PyalgoTrade 技术组合计算

Posted 2020-10-07 zl306222525

可以各种技术可以组合起来。它们被建模为DataSeries。例如，在收盘价之上获得RSI以上的计算SMA，是非常简单的：

from pyalgotrade import strategy
from pyalgotrade.barfeed import yahoofeed
from pyalgotrade.technical import ma
from pyalgotrade.technical import rsi


class MyStrategy(strategy.BacktestingStrategy):
    def __init__(self, feed, instrument):
        super(MyStrategy, self).__init__(feed)
        self.__rsi = rsi.RSI(feed[instrument].getCloseDataSeries(), 14)
        self.__sma = ma.SMA(self.__rsi, 15)
        self.__instrument = instrument

    def onBars(self, bars):
        bar = bars[self.__instrument]
        self.info("%s %s %s" % (bar.getClose(), self.__rsi[-1], self.__sma[-1]))

# Load the yahoo feed from the CSV file
feed = yahoofeed.Feed()
feed.addBarsFromCSV("orcl", "orcl-2000.csv")

# Evaluate the strategy with the feed‘s bars.
myStrategy = MyStrategy(feed, "orcl")
myStrategy.run()

如果您运行脚本，您应该在屏幕上看到一系列值：

• 前14个RSI值为空。这是因为我们需要至少15个值才能获得RSI值。
• 前28个SMA值为空。这是因为前14个RSI值为空，第15个是SMA滤波器接收到的第一个非空值。只有当我们有15个不是空值时，我们才能计算出SMA（15）。

  2000-01-03 00:00:00 strategy [INFO] 118.12 None None
  2000-01-04 00:00:00 strategy [INFO] 107.69 None None
  2000-01-05 00:00:00 strategy [INFO] 102.0 None None
  2000-01-06 00:00:00 strategy [INFO] 96.0 None None
  2000-01-07 00:00:00 strategy [INFO] 103.37 None None
  2000-01-10 00:00:00 strategy [INFO] 115.75 None None
  2000-01-11 00:00:00 strategy [INFO] 112.37 None None
  2000-01-12 00:00:00 strategy [INFO] 105.62 None None
  2000-01-13 00:00:00 strategy [INFO] 105.06 None None
  2000-01-14 00:00:00 strategy [INFO] 106.81 None None
  2000-01-18 00:00:00 strategy [INFO] 111.25 None None
  2000-01-19 00:00:00 strategy [INFO] 57.13 None None
  2000-01-20 00:00:00 strategy [INFO] 59.25 None None
  2000-01-21 00:00:00 strategy [INFO] 59.69 None None
  2000-01-24 00:00:00 strategy [INFO] 54.19 23.5673530141 None
  2000-01-25 00:00:00 strategy [INFO] 56.44 25.0687519877 None
  2000-01-26 00:00:00 strategy [INFO] 55.06 24.7476577095 None
  2000-01-27 00:00:00 strategy [INFO] 51.81 23.9690136517 None
  2000-01-28 00:00:00 strategy [INFO] 47.38 22.9108539956 None
  2000-01-31 00:00:00 strategy [INFO] 49.95 24.980004823 None
  2000-02-01 00:00:00 strategy [INFO] 54.0 28.2484181864 None
  2000-02-02 00:00:00 strategy [INFO] 54.31 28.505177315 None
  2000-02-03 00:00:00 strategy [INFO] 56.69 30.5596770599 None
  2000-02-04 00:00:00 strategy [INFO] 57.81 31.5564353751 None
  2000-02-07 00:00:00 strategy [INFO] 59.94 33.5111056589 None
  2000-02-08 00:00:00 strategy [INFO] 59.56 33.3282358994 None
  2000-02-09 00:00:00 strategy [INFO] 59.94 33.7177605915 None
  2000-02-10 00:00:00 strategy [INFO] 62.31 36.2205441255 None
  2000-02-11 00:00:00 strategy [INFO] 59.69 34.6623493641 29.0368892505
  2000-02-14 00:00:00 strategy [INFO] 62.19 37.4284445543 29.9609620198
  .
  .
  .
  2000-12-27 00:00:00 strategy [INFO] 30.69 51.3196802735 49.8506368511
  2000-12-28 00:00:00 strategy [INFO] 31.06 52.1646203455 49.997518354
  2000-12-29 00:00:00 strategy [INFO] 29.06 47.3776678335 50.0790646925

作者：readilen
链接：http://www.jianshu.com/p/c07582a79036
來源：简书
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