我要用python建造一个回测平台

今天看了一下quantdigger，pyalgotrade的回测，瞬间陷入痛苦之中，对于不熟悉的人，估计需要花很长时间来学习。我决定自己建造一个回测系统，参考quantdigger，pyalgotrade的优点。这是写的一个简单的均线回测平台，但是效率太低，也没有考虑手续费等问题，还有很遥远的距离需要走。

# -*- coding: utf-8 -*-
"""
Created on Tue Aug 22 15:57:36 2017

@author: Administrator
"""
import pandas as pd
import numpy as np
import matplotlib.pyplot as plt
########################################获取数据
data=pd.read_csv('C:/Users/Administrator/Desktop/rb00030.csv',encoding='gbk')
data=data.iloc[::,:7]
data.columns=['time','oepn','high','low','close','amt','opi']
data.head()
########################################确定交易信号
data['ma5']=data['close'].rolling(5).mean()
data['ma20']=data['close'].rolling(20).mean()
for i in range(len(data)):
    if i>1:
        if data.ix[i-1,'ma5']>data.ix[i-1,'ma20'] and data.ix[i,'ma5']<=data.ix[i,'ma20']:
            data.ix[i,'sk']=-1
        if data.ix[i-1,'ma5']=data.ix[i,'ma20']:
            data.ix[i,'sk']=1
'''
for i in range(len(data)):
    if i>0:
       if data.ix[i-1,'sk']==-1 and data.ix[i,'sk']!=1:
           data.ix[i,'position']=-1
       if data.ix[i-1,'sk']==-1 and data.ix[i,'sk']==1:
           data.ix[i,'position']=1   
       if data.ix[i-1,'sk']==1 and data.ix[i,'sk']!=-1:
           data.ix[i,'position']=1
       if data.ix[i-1,'sk']==1 and data.ix[i,'sk']==-1:
           data.ix[i,'position']=-1
'''
data['position']=''
for i in range(len(data)):
    if i>0:
        if data.ix[i,'sk']==1:
           data.ix[i,'position']=1
        if data.ix[i,'sk']==-1:
           data.ix[i,'position']=-1  
        if data.ix[i,'sk']!=1 and data.ix[i,'sk']!=-1:
           data.ix[i,'position']=data.ix[i-1,'position']
for i in range(len(data)):
    if i>0:
        if data.ix[i-1,'position']==1:
            data.ix[i,'profit']=data.ix[i,'close']-data.ix[i-1,'close']
        if data.ix[i-1,'position']==-1:
            data.ix[i,'profit']=-data.ix[i,'close']+data.ix[i-1,'close']  
data.profit.cumsum().plot()