def test_TurtleStrategy_4():
symbol = '123456'
holds = {
symbol: [
TurtleStrategy.Hold(
symbol,
datetime.date(1999, 1, 1),
10, # 买入价
100, # 持仓数量
9, # 止损价
11, # 止盈价
10.5 # 下一个仓位价格
)
]
}
ts = TurtleStrategy('', holds=holds)
assert 1 == len(ts.holds[symbol])
# 虽然有持仓，但是没有任何的卖出点标记，也没有到止盈/止损/加仓点位
assert not ts.on_check_sell(datetime.date(2000, 1, 1), symbol, 10.2, 1000,
0, 10)
# 没有到达止盈点位
assert 0 == ts.on_calc_sell_amount(datetime.date(2000, 1, 1), symbol,
10.99, 1000, 0, 10)
# 到达止盈点位
assert 100 == ts.on_calc_sell_amount(datetime.date(2000, 1, 1), symbol, 11,
1000, 0, 10)
assert 0 == len(ts.holds[symbol])
def test_TurtleStrategy_1():
symbol = '123456'
holds = {
symbol: [
TurtleStrategy.Hold(
symbol,
datetime.date(1999, 1, 1),
10, #买入价
100, #持仓数量
9, #止损价
11, #止盈价
10.5 #下一个仓位价格
)
]
}
ts = TurtleStrategy('', holds=holds)
# 当前时间不包含在卖出点字典中-开始
assert 1 == len(ts.holds[symbol])
assert 0 == ts.on_calc_sell_amount(datetime.date(2000, 1, 1), symbol, 10.2,
1000, 0, 10)
assert not ts.on_check_sell(datetime.date(2000, 1, 1), symbol, 10.2, 1000,
0, 10)
assert 1 == len(ts.holds[symbol])
def test_TurtleStrategy_7():
"""买卖在同一天时，不更新止盈/下一个买点价格"""
symbol = '123456'
holds = {
symbol: [
TurtleStrategy.Hold(
symbol,
datetime.date(1999, 1, 1),
10, # 买入价
100, # 持仓数量
9, # 止损价
11, # 止盈价
10.5 # 下一个仓位价格
),
TurtleStrategy.Hold(
symbol,
datetime.date(1999, 2, 1),
20, # 买入价
200, # 持仓数量
18, # 止损价
25, # 止盈价
30 # 下一个仓位价格
)
]
}
ts = TurtleStrategy(colname='atr5',
update_price_onsameday=False,
holds=holds,
buy_dict={symbol: [datetime.date(2000, 1, 1)]})
assert ts.holds[symbol][-1].stopprofit_price == 25
assert ts.holds[symbol][-1].next_price == 30
row = pd.Series({'atr5': 0.05})
ts.on_buy_sell_on_same_day(datetime.date(2000, 1, 1),
symbol,
50,
row=row,
verbose=2)
new_stoploss, new_stopprofit, new_next = ts.calc_price(50, row=row)
assert ts.holds[symbol][-1].stopprofit_price == 25
assert ts.holds[symbol][-1].next_price == 30
assert not ts.holds[symbol][-1].stopprofit_price == new_stopprofit
assert not ts.holds[symbol][-1].next_price == new_next
def test_TurtleStrategy_5():
symbol = '123456'
holds = {
symbol: [
TurtleStrategy.Hold(
symbol,
datetime.date(1999, 1, 1),
10, # 买入价
100, # 持仓数量
9, # 止损价
11, # 止盈价
10.5 # 下一个仓位价格
)
]
}
ts = TurtleStrategy('',
holds=holds,
buy_dict={symbol: [datetime.date(2000, 1, 1)]},
sell_dict={symbol: [datetime.date(2000, 1, 2)]})
assert 100 == ts.on_calc_buy_amount(datetime.date(2000, 1, 1), symbol, 20,
10000)
assert 2 == len(ts.holds[symbol])
assert 100 == ts.holds[symbol][0].amount
assert 10 == ts.holds[symbol][0].price
assert 100 == ts.holds[symbol][-1].amount
assert 20 == ts.holds[symbol][-1].price
assert ts.on_check_sell(datetime.date(2000, 1, 2), symbol, 15, 9999, 300,
-1)
assert ts.on_check_sell(datetime.date(2000, 1, 2), symbol, 15, 9999, -1,
-1)
assert 200 == ts.on_calc_sell_amount(datetime.date(2000, 1, 2), symbol, 15,
9999, -1, -1)
assert 0 == len(ts.holds[symbol])
def test_TurtleStrategy():
ts = TurtleStrategy(colname='atr5')
assert ts.stoploss_point == 2
assert ts.stopprofit_point == 10
assert ts.next_point == 1
row = pd.Series({'atr5': 0.05})
ls, lf, n = ts.calc_price(1, row=row)
assert ls == (1 - ts.stoploss_point * 0.05)
assert lf == (1 + ts.stopprofit_point * 0.05)
assert n == (1 + ts.next_point * 0.05)
print(">>> from finance_tools_py.backtest import TurtleStrategy")
print(">>> ts = TurtleStrategy(colname='atr5')")
print(">>> row = pd.Series({'atr5': 0.05})")
print(">>> ts.calc_price(1, row=row")
print("(0.9, 1.5, 1.05)")
ts = TurtleStrategy(colname='',
stoploss_point=0.5,
stopprofit_point=20,
next_point=2)
assert ts.stoploss_point == 0.5
assert ts.stopprofit_point == 20
assert ts.next_point == 2
ls, lf, n = ts.calc_price(1, row=row)
assert ls == -1
assert lf == -1
assert n == -1
# 只有一笔持仓时的判断-开始
ts = TurtleStrategy(
colname='atr5',
max_amount={'0': 100},
verbose=2,
buy_dict={'0': [datetime.date(2000, 1, 1),
datetime.date(2000, 1, 2)]})
ts.on_calc_buy_amount(datetime.date(2000, 1, 1),
'0',
1,
1000,
row=row,
verbose=2)
print(ts.holds['0'][0])
# 超过最大持仓线时不再购买
assert not ts.on_check_buy(
datetime.date(2000, 1, 2), '0', 1.01, 500, row=row, verbose=2)
print(ts.holds['0'][0])
assert not ts.on_check_buy(
datetime.date(2000, 1, 2), '0', 1.1, 500, row=row, verbose=2)
# 没有达到止损线，不卖
assert not ts.on_check_sell(
datetime.date(2000, 1, 3), '0', 0.95, 0, 0, 0, row=row, verbose=2)
# 低于止损线，卖出
assert ts.on_check_sell(datetime.date(2000, 1, 3),
'0',
0.89,
0,
0,
0,
row=row,
verbose=2)
# 低于止盈，不卖
assert not ts.on_check_sell(
datetime.date(2000, 1, 3), '0', 1.49, 0, 0, 0, row=row, verbose=2)
# 超过止盈，卖出
assert ts.on_check_sell(datetime.date(2000, 1, 3),
'0',
1.51,
0,
0,
0,
row=row,
verbose=2)
# 止损数量
assert 100 == ts.on_calc_sell_amount(datetime.date(2000, 1, 3),
'0',
0,
0,
0,
0,
row=row,
verbose=2)
# 只有一笔持仓时的判断-结束
# 多笔持仓时的判断-开始
ts = TurtleStrategy(colname='atr5',
max_amount={'0': 100},
verbose=2,
buy_dict={
'0': [
datetime.date(2000, 1, 1),
datetime.date(2000, 1, 2),
datetime.date(2000, 1, 3)
]
})
ts.on_calc_buy_amount(datetime.date(2000, 1, 1),
'0',
1,
1000,
row=row,
verbose=2)
ts.on_calc_buy_amount(datetime.date(2000, 1, 2),
'0',
2,
1000,
row=row,
verbose=2)
print(ts.holds['0'][0])
print(ts.holds['0'][1])
# 超过最大持仓线时不再购买
assert not ts.on_check_buy(
datetime.date(2000, 1, 2), '0', 1.01, 500, row=row, verbose=2)
print(ts.holds['0'][0])
assert not ts.on_check_buy(
datetime.date(2000, 1, 2), '0', 1.1, 500, row=row, verbose=2)
# 止损数量
assert 100 == ts.on_calc_sell_amount(datetime.date(2000, 1, 3),
'0',
1.8,
0,
0,
0,
row=row,
verbose=2)
print(ts.holds['0'][0])
assert 100 == ts.holds['0'][0].amount
def test_TurtleStrategy_MaxDays():
symbol = '123456'
holds = {
symbol: [
TurtleStrategy.Hold(
symbol,
datetime.date(1999, 1, 1),
10, # 买入价
100, # 持仓数量
9, # 止损价
11, # 止盈价
10.5 # 下一个仓位价格
),
TurtleStrategy.Hold(
symbol,
datetime.date(1999, 1, 2),
20, # 买入价
100, # 持仓数量
9, # 止损价
11, # 止盈价
10.5 # 下一个仓位价格
),
]
}
ts = TurtleStrategy(
colname='',
holds=holds,
)
assert ts._get_overdue(symbol, datetime.date(2222, 1, 1)) is None
ts = TurtleStrategy(
colname='',
holds=holds,
max_days=10,
)
assert not ts._get_overdue(symbol, datetime.date(1999, 1, 9))
assert not ts._get_overdue(symbol, datetime.date(1999, 1, 10))
assert len(ts._get_overdue(symbol, datetime.date(1999, 1, 11))) > 0
assert ts.on_calc_sell_amount(datetime.date(1999, 1, 9),
symbol,
10,
0,
0,
0,
verbose=2) == 0
assert sum([h.amount for h in ts.holds[symbol]]) == 200
assert ts.on_calc_sell_amount(datetime.date(1999, 1, 10),
symbol,
10,
0,
0,
0,
verbose=2) == 0
assert sum([h.amount for h in ts.holds[symbol]]) == 200
assert ts.on_calc_sell_amount(datetime.date(1999, 1, 11),
symbol,
10,
0,
0,
0,
verbose=2) == 100
assert sum([h.amount for h in ts.holds[symbol]]) == 100
assert ts.holds[symbol][0].price == 20
def test_TurtleStrategy_4():
symbol = '123456'
holds = {
symbol: [
TurtleStrategy.Hold(
symbol,
datetime.date(1999, 1, 1),
10, # 买入价
100, # 持仓数量
9, # 止损价
11, # 止盈价
10.5 # 下一个仓位价格
)
]
}
ts = TurtleStrategy('',
holds=holds,
buy_dict={symbol: [datetime.date(2000, 1, 1)]})
assert 1 == len(ts.holds[symbol])
# 没有到达加仓点位
assert not ts.on_check_buy(
datetime.date(2000, 1, 1), symbol, 10.49, 1000, verbose=2)
# 到达加仓点位
assert ts.on_check_buy(datetime.date(2000, 1, 1),
symbol,
10.50,
1000,
verbose=2)
# 没有加仓点位
assert 0 == ts.on_calc_buy_amount(datetime.date(2000, 1, 1),
symbol,
10.49,
1000,
verbose=2)
# 到达购买点，但是资金不足
assert 0 == ts.on_calc_buy_amount(datetime.date(2000, 1, 1),
symbol,
10.50,
1000,
verbose=2)
# 到达购买点，资金充足
assert 100 == ts.on_calc_buy_amount(datetime.date(2000, 1, 1),
symbol,
10.50,
1200,
verbose=2)
assert 2 == len(ts.holds[symbol])
assert ts.holds[symbol][-1].amount == 100
assert ts.holds[symbol][-1].stoploss_price == -1
assert ts.holds[symbol][-1].stopprofit_price == -1
assert ts.holds[symbol][-1].next_price == -1
# 到达加仓点位
assert ts.on_check_buy(datetime.date(2000, 1, 1), symbol, 10.50, 1000)
assert 100 == ts.on_calc_buy_amount(datetime.date(2000, 1, 1),
symbol,
10.50,
1200,
verbose=2)
# 到达加仓点位
assert ts.on_check_buy(datetime.date(2000, 1, 1), symbol, 10.50, 1000)
assert 100 == ts.on_calc_buy_amount(datetime.date(2000, 1, 1),
symbol,
10.50,
1200,
verbose=2)
# 到达加仓点位。但是到达持仓限制
assert not ts.on_check_buy(
datetime.date(2000, 1, 1), symbol, 10.50, 1000, verbose=2)
def test_all_years_single_symbol(symbol,
init_cash=10000,
start_year=2005,
end_year=2007,
verbose=2,
show_report=True,
show_plot=True,
cbs=cbs,
show_history=False,
min_amount=100,
single_max=400,
**kwargs):
"""
Args:
init_cash:
start_year (int): 开始计算年份。
end_year (int): 结束计算年份。
Returns:
report (dict): BackTest字典。key值为年份。
datas (dict): 回测用的数据源字典。key值为年份。
buys (dict): 买点字典。key值为年份。
sells (dict): 卖点字典。key值为年份。
"""
hold = pd.DataFrame()
report = {}
datas = {}
buys = {}
sells = {}
h = {}
from tqdm import tqdm
for year in tqdm(range(start_year, end_year)):
df_symbol_year = ret_datas[
(ret_datas.index.get_level_values(0) == symbol)
& (ret_datas.index.get_level_values(1) <= '{}-12-31'.format(
year))]
s = Simulation(df_symbol_year.reset_index(), symbol, callbacks=cbs)
s.simulate()
df_symbol_years = s.data
df_symbol_years.sort_values('date', inplace=True)
# 遍历股票，对每支股票进行数据处理-结束
buy_dict = df_symbol_years[
df_symbol_years['opt'] == 1].reset_index().groupby('code')[
'date'].apply(lambda x: x.dt.to_pydatetime()).to_dict()
sell_dict = df_symbol_years[
df_symbol_years['opt'] == 0].reset_index().groupby('code')[
'date'].apply(lambda x: x.dt.to_pydatetime()).to_dict()
buys[year] = buy_dict
sells[year] = sell_dict
df_symbol_years = df_symbol_years[
df_symbol_years['date'] >= '{}-01-01'.format(year)]
datas[year] = df_symbol_years
if verbose == 2:
print('起止日期:{:%Y-%m-%d}~{:%Y-%m-%d}'.format(
min(df_symbol_years['date']),
max(df_symbol_years['date'])))
# print('数据量:{}'.format(len(df_symbol_years)))
ts = TurtleStrategy(
colname='atr_20',
buy_dict=buy_dict,
sell_dict=sell_dict,
holds=h,
max_amount=single_max,
min_amount=min_amount,
)
bt = BackTest(df_symbol_years,
init_cash=init_cash,
init_hold=hold,
live_start_date=datetime.datetime(year, 1, 1),
callbacks=[ts])
bt.calc_trade_history(verbose=2)
report[year] = bt
h = ts.holds
if h:
hs = []
for k, v in h.items():
for v1 in v:
hs.append(
pd.DataFrame({
'code': [k],
'amount': [v1.amount],
'price': [v1.price],
'buy_date': [v1.date],
'stoploss_price': [v1.stoploss_price],
'stopprofit_price': [v1.stopprofit_price],
'next_price': [v1.next_price],
}))
hold = pd.concat(hs) if hs else pd.DataFrame()
init_cash = bt.available_cash
if show_report:
print(bt.report(show_history=show_history))
if show_report or show_plot:
rp = bt.profit_loss_df()
if show_report:
print(rp)
return report, datas, buys, sells
def all_years(fulldata,
cbs,
init_cash=10000,
start_year=2005,
end_year=2020,
lookback=1,
verbose=2,
show_report=True,
show_plot=True,
tb_kwgs={},
top=10,
show_history=False,
**kwargs):
"""逐年度对流动性最大的n支股票进行回测。
采用 :py:class:`finance_tools_py.backtest.TurtleStrategy` 进行回测
Args:
fulldata (:py:class:`pandas.DataFrame`): 完整的原始数据。
index[0]为股票代码,index[1]为日期。
init_cash:
top (int): 选取流动性最大的n值股票。默认为10。
流动性计算参考 :py:func:`finance_tools_py.calc.fluidity`
start_year (int): 开始计算年份。
end_year (int): 结束计算年份。
lookback (int): 回看几年的数据，用来计算流动性。当lookback==1时，实际会回看
cbs ([:py:class:`finance_tools_py.simulation.callbacks.CallBack`]): 对数据进行模拟填充时的回调。参考 :py:class:`finance_tools_py.simulation.Simulation` 中的`callbacks`参数。
tb_kwgs (dict): :py:class:`finance_tools_py.backtest.TurtleStrategy` 的参数集合。
unit_percent (float): 计算头寸单元时使用的基准，默认为1%。
fixed_unit (bool): 是否使用固定金额（init_cash）作为计算头寸单元的标的。默认为True。
如果为False的话，会在每年开始时，使用上一年度的总资产（:py:attr:`finance_tools_py.backtest.BackTest.total_assets_cur`）结合`unit_percent`进行运算。
如果是第一年则使用`init_cash`结合`unit_percent`进行运算。
Returns:
- dict: BackTest字典。key值为年份。
- dict: 回测用的数据源字典。key值为年份。
- dict: 买点字典。key值为年份。
- dict: 卖点字典。key值为年份。
"""
hold = pd.DataFrame()
report = {}
datas = {}
buys = {}
sells = {}
h = {}
tb_kwgs_copy = copy.deepcopy(tb_kwgs)
baseValue = init_cash * kwargs.get('unit_percent', 0.01) #计算头寸单元时使用的基准
lookbacks = []
years = []
lookback = lookback - 1
for i in range(start_year, end_year):
if i + lookback + 1 <= end_year:
lookbacks.append([i, i + lookback])
years.append(i + lookback + 1)
if verbose == 2:
for lookback, year in zip(lookbacks, years):
print(lookback, year)
_top_dict = {}
_every_year_dict = {}
if 'symbol' not in fulldata.columns:
fulldata['symbol'] = fulldata.index.get_level_values(0)
if 'datetime' not in fulldata.columns:
fulldata['datetime'] = fulldata.index.get_level_values(1)
for look, year in tqdm(zip(lookbacks, years)):
# 取 year 年的n支流动性最大的股票-开始
year_df = fulldata[
(fulldata['datetime'] <= datetime.date(look[-1], 12, 31))
& (fulldata['datetime'] >= datetime.date(look[0], 1, 1))]
#
# year_df = fluidity(year_df)
#
# #计算所有的头寸单元
# year_df.dropna(inplace=True)
# year_df['unit'] = year_df.apply(lambda row: int(position_unit(row['close'], row['atr_20'], baseValue)/100), axis=1)
# year_df=year_df[year_df['unit']>0]
# #计算所有的头寸单元
#
# top_year = year_df[:top] if top > 0 else year_df
tb_kwgs_copy['min_amount'] = {}
tb_kwgs_copy['max_amount'] = {}
top_year = []
for v in fluidity(year_df).index.values:
c = _cache(v)
_s_data = None
if c not in _top_dict or _top_dict[c] is None:
df_symbol = year_df[year_df['symbol'] == v]
s = Simulation(df_symbol.reset_index(), v,
callbacks=[ATR(20)]) #TODO
s.simulate()
s.data.dropna(inplace=True)
_s_data = s.data.copy()
_top_dict[c] = _s_data.copy()
else:
_s_data = _top_dict[c]
if _s_data.empty:
continue
_s_data['unit'] = _s_data.apply(lambda row: position_unit(
row['close'], row[tb_kwgs_copy['colname']], baseValue),
axis=1)
m = int(_s_data.iloc[-1]['unit'] / 100) * 100
if m > 0:
tb_kwgs_copy['min_amount'][v] = m
tb_kwgs_copy['max_amount'][v] = m * 4
top_year.append(v)
else:
if verbose > 0:
print('{}-根据时间 {:%Y-%m-%d}~{:%Y-%m-%d} 计算头寸单位大小为0'.format(
v, year_df['datetime'][0], year_df['datetime'][-1]))
if len(top_year) >= top:
break
ls = list(
set(
list(top_year) +
list(hold['code'].unique() if not hold.empty else [])))
if not ls:
if verbose > 0:
print('{}无任何可跟踪的股票'.format(year))
continue
# 取 year 年的10支流动性最大的股票-结束
# print('{}年的10支流动性最大的股票'.format(year))
# 遍历股票，对每支股票进行数据处理-开始
df_symbol_years = []
for symbol in ls:
c = _cache(symbol, look[0], year)
_s_data = None
if c not in _every_year_dict or _every_year_dict[c] is None:
df_symbol_year = fulldata[
(fulldata['symbol'] == symbol)
& (fulldata['datetime'] <= datetime.date(year, 12, 31))
& (fulldata['datetime'] >= datetime.date(look[0], 1, 1))]
s = Simulation(df_symbol_year.reset_index(),
symbol,
callbacks=cbs)
s.simulate()
_s_data = s.data.copy()
else:
_s_data = _every_year_dict[c]
df_symbol_years.append(_s_data)
df_symbol_years = pd.concat(df_symbol_years)
df_symbol_years.sort_values('date', inplace=True)
# 遍历股票，对每支股票进行数据处理-结束
buy_dict = df_symbol_years[df_symbol_years['opt'] == 1].reset_index(
).groupby('code')['date'].apply(
lambda x: x.dt.to_pydatetime()).to_dict()
sell_dict = df_symbol_years[df_symbol_years['opt'] == 0].reset_index(
).groupby('code')['date'].apply(
lambda x: x.dt.to_pydatetime()).to_dict()
if not hold.empty:
for onlysell in set(hold['code'].to_list()).difference(
set(top_year)):
if onlysell in buy_dict:
del buy_dict[onlysell]
buys[year] = buy_dict
sells[year] = sell_dict
df_symbol_years = df_symbol_years[
df_symbol_years['date'] >= '{}-01-01'.format(year)]
datas[year] = df_symbol_years
if verbose == 2:
print('起止日期:{:%Y-%m-%d}~{:%Y-%m-%d}'.format(
min(df_symbol_years['date']), max(df_symbol_years['date'])))
# print('数据量:{}'.format(len(df_symbol_years)))
ts = TurtleStrategy(buy_dict=buy_dict,
sell_dict=sell_dict,
holds=h,
**tb_kwgs_copy)
bt = BackTest(df_symbol_years,
init_cash=init_cash,
init_hold=hold,
live_start_date=datetime.datetime(year, 1, 1),
callbacks=[ts])
bt.calc_trade_history(verbose=verbose)
report[year] = bt
if not kwargs.get('fixed_unit', True):
baseValue = bt.total_assets_cur * kwargs.get('unit_percent',
0.01) # 计算头寸单元时使用的基准
h = ts.holds
if h:
hs = []
for k, v in h.items():
for v1 in v:
hs.append(
pd.DataFrame({
'code': [k],
'amount': [v1.amount],
'price': [v1.price],
'buy_date': [v1.date],
'stoploss_price': [v1.stoploss_price],
'stopprofit_price': [v1.stopprofit_price],
'next_price': [v1.next_price],
}))
hold = pd.concat(hs) if hs else pd.DataFrame()
init_cash = bt.available_cash
if show_report:
print(bt.report(show_history=show_history))
if show_report or show_plot:
rp = bt.profit_loss_df()
if show_report:
print(rp)
if show_plot:
fig, axes = plt.subplots(1, 2, figsize=(10, 3))
Utils.plt_win_rate(rp, ax=axes[0])
Utils.plt_pnl_ratio(rp, ax=axes[1])
plt.gcf().autofmt_xdate()
plt.show()
df_profit = pd.concat([x.profit_loss_df() for x in report.values()])
return df_profit, report, datas, buys, sells
def all_years_single_symbol(symbol,
fulldata,
cbs,
init_cash=10000,
start_year=2005,
end_year=2007,
verbose=2,
show_report=True,
show_plot=True,
show_history=False,
tb_kwgs={},
**kwargs):
"""逐年度对单一股票进行回测。
采用 :py:class:`finance_tools_py.backtest.TurtleStrategy` 进行回测
Args:
fulldata (:py:class:`pandas.DataFrame`): 完整的原始数据。
index[0]为股票代码,index[1]为日期。
init_cash:
start_year (int): 开始计算年份。
end_year (int): 结束计算年份。
cbs ([:py:class:`finance_tools_py.simulation.callbacks.CallBack`]): 对数据进行模拟填充时的回调。参考 :py:class:`finance_tools_py.simulation.Simulation` 中的`callbacks`参数。
tb_kwgs (dict): :py:class:`finance_tools_py.backtest.TurtleStrategy` 的参数集合。
Returns:
- dict: BackTest字典。key值为年份。
- dict: 回测用的数据源字典。key值为年份。
- dict: 买点字典。key值为年份。
- dict: 卖点字典。key值为年份。
"""
hold = pd.DataFrame()
report = {}
datas = {}
buys = {}
sells = {}
h = {}
tb_kwgs_copy = copy.deepcopy(tb_kwgs)
for year in tqdm(range(start_year, end_year)):
df_symbol_year = fulldata[
(fulldata.index.get_level_values(0) == symbol)
& (fulldata.index.get_level_values(1) <= '{}-12-31'.format(year))]
s = Simulation(df_symbol_year.reset_index(), symbol, callbacks=cbs)
s.simulate()
df_symbol_years = s.data
df_symbol_years.sort_values('date', inplace=True)
# 遍历股票，对每支股票进行数据处理-结束
buy_dict = df_symbol_years[df_symbol_years['opt'] == 1].reset_index(
).groupby('code')['date'].apply(
lambda x: x.dt.to_pydatetime()).to_dict()
sell_dict = df_symbol_years[df_symbol_years['opt'] == 0].reset_index(
).groupby('code')['date'].apply(
lambda x: x.dt.to_pydatetime()).to_dict()
buys[year] = buy_dict
sells[year] = sell_dict
df_symbol_years = df_symbol_years[
df_symbol_years['date'] >= '{}-01-01'.format(year)]
datas[year] = df_symbol_years
if verbose == 2:
print('起止日期:{:%Y-%m-%d}~{:%Y-%m-%d}'.format(
min(df_symbol_years['date']), max(df_symbol_years['date'])))
# print('数据量:{}'.format(len(df_symbol_years)))
ts = TurtleStrategy(buy_dict=buy_dict,
sell_dict=sell_dict,
holds=h,
**tb_kwgs_copy)
bt = BackTest(df_symbol_years,
init_cash=init_cash,
init_hold=hold,
live_start_date=datetime.datetime(year, 1, 1),
callbacks=[ts])
bt.calc_trade_history(verbose=2)
report[year] = bt
h = ts.holds
if h:
hs = []
for k, v in h.items():
for v1 in v:
hs.append(
pd.DataFrame({
'code': [k],
'amount': [v1.amount],
'price': [v1.price],
'buy_date': [v1.date],
'stoploss_price': [v1.stoploss_price],
'stopprofit_price': [v1.stopprofit_price],
'next_price': [v1.next_price],
}))
hold = pd.concat(hs) if hs else pd.DataFrame()
init_cash = bt.available_cash
if show_report:
print(bt.report(show_history=show_history))
if show_report or show_plot:
rp = bt.profit_loss_df()
if show_report:
print(rp)
if show_plot:
fig, axes = plt.subplots(1, 2, figsize=(10, 3))
Utils.plt_win_rate(rp, ax=axes[0])
Utils.plt_pnl_ratio(rp, ax=axes[1])
plt.gcf().autofmt_xdate()
plt.show()
return report, datas, buys, sells