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optimization.py
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optimization.py
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import datetime
import backtrader as bt
from btplotting import BacktraderPlotting, BacktraderPlottingOptBrowser
from btplotting.schemes import Tradimo
class MyStrategy(bt.Strategy):
params = (
('buydate', 21),
('holdtime', 20),
)
def __init__(self):
sma1 = bt.indicators.SMA(period=11, subplot=True)
bt.indicators.SMA(period=17, plotmaster=sma1)
bt.indicators.RSI()
def next(self):
pos = len(self.data)
if pos == self.p.buydate:
self.buy(self.datas[0], size=None)
if pos == self.p.buydate + self.p.holdtime:
self.sell(self.datas[0], size=None)
if __name__ == '__main__':
cerebro = bt.Cerebro(maxcpus=1)
data = bt.feeds.YahooFinanceCSVData(
dataname="datas/orcl-1995-2014.txt",
fromdate=datetime.datetime(2000, 1, 1),
todate=datetime.datetime(2001, 2, 28),
reverse=False,
swapcloses=True,
)
cerebro.adddata(data)
cerebro.addanalyzer(bt.analyzers.TradeAnalyzer)
cerebro.optstrategy(MyStrategy, buydate=range(40, 180, 30))
result = cerebro.run(optreturn=False)
btp = BacktraderPlotting(style='bar', scheme=Tradimo())
browser = BacktraderPlottingOptBrowser(btp, result)
browser.start()