def main(plot):
import coloredlogs
coloredlogs.install(level='DEBUG',
fmt='[%(asctime)s] %(levelname)s %(message)s')
instrument = "600036"
bBandsPeriod = 40
feeds = mootdx.build_feed([instrument], 2003, 2018, "histdata/mootdx")
strat = BBands(feeds, instrument, bBandsPeriod)
sharpeRatioAnalyzer = sharpe.SharpeRatio()
strat.attachAnalyzer(sharpeRatioAnalyzer)
if plot:
plt = plotter.StrategyPlotter(strat, True, True, True)
plt.getInstrumentSubplot(instrument).addDataSeries(
"upper",
strat.getBollingerBands().getUpperBand())
plt.getInstrumentSubplot(instrument).addDataSeries(
"middle",
strat.getBollingerBands().getMiddleBand())
plt.getInstrumentSubplot(instrument).addDataSeries(
"lower",
strat.getBollingerBands().getLowerBand())
strat.run()
print("Sharpe ratio: %.2f" % sharpeRatioAnalyzer.getSharpeRatio(0.05))
if plot:
plt.plot()
def main():
'''
策略执行
:return:
'''
instrument = "600036"
feeds = mootdx.build_feed([instrument], 2008, 2018, "histdata/mootdx")
# 3.实例化策略
strat = MyStrategy(feeds, instrument)
# 4.设置指标和绘图
ratio = sharpe.SharpeRatio()
strat.attachAnalyzer(ratio)
# plter = plotter.StrategyPlotter(strat)
# 4.设置指标和绘图
draws = drawdown.DrawDown()
strat.attachAnalyzer(draws)
tradeAnalyzer = trades.Trades()
strat.attachAnalyzer(tradeAnalyzer)
plter = plotter.StrategyPlotter(strat)
# 5.运行策略
strat.run()
strat.info("最终收益: {}".format(strat.getResult()))
# 6.输出夏普率、绘图
strat.info("夏普比率: {}".format(ratio.getSharpeRatio(0)))
strat.info("最大回撤: {}".format(draws.getMaxDrawDown()))
strat.info("回撤时间: {}".format(draws.getLongestDrawDownDuration()))
plter.plot()
def main():
import coloredlogs
coloredlogs.install(level='DEBUG',
fmt='[%(asctime)s] %(levelname)s %(message)s')
instrument = "600036"
feeds = mootdx.build_feed([instrument], 2003, 2018, "histdata/mootdx")
resample.resample_to_csv(feeds, bar.Frequency.MINUTE * 30,
"30min-bitstampUSD.csv")
def main():
instruments = ["600036"]
feeds = mootdx.build_feed(instruments, 2003, 2018, "histdata/mootdx")
# 3.实例化策略
strat = Strategy(feeds, instruments[0])
# 4.设置指标和绘图
ratio = sharpe.SharpeRatio()
strat.attachAnalyzer(ratio)
plter = plotter.StrategyPlotter(strat)
# 5.运行策略
strat.run()
strat.info("最终收益: %.2f" % strat.getResult())
# 6.输出夏普率、绘图
strat.info("夏普比率: " + str(ratio.getSharpeRatio(0)))
plter.plot()
def parameters_generator(instrument):
instrument = [instrument]
entrySMA = list(range(150, 251))
exitSMA = list(range(5, 16))
rsiPeriod = list(range(2, 11))
overBoughtThreshold = list(range(75, 96))
overSoldThreshold = list(range(5, 26))
return itertools.product(instrument, entrySMA, exitSMA, rsiPeriod,
overBoughtThreshold, overSoldThreshold)
# The if __name__ == '__main__' part is necessary if running on Windows.
if __name__ == '__main__':
# Load the feed from the CSV files.
# feeds = yahoofeed.Feed()
# feeds.addBarsFromCSV("dia", "./tests/data/DIA-2009-yahoofinance.csv")
# feeds.addBarsFromCSV("dia", "./tests/data/DIA-2010-yahoofinance.csv")
# feeds.addBarsFromCSV("dia", "./tests/data/DIA-2011-yahoofinance.csv")
instrument = '600036'
feeds = mootdx.build_feed([instrument], 2003, 2018, './histdata/mootdx')
# Run the server.
server.serve(strategyParameters=parameters_generator(instrument),
address="0.0.0.0",
barFeed=feeds,
drivce='zmq',
port=5000)