简介
框架默认是每次购买的单位是1，按照美国的股票规则来的，实际上交易所的最小交易单位不一样，比如国内股票一手是证券市场的一个交易的最低限额，在中国上海证券交易所和深圳证券交易所的规定中，一手等于一百股。港股交易的每手股数是不固定的(各个上市公司自行决定一手是多少股)，不同的股票规定数是不同的。那么通过什么可以修改购买多少呢。实例代码具体可以参看Backtrader官方文档quickstart
目标
- 为策略增加自定义参数
- 修改默认购买和卖出股票数量
原理
- 可以通过框架提供的Sizers的FixedSize设置每次默认购买多少。比如设立设置了100股
sizers.FixedSize, stake=100 - 通过给自定义strategy增加params成员变量，在对象初始化时赋值即可
实践
自定义策略类
#############################################################
#class
#############################################################
# Create a Stratey
class TestStrategy(bt.Strategy):
# 自定义均线的实践间隔，默认是5天
params = (
('maperiod', 5),
)
def log(self, txt, dt=None):
''' Logging function for 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.order = None
# buy price
self.buyprice = None
# buy commission
self.buycomm = None
# 增加均线，简单移动平均线（SMA）又称“算术移动平均线”，是指对特定期间的收盘价进行简单平均化
self.sma = bt.indicators.SimpleMovingAverage(
self.datas[0], period=self.params.maperiod)
#订单状态改变回调方法 be notified through notify_order(order) of any status change in an order
def notify_order(self, order):
if order.status in [order.Submitted, order.Accepted]:
# Buy/Sell order submitted/accepted to/by broker - Nothing to do
return
# Check if an order has been completed
# Attention: broker could reject order if not enough cash
if order.status in [order.Completed]:
if order.isbuy():
self.log(
'BUY EXECUTED, Price: %.2f, Cost: %.2f, Comm %.2f' %
(order.executed.price,
order.executed.value,
order.executed.comm))
self.buyprice = order.executed.price
self.buycomm = order.executed.comm
elif order.issell():
self.log('SELL EXECUTED, Price: %.2f, Cost: %.2f, Comm %.2f' %
(order.executed.price,
order.executed.value,
order.executed.comm))
self.bar_executed = len(self)
elif order.status in [order.Canceled, order.Margin, order.Rejected]:
self.log('Order Canceled/Margin/Rejected')
# Write down: no pending order
self.order = None
#交易状态改变回调方法 be notified through notify_trade(trade) of any opening/updating/closing trade
def notify_trade(self, trade):
if not trade.isclosed:
return
# 每笔交易收益 毛利和净利
self.log('OPERATION PROFIT, GROSS %.2f, NET %.2f' %
(trade.pnl, trade.pnlcomm))
def next(self):
# Simply log the closing price of the series from the reference
self.log('Close, %.2f' % self.dataclose[0])
# Check if an order is pending ... if yes, we cannot send a 2nd one
if self.order:
return
# Check if we are in the market(当前账户持股情况，size，price等等)
if not self.position:
# Not yet ... we MIGHT BUY if ...
if self.dataclose[0] >= self.sma[0]:
#当收盘价，大于等于均线的价格
# BUY, BUY, BUY!!! (with all possible default parameters)
self.log('BUY CREATE, %.2f' % self.dataclose[0])
# Keep track of the created order to avoid a 2nd order
self.order = self.buy()
else:
# Already in the market ... we might sell
if self.dataclose[0] < self.sma[0]:
#当收盘价，小于均线价格
# SELL, SELL, SELL!!! (with all possible default parameters)
self.log('SELL CREATE, %.2f' % self.dataclose[0])
# Keep track of the created order to avoid a 2nd order
self.order = self.sell()
增加了sizers的main
########################################################################
#main
########################################################################
if __name__ == '__main__':
# Create a cerebro entity(创建cerebro)
cerebro = bt.Cerebro()
# Add a strategy(加入自定义策略,可以设置自定义参数，方便调节)
cerebro.addstrategy(TestStrategy, maperiod=7)
# Get a pandas dataframe(获取dataframe格式股票数据)
feedsdf = get_dataframe()
# Pass it to the backtrader datafeed and add it to the cerebro(加入数据)
data = bt.feeds.PandasData(dataname=feedsdf)
cerebro.adddata(data)
# Add a FixedSize sizer according to the stake(国内1手是100股，最小的交易单位)
cerebro.addsizer(bt.sizers.FixedSize, stake=100)
# Set our desired cash start(给经纪人，可以理解为交易所股票账户充钱)
cerebro.broker.setcash(10000.0)
# Set the commission - 0.1%(设置交易手续费，双向收取)
cerebro.broker.setcommission(commission=0.001)
# Print out the starting conditions(输出账户金额)
print('Starting Portfolio Value: %.2f' % cerebro.broker.getvalue())
# Run over everything(执行回测)
cerebro.run()
# Print out the final result(输出账户金额)
print('Final Portfolio Value: %.2f' % cerebro.broker.getvalue())
分析
这里注意自定义strategy类和main中间的增加的方法即可
源码
全代码请到github上clone了。github地址：[qtbt](https://github.com/horacepei/qtbt.git）
