def sim_ema_gra_trend_follow_opt(cls, df, opt_term, ema_term_list, ac):
def __check_opt_ema_term(df, start_i, end_i, ema_term_list):
pl = {}
for ema_term in ema_term_list:
sac = SimAccount()
pl[ema_term] = cls.sim_ema_trend_follow_period(
df, ema_term, start_i, end_i, sac).total_pl
return max(pl.values()), max(pl, key=pl.get)
print('sim length:' + str(df['dt'].iloc[0]) + str(df['dt'].iloc[-1]))
for i in range(opt_term, len(df['dt']) - opt_term - 1, 1):
mpl, term = __check_opt_ema_term(df, i - opt_term, i,
ema_term_list)
dd = Strategy.ema_gra_trend_follow(df, term, i, ac)
if dd.side == '':
ac.entry_order(dd.side, dd.price, dd.size, dd.type, dd.expire,
0, 0, i, df['dt'].iloc[i])
ac.move_to_next(i, df['dt'].iloc[i], df['open'].iloc[i],
df['high'].iloc[i], df['low'].iloc[i],
df['close'].iloc[i])
i = len(df['dt']) - opt_term - 1
ac.last_day_operation(i, df['dt'].iloc[i], df['open'].iloc[i],
df['high'].iloc[i], df['low'].iloc[i],
df['close'].iloc[i])
return ac
def sim_ema_trend_follow_period(cls, df, term, start_i, end_i, ac):
#print('sim length:' + str(df['dt'].iloc[start_i]) + str(df['dt'].iloc[end_i]))
for i in range(start_i, end_i, 1):
dd = Strategy.ema_gra_trend_follow(df, term, i, ac)
if dd.side != '':
ac.entry_order(dd.side, dd.price, dd.size, dd.type, dd.expire,
0, 0, i, df['dt'].iloc[i])
ac.move_to_next(i, df['dt'].iloc[i], df['open'].iloc[i],
df['high'].iloc[i], df['low'].iloc[i],
df['close'].iloc[i])
ac.last_day_operation(i, df['dt'].iloc[end_i], df['open'].iloc[end_i],
df['high'].iloc[end_i], df['low'].iloc[end_i],
df['close'].iloc[end_i])
return ac
