BackTrader 中文文档（十九）（3）https://developer.aliyun.com/article/1505410
样本代码
from __future__ import (absolute_import, division, print_function, unicode_literals) # References: # - https://www.reddit.com/r/algotrading/comments/5jez2b/can_anyone_replicate_this_strategy/ # - http://dark-bid.com/BTFD-only-strategy-that-matters.html import argparse import datetime import backtrader as bt class ValueUnlever(bt.observers.Value): '''Extension of regular Value observer to add leveraged view''' lines = ('value_lever', 'asset') params = (('assetstart', 100000.0), ('lever', True),) def next(self): super(ValueUnlever, self).next() if self.p.lever: self.lines.value_lever[0] = self._owner.broker._valuelever if len(self) == 1: self.lines.asset[0] = self.p.assetstart else: change = self.data[0] / self.data[-1] self.lines.asset[0] = change * self.lines.asset[-1] class St(bt.Strategy): params = ( ('fall', -0.01), ('hold', 2), ('approach', 'highlow'), ('target', 1.0), ('prorder', False), ('prtrade', False), ('prdata', False), ) def __init__(self): if self.p.approach == 'closeclose': self.pctdown = self.data.close / self.data.close(-1) - 1.0 elif self.p.approach == 'openclose': self.pctdown = self.data.close / self.data.open - 1.0 elif self.p.approach == 'highclose': self.pctdown = self.data.close / self.data.high - 1.0 elif self.p.approach == 'highlow': self.pctdown = self.data.low / self.data.high - 1.0 def next(self): if self.position: if len(self) == self.barexit: self.close() if self.p.prdata: print(','.join(str(x) for x in ['DATA', 'CLOSE', self.data.datetime.date().isoformat(), self.data.close[0], float('NaN')])) else: if self.pctdown <= self.p.fall: self.order_target_percent(target=self.p.target) self.barexit = len(self) + self.p.hold if self.p.prdata: print(','.join(str(x) for x in ['DATA', 'OPEN', self.data.datetime.date().isoformat(), self.data.close[0], self.pctdown[0]])) def start(self): if self.p.prtrade: print(','.join( ['TRADE', 'Status', 'Date', 'Value', 'PnL', 'Commission'])) if self.p.prorder: print(','.join( ['ORDER', 'Type', 'Date', 'Price', 'Size', 'Commission'])) if self.p.prdata: print(','.join(['DATA', 'Action', 'Date', 'Price', 'PctDown'])) def notify_order(self, order): if order.status in [order.Margin, order.Rejected, order.Canceled]: print('ORDER FAILED with status:', order.getstatusname()) elif order.status == order.Completed: if self.p.prorder: print(','.join(map(str, [ 'ORDER', 'BUY' * order.isbuy() or 'SELL', self.data.num2date(order.executed.dt).date().isoformat(), order.executed.price, order.executed.size, order.executed.comm, ] ))) def notify_trade(self, trade): if not self.p.prtrade: return if trade.isclosed: print(','.join(map(str, [ 'TRADE', 'CLOSE', self.data.num2date(trade.dtclose).date().isoformat(), trade.value, trade.pnl, trade.commission, ] ))) elif trade.justopened: print(','.join(map(str, [ 'TRADE', 'OPEN', self.data.num2date(trade.dtopen).date().isoformat(), trade.value, trade.pnl, trade.commission, ] ))) 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']): kwargs[d] = datetime.datetime.strptime(a, dtfmt + tmfmt * ('T' in a)) if not args.offline: YahooData = bt.feeds.YahooFinanceData else: YahooData = bt.feeds.YahooFinanceCSVData # Data feed - no plot - observer will do the job data = YahooData(dataname=args.data, plot=False, **kwargs) cerebro.adddata(data) # Broker cerebro.broker = bt.brokers.BackBroker(**eval('dict(' + args.broker + ')')) # Add a commission cerebro.broker.setcommission(**eval('dict(' + args.comminfo + ')')) # Strategy cerebro.addstrategy(St, **eval('dict(' + args.strat + ')')) # Add specific observer cerebro.addobserver(ValueUnlever, **eval('dict(' + args.valobserver + ')')) # 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=(' - '.join([ 'BTFD', 'http://dark-bid.com/BTFD-only-strategy-that-matters.html', ('https://www.reddit.com/r/algotrading/comments/5jez2b/' 'can_anyone_replicate_this_strategy/')])) ) parser.add_argument('--offline', required=False, action='store_true', help='Use offline file with ticker name') parser.add_argument('--data', required=False, default='^GSPC', metavar='TICKER', help='Yahoo ticker to download') parser.add_argument('--fromdate', required=False, default='1990-01-01', metavar='YYYY-MM-DD[THH:MM:SS]', help='Starting date[time]') parser.add_argument('--todate', required=False, default='2016-10-01', metavar='YYYY-MM-DD[THH:MM:SS]', help='Ending date[time]') parser.add_argument('--cerebro', required=False, default='stdstats=False', metavar='kwargs', help='kwargs in key=value format') parser.add_argument('--broker', required=False, default='cash=100000.0, coc=True', metavar='kwargs', help='kwargs in key=value format') parser.add_argument('--valobserver', required=False, default='assetstart=100000.0', metavar='kwargs', help='kwargs in key=value format') parser.add_argument('--strat', required=False, default='approach="highlow"', metavar='kwargs', help='kwargs in key=value format') parser.add_argument('--comminfo', required=False, default='leverage=2.0', metavar='kwargs', help='kwargs in key=value format') parser.add_argument('--plot', required=False, default='', nargs='?', const='volume=False', metavar='kwargs', help='kwargs in key=value format') return parser.parse_args(pargs) if __name__ == '__main__': runstrat()
操作日志
CloseClose方法
执行：
$ ./btfd.py --strat approach="'closeclose'",prorder=True,prdata=True
结果：
ORDER,Type,Date,Price,Size,Commission DATA,Action,Date,Price,PctDown DATA,OPEN,1990-01-09,349.62,-0.0117866530993 ORDER,BUY,1990-01-09,349.62,572,0.0 ... DATA,CLOSE,1990-01-11,348.53,nan ORDER,BUY,2016-09-09,2127.81,336,0.0 DATA,CLOSE,2016-09-13,2127.02,nan ORDER,SELL,2016-09-13,2127.02,-336,0.0
