trials=trials,
# 試行の過程を出力
verbose=0)
else:
best = default_parameters
params = default_parameters.copy()
params.update(best)
report = go(params)
print(report)
return (params, report)
if __name__ == '__main__':
from utils import stop_watch
ohlcv = pd.read_csv('csv/bitmex_2018_1m.csv',
index_col='timestamp',
parse_dates=True)
buy_entry = ohlcv.close > ohlcv.close.shift(1)
sell_entry = ohlcv.close < ohlcv.close.shift(1)
buy_exit = sell_entry
sell_exit = buy_entry
Backtest = stop_watch(Backtest)
Backtest(**locals())
Backtest(**locals())
Backtest(**locals())
Backtest(**locals())
if __name__ == '__main__':
from utils import stop_watch
# p0 = 8000 #初期値
# vola = 15.0 #ボラティリティ(%)
# dn = np.random.randint(2, size=1000)*2-1
# scale = vola/100/np.sqrt(365*24*60)
# gwalk = np.cumprod(np.exp(scale*dn))*p0
# data = pd.Series(gwalk)
ohlc = pd.read_csv('csv/bitmex_2018_1h.csv',
index_col='timestamp',
parse_dates=True)
fastsma = stop_watch(fastsma)
sma = stop_watch(sma)
dsma = stop_watch(dsma)
tsma = stop_watch(tsma)
ema = stop_watch(ema)
dema = stop_watch(dema)
tema = stop_watch(tema)
rma = stop_watch(rma)
rsi = stop_watch(rsi)
stoch = stop_watch(stoch)
wvf = stop_watch(wvf)
highest = stop_watch(highest)
lowest = stop_watch(lowest)
macd = stop_watch(macd)
tr = stop_watch(tr)
atr = stop_watch(atr)
