含义 aa setuseedjoostedvalues(true) om palagotrade

Question

这里有一个SMA交叉策略的例子，我们使用的原因是什么self.setUseAdjustedValues(True) 它是如何工作的？

from pyalgotrade import strategy
from pyalgotrade.technical import ma
from pyalgotrade.technical import cross


class SMACrossOver(strategy.BacktestingStrategy):
    def __init__(self, feed, instrument, smaPeriod):
        strategy.BacktestingStrategy.__init__(self, feed)
        self.__instrument = instrument
        self.__position = None
        # We'll use adjusted close values instead of regular close values.
        self.setUseAdjustedValues(True)
        self.__prices = feed[instrument].getPriceDataSeries()
        self.__sma = ma.SMA(self.__prices, smaPeriod)

    def getSMA(self):
        return self.__sma

    def onEnterCanceled(self, position):
        self.__position = None

    def onExitOk(self, position):
        self.__position = None

    def onExitCanceled(self, position):
        # If the exit was canceled, re-submit it.
        self.__position.exitMarket()

    def onBars(self, bars):
        # If a position was not opened, check if we should enter a long position.
        if self.__position is None:
            if cross.cross_above(self.__prices, self.__sma) > 0:
                shares = int(self.getBroker().getCash() * 0.9 / bars[self.__instrument].getPrice())
                # Enter a buy market order. The order is good till canceled.
                self.__position = self.enterLong(self.__instrument, shares, True)
        # Check if we have to exit the position.
        elif not self.__position.exitActive() and cross.cross_below(self.__prices, self.__sma) > 0:
            self.__position.exitMarket()

Answer 1

如果您使用常规收盘价而不是调整后的收盘价，您的策略可能会对实际上是股票拆分结果的价格变化做出反应，而不是由于常规交易引起的价格变化activity。

Answer 2

据我理解并试图简化它，假设价格为100。

-> 1:2 中的次日拆股意味着 2 股，每股 50 股。此价格变化不是由于交易活动，没有交易涉及降低此价格。所以 setUseAdjustedValues(True) 处理这种情况。

含义 aa setuseedjoostedvalues(true) om palagotrade

meaning of setUseAdjustedValues(True) om pyalgotrade

python-2.7

pyalgotrade