def __init__(self, dataHandler,
events,
startDate,
assets,
initialCapital=100000.0,
benchmark=None,
portfolioType=PortfolioType.CashManageable):
self.dataHandler = dataHandler
self.events = events
self.allTradableAssets = self.dataHandler.allTradableAssets
self.startDate = startDate
self.initialCapital = initialCapital
self.benchmark = benchmark
self.assets = assets
self.positionsBook = StocksPositionsBook(assets)
self.portfolioType = portfolioType
self.allPositions = self.constructAllPositions()
self.currentPosition = defaultdict(int, [(s, 0) for s in self.allTradableAssets])
self.allHoldings = [] # self.constructAllHoldings()
self.currentHoldings = self.constructCurrentHoldings()
self.orderBook = None
vp_settings.set_source(Settings.data_source)
def __init__(self, dataHandler,
events,
startDate,
assets,
initialCapital=100000.0,
benchmark=None,
portfolioType=PortfolioType.CashManageable):
self.dataHandler = dataHandler
self.events = events
self.allTradableAssets = self.dataHandler.allTradableAssets
self.startDate = startDate
self.initialCapital = initialCapital
self.benchmark = benchmark
self.assets = assets
self.positionsBook = StocksPositionsBook(assets)
self.portfolioType = portfolioType
self.allPositions = self.constructAllPositions()
self.currentPosition = defaultdict(int, [(s, 0) for s in self.allTradableAssets])
self.allHoldings = [] # self.constructAllHoldings()
self.currentHoldings = self.constructCurrentHoldings()
self.orderBook = None
vp_settings.set_source(Settings.data_source)
start_date = dt.datetime(2005, 1, 1)
end_date = dt.datetime(2017, 1, 1)
ma_short = config('GF_MA_SHORT', default=20, cast=int)
ma_long = config('GF_MA_LONG', default=90, cast=int)
strategyRunner(userStrategy=GFMovingAverageCrossStrategy,
strategyParameters=(ma_short, ma_long),
symbolList=universe,
startDate=start_date,
endDate=end_date,
benchmark='000300.zicn',
dataSource=DataSource.WIND,
logLevel='info',
saveFile=True,
portfolioType=PortfolioType.CashManageable,
plot=True,
freq='D')
if __name__ == "__main__":
from VisualPortfolio.Env import Settings
from AlgoTrading.Env import Settings
Settings.set_source(DataSource.WIND)
startTime = dt.datetime.now()
print("Start: %s" % startTime)
run_example()
endTime = dt.datetime.now()
print("End : %s" % endTime)
print("Elapsed: %s" % (endTime - startTime))
self.order(s, -1, quantity=200)
def run_example():
universe = set_universe('000300.zicn')[:10]
startDate = dt.datetime(2007, 1, 1)
endDate = dt.datetime(2015, 10, 1)
strategyRunner(userStrategy=MovingAverageCrossStrategy,
symbolList=universe,
startDate=startDate,
endDate=endDate,
freq=0,
benchmark='000300.zicn',
logLevel='info',
saveFile=True,
plot=True)
if __name__ == "__main__":
from VisualPortfolio.Env import Settings
from AlgoTrading.Env import Settings
Settings.set_source(DataSource.DataYes)
Settings.set_source(DataSource.DataYes)
startTime = dt.datetime.now()
print("Start: %s" % startTime)
run_example()
endTime = dt.datetime.now()
print("End : %s" % endTime)
print("Elapsed: %s" % (endTime - startTime))
if self.signal[s] < 0. and amount != 0:
self.order(s, -1, quantity=200)
def run_example():
universe = set_universe('000300.zicn')[:200]
startDate = dt.datetime(2015, 1, 1)
endDate = dt.datetime(2017, 1, 1)
strategyRunner(userStrategy=MovingAverageCrossStrategy,
symbolList=universe,
startDate=startDate,
endDate=endDate,
benchmark='000300.zicn',
logLevel='info',
saveFile=True,
plot=True,
freq='D')
if __name__ == "__main__":
from VisualPortfolio.Env import Settings
from AlgoTrading.Env import Settings
Settings.set_source(DataSource.TUSHARE)
startTime = dt.datetime.now()
print("Start: %s" % startTime)
run_example()
endTime = dt.datetime.now()
print("End : %s" % endTime)
print("Elapsed: %s" % (endTime - startTime))
