Backtrader \u662f\u4e00\u4e2a\u5f3a\u5927\u800c\u7075\u6d3b\u7684 \u200cPython \u5f00\u6e90\u91cf\u5316\u4ea4\u6613\u6846\u67b6\u200c，\u4e13\u4e3a\u7b56\u7565\u56de\u6d4b\u548c\u5b9e\u76d8\u4ea4\u6613\u8bbe\u8ba1\u3002\u5b83\u4ee5\u200c\u7b80\u6d01\u7684API\u8bbe\u8ba1\u200c\u3001\u200c\u6a21\u5757\u5316\u67b6\u6784\u200c\u548c\u200c\u9ad8\u5ea6\u53ef\u6269\u5c55\u6027\u200c\u8457\u79f0，\u88ab\u5168\u7403\u91cf\u5316\u4ea4\u6613\u8005\u5e7f\u6cdb\u4f7f\u7528\u3002<\/p>\n
repo：mementum\/backtrader: Python Backtesting library for trading strategies\u00a020.2k star<\/p>\n
graph LR
\nA[Cerebro \u5f15\u64ce] –> B[\u6570\u636e\u6e90]
\nA –> C[\u4ea4\u6613\u7b56\u7565]
\nA –> D[\u7ecf\u7eaa\u5546\u6a21\u62df]
\nA –> E[\u5206\u6790\u5668]
\nA –> F[\u89c2\u5bdf\u5668]<\/p>\n
import backtrader as bt<\/p>\n
cerebro = bt.Cerebro() # \u521b\u5efa\u5f15\u64ce\u5b9e\u4f8b<\/p>\n
\u652f\u6301\u591a\u79cd\u6570\u636e\u683c\u5f0f：<\/p>\n
# \u4eceCSV\u52a0\u8f7d\u6570\u636e
\ndata = bt.feeds.GenericCSVData(
\n dataname='data.csv',
\n datetime=0, # \u65e5\u671f\u5217\u7d22\u5f15
\n open=1, high=2, low=3, close=4, volume=5
\n)
\ncerebro.adddata(data)<\/p>\n
\u7b56\u7565\u5f00\u53d1\u7684\u6838\u5fc3\u7c7b，\u9700\u7ee7\u627fbt.Strategy：<\/p>\n
class MyStrategy(bt.Strategy):
\n params = (('period', 20),) # \u53ef\u8c03\u53c2\u6570<\/p>\n
def __init__(self):
\n # \u521d\u59cb\u5316\u6280\u672f\u6307\u6807
\n self.sma = bt.indicators.SimpleMovingAverage(
\n self.data.close, period=self.params.period
\n )<\/p>\n
def next(self):
\n # \u6bcf\u4e2abar\u6267\u884c\u7684\u4ea4\u6613\u903b\u8f91
\n if not self.position: # \u65e0\u6301\u4ed3
\n if self.data.close > self.sma:
\n self.buy(size=100) # \u4e70\u5165
\n elif self.data.close < self.sma:
\n self.close() # \u5e73\u4ed3<\/p>\n
# \u8bbe\u7f6e\u521d\u59cb\u8d44\u91d1\u548c\u4f63\u91d1
\ncerebro.broker.setcash(100000.0)
\ncerebro.broker.setcommission(commission=0.001) # 0.1%\u4f63\u91d1<\/p>\n
\u7528\u4e8e\u7ee9\u6548\u5206\u6790：<\/p>\n
cerebro.addanalyzer(bt.analyzers.SharpeRatio, _name='sharpe')
\ncerebro.addanalyzer(bt.analyzers.DrawDown, _name='drawdown')<\/p>\n
\u5b9e\u65f6\u76d1\u63a7：<\/p>\n
cerebro.addobserver(bt.observers.Value) # \u8d44\u4ea7\u53d8\u5316\u66f2\u7ebf<\/p>\n
\u652f\u6301\u540c\u65f6\u4f7f\u7528\u4e0d\u540c\u5468\u671f\u6570\u636e：<\/p>\n
# \u6dfb\u52a0\u65e5\u7ebf\u6570\u636e
\ndata_daily = bt.feeds.YahooFinanceData(dataname='AAPL', timeframe=bt.TimeFrame.Days)
\n# \u6dfb\u52a0\u5c0f\u65f6\u7ebf\u6570\u636e
\ndata_hourly = bt.feeds.YahooFinanceData(dataname='AAPL', timeframe=bt.TimeFrame.Minutes, compression=60)<\/p>\n
cerebro.adddata(data_daily)
\ncerebro.adddata(data_hourly)<\/p>\n
\u4e00\u952e\u6267\u884c\u591a\u53c2\u6570\u56de\u6d4b：<\/p>\n
cerebro.optstrategy(
\n MyStrategy,
\n period=range(10, 31, 5) # \u6d4b\u8bd510\/15\/20\/25\/30\u65e5\u5747\u7ebf
\n)<\/p>\n
\u5185\u7f6e130+\u6280\u672f\u6307\u6807：<\/p>\n
\u751f\u6210\u4e13\u4e1a\u7ea7\u7ee9\u6548\u62a5\u544a：<\/p>\n
cerebro.addanalyzer(bt.analyzers.PyFolio)<\/p>\n
\u901a\u8fc7\u6269\u5c55\u6a21\u5757\u8fde\u63a5\u4ea4\u6613\u6240API：<\/p>\n
import backtrader as bt<\/p>\n
# 1. \u5b9a\u4e49\u7b56\u7565
\nclass GoldenCross(bt.Strategy):
\n params = (('fast', 50), ('slow', 200))<\/p>\n
def __init__(self):
\n self.fast_ma = bt.indicators.SMA(self.data.close, period=self.p.fast)
\n self.slow_ma = bt.indicators.SMA(self.data.close, period=self.p.slow)
\n self.crossover = bt.indicators.CrossOver(self.fast_ma, self.slow_ma)<\/p>\n
def next(self):
\n if not self.position:
\n if self.crossover > 0: # \u91d1\u53c9
\n self.buy(size=self.broker.getvalue() * 0.9 \/ self.data.close)
\n elif self.crossover < 0: # \u6b7b\u53c9
\n self.close()<\/p>\n
# 2. \u914d\u7f6e\u5f15\u64ce
\ncerebro = bt.Cerebro()
\ndata = bt.feeds.YahooFinanceData(dataname='AAPL', fromdate='2020-01-01')
\ncerebro.adddata(data)
\ncerebro.addstrategy(GoldenCross)
\ncerebro.broker.setcash(100000.0)
\ncerebro.broker.setcommission(0.001)<\/p>\n
# 3. \u6dfb\u52a0\u5206\u6790
\ncerebro.addanalyzer(bt.analyzers.SharpeRatio, _name='sharpe')
\ncerebro.addanalyzer(bt.analyzers.AnnualReturn, _name='annual')<\/p>\n
# 4. \u6267\u884c\u56de\u6d4b
\nresults = cerebro.run()<\/p>\n
# 5. \u8f93\u51fa\u7ed3\u679c
\nprint(f'\u6700\u7ec8\u8d44\u4ea7: {cerebro.broker.getvalue():.2f}')
\nprint(f'\u590f\u666e\u6bd4\u7387: {results.analyzers.sharpe.get_analysis()["sharperatio"]:.2f}')
\nprint(f'\u5e74\u5316\u6536\u76ca: {results.analyzers.annual.get_analysis()["average"]:.2%}')<\/p>\n
# 6. \u53ef\u89c6\u5316
\ncerebro.plot()<\/p>\n
| \u5b66\u4e60\u66f2\u7ebf<\/td>\n | \u4e2d\u7b49<\/td>\n | \u9661\u5ced<\/td>\n | \u5e73\u7f13<\/td>\n<\/tr>\n |
| \u6027\u80fd<\/td>\n | \u5feb（C++\u6269\u5c55）<\/td>\n | \u4e2d\u7b49<\/td>\n | \u5feb（\u5411\u91cf\u5316）<\/td>\n<\/tr>\n |
| \u591a\u65f6\u95f4\u6846\u67b6<\/td>\n | \u2705 \u539f\u751f\u652f\u6301<\/td>\n | \u26a0\ufe0f \u6709\u9650\u652f\u6301<\/td>\n | \u274c \u4e0d\u652f\u6301<\/td>\n<\/tr>\n |
| \u5b9e\u76d8\u4ea4\u6613<\/td>\n | \u2705 \u652f\u6301<\/td>\n | \u26a0\ufe0f \u9700\u989d\u5916\u914d\u7f6e<\/td>\n | \u274c \u4e0d\u652f\u6301<\/td>\n<\/tr>\n |
| \u53ef\u89c6\u5316<\/td>\n | \u2705 \u5185\u7f6e<\/td>\n | \u274c \u65e0<\/td>\n | \u2705 \u5185\u7f6e<\/td>\n<\/tr>\n |
| \u793e\u533a\u6d3b\u8dc3\u5ea6<\/td>\n | \u2b50\u2b50\u2b50\u2b50<\/td>\n | \u2b50\u2b50<\/td>\n | \u2b50\u2b50\u2b50<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n \n \u516d\u3001\u6700\u4f73\u5b9e\u8df5\u6280\u5de7<\/h3>\n\u200c\u5185\u5b58\u4f18\u5316\u200c：<\/p>\n
|