# -*- coding: utf-8 -*-
"""
Created on Tue Aug 4 16:52:23 2020
@author: 四屏
"""
from datetime import datetime
%matplotlib inline
import backtrader as bt
import matplotlib.pyplot as plt
import akshare as ak
plt.rcParams["font.sans-serif"] = ["SimHei"]
plt.rcParams["axes.unicode_minus"] = False
stock_hfq_df = ak.stock_zh_a_daily(symbol="sh600000", adjust="hfq") # 利用 AkShare 获取后复权数据
class MyStrategy(bt.Strategy):
"""
主策略程序
"""
params = (("maperiod", 20),) # 全局设定交易策略的参数
def __init__(self):
"""
初始化函数
"""
self.data_close = self.datas[0].close # 指定价格序列
# 初始化交易指令、买卖价格和手续费
self.order = None
self.buy_price = None
self.buy_comm = None
# 添加移动均线指标
self.sma = bt.indicators.SimpleMovingAverage(
self.datas[0], period=self.params.maperiod
)
def next(self):
"""
:return:
:rtype:
"""
if self.order: # 检查是否有指令等待执行,
return
# 检查是否持仓
if not self.position: # 没有持仓
if self.data_close[0] > self.sma[0]: # 执行买入条件判断：收盘价格上涨突破20日均线
self.order = self.buy(size=100) # 执行买入
else:
if self.data_close[0] < self.sma[0]: # 执行卖出条件判断：收盘价格跌破20日均线
self.order = self.sell(size=100) # 执行卖出
cerebro = bt.Cerebro() # 初始化回测系统
start_date = datetime(2000, 1, 1) # 回测开始时间
end_date = datetime(2020, 8, 4) # 回测结束时间
data = bt.feeds.PandasData(dataname=stock_hfq_df, fromdate=start_date, todate=end_date) # 加载数据
cerebro.adddata(data) # 将数据传入回测系统
cerebro.addstrategy(MyStrategy) # 将交易策略加载到回测系统中
start_cash = 26000
cerebro.broker.setcash(start_cash) # 设置初始资本为 100000
cerebro.broker.setcommission(commission=0.002) # 设置交易手续费为 0.2%
cerebro.run() # 运行回测系统
port_value = cerebro.broker.getvalue() # 获取回测结束后的总资金
pnl = port_value - start_cash # 盈亏统计
print(f"初始资金: {start_cash}\n回测期间：{start_date.strftime('%Y%m%d')}:{end_date.strftime('%Y%m%d')}")
print(f"总资金: {round(port_value, 2)}")
print(f"净收益: {round(pnl, 2)}")
cerebro.plot(style='candlestick') # 画图
