def __init__(self, feed, smaShort, smaLong):
MyBenchmark.__init__(self, feed, smaLong)
self._smaShort = {}
self._smaLong = {}
self._macdPrice = {}
self._macdVol = {}
for instrument in feed.getRegisteredInstruments():
self._smaShort[instrument] = ma.SMA(self._feed[instrument].getPriceDataSeries(), smaShort)
self._smaLong[instrument] = ma.SMA(self._feed[instrument].getPriceDataSeries(), smaLong)
self._macdPrice[instrument] = macd.MACD(self._feed[instrument].getPriceDataSeries(), 12, 26, 9)
self._macdVol[instrument] = macd.MACD(self._feed[instrument].getVolumeDataSeries(), 12, 26, 9)
def __init__(self, feed, stopPer, stopTrailing, smaShort, smaLong, macdPriceShort, macdPriceLong, macdPriceSignal, macdVolShort, macdVolLong, macdVolSignal):
MyBenchmark.__init__(self, feed, stopPer, stopTrailing, smaLong)
self._smaShort = {}
self._smaLong = {}
self._macdPrice = {}
self._macdVol = {}
for instrument in feed.getRegisteredInstruments():
self._smaShort[instrument] = ma.SMA(self._feed[instrument].getPriceDataSeries(), smaShort)
self._smaLong[instrument] = ma.SMA(self._feed[instrument].getPriceDataSeries(), smaLong)
self._macdPrice[instrument] = macd.MACD(self._feed[instrument].getPriceDataSeries(), macdPriceShort, macdPriceLong, macdPriceSignal)
self._macdVol[instrument] = macd.MACD(self._feed[instrument].getVolumeDataSeries(), macdVolShort, macdVolLong, macdVolSignal)
def __init__(self, strategy, feed, instrument, **kwargs):
'''
:param strategy:
:param feed:
:param instrument:
:param fast_period:
:param slow_period:
:param signal_period:
:param kwargs:
signal_period
fast_period
slow_period
'''
super(macd_signal, self).__init__(strategy, feed, instrument)
self.set_member('fast_period', 12, kwargs)
self.set_member('slow_period', 26, kwargs)
self.set_member('signal_period', 9, kwargs)
self.macd = macd.MACD(feed[instrument].getCloseDataSeries(),
self.fast_period, self.slow_period,
self.signal_period)
#self.__strategy= strategy
#self.__instrument = instrument
#self.__prices = feed[instrument].getPriceDataSeries()
self.vol = feed[instrument].getVolumeDataSeries()
self.fast__trend = TrendRatio(self.prices, self.fast_period)
self.slow__trend = TrendRatio(self.prices, self.slow_period)
self.plot_init(True)
def __init__(self, feed, instrument, hurstPeriod, macdShorterPeriod,
macdLongerPeriod, macdSignalPeriod, rsiPeriod, entrySMAPeriod,
exitSMAPeriod, overBoughtThreshold, overSoldThreshold):
strategy.BacktestingStrategy.__init__(self, feed)
self.__instrument = instrument
self.__hurstPeriod = hurstPeriod
# Use adjusted close values, if available, instead of regular close values.
if feed.barsHaveAdjClose():
self.setUseAdjustedValues(True)
self.__priceDS = feed[instrument].getPriceDataSeries()
self.__adjClose = feed[instrument].getAdjCloseDataSeries()
self.__macdShorterPeriod = macdShorterPeriod
self.__macdLongerPeriod = macdLongerPeriod
self.__macdSignalPeriod = macdSignalPeriod
self.__macd = macd.MACD(self.__adjClose, self.__macdShorterPeriod,
self.__macdLongerPeriod,
self.__macdSignalPeriod)
self.__hurst = MovingHurst.HurstExponent(self.__adjClose, hurstPeriod)
self.__entrySMA = ma.EMA(self.__priceDS, entrySMAPeriod)
self.__exitSMA = ma.EMA(self.__priceDS, exitSMAPeriod)
self.__rsi = rsi.RSI(self.__adjClose, rsiPeriod)
self.__overBoughtThreshold = overBoughtThreshold
self.__overSoldThreshold = overSoldThreshold
self.__longPos = None
self.__shortPos = None
def __init__(self, feed, instrument, exitDays, belowzero):
super(TestStrat, self).__init__(feed, cash_or_brk=100000)
self.TestShort = True # Test only short or long, not both.
self.STRATNAME = "Macd_Crossing"
self.STRATDESC = '''Tests what the edge is when macd line crosses below macd-ema both when the macd is below and above the zero line'''
self.exitDays = exitDays
self.belowzero = belowzero
self.__instrument = instrument
# We'll use adjusted close values, if available, instead of regular close values.
if feed.barsHaveAdjClose():
self.setUseAdjustedValues(True)
#self.BarDs = self.getFeed().getDataSeries(self.__instrument)
self.__priceDS = self.getFeed().getDataSeries(
self.__instrument).getPriceDataSeries()
self.macd = macd.MACD(self.__priceDS, 12, 26, 9)
self.__longPos = None
self.__shortPos = None
self.getBroker().getFillStrategy().setVolumeLimit(None) # hack / CARL
def initIndicators(self):
#mid 3)
self.__macd = macd.MACD(self.closePrices,
15,
20,
10,
maxLen=self.mid_DEFAULT_MAX_LEN)
def __init__(self, feed, instrument):
strategy.BacktestingStrategy.__init__(self, feed)
# We want a 15 period SMA over the closing prices.
self.__sma = ma.SMA(feed[instrument].getCloseDataSeries(), 15)
self.__rsi = rsi.RSI(feed[instrument].getCloseDataSeries(), 14)
self.__macd = macd.MACD(feed[instrument].getCloseDataSeries(), 12, 55,
9).getSignal()
self.__instrument = instrument
def __init__(self, feed, instrument, smaPeriod):
super(MyStrategy, self).__init__(feed, 10000)
self.__position = None
self.__instrument = instrument
# We'll use adjusted close values instead of regular close values.
self.setUseAdjustedValues(True)
self.__sma = ma.SMA(feed[instrument].getPriceDataSeries(), smaPeriod)
self.__macd=macd.MACD(feed[instrument].getPriceDataSeries(),5,10,8)
def doTechnical(self, bars, members, leaders):
for instrument in members:
if instrument in bars:
if not instrument in self._prices:
self._prices[instrument] = macd.MACD(self._feed[instrument].getPriceDataSeries(), 12, 26, 9)
self._vols[instrument] = macd.MACD(self._feed[instrument].getVolumeDataSeries(), 12, 26, 9)
elif self._session >= 200:
pri = self._prices[instrument]
vol = self._vols[instrument]
if instrument in self._positions:
if cross.cross_below(pri.getSignal(), pri) and cross.cross_below(vol.getSignal(), vol):
position = self._positions[instrument]
if not position.getExitOrder():
position.exitMarket()
elif instrument in leaders:
if cross.cross_above(pri.getSignal(), pri) and cross.cross_above(vol.getSignal(), vol):
if len(self._positions) < self._posMax:
self.prepareEnter(instrument, bars)
def __init__(self, feed, instrument):
super(MyStrategy, self).__init__(feed, 100000)
self.__position = None
self.__instrument = instrument
self.getBroker().setCommission(backtesting.FixedPerTrade(5))
self.__macd = macd.MACD(feed[instrument].getPriceDataSeries(), 12, 26,
9)
self.__analyzer = Analyzer(self, 'hs300')
self.__transaction = Transaction(self)
self.__transposition = TradePosition(self)
def __init__(self, feed, instrument, capital, selected_features,
predict_n_days, model_form, testing_datetime,
testing_end_datetime):
super(Backtester, self).__init__(feed, capital)
self.capital = capital
self.instrument = instrument
self.mpf_asset = [
'hk_equity_fund', 'growth_fund', 'balanced_fund',
'conservative_fund', 'hkdollar_bond_fund', 'stable_fund'
]
self.positions = {asset: None for asset in self.mpf_asset}
self.current_percentages = None
self.previous_percentages = None
# technical indicators is denfined here
self.hk_equity_fund_macd = macd.MACD(
feed['hk_equity_fund'].getCloseDataSeries(), 12, 26, 9)
self.hk_equity_fund_macd_histogram = self.hk_equity_fund_macd.getHistogram(
)
self.growth_fund_macd = macd.MACD(
feed['growth_fund'].getCloseDataSeries(), 12, 26, 9)
self.growth_fund_macd_histogram = self.growth_fund_macd.getHistogram()
self.balanced_fund_macd = macd.MACD(
feed['balanced_fund'].getCloseDataSeries(), 12, 26, 9)
self.balanced_fund_macd_histogram = self.balanced_fund_macd.getHistogram(
)
self.conservative_fund_macd = macd.MACD(
feed['conservative_fund'].getCloseDataSeries(), 12, 26, 9)
self.conservative_fund_macd_histogram = self.conservative_fund_macd.getHistogram(
)
self.hkdollar_bond_fund_macd = macd.MACD(
feed['hkdollar_bond_fund'].getCloseDataSeries(), 12, 26, 9)
self.hkdollar_bond_fund_macd_histogram = self.hkdollar_bond_fund_macd.getHistogram(
)
self.stable_fund_macd = macd.MACD(
feed['stable_fund'].getCloseDataSeries(), 12, 26, 9)
self.stable_fund_macd_histogram = self.stable_fund_macd.getHistogram()
self.hk_equity_fund_rsi = rsi.RSI(
feed['hk_equity_fund'].getCloseDataSeries(), 14)
self.growth_fund_rsi = rsi.RSI(
feed['growth_fund'].getCloseDataSeries(), 14)
self.balanced_fund_rsi = rsi.RSI(
feed['balanced_fund'].getCloseDataSeries(), 14)
self.conservative_fund_rsi = rsi.RSI(
feed['conservative_fund'].getCloseDataSeries(), 14)
self.hkdollar_bond_fund_rsi = rsi.RSI(
feed['hkdollar_bond_fund'].getCloseDataSeries(), 14)
self.stable_fund_rsi = rsi.RSI(
feed['stable_fund'].getCloseDataSeries(), 14)
# self.testing_datetime = datetime(2014, 8, 2)
# self.testing_end_datetime = datetime(2018, 1, 15)
self.testing_datetime = testing_datetime
self.testing_end_datetime = testing_end_datetime
self.pending_order = None
self.historical_data = list()
self.historical_df = None
self.selected_features = selected_features
self.predict_n_days = predict_n_days
self.model_form = model_form
self.model = None
def __init__(self, feed, config, stopPer, stopTrailing, smaShort, smaLong):
if config['dbfeed']:
feed = dbfeed.DbFeed(config['db'], [], 100, config['startDate'], config['endDate'])
feed.registerInstrument(config['instrument'])
else:
feed = yahoofeed.Feed()
feed.sanitizeBars(True)
feed.addBarsFromCSV(config['instrument'], config['instrument'] + ".csv")
MyBenchmark.__init__(self, feed, stopPer, stopTrailing, smaLong)
self.info("%s %s %s %s" % (stopPer, stopTrailing, smaShort, smaLong))
self._smaShort = {}
self._smaLong = {}
self._macdPrice = {}
self._macdVol = {}
for instrument in feed.getRegisteredInstruments():
self._smaShort[instrument] = ma.SMA(self._feed[instrument].getPriceDataSeries(), smaShort)
self._smaLong[instrument] = ma.SMA(self._feed[instrument].getPriceDataSeries(), smaLong)
self._macdPrice[instrument] = macd.MACD(self._feed[instrument].getPriceDataSeries(), 12, 26, 9)
self._macdVol[instrument] = macd.MACD(self._feed[instrument].getVolumeDataSeries(), 12, 26, 9)
def __init__(self, feed, instrument,param,df):
strategy.BacktestingStrategy.__init__(self, feed)
# 自定义日线级别dataseries
self.__instrument = instrument
self.__feed = feed
self.setUseAdjustedValues(False)
self.__position = None
self.__param = param
self.__kd = df
self.__count = 0
self.__prices = self.__feed[self.__instrument].getCloseDataSeries()
self.__macd = macd.MACD(feed[instrument].getPriceDataSeries(), 12, 26, 9).getHistogram()
self.__sma = ma.SMA(self.__prices, 5)
def testMACD(self):
values = [16.39, 16.4999, 16.45, 16.43, 16.52, 16.51, 16.423, 16.41, 16.47, 16.45, 16.32, 16.36, 16.34, 16.59, 16.54, 16.52, 16.44, 16.47, 16.5, 16.45, 16.28, 16.07, 16.08, 16.1, 16.1, 16.09, 16.43, 16.4899, 16.59, 16.65, 16.78, 16.86, 16.86, 16.76]
# These expected values were generated using TA-Lib
macdValues = [None, None, None, None, None, None, None, None, None, None, None, None, None, None, None, None, None, 0.0067, 0.0106, 0.0028, -0.0342, -0.0937, -0.1214, -0.1276, -0.125, -0.1195, -0.0459, 0.0097, 0.0601, 0.0975, 0.139, 0.1713, 0.1816, 0.1598]
signalValues = [None, None, None, None, None, None, None, None, None, None, None, None, None, None, None, None, None, 0.0036, 0.0056, 0.0048, -0.0064, -0.0313, -0.057, -0.0772, -0.0909, -0.0991, -0.0839, -0.0571, -0.0236, 0.011, 0.0475, 0.0829, 0.1111, 0.125]
histogramValues = [None, None, None, None, None, None, None, None, None, None, None, None, None, None, None, None, None, 0.0031, 0.005, -0.002, -0.0279, -0.0624, -0.0643, -0.0504, -0.0342, -0.0205, 0.0379, 0.0668, 0.0838, 0.0865, 0.0914, 0.0884, 0.0705, 0.0348]
ds = dataseries.SequenceDataSeries()
macdDs = macd.MACD(ds, 5, 13, 6)
for i, value in enumerate(values):
ds.append(value)
self.assertEqual(common.safe_round(macdDs[i], 4), macdValues[i])
self.assertEqual(common.safe_round(macdDs.getSignal()[i], 4), signalValues[i])
self.assertEqual(common.safe_round(macdDs.getHistogram()[i], 4), histogramValues[i])
def __init__(self, feed, instrument, arg_set, ma_short=5, ma_long=10, macd_fast=6, macd_slow=12):
broker_commission = broker.backtesting.TradePercentage(0.0004)
brokers = broker.backtesting.Broker(1000000, feed, broker_commission)
super(Ma_Macd, self).__init__(feed, brokers)
self.__instrument = instrument
self.__feed = feed
# self.setUseAdjustedValues(True)
self.__position = None
self.initState = False # 开头的几个过滤掉
self.code = feed.getKeys()[0]
self.priceDS = feed[instrument].getPriceDataSeries()
self.arg_set = arg_set
self.ma_short = ma.EMA(self.priceDS, ma_short)
self.ma_long = ma.EMA(self.priceDS, ma_long)
self.diff = macd.MACD(self.priceDS, fastEMA=macd_fast, slowEMA=macd_slow, signalEMA=9)
self.dea = self.diff.getSignal()
self.macd = self.diff.getHistogram()
def __init__(self, feed, instrument, arg_set, kdj_fast=3, kdj_slow=9, macd_fast=12, macd_slow=26):
broker_commission = broker.backtesting.TradePercentage(0.0004)
brokers = broker.backtesting.Broker(1000000, feed, broker_commission)
super(Macd_Kdj, self).__init__(feed, brokers)
self.__instrument = instrument
self.__feed = feed
# self.setUseAdjustedValues(True)
self.__position = None
self.initState = False
self.code = feed.getKeys()[0]
self.priceDS = feed[instrument].getPriceDataSeries()
self.arg_set = arg_set
self.kdj_k = stoch.StochasticOscillator(feed[instrument], period=kdj_fast, dSMAPeriod=kdj_slow)
self.kdj_d = self.kdj_k.getD()
self.diff = macd.MACD(self.priceDS, fastEMA=macd_fast, slowEMA=macd_slow, signalEMA=9)
self.dea = self.diff.getSignal()
self.macd = self.diff.getHistogram()
def __init__(self, feed, instrument, bBandsPeriod):
strategy.BacktestingStrategy.__init__(self, feed)
self.setDebugMode(False)
self.__instrument = instrument
self.__feed = feed
self.__position = None
fastEMA=12
slowEMA=26
signalEMA=9
self.__macd = macd.MACD(feed[instrument].getCloseDataSeries(),
fastEMA,slowEMA,signalEMA, 15)
self.__fastma = ma.EMA(feed[instrument].getCloseDataSeries(),fastEMA)
self.__slowma = ma.EMA(feed[instrument].getCloseDataSeries(),slowEMA)
self.__col = ["buyPrice","buyTime","sellPrice","sellTime", "returns"]
self.__msdf = pd.DataFrame(columns=self.__col)
self.__buyPrice = 0
self.__buyTime = None
self.setUseAdjustedValues(True)
def __init__(self, feed, instrumentsByClass, initialCash):
#所有的策略类都是继承strategy模块下的BacktestingStrategy类
#BacktestingStrategy继承BaseStrategy类
strategy.BacktestingStrategy.__init__(self, feed, initialCash)
self.setUseAdjustedValues(True)
#获得所有标的 类型为list
self.__instrumentsByClass = instrumentsByClass
self.__rebalanceMonth = None
self.__sharesToBuy = {}
self.__position = {}
# Initialize indicators for each instrument.
# 定义sma的一个字典 标的：sma
self.__sma = {}
self.__dea = {}
self.__priceDS = {}
self.__takeprofit = {}
self.__stoploss = {}
self.__order = {}
self.__cost = {}
#self.__oderID=1
takeprofit = 0.1
stoploss = 0.1
for assetClass in instrumentsByClass:
for instrument in instrumentsByClass[assetClass]:
priceDS = feed[instrument].getPriceDataSeries()
self.__priceDS[instrument] = feed[
instrument].getPriceDataSeries()
self.__sma[instrument] = ma.SMA(self.__priceDS[instrument], 26)
#self.__sma[instrument] = ma.SMA(priceDS, 26)
#获得DEA指标
#得到一个MACD类的临时实例
__macd = macd.MACD(self.__priceDS[instrument], 12, 26, 9)
#__macd = macd.MACD(priceDS,12,26,9)
self.__dea[instrument] = __macd.getSignal()
#self.__cost[instrument]=None
self.__takeprofit[instrument] = takeprofit #设置止盈点
self.__stoploss[instrument] = stoploss #设置止损点
self.__cost[instrument] = 0
def __init__(self, feed, instrument, bBandsPeriod):
super(MyStrategy, self).__init__(feed)
self.__instrument = instrument
# 使用调整后的数据
if feed.barsHaveAdjClose():
self.setUseAdjustedValues(True)
# 持有仓位
self.__holdPosition = 0.0
# 空闲仓位
self.__emptyPosition = 10.0
# 单元持仓金额
self.__unit = self.getBroker().getCash(False) / 10
# 统计收盘价
self.__priceDS = feed[instrument].getPriceDataSeries()
# 计算macd指标
self.__macd = macd.MACD(self.__priceDS, 12, 26, 9)
# 计算KD指标
self.__stoch = stoch.StochasticOscillator(feed[instrument], 9, 3)
# 计算rsi指标
self.__rsi7 = rsi.RSI(self.__priceDS, 7)
self.__rsi14 = rsi.RSI(self.__priceDS, 14)
# 计算布林线
self.__bbands = bollinger.BollingerBands(self.__priceDS, bBandsPeriod,
2)
def __init__(self, feed, instrument, nfastEMA, nslowEMA, nsignalEMA):
super(MACDStrategy, self).__init__(feed)
self.position = None
self.instrument = instrument
self.macd = macd.MACD(feed[instrument].getPriceDataSeries(), nfastEMA,
nslowEMA, nsignalEMA)
