def main():
strat = thrSMA
instrument = '600288'
paras = [2, 20, 60, 10]
feeds = tushare.build_feed([instrument], 2016, 2017, "histdata/tushare")
strat = strat(feeds, instrument, *paras)
retAnalyzer = returns.Returns()
strat.attachAnalyzer(retAnalyzer)
sharpeRatioAnalyzer = sharpe.SharpeRatio()
strat.attachAnalyzer(sharpeRatioAnalyzer)
drawDownAnalyzer = drawdown.DrawDown()
strat.attachAnalyzer(drawDownAnalyzer)
tradesAnalyzer = trades.Trades()
strat.attachAnalyzer(tradesAnalyzer)
plter = plotter.StrategyPlotter(strat, True, True, True)
strat.run()
plter.plot()
# 夏普率
sharp = sharpeRatioAnalyzer.getSharpeRatio(0.05)
# 最大回撤
maxdd = drawDownAnalyzer.getMaxDrawDown()
# 收益率
return_ = retAnalyzer.getCumulativeReturns()[-1]
# 收益曲线
return_list = []
for item in retAnalyzer.getCumulativeReturns():
return_list.append(item)
def testDownloadAndParseDaily(self):
instrument = "orcl"
barFeed = yahoofeed.Feed()
barFeed.addBarsFromCSV(
instrument,
common.get_data_file_path("orcl-2000-yahoofinance.csv"))
strat = sma_crossover.SMACrossOver(barFeed, instrument, 20)
plt = plotter.StrategyPlotter(strat, True, True, True)
plt.getInstrumentSubplot(instrument).addDataSeries(
"sma", strat.getSMA())
strat.run()
with common.TmpDir() as tmpPath:
fig, subplots = plt.buildFigureAndSubplots()
self.assertIsNotNone(fig)
self.assertIsNotNone(subplots)
# fig = plt.buildFigure()
fig, _ = plt.buildFigureAndSubplots()
fig.set_size_inches(10, 8)
png = os.path.join(tmpPath, "plotter_test.png")
fig.savefig(png)
def main():
'''
策略执行
:return:
'''
instrument = "600036"
feeds = mootdx.build_feed([instrument], 2008, 2018, "histdata/mootdx")
# 3.实例化策略
strat = MyStrategy(feeds, instrument)
# 4.设置指标和绘图
ratio = sharpe.SharpeRatio()
strat.attachAnalyzer(ratio)
# plter = plotter.StrategyPlotter(strat)
# 4.设置指标和绘图
draws = drawdown.DrawDown()
strat.attachAnalyzer(draws)
tradeAnalyzer = trades.Trades()
strat.attachAnalyzer(tradeAnalyzer)
plter = plotter.StrategyPlotter(strat)
# 5.运行策略
strat.run()
strat.info("最终收益: {}".format(strat.getResult()))
# 6.输出夏普率、绘图
strat.info("夏普比率: {}".format(ratio.getSharpeRatio(0)))
strat.info("最大回撤: {}".format(draws.getMaxDrawDown()))
strat.info("回撤时间: {}".format(draws.getLongestDrawDownDuration()))
plter.plot()
def main(plot):
import coloredlogs
coloredlogs.install(level='DEBUG',
fmt='[%(asctime)s] %(levelname)s %(message)s')
instrument = "600036"
bBandsPeriod = 40
feeds = mootdx.build_feed([instrument], 2003, 2018, "histdata/mootdx")
strat = BBands(feeds, instrument, bBandsPeriod)
sharpeRatioAnalyzer = sharpe.SharpeRatio()
strat.attachAnalyzer(sharpeRatioAnalyzer)
if plot:
plt = plotter.StrategyPlotter(strat, True, True, True)
plt.getInstrumentSubplot(instrument).addDataSeries(
"upper",
strat.getBollingerBands().getUpperBand())
plt.getInstrumentSubplot(instrument).addDataSeries(
"middle",
strat.getBollingerBands().getMiddleBand())
plt.getInstrumentSubplot(instrument).addDataSeries(
"lower",
strat.getBollingerBands().getLowerBand())
strat.run()
print("Sharpe ratio: %.2f" % sharpeRatioAnalyzer.getSharpeRatio(0.05))
if plot:
plt.plot()
def main(plot):
instruments = [
"GORO",
]
windowSize = 50
# Download the bars.
feed = quandl.build_feed('WIKI', instruments, 2006, 2012, ".")
strat = StatArb(feed, instruments[0], instruments[1], windowSize)
sharpeRatioAnalyzer = sharpe.SharpeRatio()
strat.attachAnalyzer(sharpeRatioAnalyzer)
if plot:
plt = plotter.StrategyPlotter(strat, False, False, True)
plt.getOrCreateSubplot("hedge").addDataSeries("Hedge Ratio",
strat.getHedgeRatioDS())
plt.getOrCreateSubplot("spread").addDataSeries("Spread",
strat.getSpreadDS())
strat.run()
print("Sharpe ratio: %.2f" % sharpeRatioAnalyzer.getSharpeRatio(0.05))
if plot:
plt.plot()
def testStrategy():
instrument = '600288'
frequency = bar.Frequency.TRADE
fromDate = '20160815'
toDate = '20160820'
strat = OrderBook
paras = [5, 20]
plot = True
from mooquant.tools import tushare
feeds = tushare.build_feed([instrument], 2016, 2017, "histdata/tushare")
strat = strat(feeds, instrument, *paras)
retAnalyzer = returns.Returns()
strat.attachAnalyzer(retAnalyzer)
sharpeRatioAnalyzer = sharpe.SharpeRatio()
strat.attachAnalyzer(sharpeRatioAnalyzer)
drawDownAnalyzer = drawdown.DrawDown()
strat.attachAnalyzer(drawDownAnalyzer)
tradesAnalyzer = trades.Trades()
strat.attachAnalyzer(tradesAnalyzer)
if plot:
plt = plotter.StrategyPlotter(strat, True, True, True)
strat.run()
if plot:
plt.plot()
# 夏普率
sharp = sharpeRatioAnalyzer.getSharpeRatio(0.05)
# 最大回撤
maxdd = drawDownAnalyzer.getMaxDrawDown()
# 收益率
return_ = retAnalyzer.getCumulativeReturns()[-1]
# 收益曲线
return_list = []
for item in retAnalyzer.getCumulativeReturns():
return_list.append(item)
def main():
instruments = ["GORO"]
# Download GORO bars using WIKI source code.
feed = quandl.build_feed("WIKI", instruments, 2006, 2012, "./histdata")
quandlFeed = csvfeed.Feed("Date", "%Y-%m-%d")
quandlFeed.setDateRange(datetime.datetime(2006, 1, 1),
datetime.datetime(2012, 12, 31))
quandlFeed.addValuesFromCSV("histdata/quandl_gold_2.csv")
strat = MyStrategy(feed, quandlFeed, instruments[0])
plter = plotter.StrategyPlotter(strat, True, False, False)
plter.getOrCreateSubplot("quandl").addDataSeries("USD", quandlFeed["USD"])
plter.getOrCreateSubplot("quandl").addDataSeries("EUR", quandlFeed["EUR"])
plter.getOrCreateSubplot("quandl").addDataSeries("GBP", quandlFeed["GBP"])
strat.run()
plter.plot()
def main(plot):
instrument = '600016'
vwapWindowSize = 5
threshold = 0.01
feeds = tushare.build_feed([instrument], 2010, 2018, './histdata/tushare')
strat = VWAPMomentum(feeds, instrument, vwapWindowSize, threshold)
sharpeRatioAnalyzer = sharpe.SharpeRatio()
strat.attachAnalyzer(sharpeRatioAnalyzer)
plter = plotter.StrategyPlotter(strat, True, False, True)
plter.getInstrumentSubplot(instrument).addDataSeries(
"vwap", strat.getVWAP())
strat.run()
strat.info("Sharpe ratio: %.2f" % sharpeRatioAnalyzer.getSharpeRatio(0.05))
plter.plot()
def main():
instruments = ["600036"]
feeds = mootdx.build_feed(instruments, 2003, 2018, "histdata/mootdx")
# 3.实例化策略
strat = Strategy(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 main(plot):
instrument = "BTC"
initialCash = 1000
vwapWindowSize = 100
buyThreshold = 0.02
sellThreshold = 0.01
barFeed = csvfeed.GenericBarFeed(bar.Frequency.MINUTE * 30)
barFeed.addBarsFromCSV(instrument, "./tests/data/30min-bitstampUSD.csv")
brk = broker.BacktestingBroker(initialCash, barFeed)
strat = VWAPMomentum(barFeed, brk, instrument, vwapWindowSize, buyThreshold, sellThreshold)
if plot:
plt = plotter.StrategyPlotter(strat)
plt.getInstrumentSubplot(instrument).addDataSeries("VWAP", strat.getVWAP())
strat.run()
if plot:
plt.plot()
def main(plot):
instrument = "600016"
smaPeriod = 163
feed = tushare.build_feed([instrument], 2011, 2012, "./histdata/tushare")
strat = sma_crossover.SMACrossOver(feed, instrument, smaPeriod)
sharpeRatioAnalyzer = sharpe.SharpeRatio()
strat.attachAnalyzer(sharpeRatioAnalyzer)
if plot:
plt = plotter.StrategyPlotter(strat, True, False, True)
plt.getInstrumentSubplot(instrument).addDataSeries(
"sma", strat.getSMA())
strat.run()
print("Sharpe ratio: %.2f" % sharpeRatioAnalyzer.getSharpeRatio(0.05))
if plot:
plt.plot()
def main(plot):
instrument = "600036"
vwapWindowSize = 5
threshold = 0.01
# Download the bars.
feed = tushare.build_feed([instrument], 2011, 2012, "./tests/data")
strat = VWAPMomentum(feed, instrument, vwapWindowSize, threshold)
sharpeRatioAnalyzer = sharpe.SharpeRatio()
strat.attachAnalyzer(sharpeRatioAnalyzer)
if plot:
plt = plotter.StrategyPlotter(strat, True, False, True)
plt.getInstrumentSubplot(instrument).addDataSeries("vwap", strat.getVWAP())
strat.run()
print("Sharpe ratio: %.2f" % sharpeRatioAnalyzer.getSharpeRatio(0.05))
if plot:
plt.plot()
def main(plot=False):
instruments = ["600036"]
bBandsPeriod = 20
feeds = tushare.build_feed(instruments, 2017, 2018, "./tests/data")
strat = BBandsStrategy(feeds, instruments[0], bBandsPeriod)
sharp = sharpe.SharpeRatio()
strat.attachAnalyzer(sharp)
if plot:
plt = plotter.StrategyPlotter(strat, True, True, True)
plt.getInstrumentSubplot(instruments[0]).addDataSeries("upper", strat.getBollingerBands().getUpperBand())
plt.getInstrumentSubplot(instruments[0]).addDataSeries("middle", strat.getBollingerBands().getMiddleBand())
plt.getInstrumentSubplot(instruments[0]).addDataSeries("lower", strat.getBollingerBands().getLowerBand())
strat.run()
print("Sharpe ratio: %.2f" % sharp.getSharpeRatio(0.05))
if plot:
plt.plot()
def main(plot):
instrument = "600016"
entrySMA = 150
exitSMA = 5
rsiPeriod = 3
overBoughtThreshold = 93
overSoldThreshold = 25
# Download the bars.
# feed = quandl.build_feed("WIKI", [instrument], 2009, 2012, "./data")
# feeds = yahoofeed.Feed()
# feeds.addBarsFromCSV("dia", "./tests/data/DIA-2009-yahoofinance.csv")
# feeds.addBarsFromCSV("dia", "./tests/data/DIA-2010-yahoofinance.csv")
# feeds.addBarsFromCSV("dia", "./tests/data/DIA-2011-yahoofinance.csv")
# instruments = ["600036"]
feeds = tushare.build_feed([instrument], 2009, 2011, "histdata/mootdx")
strat = RSI2(feeds, instrument, entrySMA, exitSMA, rsiPeriod,
overBoughtThreshold, overSoldThreshold)
sharpeRatioAnalyzer = sharpe.SharpeRatio()
strat.attachAnalyzer(sharpeRatioAnalyzer)
if plot:
plt = plotter.StrategyPlotter(strat, True, False, True)
plt.getInstrumentSubplot(instrument).addDataSeries(
"Entry SMA", strat.getEntrySMA())
plt.getInstrumentSubplot(instrument).addDataSeries(
"Exit SMA", strat.getExitSMA())
plt.getOrCreateSubplot("rsi").addDataSeries("RSI", strat.getRSI())
plt.getOrCreateSubplot("rsi").addLine("Overbought",
overBoughtThreshold)
plt.getOrCreateSubplot("rsi").addLine("Oversold", overSoldThreshold)
strat.run()
print("夏普比率: %.2f" % sharpeRatioAnalyzer.getSharpeRatio(0.05))
if plot:
plt.plot()
def run_strategy():
# Load the yahoo feed from the CSV file
feed = GenericBarFeed(Frequency.DAY, None, None)
feed.addBarsFromCSV("orcl", "2000.csv")
# commission
broker_commission = broker.backtesting.TradePercentage(0.002)
broker_brk = floatBroker(500000, feed, broker_commission)
# Evaluate the strategy with the feed.
myStrategy = MyStrategy(feed, "orcl", broker_brk)
returnsAnalyzer = returns.Returns()
myStrategy.attachAnalyzer(returnsAnalyzer)
# Attach the plotter to the strategy.
plt = plotter.StrategyPlotter(myStrategy)
# Include the SMA in the instrument's subplot to get it displayed along
# with the closing prices.
plt.getInstrumentSubplot("orcl").addDataSeries("SMA60",
myStrategy.getSMA(60))
plt.getInstrumentSubplot("orcl").addDataSeries("SMA10",
myStrategy.getSMA(10))
plt.getInstrumentSubplot("orcl").addDataSeries("SMA30",
myStrategy.getSMA(30))
# Plot the simple returns on each bar.
plt.getOrCreateSubplot("returns").addDataSeries(
"Simple returns", returnsAnalyzer.getReturns())
myStrategy.run()
print(
"Final portfolio value: $%.2f %.2f %.2f" %
(myStrategy.getBroker().getEquity(), myStrategy.getBroker().getCash(),
myStrategy.getBroker().getShares('orcl')))
myStrategy.totalEnd()
# myStrategy.info("Final portfolio value: $%.2f" % myStrategy.getResult())
# Plot the strategy.
plt.plot()
print(myStrategy.getJSL())
from mooquant import plotter
from mooquant.analyzer import returns
from mooquant.tools import tushare
from samples import sma_crossover
if __name__ == '__main__':
instrument = '600016'
feeds = tushare.build_feed([instrument], 2016, 2018, './histdata/tushare')
strat = sma_crossover.SMACrossOver(feeds, instrument, 20)
# Attach a returns analyzers to the strategy.
returnsAnalyzer = returns.Returns()
strat.attachAnalyzer(returnsAnalyzer)
# Attach the plotter to the strategy.
plt = plotter.StrategyPlotter(strat)
# Include the SMA in the instrument's subplot to get it displayed along with the closing prices.
plt.getInstrumentSubplot("orcl").addDataSeries("SMA", strat.getSMA())
# Plot the simple returns on each bar.
plt.getOrCreateSubplot("returns").addDataSeries("Simple returns", returnsAnalyzer.getReturns())
# Run the strategy.
strat.run()
strat.info("Final portfolio value: $%.2f" % strat.getResult())
# Plot the strategy.
plt.plot()
def testStrategy():
from mooquant import bar
from mooquant import plotter
strat = fourSMA
instrument = '600288'
market = 'SH'
fromDate = '20150101'
toDate = '20150601'
frequency = bar.Frequency.MINUTE
paras = [2, 20, 60, 10]
plot = True
# path set ############################33
# if frequency == bar.Frequency.MINUTE:
# path = os.path.join('..', 'histdata', 'minute')
# elif frequency == bar.Frequency.DAY:
# path = os.path.join('..', 'histdata', 'day')
# filepath = os.path.join(path, instrument + market + ".csv")
# don't change ############################33
# barfeed = Feed(frequency)
# barfeed.setDateTimeFormat('%Y-%m-%d %H:%M:%S')
# barfeed.loadBars(instrument, market, fromDate, toDate, filepath)
# mooquant_id = instrument + '.' + market
# strat = strat(barfeed, mooquant_id, *paras)
from mooquant.tools import tushare
feeds = tushare.build_feed([instrument], 2016, 2017, "histdata/tushare")
strat = strat(feeds, instrument, *paras)
retAnalyzer = returns.Returns()
strat.attachAnalyzer(retAnalyzer)
sharpeRatioAnalyzer = sharpe.SharpeRatio()
strat.attachAnalyzer(sharpeRatioAnalyzer)
drawDownAnalyzer = drawdown.DrawDown()
strat.attachAnalyzer(drawDownAnalyzer)
tradesAnalyzer = trades.Trades()
strat.attachAnalyzer(tradesAnalyzer)
if plot:
plt = plotter.StrategyPlotter(strat, True, True, True)
strat.run()
if plot:
plt.plot()
# 夏普率
sharp = sharpeRatioAnalyzer.getSharpeRatio(0.05)
# 最大回撤
maxdd = drawDownAnalyzer.getMaxDrawDown()
# 收益率
return_ = retAnalyzer.getCumulativeReturns()[-1]
# 收益曲线
return_list = []
for item in retAnalyzer.getCumulativeReturns():
return_list.append(item)