Pyalgotrade

Question

我正在与 Pyalgotrade 合作测试 python 中的交易策略。 Pyalgotrade 允许使用名为 TA-LIB 的库，这是一个技术分析库。出于某种原因，当我使用 PPO 指标时，它 returns "None"。该指标接受一些参数：(http://gbeced.github.io/pyalgotrade/docs/v0.12/html/talib.html)

我提供了一个输出片段，目前只是当天的收盘价以及该指标的输出。 'DDD' 是我一直在测试的代码。

我一直在努力让它工作的时间比我承认的要长。我该如何解决这个问题？

输出：

2016-11-08 00:00:00 strategy [INFO] 13.56,None
2016-11-09 00:00:00 strategy [INFO] 13.77,None
2016-11-10 00:00:00 strategy [INFO] 14.06,None
2016-11-11 00:00:00 strategy [INFO] 14.71,None
2016-11-14 00:00:00 strategy [INFO] 14.3,None
2016-11-15 00:00:00 strategy [INFO] 13.91,None

这是我的代码：

from pyalgotrade import strategy
from pyalgotrade.tools import yahoofinance
from pyalgotrade import talibext
from pyalgotrade.talibext import indicator
import talib
import numpy

class MyStrategy(strategy.BacktestingStrategy):
    def __init__(self, feed, instrument):
        super(MyStrategy, self).__init__(feed, 1000)
        self.__position = None
        self.__instrument = instrument
        self.setUseAdjustedValues(True) 
        self.__prices = feed[instrument].getPriceDataSeries()

        self.__PPO = talibext.indicator.PPO(feed,0,12,26,9)

    def onEnterOk(self, position):
        execInfo = position.getEntryOrder().getExecutionInfo()
        self.info("BUY at $%.2f" % (execInfo.getPrice()))

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

    def onExitOk(self, position):
        execInfo = position.getExitOrder().getExecutionInfo()
        self.info("SELL at $%.2f" % (execInfo.getPrice()))
        self.__position = None

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

    def onBars(self, bars):

        bar = bars[self.__instrument]
        self.info("%s,%s" % (bar.getClose(),self.__PPO))

    def run_strategy(inst):
    # Load the yahoo feed from the CSV file

    feed = yahoofinance.build_feed([inst],2015,2016, ".")

    # Evaluate the strategy with the feed.
    myStrategy = MyStrategy(feed, inst)
    myStrategy.run()
    print "Final portfolio value: $%.2f" % myStrategy.getBroker().getEquity()


def main():
    instruments = ['ddd']
    for inst in instruments:
            run_strategy(inst)


if __name__ == '__main__':
        main()

Answer 1

你传递的参数有误。这是 PPO 函数签名：

def PPO(ds, count, fastperiod=-2**31, slowperiod=-2**31, matype=0):

ds类型为BarDataSeries，count指定要从尾部计算多长的数据。计算成功会return一个numpy array

而 talibext 指标只计算一次，在输入新柱时不会计算新结果。

因此您需要在每次 onBars 调用中计算 PPO。

def __init__(self, feed, instrument):
    ...

    self.__feed = feed

def onBars(self, bars):
    feed = self.__feed
    self.__PPO = talibext.indicator.PPO(feed[self.__instrument], len(feed[self.__instrument]),12,26, matype=0)
    bar = bars[self.__instrument]
    self.info("%s,%s" % (bar.getClose(),self.__PPO[-1]))

Pyalgotrade - TA-LIB - 指标 Returns "NONE"

Pyalgotrade - TA-LIB - Indicator Returns "NONE"

python

stocks

quantitative-finance

ta-lib