# -*- coding: UTF-8 -*-
# 載入相關套件及函數
import matplotlib.pyplot as plt
import matplotlib.dates as mdates
import datetime
import backtest_function
# 取得歷史資料
Data = backtest_function.GetI020()
# 透過迴圈取得每天的資料
for date in backtest_function.GetDate(Data):
# 取得當日的時間
I020 = [line for line in Data if line[0] == date]
# 取得轉換時間字串至時間格式
Time = [
datetime.datetime.strptime(line[0] + ' ' + line[1], "%Y%m%d %H%M%S%f")
for line in I020
]
# 價格由字串轉數值
Price = [int(line[3]) for line in I020]
# 數量由字串轉數值
Qty = [int(line[4]) for line in I020]
# 取得內外盤差額
BSPower = 0
# -*- coding: UTF-8 -*-
# 載入相關套件及函數
import backtest_function
# 取I020(成交資料)
I020 = backtest_function.GetI020()
# 定義停利停損點數
TakeProfit = 30
StopLoss = 10
# 開始回測
for date in backtest_function.GetDate(I020):
# 取當日資料
Data = [i for i in I020 if i[0] == date]
# 取當日9:00前的價格資料
Data1 = [int(i[3]) for i in Data if int(i[1]) < 90000000000]
# 取當日9:00~11:00資料
Data2 = [
i for i in Data
if int(i[1]) >= 90000000000 and int(i[1]) <= 110000000000
]
# 定義上下界
ceil = max(i for i in Data1)
floor = min(i for i in Data1)
# 倉位為0
index = 0
# 開始判斷
for i in range(len(Data2)):
# 當前時間、價格
time = Data2[i][1]