C:\Python38\python.exe F:/test/test/demo6.py Starting Portfolio Value: 100000.00 2019-10-08, Close, 5.22 2019-10-09, Close, 5.27 2019-10-10, Close, 5.26 2019-10-11, Close, 5.24 2019-10-14, Close, 5.23 2019-10-15, Close, 5.17 2019-10-16, Close, 5.20 2019-10-17, Close, 5.25 2019-10-18, Close, 5.12 2019-10-21, Close, 5.10 2019-10-22, Close, 5.25 2019-10-23, Close, 5.23 2019-10-24, Close, 5.29 2019-10-25, Close, 5.29 2019-10-28, Close, 5.22 2019-10-29, Close, 5.23 2019-10-30, Close, 5.17 2019-10-31, Close, 5.12 2019-11-01, Close, 5.23 2019-11-04, Close, 5.24 2019-11-05, Close, 5.22 2019-11-06, Close, 5.12 2019-11-07, Close, 5.15 2019-11-08, Close, 5.12 2019-11-11, Close, 5.02 2019-11-12, Close, 5.02 2019-11-13, Close, 5.00 2019-11-14, Close, 5.07 2019-11-15, Close, 5.00 2019-11-18, Close, 4.94 2019-11-19, Close, 5.05 2019-11-20, Close, 5.07 2019-11-21, Close, 5.00 2019-11-22, Close, 4.95 2019-11-25, Close, 4.98 2019-11-26, Close, 4.95 2019-11-27, Close, 4.92 2019-11-28, Close, 4.89 2019-11-29, Close, 4.91 2019-12-02, Close, 4.91 2019-12-03, Close, 4.95 2019-12-04, Close, 4.94 2019-12-05, Close, 5.05 2019-12-06, Close, 5.10 2019-12-09, Close, 5.10 2019-12-10, Close, 5.03 2019-12-11, Close, 5.06 2019-12-12, Close, 5.02 2019-12-13, Close, 5.03 2019-12-16, Close, 5.01 2019-12-17, Close, 5.09 2019-12-18, Close, 5.10 2019-12-19, Close, 5.06 2019-12-20, Close, 5.00 2019-12-23, Close, 4.95 2019-12-24, Close, 4.98 2019-12-25, Close, 5.20 2019-12-26, Close, 5.26 2019-12-27, Close, 5.16 2019-12-30, Close, 5.18 2019-12-31, Close, 5.21 2020-01-02, Close, 5.21 2020-01-03, Close, 5.27 2020-01-06, Close, 5.23 2020-01-07, Close, 5.22 2020-01-08, Close, 5.08 2020-01-09, Close, 5.24 2020-01-10, Close, 5.21 2020-01-13, Close, 5.21 2020-01-14, Close, 5.17 2020-01-15, Close, 5.11 2020-01-16, Close, 5.06 2020-01-17, Close, 5.01 2020-01-20, Close, 4.99 2020-01-21, Close, 4.99 2020-01-22, Close, 4.99 2020-01-23, Close, 4.88 2020-02-03, Close, 4.39 2020-02-04, Close, 4.43 2020-02-05, Close, 4.43 2020-02-06, Close, 4.66 2020-02-07, Close, 4.73 2020-02-10, Close, 4.72 2020-02-11, Close, 4.70 2020-02-12, Close, 4.77 2020-02-13, Close, 4.68 2020-02-14, Close, 4.66 2020-02-17, Close, 4.75 2020-02-18, Close, 4.67 2020-02-19, Close, 4.64 2020-02-20, Close, 4.66 2020-02-21, Close, 4.77 2020-02-24, Close, 4.70 2020-02-25, Close, 4.73 2020-02-26, Close, 4.85 2020-02-27, Close, 4.86 2020-02-28, Close, 4.84 Final Portfolio Value: 100000.00 Process finished with exit code 0
from __future__ import (absolute_import, division, print_function, unicode_literals) import datetime # 用於datetime對象操作 import os.path # 用於管理路徑 import sys # 用於在argvTo[0]中找到腳本名稱 import backtrader as bt # 引入backtrader框架 # 創建策略 class TestStrategy(bt.Strategy): def log(self, txt, dt=None): ''' 策略的日誌函數''' dt = dt or self.datas[0].datetime.date(0) print('%s, %s' % (dt.isoformat(), txt)) def __init__(self): # 引用data[0]數據的收盤價數據 self.dataclose = self.datas[0].close def next(self): # 日誌輸出收盤價數據 self.log('Close, %.2f' % self.dataclose[0]) # 創建cerebro實體 cerebro = bt.Cerebro() # 添加策略 cerebro.addstrategy(TestStrategy) # 先找到腳本的位置,然後根據腳本與數據的相對路徑關係找到數據位置 # 這樣腳本從任意地方被調用,都可以正確地訪問到數據 modpath = os.path.dirname(os.path.abspath(sys.argv[0])) datapath = os.path.join(modpath, 'F:/GZH/自動化交易/歷史數據/sh.600173history_k_data2021-12-31-2021-12-31.csv') # 創建價格數據 data = bt.feeds.GenericCSVData( dataname = datapath, fromdate = datetime.datetime(2019, 10, 1), todate = datetime.datetime(2020, 2, 29), nullvalue = 0.0, dtformat = ('%Y/%m/%d'), datetime = 0, open = 1, high = 2, low = 3, close = 4, volume = 5, openinterest = -1 ) # 在Cerebro中添加價格數據 cerebro.adddata(data) # 設置啓動資金 cerebro.broker.setcash(100000.0) # 打印開始信息 print('Starting Portfolio Value: %.2f' % cerebro.broker.getvalue()) # 遍歷所有數據 cerebro.run() # 打印最後結果 print('Final Portfolio Value: %.2f' % cerebro.broker.getvalue())
程序中創建了一個backtrader.Strategy的子類,並將其添加至cerebro中。這裏實際就是新建了一個自定義的空策略,在這個策略裏可以添加買入賣出條件,供框架進行回測。當前的策略只是做了按天輸出收盤價格。
幾點簡單的解釋:
當__init__方法被調用時,策略就有了一個數據列表,這個列表是標準的Python語言列表,存儲的是按順序加載的數據
self.dataclose = self.datas[0].close引用列表中的收盤價數據,用於後續交易
next方法在每個K線數據上都會被調用
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參考:https://blog.csdn.net/m0_46603114/article/details/104971989