backtrader进行期货回测要注意的问题：保证金等设置，拼接滚动合约

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很多同学问如何用backtrader进行期货回测。以下给个例子，与普通股票回测不同的是佣金的设置方式。

1 佣金类设置

import datetime  # For datetime objects
import backtrader as bt
import backtrader.feeds as btfeeds
import backtrader.indicators as btind
import pandas as pd
import numpy as np
from datetime import datetime
class Par_SAR(bt.Strategy):
    params = (('period', 2), ('af', 0.02), ('afmax', 0.2))

    def __init__(self):
       pass
       



if __name__ == '__main__':
    # rb 15 min data 
    brf_min_bar = bt.feeds.GenericCSVData(
        dataname='E:/Quant/Backtrader/backtrader-master/China_Market/data/rb_15m.csv',
        timeframe=bt.TimeFrame.Minutes,
        #fromdate=datetime.datetime(2019, 5, 1),
        #todate=datetime.datetime(2020, 6, 1),
        nullvalue=0.0,
        dtformat=('%Y-%m-%d %H:%M:%S'),
        datetime=1,
        time=-1,
        high=4,
        low=5,
        open=3,
        close=6,
        volume=-1,
        # openinterest=-1
    )
    # Add the Data Feed to Cerebro
    cerebro.adddata(brf_min_bar)
    #cerebro.resampledata(brf_min_bar, timeframe=bt.TimeFrame.Days)

    # Add strategy
    cerebro.addstrategy(Par_SAR)
    # 设置初始资本为100,000
    cerebro.broker.setcash(1000000.0) 

    # 设置期货佣金模式
    cerebro.broker.setcommission(commission=0.0001, margin=2800.0, mult=10.0)

    cerebro.run()

以上佣金设置，实际上使用了backtrader内置的佣金类CommInfoBase，该类可设置的参数如下。当然，多数参数采用默认值即可，无需设置，如以上案例，只设置了3个参数，其他都是默认值。以下参数中的leverage，可能与期货也有关系。另外，该类也可以考虑借款利息。

Params:

• commission (def: 0.0): base commission value in percentage or monetary units
• mult (def 1.0): multiplier applied to the asset for value/profit
• margin (def: None): amount of monetary units needed to open/hold an operation. It only applies if the final _stocklike attribute in the class is set to False
• automargin (def: False): Used by the method get_margin to automatically calculate the margin/guarantees needed with the following policy
  • Use param margin if param automargin evaluates to False
  • Use param mult and use mult * price if automargin < 0
  • Use param automargin and use automargin * price if automargin > 0

 

• commtype (def: None): Supported values are CommInfoBase.COMM_PERC (commission to be understood as %) and CommInfoBase.COMM_FIXED (commission to be understood as monetary units)
  The default value of None is a supported value to retain compatibility with the legacy CommissionInfo object. If commtype is set to None, then the following applies:
  • margin is None: Internal _commtype is set to COMM_PERC and _stocklike is set to True (Operating %-wise with Stocks)
  • margin is not None: _commtype set to COMM_FIXED and _stocklike set to False (Operating with fixed rount-trip commission with Futures)

If this param is set to something else than None, then it will be passed to the internal _commtype attribute and the same will be done with the param stocklike and the internal attribute _stocklike

• stocklike (def: False): Indicates if the instrument is Stock-like or Futures-like (see the commtype discussion above)
• percabs (def: False): when commtype is set to COMM_PERC, whether the parameter commission has to be understood as XX% or 0.XX
  If this param is True: 0.XX If this param is False: XX%
• interest (def: 0.0)
  If this is non-zero, this is the yearly interest charged for holding a short selling position. This is mostly meant for stock short-selling
  The formula: days * price * abs(size) * (interest / 365)
  It must be specified in absolute terms: 0.05 -> 5%
  Note
  the behavior can be changed by overriding the method: _get_credit_interest
• interest_long (def: False)
  Some products like ETFs get charged on interest for short and long positions. If ths is True and interest is non-zero the interest will be charged on both directions
• leverage (def: 1.0)
  Amount of leverage for the asset with regards to the needed cash

 

可以从佣金基类派生自己的佣金类，以满足自己的要求，比如，有人期望佣金率不仅依赖交易金额，还依赖乘数mult，则可定义新的佣金类如下

import backtrader as bt

class CommInfo_Fut_Perc_Mult(bt.CommInfoBase):
    params = (
      ('stocklike', False),  # Futures
      ('commtype', bt.CommInfoBase.COMM_PERC),  # Apply % Commission
    # ('percabs', False),  # pass perc as xx% which is the default
    )

    def _getcommission(self, size, price, pseudoexec):
        return size * price * self.p.commission * self.p.mult

然后，像下面这样使用它

comminfo = CommInfo_Fut_Perc_Mult(
    commission=0.1,  # 0.1%
    mult=10,
    margin=2000  # Margin is needed for futures-like instruments
)

cerebro.addcommissioninfo(comminfo)

 

2 拼接滚动合约

另外，backtrader还允许将不同到期日的期货合约滚动拼接起来形成连续期货（The RollOver Data Feed），例子如下

import backtrader as bt

cerebro = bt.Cerebro()
data0 = bt.feeds.MyFeed(dataname='Expiry0')
data1 = bt.feeds.MyFeed(dataname='Expiry1')
...
dataN = bt.feeds.MyFeed(dataname='ExpiryN')

drollover = bt.feeds.RollOver(data0, data1, ..., dataN, dataname='MyRoll', **kwargs)
cerebro.adddata(drollover)

cerebro.run()

RollOver类有两个参数控制如何拼接合约，checkdate和 checkcondition。详细描述参考 Data Feeds - Rollover - Backtrader