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():
strat = thrSMA
instrument = '600288'
paras = [2, 20, 60, 10]
feeds = tushare.build_feed([instrument], 2016, 2017, "histdata/tushare")
strat = strat(feeds, instrument, *paras)
retAnalyzer = returns.Returns()
strat.attachAnalyzer(retAnalyzer)
sharpeRatioAnalyzer = sharpe.SharpeRatio()
strat.attachAnalyzer(sharpeRatioAnalyzer)
drawDownAnalyzer = drawdown.DrawDown()
strat.attachAnalyzer(drawDownAnalyzer)
tradesAnalyzer = trades.Trades()
strat.attachAnalyzer(tradesAnalyzer)
plter = plotter.StrategyPlotter(strat, True, True, True)
strat.run()
plter.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():
instrument = '600288'
frequency = bar.Frequency.TRADE
fromDate = '20160815'
toDate = '20160820'
strat = OrderBook
paras = [5, 20]
plot = True
from mooquant.tools import tushare
feeds = tushare.build_feed([instrument], 2016, 2017, "histdata/tushare")
strat = strat(feeds, instrument, *paras)
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 __testManualImpl(self, closingPrices, cash):
barFeed = MyTestBarFeed(bar.Frequency.DAY)
bars = build_bars_from_closing_prices(closingPrices)
barFeed.addBarsFromSequence("orcl", bars)
strat = strategy_test.MyTestStrategy(barFeed, cash)
stratAnalyzer = drawdown.DrawDown()
strat.attachAnalyzer(stratAnalyzer)
# Manually place the order to get it filled on the first bar.
order = strat.getBroker().createMarketOrder(broker.Order.Action.BUY,
"orcl", 1, True)
order.setGoodTillCanceled(True)
strat.getBroker().submitOrder(order)
strat.run()
return stratAnalyzer
def testNoTrades(self):
barFeed = yahoofeed.Feed()
barFeed.addBarsFromCSV(
"ige", common.get_data_file_path("sharpe-ratio-test-ige.csv"))
barFeed.addBarsFromCSV(
"spy", common.get_data_file_path("sharpe-ratio-test-spy.csv"))
strat = strategy_test.MyTestStrategy(barFeed, 1000)
strat.setBrokerOrdersGTC(True)
strat.setUseAdjustedValues(True)
stratAnalyzer = drawdown.DrawDown()
strat.attachAnalyzer(stratAnalyzer)
strat.run()
self.assertTrue(strat.getBroker().getCash() == 1000)
self.assertEqual(strat.orderUpdatedCalls, 0)
self.assertTrue(stratAnalyzer.getMaxDrawDown() == 0)
self.assertTrue(
stratAnalyzer.getLongestDrawDownDuration() == datetime.timedelta())
def testStrategy():
strat = thrSMA
instrument = '600288'
market = 'SH'
fromDate = '20150101'
toDate = '20150601'
frequency = bar.Frequency.MINUTE
plot = True
paras = [2, 20, 60, 10]
feeds = tushare.build_feed([instrument], 2016, 2017, "histdata/tushare")
strat = strat(feeds, instrument, *paras)
retAnalyzer = returns.Returns()
strat.attachAnalyzer(retAnalyzer)
sharpeRatioAnalyzer = sharpe.SharpeRatio()
strat.attachAnalyzer(sharpeRatioAnalyzer)
drawDownAnalyzer = drawdown.DrawDown()
strat.attachAnalyzer(drawDownAnalyzer)
tradesAnalyzer = trades.Trades()
strat.attachAnalyzer(tradesAnalyzer)
strat.run()
# 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 __testIGE_BrokerImpl(self, quantity):
initialCash = 42.09 * quantity
# This testcase is based on an example from Ernie Chan's book:
# 'Quantitative Trading: How to Build Your Own Algorithmic Trading Business'
barFeed = yahoofeed.Feed()
barFeed.addBarsFromCSV(
"ige", common.get_data_file_path("sharpe-ratio-test-ige.csv"))
strat = strategy_test.MyTestStrategy(barFeed, initialCash)
strat.setUseAdjustedValues(True)
strat.setBrokerOrdersGTC(True)
stratAnalyzer = drawdown.DrawDown()
strat.attachAnalyzer(stratAnalyzer)
# Disable volume checks to match book results.
strat.getBroker().getFillStrategy().setVolumeLimit(None)
# Manually place the order to get it filled on the first bar.
order = strat.getBroker().createMarketOrder(broker.Order.Action.BUY,
"ige", quantity,
True) # Adj. Close: 42.09
order.setGoodTillCanceled(True)
strat.getBroker().submitOrder(order)
strat.addOrder(datetime.datetime(2007, 11, 13),
strat.getBroker().createMarketOrder,
broker.Order.Action.SELL, "ige", quantity,
True) # Adj. Close: 127.64
strat.run()
self.assertTrue(
round(strat.getBroker().getCash(), 2) == initialCash +
(127.64 - 42.09) * quantity)
self.assertEqual(strat.orderUpdatedCalls, 6)
self.assertTrue(round(stratAnalyzer.getMaxDrawDown(), 5) == 0.31178)
self.assertTrue(
stratAnalyzer.getLongestDrawDownDuration() == datetime.timedelta(
days=623))
def testStrategy():
from mooquant import bar
from mooquant import plotter
strat = fourSMA
instrument = '600288'
market = 'SH'
fromDate = '20150101'
toDate = '20150601'
frequency = bar.Frequency.MINUTE
paras = [2, 20, 60, 10]
plot = True
# path set ############################33
# 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
# barfeed = Feed(frequency)
# barfeed.setDateTimeFormat('%Y-%m-%d %H:%M:%S')
# barfeed.loadBars(instrument, market, fromDate, toDate, filepath)
# mooquant_id = instrument + '.' + market
# strat = strat(barfeed, mooquant_id, *paras)
from mooquant.tools import tushare
feeds = tushare.build_feed([instrument], 2016, 2017, "histdata/tushare")
strat = strat(feeds, instrument, *paras)
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 samples import sma_crossover
if __name__ == '__main__':
feed = yahoofeed.Feed()
feed.addBarsFromCSV("orcl", "./tests/data/orcl-2000.csv")
# Evaluate the strategy with the feed's bars.
myStrategy = sma_crossover.SMACrossOver(feed, "orcl", 20)
# Attach different analyzers to a strategy before executing it.
retAnalyzer = returns.Returns()
myStrategy.attachAnalyzer(retAnalyzer)
sharpeRatioAnalyzer = sharpe.SharpeRatio()
myStrategy.attachAnalyzer(sharpeRatioAnalyzer)
drawDownAnalyzer = drawdown.DrawDown()
myStrategy.attachAnalyzer(drawDownAnalyzer)
tradesAnalyzer = trades.Trades()
myStrategy.attachAnalyzer(tradesAnalyzer)
# Run the strategy.
myStrategy.run()
print("Final portfolio value: $%.2f" % myStrategy.getResult())
print("Cumulative returns: %.2f %%" %
(retAnalyzer.getCumulativeReturns()[-1] * 100))
print("Sharpe ratio: %.2f" % (sharpeRatioAnalyzer.getSharpeRatio(0.05)))
print("Max. drawdown: %.2f %%" % (drawDownAnalyzer.getMaxDrawDown() * 100))
print("Longest drawdown duration: %s" %
(drawDownAnalyzer.getLongestDrawDownDuration()))
