嗨,我想用一个数组(“仪器”)将策略从1个推广到10个,以简化加载10个feed、创建10个sma的任务,然后每天检查一个(或多个)工具中是否发生信号交叉。在
我被困住了。另外,绘图仪是单独绘制图形,但我想把所有仪器的结果绘制在一个图形中。在
这是我的代码:
from pyalgotrade import strategy, plotter
from pyalgotrade.barfeed import yahoofeed
from pyalgotrade.technical import ma
from pyalgotrade.tools import yahoofinance
class MyStrategy(strategy.BacktestingStrategy):
def __init__(self, feed, instruments, smaPeriod):
strategy.BacktestingStrategy.__init__(self, feed, 1000)
self.__position = None
# We'll use adjusted close values instead of regular close values.
self.setUseAdjustedValues(True)
self.__sma = {}
self.__instruments = instruments
for instrument in instruments:
self.__sma[instrument] = ma.SMA(feed[instrument].getPriceDataSeries(), smaPeriod)
def onEnterOk(self, position):
execInfo = position.getEntryOrder().getExecutionInfo()
self.info("BUY at $%.2f" % (execInfo.getPrice()))
def onEnterCanceled(self, position):
execInfo = position.getEntryOrder().getExecutionInfo()
def onExitOk(self, position):
execInfo = position.getExitOrder().getExecutionInfo()
self.info("SELL at $%.2f" % (execInfo.getPrice()))
def onExitCanceled(self, position):
# If the exit was canceled, re-submit it.
self.__position[str(position.getEntryOrder().getInstrument())].exitMarket()
def onBars(self, bars):
# Wait for enough bars to be available to calculate a SMA.
if self.__sma[-1] is None:
return
bar = bars[self.__instrument]
# If a position was not opened, check if we should enter a long position.
if self.__position is None:
if bar.getPrice() > self.__sma[-1]:
# Enter a buy market order for 25 shares. The order is good till canceled.
self.__position = self.enterLong(self.__instrument, 25, True)
# Check if we have to exit the position.
elif bar.getPrice() < self.__sma[-1] and not self.__position.exitActive():
self.__position.exitMarket()
def run_strategy(smaPeriod):
# Load the yahoo feed from the CSV file
instruments = [
"AMZN",
"ADBE",
"C" ,
"BA" ,
"HOG" ,
"MMM" ,
"MS" ,
"MSFT" ,
"CVS" ,
"AXP"
]
#Download and Load yahoo feed from CSV files
#Change year range 2000 to 2001 to your desired one
feed = yahoofinance.build_feed(instruments, 2000,2001, ".")
# Evaluate the strategy with the feed.
myStrategy = MyStrategy(feed, instruments, smaPeriod)
# Attach a plotter to the strategy
plt = plotter.StrategyPlotter(myStrategy)
# Run the strategy
myStrategy.run()
print "Final portfolio value: $%.2f" % myStrategy.getBroker().getEquity()
# Plot the strategy.
plt.plot()
run_strategy(10)
我刚刚开始处理pyalgotrade,但我认为您犯了一个相当简单的错误(正如gzc所指出的):类
Bars
的实例是来自不同仪器的条的集合,它们都具有相同的时间戳。因此,当调用onBars
事件时,实际上必须遍历字典中的所有工具。在相关问题 更多 >
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