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I use dash and plotly ,plot the backtest result in one page
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this is the result I plot,and there is something should be update ,but now ,it can be used!
here is the code,it come from my blog!you can put the code into plot and when you use,you can import it from the plot,and use this code:
results=run_cerebro_plot(cerebro)def create_table(df, max_rows=18): """基于dataframe，设置表格格式""" table = html.Table( # Header [ html.Tr( [ html.Th(col) for col in df.columns ] ) ] + # Body [ html.Tr( [ html.Td( df.iloc[i][col] ) for col in df.columns ] ) for i in range(min(len(df), max_rows)) ] ) return table def run_cerebro_plot(cerebro,strategy_name="动量策略",author="yunjinqi",score = 90): begin_time=time.time() cerebro.addanalyzer(bt.analyzers.PyFolio, _name='pyfolio') cerebro.addanalyzer(bt.analyzers.AnnualReturn, _name='_AnnualReturn') cerebro.addanalyzer(bt.analyzers.Calmar, _name='_Calmar') cerebro.addanalyzer(bt.analyzers.DrawDown, _name='_DrawDown') # cerebro.addanalyzer(bt.analyzers.TimeDrawDown, _name='_TimeDrawDown') cerebro.addanalyzer(bt.analyzers.GrossLeverage, _name='_GrossLeverage') cerebro.addanalyzer(bt.analyzers.PositionsValue, _name='_PositionsValue') cerebro.addanalyzer(bt.analyzers.LogReturnsRolling, _name='_LogReturnsRolling') cerebro.addanalyzer(bt.analyzers.PeriodStats, _name='_PeriodStats') cerebro.addanalyzer(bt.analyzers.Returns, _name='_Returns') cerebro.addanalyzer(bt.analyzers.SharpeRatio, _name='_SharpeRatio') # cerebro.addanalyzer(bt.analyzers.SharpeRatio_A, _name='_SharpeRatio_A') cerebro.addanalyzer(bt.analyzers.SQN, _name='_SQN') cerebro.addanalyzer(bt.analyzers.TimeReturn, _name='_TimeReturn') cerebro.addanalyzer(bt.analyzers.TradeAnalyzer, _name='_TradeAnalyzer') cerebro.addanalyzer(bt.analyzers.Transactions, _name='_Transactions') cerebro.addanalyzer(bt.analyzers.VWR, _name='_VWR') cerebro.addanalyzer(bt.analyzers.TotalValue, _name='_TotalValue') results = cerebro.run() plot_results(results,"/home/yun/index_000300_reverse_strategy_hold_day_90.html") end_time=time.time() print("backtest consume time :{}".format(end_time-begin_time)) performance_dict=OrderedDict() calmar_ratio=list(results[0].analyzers._Calmar.get_analysis().values())[-1] # print(calmar_ratio) drawdown_info=results[0].analyzers._DrawDown.get_analysis() average_drawdown_len=drawdown_info['len'] average_drawdown_rate=drawdown_info['drawdown'] average_drawdown_money=drawdown_info['moneydown'] max_drawdown_len=drawdown_info['max']['len'] max_drawdown_rate=drawdown_info['max']['drawdown'] max_drawdown_money=drawdown_info['max']['moneydown'] PeriodStats_info=results[0].analyzers._PeriodStats.get_analysis() average_rate=PeriodStats_info['average'] stddev_rate=PeriodStats_info['stddev'] positive_year=PeriodStats_info['positive'] negative_year=PeriodStats_info['negative'] nochange_year=PeriodStats_info['nochange'] best_year=PeriodStats_info['best'] worst_year=PeriodStats_info['worst'] SQN_info=results[0].analyzers._SQN.get_analysis() sqn_ratio=SQN_info['sqn'] VWR_info=results[0].analyzers._VWR.get_analysis() vwr_ratio=VWR_info['vwr'] sharpe_info=results[0].analyzers._SharpeRatio.get_analysis() sharpe_ratio=sharpe_info['sharperatio'] # sharpe_info=results[0].analyzers._SharpeRatio_A.get_analysis() performance_dict['calmar_ratio']=calmar_ratio performance_dict['average_drawdown_len']=average_drawdown_len performance_dict['average_drawdown_rate']=average_drawdown_rate performance_dict['average_drawdown_money']=average_drawdown_money performance_dict['max_drawdown_len']=max_drawdown_len performance_dict['max_drawdown_rate']=max_drawdown_rate performance_dict['max_drawdown_money']=max_drawdown_money performance_dict['average_rate']=average_rate performance_dict['stddev_rate']=stddev_rate performance_dict['positive_year']=positive_year performance_dict['negative_year']=negative_year performance_dict['nochange_year']=nochange_year performance_dict['best_year']=best_year performance_dict['worst_year']=worst_year performance_dict['sqn_ratio']=sqn_ratio performance_dict['vwr_ratio']=vwr_ratio performance_dict['sharpe_info']=sharpe_ratio performance_dict['omega']=0 trade_dict_1=OrderedDict() trade_dict_2=OrderedDict() trade_info=results[0].analyzers._TradeAnalyzer.get_analysis() total_trade_num=trade_info['total']['total'] total_trade_opened=trade_info['total']['open'] total_trade_closed=trade_info['total']['closed'] total_trade_len=trade_info['len']['total'] long_trade_len=trade_info['len']['long']['total'] short_trade_len=trade_info['len']['short']['total'] longest_win_num=trade_info['streak']['won']['longest'] longest_lost_num=trade_info['streak']['lost']['longest'] net_total_pnl=trade_info['pnl']['net']['total'] net_average_pnl=trade_info['pnl']['net']['average'] win_num=trade_info['won']['total'] win_total_pnl=trade_info['won']['pnl']['total'] win_average_pnl=trade_info['won']['pnl']['average'] win_max_pnl=trade_info['won']['pnl']['max'] lost_num=trade_info['lost']['total'] lost_total_pnl=trade_info['lost']['pnl']['total'] lost_average_pnl=trade_info['lost']['pnl']['average'] lost_max_pnl=trade_info['lost']['pnl']['max'] trade_dict_1['total_trade_num']=total_trade_num trade_dict_1['total_trade_opened']=total_trade_opened trade_dict_1['total_trade_closed']=total_trade_closed trade_dict_1['total_trade_len']=total_trade_len trade_dict_1['long_trade_len']=long_trade_len trade_dict_1['short_trade_len']=short_trade_len trade_dict_1['longest_win_num']=longest_win_num trade_dict_1['longest_lost_num']=longest_lost_num trade_dict_1['net_total_pnl']=net_total_pnl trade_dict_1['net_average_pnl']=net_average_pnl trade_dict_1['win_num']=win_num trade_dict_1['win_total_pnl']=win_total_pnl trade_dict_1['win_average_pnl']=win_average_pnl trade_dict_1['win_max_pnl']=win_max_pnl trade_dict_1['lost_num']=lost_num trade_dict_1['lost_total_pnl']=lost_total_pnl trade_dict_1['lost_average_pnl']=lost_average_pnl trade_dict_1['lost_max_pnl']=lost_max_pnl long_num=trade_info['long']['total'] long_win_num=trade_info['long']['won'] long_lost_num=trade_info['long']['lost'] long_total_pnl=trade_info['long']['pnl']['total'] long_average_pnl=trade_info['long']['pnl']['average'] long_win_total_pnl=trade_info['long']['pnl']['won']['total'] long_win_max_pnl=trade_info['long']['pnl']['won']['max'] long_lost_total_pnl=trade_info['long']['pnl']['lost']['total'] long_lost_max_pnl=trade_info['long']['pnl']['lost']['max'] short_num=trade_info['short']['total'] short_win_num=trade_info['short']['won'] short_lost_num=trade_info['short']['lost'] short_total_pnl=trade_info['short']['pnl']['total'] short_average_pnl=trade_info['short']['pnl']['average'] short_win_total_pnl=trade_info['short']['pnl']['won']['total'] short_win_max_pnl=trade_info['short']['pnl']['won']['max'] short_lost_total_pnl=trade_info['short']['pnl']['lost']['total'] short_lost_max_pnl=trade_info['short']['pnl']['lost']['max'] trade_dict_2['long_num']=long_num trade_dict_2['long_win_num']=long_win_num trade_dict_2['long_lost_num']=long_lost_num trade_dict_2['long_total_pnl']=long_total_pnl trade_dict_2['long_average_pnl']=long_average_pnl trade_dict_2['long_win_total_pnl']=long_win_total_pnl trade_dict_2['long_win_max_pnl']=long_win_max_pnl trade_dict_2['long_lost_total_pnl']=long_lost_total_pnl trade_dict_2['long_lost_max_pnl']=long_lost_max_pnl trade_dict_2['short_num']=short_num trade_dict_2['short_win_num']=short_win_num trade_dict_2['short_lost_num']=short_lost_num trade_dict_2['short_total_pnl']=short_total_pnl trade_dict_2['short_average_pnl']=short_average_pnl trade_dict_2['short_win_total_pnl']=short_win_total_pnl trade_dict_2['short_win_max_pnl']=short_win_max_pnl trade_dict_2['short_lost_total_pnl']=short_lost_total_pnl trade_dict_2['short_lost_max_pnl']=short_lost_max_pnl len(performance_dict)==len(trade_dict_2)==len(trade_dict_1) df00=pd.DataFrame(index=range(18)) df01=pd.DataFrame([performance_dict]).T df01.columns=['绩效指标值'] df02=pd.DataFrame([trade_dict_1]).T df02.columns=['普通交易指标值'] df03=pd.DataFrame([trade_dict_2]).T df03.columns=['多空交易指标值'] df00['绩效指标']=df01.index df00['绩效指标值']=[round(float(i),4) for i in list(df01['绩效指标值'])] df00['普通交易指标']=df02.index df00['普通交易指标值']=[round(float(i),4) for i in list(df02['普通交易指标值'])] df00['多空交易指标']=df03.index df00['多空交易指标值']=[round(float(i),4) for i in list(df03['多空交易指标值'])] test_time=datetime.datetime.now().strftime('%Y-%m-%d %H:%M:%S') # 账户价值 df0=df1=pd.DataFrame([results[0].analyzers._TotalValue.get_analysis()]).T df0.columns=['total_value'] # 总的杠杆 df1=pd.DataFrame([results[0].analyzers._GrossLeverage.get_analysis()]).T df1.columns=['GrossLeverage'] # 滚动的对数收益率 df2=pd.DataFrame([results[0].analyzers._LogReturnsRolling.get_analysis()]).T df2.columns=['log_return'] # year_rate df3=pd.DataFrame([results[0].analyzers._AnnualReturn.get_analysis()]).T df3.columns=['year_rate'] # 总的持仓价值 df4=pd.DataFrame(results[0].analyzers._PositionsValue.get_analysis()).T df4['total_position_value']=df4.sum(axis=1) # 定义表格组件 app = dash.Dash() # app = JupyterDash('策略评估结果') # server = app.server colors = dict(background = 'white', text = 'black') app.layout = html.Div( style = dict(backgroundColor = colors['background']), children = [ html.H1( children='{}的策略评估结果'.format(strategy_name), style = dict(textAlign='center', color = colors['text'])), html.Div( children=f'策略作者 ： {author} ___ 测试时间： {test_time} ___ 测试分数为 : {score}', style = dict(textAlign = 'center', color = colors['text'])), dcc.Graph( id='账户价值', figure = dict( data = [{'x': list(df0.index), 'y': list(df0.total_value), #'text':[int(i*1000)/10 for i in list(df3.year_rate)], 'type': 'scatter', 'name': '账户价值', 'textposition':"outside"}], layout = dict( title='账户价值', plot_bgcolor = colors['background'], paper_bgcolor = colors['background'], font = dict(color = colors['text'], ) ) ) ), dcc.Graph( id='持仓市值', figure = dict( data = [{'x': list(df4.index), 'y': list(df4.total_position_value), #'text':[int(i*1000)/10 for i in list(df3.year_rate)], 'type': 'scatter', 'name': '持仓市值', 'textposition':"outside"}], layout = dict( title='持仓市值', plot_bgcolor = colors['background'], paper_bgcolor = colors['background'], font = dict(color = colors['text']), ) ) ), dcc.Graph( id='年化收益', figure = dict( data = [{'x': list(df3.index), 'y': list(df3.year_rate), 'text':[int(i*1000)/10 for i in list(df3.year_rate)], 'type': 'bar', 'name': '年收益率', 'textposition':"outside"}], layout = dict( title='年化收益率', plot_bgcolor = colors['background'], paper_bgcolor = colors['background'], font = dict(color = colors['text']), ) ) ), create_table(df00) ] ) app.run_server(debug=True, host='0.0.0.0') return results
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@tianjixuetu maybe,there are some indicators which I use backtrader's original analyzer,wrong;for example calmar,which is the year profit rate / max drawdown rate,but backtrader's calculate result is very different,maybe,I don't understand how to use the calmar analyzer in backtrader.
