def main(start_date,
end_date,
maxLen=DIVERGENCE_DETECT_DIF_LIMIT_BAR_NUM,
peried='D'):
'''
count: 采用过去count个bar内极值的最大值作为参考。
'''
all_df = get_stock_pool(start_date, end_date)
codes = list(set(all_df.code.tolist()))
strategys = dict()
for code in codes:
feed = get_feed(all_df, code, start_date, end_date, peried)
if feed is None: return False
brk = gen_broker(feed)
strategys[code] = MACDStrategy(code, feed, brk, SHORT, LONG, MID,
maxLen)
# Attach a returns analyzers to the strategy
returnsAnalyzer = returns.Returns()
strategys[code].attachAnalyzer(returnsAnalyzer)
# Attach a sharpe ratio analyzers to the strategy
sharpeRatioAnalyzer = sharpe.SharpeRatio()
strategys[code].attachAnalyzer(sharpeRatioAnalyzer)
# Attach the plotter to the strategy
plt = plotter.StrategyPlotter(strategys[code], True, True, True)
plt.getOrCreateSubplot("returns").addDataSeries(
"Simple returns", returnsAnalyzer.getReturns())
plt.getOrCreateSubplot("Macd").addDataSeries("dif",
strategys[code].getDif())
plt.getOrCreateSubplot("Macd").addDataSeries("dea",
strategys[code].getDea())
# Run Strategy
strategys[code].run()
strategys[code].info("Final portfolio value: $%.2f" %
strategys[code].getResult())
plt.plot()
def __init__(self, total_risk, instruments, feed, cash, fastEMA, slowEMA,
signalEMA, maxLen, stockNum, duaration):
self.__total_risk = total_risk
self.__total_num = stockNum
self.__duaration = duaration
brk = gen_broker(feed, cash * stockNum)
strategy.BacktestingStrategy.__init__(self, feed, brk)
self.__instruments = instruments
self.__high_dict = dict()
self.__macd_dict = dict()
self.__duaration_dict = dict()
for instrument in instruments:
self.__macd_dict[instrument] = Macd(instrument, feed[instrument],
fastEMA, slowEMA, signalEMA,
maxLen)
self.setUseAdjustedValues(False)
def __init__(self, total_risk, instruments, feed, cash, fastEMA, slowEMA,
signalEMA, maxLen, stockNum, duaration):
self.total_risk = total_risk
self.total_num = stockNum
self.duaration = duaration
strategy.BacktestingStrategy.__init__(
self, feed, gen_broker(feed, cash * stockNum))
self.instruments = instruments
self.duaration_dict = dict()
self.dealprice_dict = dict()
self.high_dict = dict()
self.add_count_dict = {}
self.sma_dict = dict()
self.macd_dict = dict()
for instrument in instruments:
self.sma_dict[instrument] = ma.SMA(
feed[instrument].getPriceDataSeries(), duaration)
self.macd_dict[instrument] = Macd(instrument, feed[instrument],
fastEMA, slowEMA, signalEMA,
maxLen)
self.setUseAdjustedValues(False)