Backtrader 文档学习-Strategy（下）

1. 关于生存期测试

class Test_Strategy(bt.Strategy):  # 策略通用初始参数params = (('maperiod1', 5),('maperiod2', 20),('printlog', True),  # 写入日志标志('logfilename', 'Test_Strategy.log'), # 日志文件名('counter', 0), # 计数器)def __init__(self):  #Open, High, Low, Close, Volumeself.dataopen = self.datas[0].openself.datahigh = self.datas[0].highself.datalow = self.datas[0].lowself.dataclose = self.datas[0].close  self.datavol = self.datas[0].volume# 5 20 日均线self.sma5 = bt.indicators.SimpleMovingAverage(self.dataclose, period=self.params.maperiod1)  self.sma20 = bt.indicators.SimpleMovingAverage(self.dataclose, period=self.params.maperiod2)  # doprint 打印日志标志def log(self, txt, dt=None, doprint=False):''' Logging function fot this strategy'''if self.params.printlog or doprint:dt = dt or self.datas[0].datetime.date(0)#print('%s, %s' % (dt.isoformat(), txt))with open(self.params.logfilename, 'a') as file:file.write('%s, %s' % (dt.isoformat(), txt))file.write('\n')def start(self):    # 从0 开始#self.params.counter += 1self.log('Test_Strategy start %s' % self.params.counter, doprint=True)def prenext(self):self.params.counter += 1self.log('Test_Strategy prenext  %s' % self.params.counter, doprint=True)def nextstart(self):self.params.counter += 1self.log('Test_Strategy nextstart %s' % self.params.counter, doprint=True)  def next(self):  # 最简单的策略，观察各个属性和方法if self.position:  self.close()  else:  if self.sma5 > self.sma20:  self.buy()  else:  self.sell()  self.params.counter += 1        self.log('Test_Strategy next %s' % self.params.counter, doprint=True)def stop(self):self.params.counter += 1        self.log('Test_Strategy stop  %s' % self.params.counter, doprint=True)self.log('(MA Period %2d) Ending Value %.2f' %(self.params.maperiod1, self.broker.getvalue()), doprint=True)#最后打印所有属性和方法#self.log(dir(self), doprint=True)if __name__ == '__main__':# delete log filelog_file = './Test_Strategy.log'delete_file(log_file)# 创建Cerebro引擎  导入2019-1-1 到 2019-3-31 三个月数据cerebro = declare_cerebar()cerebro.addstrategy(Test_Strategy)  cerebro.run()

说明：

• start（）时，数据是日期最末一天。3月29日。30 31日非交易日。

2019-03-29, Test_Strategy start 0

• 2个周期，5天和20天，以最长20天的周期为准，执行prenext方法。

2019-01-28, Test_Strategy prenext 19

• nextstart() ，在最长周期20天触发执行

2019-01-29, Test_Strategy nextstart 20

• stop()，停止在日期的最末一天，3月29日。

2019-03-29, Test_Strategy stop 59

输出结果：

# cat Test_Strategy.log 
2019-03-29, Test_Strategy start 0
2019-01-02, Test_Strategy prenext  1
2019-01-03, Test_Strategy prenext  2
2019-01-04, Test_Strategy prenext  3
2019-01-07, Test_Strategy prenext  4
2019-01-08, Test_Strategy prenext  5
2019-01-09, Test_Strategy prenext  6
2019-01-10, Test_Strategy prenext  7
2019-01-11, Test_Strategy prenext  8
2019-01-14, Test_Strategy prenext  9
2019-01-15, Test_Strategy prenext  10
2019-01-16, Test_Strategy prenext  11
2019-01-17, Test_Strategy prenext  12
2019-01-18, Test_Strategy prenext  13
2019-01-21, Test_Strategy prenext  14
2019-01-22, Test_Strategy prenext  15
2019-01-23, Test_Strategy prenext  16
2019-01-24, Test_Strategy prenext  17
2019-01-25, Test_Strategy prenext  18
2019-01-28, Test_Strategy prenext  19
2019-01-29, Test_Strategy nextstart 20
2019-01-30, Test_Strategy next 21
2019-01-31, Test_Strategy next 22
2019-02-01, Test_Strategy next 23
2019-02-11, Test_Strategy next 24
2019-02-12, Test_Strategy next 25
2019-02-13, Test_Strategy next 26
2019-02-14, Test_Strategy next 27
2019-02-15, Test_Strategy next 28
2019-02-18, Test_Strategy next 29
2019-02-19, Test_Strategy next 30
2019-02-20, Test_Strategy next 31
2019-02-21, Test_Strategy next 32
2019-02-22, Test_Strategy next 33
2019-02-25, Test_Strategy next 34
2019-02-26, Test_Strategy next 35
2019-02-27, Test_Strategy next 36
2019-02-28, Test_Strategy next 37
2019-03-01, Test_Strategy next 38
2019-03-04, Test_Strategy next 39
2019-03-05, Test_Strategy next 40
2019-03-06, Test_Strategy next 41
2019-03-07, Test_Strategy next 42
2019-03-08, Test_Strategy next 43
2019-03-11, Test_Strategy next 44
2019-03-12, Test_Strategy next 45
2019-03-13, Test_Strategy next 46
2019-03-14, Test_Strategy next 47
2019-03-15, Test_Strategy next 48
2019-03-18, Test_Strategy next 49
2019-03-19, Test_Strategy next 50
2019-03-20, Test_Strategy next 51
2019-03-21, Test_Strategy next 52
2019-03-22, Test_Strategy next 53
2019-03-25, Test_Strategy next 54
2019-03-26, Test_Strategy next 55
2019-03-27, Test_Strategy next 56
2019-03-28, Test_Strategy next 57
2019-03-29, Test_Strategy next 58
2019-03-29, Test_Strategy stop  59
2019-03-29, (MA Period  5) Ending Value 10020.11

未完待续！