def testStrategy():
from pyalgotrade import bar
strat = MyStrategy
instrument = '600288'
market = 'SH'
fromDate = '20150101'
toDate = '20150601'
frequency = bar.Frequency.MINUTE
import os
if frequency == bar.Frequency.MINUTE:
path = os.path.join('..', 'histdata', 'minute')
elif frequency == bar.Frequency.DAY:
path = os.path.join('..', 'histdata', 'day')
filepath = os.path.join(path, instrument + market + ".csv")
#############################################don't change ############################33
from pyalgotrade.cn.csvfeed import Feed
barfeed = Feed(frequency)
barfeed.setDateTimeFormat('%Y-%m-%d %H:%M:%S')
barfeed.loadBars(instrument, market, fromDate, toDate, filepath)
pyalgotrade_id = instrument + '.' + market
strat = strat(barfeed, pyalgotrade_id)
print filepath
def testStrategy():
from pyalgotrade import bar
from pyalgotrade import plotter
strat = thrSMA
instrument = '600519'
market = 'SH'
fromDate = '20101001'
toDate = '20150601'
frequency = bar.Frequency.DAY
paras = [5, 17, 40, 10]
plot = True
import os
filepath = os.path.join(r'E:\xsj\day', instrument + market + ".csv")
#############################################don't change ############################33
from pyalgotrade.cn.csvfeed import Feed
barfeed = Feed(frequency)
barfeed.setDateTimeFormat('%Y-%m-%d')
barfeed.loadBars(instrument, market, fromDate, toDate, filepath)
pyalgotrade_id = instrument + '.' + market
strat = strat(barfeed, pyalgotrade_id, *paras)
from pyalgotrade.stratanalyzer import returns
from pyalgotrade.stratanalyzer import sharpe
from pyalgotrade.stratanalyzer import drawdown
from pyalgotrade.stratanalyzer import trades
retAnalyzer = returns.Returns()
strat.attachAnalyzer(retAnalyzer)
sharpeRatioAnalyzer = sharpe.SharpeRatio()
strat.attachAnalyzer(sharpeRatioAnalyzer)
drawDownAnalyzer = drawdown.DrawDown()
strat.attachAnalyzer(drawDownAnalyzer)
tradesAnalyzer = trades.Trades()
strat.attachAnalyzer(tradesAnalyzer)
if plot:
plt = plotter.StrategyPlotter(strat, True, True, True)
strat.run()
if plot:
plt.plot()
#夏普率
sharp = sharpeRatioAnalyzer.getSharpeRatio(0.05)
#最大回撤
maxdd = drawDownAnalyzer.getMaxDrawDown()
#收益率
return_ = retAnalyzer.getCumulativeReturns()[-1]
#收益曲线
return_list = []
for item in retAnalyzer.getCumulativeReturns():
return_list.append(item)
from pyalgotrade import bar
from pyalgotrade import plotter
instrument = '600288'
market = 'SH'
fromDate = '20150201'
toDate = '20150221'
frequency = bar.Frequency.DAY
import os
if frequency == bar.Frequency.MINUTE:
path = os.path.join('histdata', 'minute')
elif frequency == bar.Frequency.DAY:
path = os.path.join(r'C:\Users\linner\Desktop\learn\pyalgo\histdata',
'day')
filepath = os.path.join(path, instrument + market + ".csv")
#############################################don't change ############################33
from pyalgotrade.cn.csvfeed import Feed
barfeed = Feed(frequency)
barfeed.setDateTimeFormat('%Y-%m-%d')
barfeed.loadBars(instrument, market, fromDate, toDate, filepath)
pyalgotrade_id = instrument + '.' + market
strat = MyStrategy(barfeed, pyalgotrade_id)
plt = plotter.StrategyPlotter(strat, True, True, True)
strat.run()
plt.plot()
def testStrategy():
from pyalgotrade import bar
from pyalgotrade import plotter
strat = DoubleMA
instrument = '600288'
market = 'SH'
fromDate = '20150101'
toDate ='20150601'
frequency = bar.Frequency.MINUTE
paras = [5, 20]
plot = True
#############################################path set ############################33
import os
if frequency == bar.Frequency.MINUTE:
path = os.path.join('..', 'histdata', 'minute')
elif frequency == bar.Frequency.DAY:
path = os.path.join('..', 'histdata', 'day')
filepath = os.path.join(path, instrument + market + ".csv")
#############################################don't change ############################33
from pyalgotrade.cn.csvfeed import Feed
barfeed = Feed(frequency)
barfeed.setDateTimeFormat('%Y-%m-%d %H:%M:%S')
barfeed.loadBars(instrument, market, fromDate, toDate, filepath)
pyalgotrade_id = instrument + '.' + market
strat = strat(barfeed, pyalgotrade_id, *paras)
from pyalgotrade.stratanalyzer import returns
from pyalgotrade.stratanalyzer import sharpe
from pyalgotrade.stratanalyzer import drawdown
from pyalgotrade.stratanalyzer import trades
retAnalyzer = returns.Returns()
strat.attachAnalyzer(retAnalyzer)
sharpeRatioAnalyzer = sharpe.SharpeRatio()
strat.attachAnalyzer(sharpeRatioAnalyzer)
drawDownAnalyzer = drawdown.DrawDown()
strat.attachAnalyzer(drawDownAnalyzer)
tradesAnalyzer = trades.Trades()
strat.attachAnalyzer(tradesAnalyzer)
if plot:
plt = plotter.StrategyPlotter(strat, True, True, True)
strat.run()
if plot:
plt.plot()
#夏普率
sharp = sharpeRatioAnalyzer.getSharpeRatio(0.05)
#最大回撤
maxdd = drawDownAnalyzer.getMaxDrawDown()
#收益率
return_ = retAnalyzer.getCumulativeReturns()[-1]
#收益曲线
return_list = []
for item in retAnalyzer.getCumulativeReturns():
return_list.append(item)
def testStrategy():
from pyalgotrade import bar
from pyalgotrade import plotter
strat = OrderBook
instrument = '600288'
market = 'SH'
fromDate = '20160815'
toDate = '20160820'
frequency = bar.Frequency.TRADE
paras = [5, 20]
plot = True
#############################################path set ############################33
import os
if frequency == bar.Frequency.TRADE:
path = os.path.join('..', 'histdata', 'tick')
elif frequency == bar.Frequency.MINUTE:
path = os.path.join('..', 'histdata', 'minute')
elif frequency == bar.Frequency.DAY:
path = os.path.join('..', 'histdata', 'day')
path = os.path.join(path, instrument + market + ".csv")
#############################################don't change ############################33
from pyalgotrade.cn.csvfeed import Feed
barfeed = Feed(frequency)
barfeed.setDateTimeFormat('%Y-%m-%d %H:%M:%S.%f')
barfeed.loadTicks(instrument, market, fromDate, toDate, path)
pyalgotrade_id = instrument + '.' + market
strat = strat(barfeed, pyalgotrade_id, *paras)
from pyalgotrade.stratanalyzer import returns
from pyalgotrade.stratanalyzer import sharpe
from pyalgotrade.stratanalyzer import drawdown
from pyalgotrade.stratanalyzer import trades
retAnalyzer = returns.Returns()
strat.attachAnalyzer(retAnalyzer)
sharpeRatioAnalyzer = sharpe.SharpeRatio()
strat.attachAnalyzer(sharpeRatioAnalyzer)
drawDownAnalyzer = drawdown.DrawDown()
strat.attachAnalyzer(drawDownAnalyzer)
tradesAnalyzer = trades.Trades()
strat.attachAnalyzer(tradesAnalyzer)
if plot:
plt = plotter.StrategyPlotter(strat, True, True, True)
strat.run()
if plot:
plt.plot()
#夏普率
sharp = sharpeRatioAnalyzer.getSharpeRatio(0.05)
#最大回撤
maxdd = drawDownAnalyzer.getMaxDrawDown()
#收益率
return_ = retAnalyzer.getCumulativeReturns()[-1]
#收益曲线
return_list = []
for item in retAnalyzer.getCumulativeReturns():
return_list.append(item)
def testStrategy():
from pyalgotrade import bar
from pyalgotrade import plotter
strat = DoubleMA
instrument = '00700'
#instrument = '03988'
market = 'HK'
fromDate = '20160101'
toDate = '20170601'
#frequency = bar.Frequency.MINUTE
frequency = bar.Frequency.DAY
paras = [5, 20]
plot = True
#############################################path set ############################33
import os
if frequency == bar.Frequency.MINUTE:
path = os.path.join('..', 'histdata', 'minute')
ktype = "K_1M"
elif frequency == bar.Frequency.DAY:
path = os.path.join('..', 'histdata', 'day')
ktype = "K_DAY"
filepath = os.path.join(path, instrument + market + ".csv")
#############################################don't change ############################33
#如果使用富途客户端，请链接127.0.0.1本地端口
#quote_ctx = futu_open.OpenQuoteContext(host='127.0.0.1', async_port=11111)
#云服务器ip，方便测试
quote_ctx = futu_open.OpenQuoteContext(host='119.29.141.202',
async_port=11111)
kline_table = downloadDataFromFutu(instrument, market, ktype, 500,
quote_ctx)
kline_table.to_csv(filepath,
header=[
'id', 'datetime', 'open', 'close', 'high', 'low',
'volume', 'amount'
])
from pyalgotrade.cn.csvfeed import Feed
barfeed = Feed(frequency)
if frequency == bar.Frequency.MINUTE:
barfeed.setDateTimeFormat('%Y-%m-%d %H:%M:%S')
elif frequency == bar.Frequency.DAY:
barfeed.setDateTimeFormat('%Y-%m-%d %H:%M:%S')
barfeed.loadBars(instrument, market, fromDate, toDate, filepath)
pyalgotrade_id = instrument + '.' + market
strat = strat(barfeed, pyalgotrade_id, *paras)
"""
from pyalgotrade.stratanalyzer import returns
from pyalgotrade.stratanalyzer import sharpe
from pyalgotrade.stratanalyzer import drawdown
from pyalgotrade.stratanalyzer import trades
retAnalyzer = returns.Returns()
strat.attachAnalyzer(retAnalyzer)
sharpeRatioAnalyzer = sharpe.SharpeRatio()
strat.attachAnalyzer(sharpeRatioAnalyzer)
drawDownAnalyzer = drawdown.DrawDown()
strat.attachAnalyzer(drawDownAnalyzer)
tradesAnalyzer = trades.Trades()
strat.attachAnalyzer(tradesAnalyzer)
"""
if plot:
plt = plotter.StrategyPlotter(strat, True, True, True)
strat.run()
if plot:
plt.plot()
def testStrategy():
from pyalgotrade import bar
from pyalgotrade import plotter
strat = Bollinger_Bandit
instrument = "600288"
market = "SH"
fromDate = "20150101"
toDate = "20150601"
frequency = bar.Frequency.MINUTE
paras = [40, 15, 35, 15, 60, 2]
plot = True
#############################################path set ############################33
import os
if frequency == bar.Frequency.MINUTE:
path = os.path.join("..", "histdata", "minute")
elif frequency == bar.Frequency.DAY:
path = os.path.join("..", "histdata", "day")
filepath = os.path.join(path, instrument + market + ".csv")
#############################################don't change ############################33
from pyalgotrade.cn.csvfeed import Feed
barfeed = Feed(frequency)
barfeed.setDateTimeFormat("%Y-%m-%d %H:%M:%S")
barfeed.loadBars(instrument, market, fromDate, toDate, filepath)
pyalgotrade_id = instrument + "." + market
strat = strat(barfeed, pyalgotrade_id, *paras)
from pyalgotrade.stratanalyzer import returns
from pyalgotrade.stratanalyzer import sharpe
from pyalgotrade.stratanalyzer import drawdown
from pyalgotrade.stratanalyzer import trades
retAnalyzer = returns.Returns()
strat.attachAnalyzer(retAnalyzer)
sharpeRatioAnalyzer = sharpe.SharpeRatio()
strat.attachAnalyzer(sharpeRatioAnalyzer)
drawDownAnalyzer = drawdown.DrawDown()
strat.attachAnalyzer(drawDownAnalyzer)
tradesAnalyzer = trades.Trades()
strat.attachAnalyzer(tradesAnalyzer)
if plot:
plt = plotter.StrategyPlotter(strat, True, True, True)
strat.run()
if plot:
plt.plot()
# 夏普率
sharp = sharpeRatioAnalyzer.getSharpeRatio(0.05)
# 最大回撤
maxdd = drawDownAnalyzer.getMaxDrawDown()
# 收益率
return_ = retAnalyzer.getCumulativeReturns()[-1]
# 收益曲线
return_list = []
for item in retAnalyzer.getCumulativeReturns():
return_list.append(item)
def testStrategy():
#sys.path.append("D:\spyderProject\pyalgotrade_cn\pyalgotrade-cn-master")
from pyalgotrade import bar
from pyalgotrade import plotter
# get the test strategy
strat = DoubleMA
instrument = '600288' #security code
market = 'SH'
fromDate = '20150101'
toDate = '20150601'
#get the test frequency
frequency = bar.Frequency.MINUTE
paras = [5, 20]
plot = True
#############################################path set ############################33
import os
if frequency == bar.Frequency.MINUTE:
path = os.path.join('..', 'histdata', 'minute')
elif frequency == bar.Frequency.DAY:
path = os.path.join('..', 'histdata', 'day')
filepath = os.path.join(path, instrument + market + ".csv")
#############################################don't change ############################33
from pyalgotrade.cn.csvfeed import Feed
barfeed = Feed(frequency)
barfeed.setDateTimeFormat('%Y-%m-%d %H:%M:%S')
barfeed.loadBars(instrument, market, fromDate, toDate, filepath)
pyalgotrade_id = instrument + '.' + market
strat = strat(barfeed, pyalgotrade_id, *paras)
# calculate the indexs
from pyalgotrade.stratanalyzer import returns
from pyalgotrade.stratanalyzer import sharpe
from pyalgotrade.stratanalyzer import drawdown
from pyalgotrade.stratanalyzer import trades
retAnalyzer = returns.Returns()
strat.attachAnalyzer(retAnalyzer)
sharpeRatioAnalyzer = sharpe.SharpeRatio()
strat.attachAnalyzer(sharpeRatioAnalyzer)
drawDownAnalyzer = drawdown.DrawDown()
strat.attachAnalyzer(drawDownAnalyzer)
tradesAnalyzer = trades.Trades()
strat.attachAnalyzer(tradesAnalyzer)
if plot:
plt = plotter.StrategyPlotter(strat, True, True, True)
strat.run()
if plot:
plt.plot()
#夏普率
sharp = sharpeRatioAnalyzer.getSharpeRatio(0.05)
#最大回撤
maxdd = drawDownAnalyzer.getMaxDrawDown()
#收益率
return_ = retAnalyzer.getCumulativeReturns()[-1]
#收益曲线
return_list = []
for item in retAnalyzer.getCumulativeReturns():
return_list.append(item)
print sharp
print maxdd
print return_