self.events.put(order)
self.bought[symbol] = "SHORT"
elif self.bought[symbol] == "SHORT" and past_return > 0: # 空头翻转
# 先平仓
order = OrderEvent(symbol, "EXIT")
self.events.put(order)
self.bought[symbol] = "OUT"
# 再开仓做多
order = OrderEvent(symbol, "ALLBUY")
self.events.put(order)
self.bought[symbol] = "LONG"
if __name__ == "__main__":
csv_dir = '../csv/'
start_date = '2005-01-01'
end_date = '2017-01-20'
symbol_list = ['000300.SH']
fetch_from_wind(csv_dir, symbol_list, start_date, end_date)
initial_capital = 100000.0
start_date = datetime.datetime.strptime(start_date, "%Y-%m-%d")
heartbeat = 0.0
backtest = Backtest(csv_dir, symbol_list, initial_capital, heartbeat,
start_date, HistoricCSVDataHandler, Portfolio,
Average_Momentum)
backtest.simulate_trading(plot=True)
def get_args():
parser = argparse.ArgumentParser()
parser.add_argument("--symbols",
help="securities",
default="000300.SH",
type=str)
parser.add_argument("--s",
help="start date",
default="2002-01-01",
type=str)
parser.add_argument("--e", help="end date", default="2017-01-20", type=str)
args = parser.parse_args()
return args
if __name__ == "__main__":
csv_dir = "../csv/"
args = get_args()
symbol_list = args.symbols.split(',')
fetch_from_wind(csv_dir, symbol_list, args.s, args.e)
start_date = datetime.strptime(args.s, "%Y-%m-%d")
initial_capital = 100000.0
heartbeat = 1.0
backtest = Backtest(csv_dir, symbol_list, initial_capital, heartbeat,
start_date, HistoricCSVDataHandler, Portfolio,
LSTM_momentum)
backtest.simulate_trading(plot=True)