backtrader学习之五-定期并持有策略回测

这次定期买入某只股票后持有，按说应该买入基金并持有的，但暂时没有基金的数据，就继续选择工商银行来做

回测了。

 

from __future__ import (absolute_import, division, print_function,
unicode_literals)

import datetime # For datetime objects

# Import the backtrader platform
import backtrader as bt
import backtrader.analyzers as btanalyzers
import backtrader.feeds as btfeed
import click

# Create a Stratey
class AutoInvePlan(bt.Strategy):

def log(self, txt, dt=None):
''' Logging function fot this strategy'''
dt = dt or self.datas[0].datetime.date(0)
print('%s, %s' % (dt.isoformat(), txt))

def __init__(self):
# Keep a reference to the "close" line in the data[0] dataseries
self.dataclose = self.datas[0].close
# To keep track of pending orders
self.month = -1

def next(self):
# Simply log the closing price of the series from the reference
# 每月进行购买一次
if self.month != self.datas[0].datetime.date(0).month:
self.month = self.datas[0].datetime.date(0).month
self.buy(size=10000/self.dataclose[0])

class TSCSVData(btfeed.GenericCSVData):
params = (
("fromdate", datetime.datetime(2020, 1, 1)),
("todate", datetime.datetime(2020, 12, 31)),
('nullvalue', 0.0),
('dtformat', ('%Y/%m/%d')),
('openinterest', -1)
)

def backtest():
filename = "gsyh.csv"
cash = 1200000.0
# Create a cerebro entity
cerebro = bt.Cerebro()

# Add a strategy
cerebro.addstrategy(AutoInvePlan)

# Create a Data Feed
data = TSCSVData(dataname="c:\{0}".format(filename))

# Add the Data Feed to Cerebro
cerebro.adddata(data)

# Set our desired cash start
cerebro.broker.setcash(cash)

# Print out the starting conditions
print('Starting Portfolio Value: %.2f' % cerebro.broker.getvalue())
# Analyzer
cerebro.addanalyzer(btanalyzers.SharpeRatio, _name='mysharpe')
cerebro.addanalyzer(btanalyzers.AnnualReturn, _name='myannual')
cerebro.addanalyzer(btanalyzers.DrawDown, _name='mydrawdown')

# Run over everything
thestrats = cerebro.run()

# Print out the final result
print('Final Portfolio Value: %.2f' % cerebro.broker.getvalue())

thestrat = thestrats[0]
print('Sharpe Ratio:', thestrat.analyzers.mysharpe.get_analysis())
print('Annual Return:', thestrat.analyzers.myannual.get_analysis())
print('Drawdown Info:', thestrat.analyzers.mydrawdown.get_analysis())

cerebro.plot()

if __name__ == '__main__':
backtest()

回测结果，当然和股票走势密切相关。下一步就要做组合回测了。