def run_strategy(cash):
instruments = ["000001"]
feeds = tools.build_feed(instruments, 2016, 2018, "histdata")
# 设置手续费
broker_commision = broker.backtesting.TradePercentage(0.0003)
brk = broker.backtesting.Broker(cash, feeds, broker_commision)
myStrategy = MyStrategy(feeds, instruments[0], brk)
retAnalyzer = returns.Returns()
myStrategy.attachAnalyzer(retAnalyzer)
sharpeAnalyzer = sharpe.SharpeRatio()
myStrategy.attachAnalyzer(sharpeAnalyzer)
drawDownAnalyzer = drawdown.DrawDown()
myStrategy.attachAnalyzer(drawDownAnalyzer)
tradesAnalyzer = trades.Trades()
myStrategy.attachAnalyzer(tradesAnalyzer)
# 以沪深300为基准#
instruments300 = ["510300"]
feeds300 = tools.build_feed(instruments300, 2016, 2018, "histdata300")
# 设置手续费
broker_commision = broker.backtesting.TradePercentage(0.0003)
brk = broker.backtesting.Broker(cash, feeds300, broker_commision)
myStrategy300 = MyStrategy(feeds300, instruments300[0], brk)
retAnalyzer300 = returns.Returns()
myStrategy300.attachAnalyzer(retAnalyzer300)
sharpeAnalyzer300 = sharpe.SharpeRatio()
myStrategy300.attachAnalyzer(sharpeAnalyzer300)
drawDownAnalyzer300 = drawdown.DrawDown()
myStrategy300.attachAnalyzer(drawDownAnalyzer300)
tradesAnalyzer300 = trades.Trades()
myStrategy300.attachAnalyzer(tradesAnalyzer300)
plter = plotter.StrategyPlotter(myStrategy)
plter.getOrCreateSubplot("return").addDataSeries("retuens",
retAnalyzer.getReturns())
plter.getOrCreateSubplot("CumReturn").addDataSeries(
"CumReturn", retAnalyzer.getCumulativeReturns())
plter.getOrCreateSubplot("return").addDataSeries(
"retuens300", retAnalyzer300.getReturns())
plter.getOrCreateSubplot("CumReturn").addDataSeries(
"CumReturn300", retAnalyzer300.getCumulativeReturns())
myStrategy.run()
myStrategy300.run()
plter.savePlot("testdata.png")
# print("交易次数:%d" % (tradesAnalyzer.getCount()))
print("策略回测指标")
analyzer((retAnalyzer, sharpeAnalyzer, drawDownAnalyzer, tradesAnalyzer))
print("基准回测指标")
analyzer((retAnalyzer300, sharpeAnalyzer300, drawDownAnalyzer300,
tradesAnalyzer300))
# 计算阿尔法 β 信息比例等值
calculater(retAnalyzer, retAnalyzer300)
return (myStrategy, retAnalyzer, sharpeAnalyzer, drawDownAnalyzer,
tradesAnalyzer)
def run_strategy(cash):
instruments = ["000001"]
feeds = tools.build_feed(instruments, 2016, 2018, "histdata")
# 设置手续费
broker_commision = broker.backtesting.TradePercentage(0.0003)
brk = broker.backtesting.Broker(cash, feeds, broker_commision)
myStrategy = MyStrategy(feeds, instruments[0], brk)
retAnalyzer = returns.Returns()
myStrategy.attachAnalyzer(retAnalyzer)
sharpeAnalyzer = sharpe.SharpeRatio()
myStrategy.attachAnalyzer(sharpeAnalyzer)
drawDownAnalyzer = drawdown.DrawDown()
myStrategy.attachAnalyzer(drawDownAnalyzer)
tradesAnalyzer = trades.Trades()
myStrategy.attachAnalyzer(tradesAnalyzer)
plter = plotter.StrategyPlotter(myStrategy)
plter.getOrCreateSubplot("return").addDataSeries("retuens",
retAnalyzer.getReturns())
plter.getOrCreateSubplot("CumReturn").addDataSeries(
"CumReturn", retAnalyzer.getCumulativeReturns())
myStrategy.run()
plter.savePlot("testdata.png")
print("交易次数:%d" % (tradesAnalyzer.getCount()))
return (myStrategy, retAnalyzer, sharpeAnalyzer, drawDownAnalyzer,
tradesAnalyzer)
def main():
instruments = ["600036"]
feeds = tools.build_feed(instruments, 2013, 2018, "histdata")
# 3.实例化策略
strat = MyStrategy(feeds, instruments[0])
# 4.设置指标和绘图
ratio = sharpe.SharpeRatio()
strat.attachAnalyzer(ratio)
plter = plotter.StrategyPlotter(strat)
# 5.运行策略
strat.run()
strat.info("最终收益: %.2f" % strat.getResult())
# 6.输出夏普率、绘图
strat.info("夏普比率: " + str(ratio.getSharpeRatio(0)))
plter.plot()
def __createBarfeed(self):
self.__feed = tools.build_feed(self.__instrument, self.__startYear,
self.__endYear, "histdata")
self.__feedBase = tools.build_feed(self.__base, self.__startYear,
self.__endYear, "histdata")