10.50, trailpercent=0.02)
对于StopTrailLimit
- 当触发尾随止损价格时，唯一的区别在于发生了什么。
- 在这种情况下，订单将作为
限价订单执行（与StopLimit订单具有相同的行为，但在这种情况下具有动态触发价格）
注意
必须指定plimit=x.x来buy或sell，这将是限价。
注意
限价价格不像停止/触发价格那样动态更改
例子永远都是值得一千言语的，因此通常的backtrader示例，
- 使用移动平均线交叉进入市场的方法
- 使用跟踪止损退出市场
执行与固定价格距离为50点
$ ./trail.py --plot --strat trailamount=50.0
产生以下图表
以及以下输出：
************************************************** 2005-02-14,3075.76,3025.76,3025.76 ---------- 2005-02-15,3086.95,3036.95,3036.95 2005-02-16,3068.55,3036.95,3018.55 2005-02-17,3067.34,3036.95,3017.34 2005-02-18,3072.04,3036.95,3022.04 2005-02-21,3063.64,3036.95,3013.64 ... ... ************************************************** 2005-05-19,3051.79,3001.79,3001.79 ---------- 2005-05-20,3050.45,3001.79,3000.45 2005-05-23,3070.98,3020.98,3020.98 2005-05-24,3066.55,3020.98,3016.55 2005-05-25,3059.84,3020.98,3009.84 2005-05-26,3086.08,3036.08,3036.08 2005-05-27,3084.0,3036.08,3034.0 2005-05-30,3096.54,3046.54,3046.54 2005-05-31,3076.75,3046.54,3026.75 2005-06-01,3125.88,3075.88,3075.88 2005-06-02,3131.03,3081.03,3081.03 2005-06-03,3114.27,3081.03,3064.27 2005-06-06,3099.2,3081.03,3049.2 2005-06-07,3134.82,3084.82,3084.82 2005-06-08,3125.59,3084.82,3075.59 2005-06-09,3122.93,3084.82,3072.93 2005-06-10,3143.85,3093.85,3093.85 2005-06-13,3159.83,3109.83,3109.83 2005-06-14,3162.86,3112.86,3112.86 2005-06-15,3147.55,3112.86,3097.55 2005-06-16,3160.09,3112.86,3110.09 2005-06-17,3178.48,3128.48,3128.48 2005-06-20,3162.14,3128.48,3112.14 2005-06-21,3179.62,3129.62,3129.62 2005-06-22,3182.08,3132.08,3132.08 2005-06-23,3190.8,3140.8,3140.8 2005-06-24,3161.0,3140.8,3111.0 ... ... ... ************************************************** 2006-12-19,4100.48,4050.48,4050.48 ---------- 2006-12-20,4118.54,4068.54,4068.54 2006-12-21,4112.1,4068.54,4062.1 2006-12-22,4073.5,4068.54,4023.5 2006-12-27,4134.86,4084.86,4084.86 2006-12-28,4130.66,4084.86,4080.66 2006-12-29,4119.94,4084.86,4069.94
而不是等待通常的交叉下行模式，系统使用跟踪止损退出市场。让我们以第 1 次操作为例
- 进入多头时的收盘价格：
3075.76 - 系统计算的跟踪止损价格：
3025.76（距离50个单位） - 样本计算的跟踪止损价格：
3025.76（每行显示的最后价格）
在第一次计算之后：
- 收盘价上涨至
3086.95且止损价格调整为3036.95 - 以下收盘价格均不超过
3086.95且触发价格不变
在其他 2 次操作中也可以看到相同的模式。
为了比较，使用固定距离为30点的执行（只有图表）
$ ./trail.py --plot --strat trailamount=30.0
以及图表
接着最后一个执行，使用trailpercent=0.02
$ ./trail.py --plot --strat trailpercent=0.02
相应的图表。
示例用法
$ ./trail.py --help usage: trail.py [-h] [--data0 DATA0] [--fromdate FROMDATE] [--todate TODATE] [--cerebro kwargs] [--broker kwargs] [--sizer kwargs] [--strat kwargs] [--plot [kwargs]] StopTrail Sample 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: )
示例代码
from __future__ import (absolute_import, division, print_function, unicode_literals) import argparse import datetime import backtrader as bt class St(bt.Strategy): params = dict( ma=bt.ind.SMA, p1=10, p2=30, stoptype=bt.Order.StopTrail, trailamount=0.0, trailpercent=0.0, ) def __init__(self): ma1, ma2 = self.p.ma(period=self.p.p1), self.p.ma(period=self.p.p2) self.crup = bt.ind.CrossUp(ma1, ma2) self.order = None def next(self): if not self.position: if self.crup: o = self.buy() self.order = None print('*' * 50) elif self.order is None: self.order = self.sell(exectype=self.p.stoptype, trailamount=self.p.trailamount, trailpercent=self.p.trailpercent) if self.p.trailamount: tcheck = self.data.close - self.p.trailamount else: tcheck = self.data.close * (1.0 - self.p.trailpercent) print(','.join( map(str, [self.datetime.date(), self.data.close[0], self.order.created.price, tcheck]) ) ) print('-' * 10) else: if self.p.trailamount: tcheck = self.data.close - self.p.trailamount else: tcheck = self.data.close * (1.0 - self.p.trailpercent) print(','.join( map(str, [self.datetime.date(), self.data.close[0], self.order.created.price, tcheck]) ) ) def runstrat(args=None): args = parse_args(args) cerebro = bt.Cerebro() # Data feed kwargs kwargs = dict() # 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=( 'StopTrail Sample' ) ) 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()
