@vladisld
Hi， I copied the sample code as following:
-- coding: UTF-8 --
import backtrader as bt
import pandas as pd
import datetime
import talib
import sys # 发现脚本名字（in argv[0])
import os.path
import math
#from backtrader.trade import TradeHistory #管理路径
#1. 创建Indicator and Strategy 类
class BOLLind(bt.Indicator):
lines = ('k_high','k_low')
def init(self):
self.l.k_high = bt.Max(self.data.close,self.data.open)
self.l.k_low = bt.Min(self.data.close,self.data.open)
super(BOLLind, self).init()
class BOLLStrat(bt.Strategy):
params = dict(
period=78, # 布林线周期
nbdevup=2.0,
nbdevdn=2.0,
matype= 1,
size=20, #订单数量
risk=0.2,#风险比例，用于计算size
percA=0.28,
percB=0.04 #用于设定track ATH 直到目标比例
)
#日志函数
def log(self, txt, dt=None):
''' Logging function fot this strategy'''
dt = dt or self.data.datetime[0]
if isinstance(dt, float):
dt = bt.num2date(dt)
print('%s, %s' % (dt.isoformat(), txt))
def __init__(self):
self.order=None #用来引用尚未执行的订单
self.reentrytimes=0
self.buyprice = 0.0
self.trail_sig = False
#布林带上下轨
self.BOLL = bt.talib.BBANDS(self.data, timeperiod=self.p.period, nbdevup=self.p.nbdevup, nbdevdn=self.p.nbdevdn, matype=self.p.matype)
#在next方法中用self.BOLL.upperband middleband lowerband
self.sma =bt.ind.SMA(self.data,period=200)
A=BOLLind(self.data)
self.k_high = A.k_high
self.k_low = A.k_low
self.customsize = 0.0
self.bar_executed = 0
self.lots_executed=0.0
self.longstop=0
def next(self):
self.crossover = self.k_low[0]>=self.BOLL.upperband[0] and self.k_low[-1]<self.BOLL.upperband[-1]
self.crossdown = self.k_high[0]<=self.BOLL.lowerband[0] and self.k_high[-1]>self.BOLL.lowerband[-1]
if self.order:
return
if not self.position:
self.log('多单首次入场信号')
self.buy(size=5, exectype = bt.Order.Market)
if self.crossdown and self.position:
self.log('平多单信号')
self.close()
def notify_order (self, order):
if order.status in [order.Submitted, order.Accepted]:
self.log('ORDER ACCEPTED/SUBMITTED', dt=order.created.dt)
self.order = order
return
if order.status in [order.Expired]:
self.log('买单过期')
if order.status in [order.Completed]:
#订单已决，执行如下语句：
if order.isbuy():
self.reentrytimes += 1
self.log( '多单第'+str(self.reentrytimes)+'次入场买单全部完成, Price: %.6f, Size:%.3f, Cost: %.6f, Comm: %.6f' %
(order.executed.price,
order.executed.size,
order.executed.value,
order.executed.comm))
self.buyprice=order.executed.price
self.lots_executed = order.executed.size
else:# Sell
self.log('卖单全部完成, Price: %.6f, Size:%.3f, Cost: %.6f, Comm: %.6f' %
(order.executed.price,
order.executed.size,
order.executed.value,
order.executed.comm))
self.bar_executed = len(self)
if order.status in [order.Partial]:
if order.isbuy():
self.reentrytimes += 1
self.log(
'多单第'+str(self.reentrytimes)+'次入场买单部分完成, Price: %.6f, Size:%.3f, Cost: %.6f, Comm: %.6f' %
(order.executed.price,
order.executed.size,
order.executed.value,
order.executed.comm))
self.buyprice=order.executed.price
else:# Sell
self.reentrytimes = self.reentrytimes
self.log('多单第'+str(self.reentrytimes)+'次入场卖单部分完成, Price: %.6f, Size:%.3f, Cost: %.6f, Comm: %.6f' %
(order.executed.price,
order.executed.size,
order.executed.value,
order.executed.comm))
elif order.status in [order.Canceled, order.Margin, order.Rejected]:
self.log('订单 Canceled/Margin/Rejected')
#重置未决订单为空，表示无未决订单了
self.order= None
#记录交易收益情况（可以省略，默认不输出结果）
def notify_trade (self, trade):
#if not trade.isclosed:
# return
self.log('毛收益或损失 %.6f, 扣佣后净利润 %.6f, 佣金 %.6f' % (trade.pnl, trade.pnlcomm, trade.commission))
自定义一个佣金类允许下单量为小数
class CommInfoFractional(bt.CommissionInfo):
def getsize(self, price, cash):
'''Returns fractional size for cash operation @price'''
return self.p.leverage * (cash / price)
#######################
#主程序开始
if name == 'main':
#2. Create a Cerebro 创建大脑引擎对象
cerebro=bt.Cerebro() #如果下面自己控制observer，则(stdstats=False);否则默认broker,Trades,BuySell
#2.1 注入Observer,
cerebro.addobserver(bt.observers.DrawDown)
#3. 获取本脚本文件所在路径
modpath = os.path.dirname(os.path.abspath(sys.argv[0]))
#4. 拼接得到数据文件全路径
datapath = os.path.join(modpath, 'BTC_30min.csv')
#5. 创建行情数据对象，加载数据
data = bt.feeds.GenericCSVData(
dataname = datapath,
datetime=0, # 日期行在第0列
open=1,
high=2,
low=3,
close=4,
volume=5,
openinterest=-1, #无未平仓量列
dtformat=('%Y-%m-%d %H:%M:%S'), #日期格式读取到秒
timeframe=bt.TimeFrame.Seconds,
#timeframe=bt.TimeFrame.Minutes,
fromdate=datetime.datetime(2020,8,18), #起始日
todate=datetime.datetime(2021,7,31),
nullvalue=0.0
) #结束日
cerebro.adddata(data)
cerebro.addstrategy(BOLLStrat)
cerebro.broker.setcash(100000.0) #设置初始资金
cerebro.broker.setcommission(0.001) #佣金费率
cerebro.broker.set_slippage_fixed(0.025)
print('初始市值： %.6f' % cerebro.broker.getvalue())
cerebro.run(runonce=False)
print('最终市值： %.6f' % cerebro.broker.getvalue())
cerebro.plot()
currently the difference is not that big, but still difference. And if the period is longer, and apply more usage of the indicator, the difference is higher.
BTW, I used BTC 30min data from Binance but don't know how to upload the data...
code_text
