첫 번째 커밋

test_backtrader.py

@@ -0,0 +1,173 @@
+from __future__ import (absolute_import, division, print_function,
+                        unicode_literals)
+
+import datetime  # For datetime objects
+import os.path  # To manage paths
+import sys  # To find out the script name (in argv[0])
+
+# Import the backtrader platform
+import backtrader as bt
+
+import backtrader.analyzers as btanalyzers
+
+import math
+import pandas as pd
+import numpy as np
+
+# 데이터 넣기
+# 주 지표 적용
+# 보조 지표 적용
+# 지표 혼합 적용
+# 경우의 수에 따른 시뮬레이팅
+
+PARAMS = (
+    ('maperiod', 15),  # moving average period
+    ('period', 15),  #
+    ('willperiod', 14),  # moving average period
+    ('sizer', None),
+)
+
+
+class TestStrategy(bt.Strategy):
+    params = PARAMS
+
+    def log(self, txt, dt=None):
+        ''' Logging function fot this strategy'''
+        dt = dt or self.datas[0].datetime.date(0)
+        print('%s, %s' % (dt.isoformat(), txt))
+
+    def __init__(self):
+        # Keep a reference to the "close" line in the data[0] dataseries
+
+        self.dataclose = self.datas[0].close
+
+        # To keep track of pending orders and buy price/commission
+        self.order = None
+        #		self.order = self.order_target_percent(target=0.1)
+        self.buyprice = None
+        self.buycomm = None
+        # self.sma = bt.indicators.SimpleMovingAverage(self.datas[0], period=self.params.maperiod)
+        self.sma = bt.indicators.ExponentialMovingAverage(self.datas[0], period=25)
+
+
+    def notify_order(self, order):
+        if order.status in [order.Submitted, order.Accepted]:
+            # Buy/Sell order submitted/accepted to/by broker - Nothing to do
+            return
+
+        # Check if an order has been completed
+        # Attention: broker could reject order if not enougth cash
+        if order.status in [order.Completed, order.Canceled, order.Margin]:
+            if order.isbuy():
+                self.log(
+                    'BUY EXECUTED, Price: %.2f, Cost: %.2f, Comm %.2f' %
+                    (order.executed.price,
+                     order.executed.value,
+                     order.executed.comm))
+
+                self.buyprice = order.executed.price
+                self.buycomm = order.executed.comm
+            else:  # Sell
+                self.log('SELL EXECUTED, Price: %.2f, Cost: %.2f, Comm %.2f' %
+                         (order.executed.price,
+                          order.executed.value,
+                          order.executed.comm))
+
+            self.bar_executed = len(self)
+
+        # Write down: no pending order
+        self.order = None
+
+    def notify_trade(self, trade):
+        if not trade.isclosed:
+            return
+
+        self.log('OPERATION PROFIT, GROSS %.2f, NET %.2f' %
+                 (trade.pnl, trade.pnlcomm))
+
+    def next(self):
+        # Simply log the closing price of the series from the reference
+        # Check if an order is pending ... if yes, we cannot send a 2nd one
+        if self.order:
+            return
+
+        # Check if we are in the market
+        if not self.position:
+            # Not yet ... we MIGHT BUY if ...
+            if self.dataclose[0] > self.sma[0]:
+                # BUY, BUY, BUY!!! (with all possible default parameters)
+                self.log('BUY CREATE, close : %.2f, sma25 : %.2f' % (self.dataclose[0], self.sma[0]))
+                # Keep track of the created order to avoid a 2nd order
+                self.order = self.buy()
+        else:
+
+            if self.dataclose[0] < self.sma[0]:
+                # SELL, SELL, SELL!!! (with all possible default parameters)
+                self.log('SELL CREATE, close : %.2f, sma25 : %.2f' % (self.dataclose[0], self.sma[0]))
+
+                # Keep track of the created order to avoid a 2nd order
+                self.order = self.sell()
+
+
+class LongOnly(bt.Sizer):
+    params = (('stake', 1),)
+
+    def _getsizing(self, comminfo, cash, data, isbuy):
+        if isbuy:
+            divide = math.floor(cash / data.close[0])
+            #			divide = math.floor(cash/data.open[1])
+            self.p.stake = divide
+            #			print(self.p.stake)
+            #			print(math.floor(cash/data.close[0]))
+
+            return self.p.stake
+        # Sell situation
+        position = self.broker.getposition(data)
+        if not position.size:
+            return 0  # do not sell if nothing is open
+        return self.p.stake
+
+
+if __name__ == '__main__':
+    cerebro = bt.Cerebro()
+    # Add a strategy
+    cerebro.addstrategy(TestStrategy)
+    # Add Sizer
+    cerebro.addsizer(LongOnly)
+
+    # because it could have been called from anywhere
+    modpath = os.path.dirname(os.path.abspath(sys.argv[0]))
+    datapath = os.path.join(modpath, 'orcl-2014.txt')
+
+    # Create a Data Feed
+    data = bt.feeds.YahooFinanceCSVData(
+        dataname=datapath,
+        # Do not pass values before this date
+        # Do not pass values before this date
+        # Do not pass values after this date
+        reverse=False)
+
+    # Add the Data Feed to Cerebro
+    cerebro.adddata(data)
+
+    # Set our desired cash start
+    cerebro.broker.setcash(1000.0)
+
+    #	In order to buy on open you may want to
+    #	bt.filters.BarReplayer_Open(data)
+    cerebro.broker.set_coc(True)
+
+    # Set the commission
+    cerebro.broker.setcommission(commission=0.005)
+
+    # Print out the starting conditions
+    print('Starting Portfolio Value: %.2f' % cerebro.broker.getvalue())
+
+    # Run over everything
+    cerebro.run()
+
+    # Print out the final result
+    print('Final Portfolio Value: %.2f' % cerebro.broker.getvalue())
+
+    # Plot the result
+    cerebro.plot()