def backtest():
feed = {}
for code, hist in load_hist("test_code"):
feed[code] = hist
if not feed:
sys.exit("没有没有任何历史数据")
mytest = MyBackTest(feed)
return mytest
# hist["ma10"] = hist.close.rolling(10).mean()
# hist["ma20"] = hist.close.rolling(20).mean()
# feed[code] = hist
# mytest = MyBackTest(feed)
# mytest.start()
# stats = mytest.stat
# stats.data.to_csv("report/stat.csv")
# print("最大回彻率: {}% ".format(stats.max_dropdown * 100))
# print("年化收益: {}% ".format(stats.annual_return * 100))
# print("夏普比率: {} ".format(stats.sharpe))
if __name__ == '__main__':
feed = {}
for code, hist in load_hist("000002.SZ"):
# hist = hist.iloc[:30]
hist["ma10"] = hist.close.rolling(10).mean()
hist["ma20"] = hist.close.rolling(20).mean()
feed[code] = hist
if not feed:
sys.exit("没有没有任何历史数据")
mytest = MyBackTest(feed)
mytest.start()
order_lst = mytest.ctx.broker.order_hist_lst
if not path.exists("report"):
os.mkdir("report")
with open("report/order_hist.json", "w") as wf:
json.dump(order_lst, wf, indent=4, default=str)
stats = mytest.stat
# 设置相关变量
ts = get_ts_client()
pro = ts.pro_api()
start_date = "2015-01-01"
external_stylesheets = [
'https://cdn.bootcss.com/bootstrap/4.0.0/css/bootstrap.min.css'
]
sh_index_path = path.join("data", "index", "000001.SH.csv")
feed = {}
# 主题样式
main_style = {"margin": "0 5%"}
count = 0
for code, hist in load_hist(start_date="2018-01-01"):
count += 1
feed[code] = hist
if count == 10:
break
# 获取数据
# 上证指数日线数据
if path.exists(sh_index_path):
sh_index = pd.read_csv(sh_index_path,
parse_dates=["trade_date"],
index_col="trade_date")
sh_index["ma10"] = sh_index.close.rolling(10).mean()
sh_index["ma20"] = sh_index.close.rolling(20).mean()
sh_index["ma150"] = sh_index.close.rolling(150).mean()
else: