def Travl(self, start_day='', end_day=''):
"""根据日期来遍历全部股票"""
if 0: start_day = end_day = datetime
if start_day == '':
start_day = help.StrToDate("2011-10-11")
if end_day == '':
#今天
end_day = datetime.date.today()
gupiaos = ISimulator.getGupiaos(self.flag)
account = stock.Account()
#为了减少数据库操作， 还是先取出数据再判断日期
guiders = []
start_day = help.MyDate(start_day)
for gupiao in gupiaos:
if not self.p.filter(gupiao):
guider = stock.Guider(gupiao, start_day.ToStr())
help.myprint("时间策略遍历", guider.code)
guiders.append(guider)
#start_day.Add(60)
while start_day.Next() < end_day:
day = start_day.ToStr()
help.myprint(day)
for guider in guiders:
#看当前日期是否存在
if guider.DateToIndex(start_day.d) == -1:
continue
new_guider = copy.deepcopy(guider)
if 0: new_guider = stock.Guider
new_guider.resize(start_day.d)
fenshi = stock.Fenshi(guider.code, day)
fenshi.mean()
for order in fenshi.orders:
if 0: order = stock.Order
new_fenshi = copy.deepcopy(fenshi)
new_fenshi.resize(order.date)
#help.myprint(order.date, order.price)
self.p.OnTick(new_guider, new_fenshi, account)
account.myprint()
return account
def Process(self, code, start_day='', end_day=''):
""""""
help.myprint(self.p.__class__, code)
guider = stock.Guider(code, start_day, end_day)
account = stock.Account()
for i in range(0, guider.getSize()):
if 0: hisdat = stock.Hisdat
hisdat = guider.getData(i)
#new_guider = stock.Guider(code, end_day=str(hisdat.date))
new_guider = copy.deepcopy(guider)
if 0: new_guider = stock.Guider
new_guider.hisdats = new_guider.hisdats[:i]
#help.myprint("当前天为 ", str(hisdat.date))
self.p.OnTick(new_guider, None, account)
account.myprint()
return account
def testShowTradeResult():
import backtest
code = '600100'
bars = stock.Guider(code).ToDataFrame()
bars = bars.ix['2014':]
print(bars.head())
#两均线穿越
signals = pd.DataFrame(index=bars.index)
signals['signal'] = 0.0
signals['short_ma'] = stock.MA(closes=np.array(bars['c']), day=5)
signals['long_ma'] = stock.MA(closes=np.array(bars['c']), day=20)
signals['0'] = signals['short_ma']
signals['1'] = signals['long_ma']
signals['signal'] = np.where(signals['short_ma'] > signals['long_ma'], 1.0, 0.0)
signals['positions'] = signals['signal'].diff()
print(signals)
portfolio = backtest.MarketOnClosePortfolio(code, bars, signals, initial_capital=100000.0)
returns = portfolio.backtest_portfolio()
ShowTradeResult(pl, bars, signals, returns, 2)
def getDataSource(code):
import stock
return stock.Guider(code).ToDataFrame()
def Process(self, code, start_day='', end_day=''):
guider = stock.Guider(code, start_day, end_day)
self.p.OnTick(guider, None, None)
return None
def ShowCode(pl, code):
closes = stock.Guider(code).getCloses()
DrawTs(pl, closes)
