在 Backtrader 中使用 MACD 指标的多头和空头策略
long and short strategy with macd indicator in Backtrader
我刚从 Matlab 切换到 python 甚至更新到 backtrader 库来回测交易策略。我的问题似乎很明显。
我的问题似乎与此类似：
https://community.backtrader.com/topic/2857/wanted-exit-long-and-open-short-on-the-same-bar-and-vice-versa
还有这个：
https://community.backtrader.com/topic/2797/self-close-does-not-clear-position
下面的代码是一个简单的 MACD 策略。
这是代码：
# -*- coding: utf-8 -*-
"""
"""
import backtrader as bt
import argparse
import backtrader.feeds as btFeeds
import numpy as np
import yfinance as yf
import pandas as pd
import talib
class SimpleMACDStrat(bt.Strategy):
def __init__(self):
#Keep a reference to the "close" line in the data[0] dataseries
self.dataclose = self.datas[0].close
self.order = None
def log(self, txt, dt=None):
dt = dt or self.datas[0].datetime.date(0)
print(f'{dt.isoformat()} {txt}')
#Print date and close
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 enough cash
if order.status in [order.Completed]:
if order.isbuy():
self.log('LONG EXECUTED, %.2f' % order.executed.price)
elif order.issell():
self.log('SELL EXECUTED, %.2f' % order.executed.price)
self.bar_executed = len(self)
elif order.status in [order.Canceled, order.Margin, order.Rejected]:
self.log('Order Canceled/Margin/Rejected')
# Write down: no pending order
self.order = None
def next(self):
self.log("Close: '{0}'" .format(self.data.adj_close[0]))
print('%f %f %f %f %f %f %f %f %f %f %f %f %f' % (self.data.Indexx[0],self.data.open[0],
self.data.high[0],self.data.low[0],
self.data.close[0],self.data.adj_close[0],
self.data.volume[0],self.data.EMA_100[0],
self.data.RSI[0], self.data.CCI[0],
self.data.MACD_macd[0],self.data.MACD_sign[0],self.data.MACD_hist[0]))
if self.order:
return
if self.data.MACD_hist[0]>0:
if self.position.size<0 and self.data.MACD_hist[-1]<0 :
self.close()
self.log('CLOSE SHORT POSITION, %.2f' % self.dataclose[0])
elif self.position.size==0:
self.order=self.buy()
self.log('OPEN LONG POSITION, %.2f' % self.dataclose[0])
elif self.data.MACD_hist[0]<0:
if self.position.size>0 and self.data.MACD_hist[-1]>0:
self.order=self.close()
self.log('CLOSE LONG POSITION, %.2f' % self.dataclose[0])
elif self.position.size==0:
self.order=self.sell()
self.log('OPEN SHORT POSITION, %.2f' % self.dataclose[0])
print('')
class BasicIndicatorsFeeded(btFeeds.PandasData):
lines = ('Indexx', 'adj_close', 'EMA_100', 'RSI', 'CCI', 'MACD_macd', 'MACD_sign', 'MACD_hist',)
params = ( ('Indexx', 0), ('adj_close', 5), ('volume', 6),
('EMA_100', 7), ('RSI', 8), ('CCI', 9),
('MACD_macd', 10), ('MACD_sign', 11), ('MACD_hist', 12),)
if __name__ == '__main__':
cerebro = bt.Cerebro()
#Add data feed to Cerebro
data1 = yf.download("AAPL",start="2021-08-09", end="2021-12-21",group_by="ticker")
data1.insert(0,'Indexx',' ')
data1['Indexx']=range(len(data1))
data1['EMA_100']=talib.EMA(data1['Adj Close'],100)
data1['RSI']=talib.RSI(data1['Adj Close'],14)
data1['CCI']=talib.CCI(data1['High'], data1['Low'], data1['Adj Close'], timeperiod=14)
data1['MACD_macd']=talib.MACD(data1['Adj Close'], fastperiod=12, slowperiod=26, signalperiod=9)[0]
data1['MACD_sign']=talib.MACD(data1['Adj Close'], fastperiod=12, slowperiod=26, signalperiod=9)[1]
data1['MACD_hist']=talib.MACD(data1['Adj Close'], fastperiod=12, slowperiod=26, signalperiod=9)[2]
# data1['Long_position']
# Run Cerebro Engine
cerebro.broker.setcash(8000000000)
start_portfolio_value = cerebro.broker.getvalue()
cerebro.addstrategy(SimpleMACDStrat)
data = BasicIndicatorsFeeded(dataname=data1)
cerebro.adddata(data)
cerebro.run()
cerebro.plot()
# print(data1)
print('-------------------')
#print('%f' %data)
# print(data)
end_portfolio_value = cerebro.broker.getvalue()
pnl = end_portfolio_value - start_portfolio_value
print(f'Starting Portfolio Value: {start_portfolio_value:2f}')
print(f'Final Portfolio Value: {end_portfolio_value:2f}')
print(f'PnL: {pnl:.2f}')
结果如下：
results
2021 年 11 月 10 日，macd_hist 从积极变为消极。我们预计第二天(2021-11-11):
a) 多头头寸在 and
之后平仓
b)开空仓
1)我们看到 a) 实际上在同一天关闭。下一次不是应该发生吗？
2)第二天还执行了卖出，这是不应该发生的。
对于 1) 和 2) 的任何建议都将受到欢迎。谢谢。
阿贝
编辑：
顺便说一句，我知道这个想法可以这样编码（只有 def next）：
def next(self):
#print('%f' % (self.datas[0].Indexxx[0])
self.log("Close: '{0}'" .format(self.data.adj_close[0]))
print('%f %f %f %f %f %f %f %f %f %f %f %f %f' % (self.data.Indexx[0],self.data.open[0],
self.data.high[0],self.data.low[0],
self.data.close[0],self.data.adj_close[0],
self.data.volume[0],self.data.EMA_100[0],
self.data.RSI[0], self.data.CCI[0],
self.data.MACD_macd[0],self.data.MACD_sign[0],self.data.MACD_hist[0]))
if self.order:
return
print(self.position)
if self.data.MACD_hist[0]>0 and self.data.MACD_hist[-1]<0:
self.order=self.buy()
self.log('CLOSE SHORT POSITION and open long, %.2f' % self.dataclose[0])
if self.data.MACD_hist[0]<0 and self.data.MACD_hist[-1]>0:
self.order=self.sell()
self.log('CLOSE LONG POSITION and open short, %.2f' % self.dataclose[0])
print('')
可是我真的很想分开
self.close()
例如
self.buy()
这将使我以后可以使用不同的条件来平仓和开仓。
非常感谢任何输入、想法和评论。
阿贝
在您的代码中显示了以下内容：
if self.data.MACD_hist[0]>0:
if self.position.size<0 and self.data.MACD_hist[-1]<0 :
self.close()
self.log('CLOSE SHORT POSITION, %.2f' % self.dataclose[0])
elif self.position.size==0:
self.order=self.buy()
self.log('OPEN LONG POSITION, %.2f' % self.dataclose[0])
elif self.data.MACD_hist[0]<0:
if self.position.size>0 and self.data.MACD_hist[-1]>0:
self.order=self.close()
self.log('CLOSE LONG POSITION, %.2f' % self.dataclose[0])
elif self.position.size==0:
self.order=self.sell()
self.log('OPEN SHORT POSITION, %.2f' % self.dataclose[0])
按照逻辑，next只可能满足其中一个条件。
您表示您希望收盘和入场分开。您需要将 elif 更改为 if。此外，如果您使用 self.position.size == 0 标准，则在执行收盘前不会发生这种情况，因此收盘后的柱线，而不是下一个柱线。但如果您希望有其他条件，您可以在另一个 if 语句之后输入。
if self.data.MACD_hist[0]>0:
if self.position.size<0 and self.data.MACD_hist[-1]<0 :
self.close()
self.log('CLOSE SHORT POSITION, %.2f' % self.dataclose[0])
#### change here ####
if SOME OTHER CONDITION:
self.order=self.buy()
self.log('OPEN LONG POSITION, %.2f' % self.dataclose[0])
...
一旦平仓，实际上就没有必要检查仓位是否达到 0 个单位。你可以放心地假设它会。
我刚从 Matlab 切换到 python 甚至更新到 backtrader 库来回测交易策略。我的问题似乎很明显。
我的问题似乎与此类似： https://community.backtrader.com/topic/2857/wanted-exit-long-and-open-short-on-the-same-bar-and-vice-versa
还有这个： https://community.backtrader.com/topic/2797/self-close-does-not-clear-position 下面的代码是一个简单的 MACD 策略。 这是代码：
# -*- coding: utf-8 -*-
"""
"""
import backtrader as bt
import argparse
import backtrader.feeds as btFeeds
import numpy as np
import yfinance as yf
import pandas as pd
import talib
class SimpleMACDStrat(bt.Strategy):
def __init__(self):
#Keep a reference to the "close" line in the data[0] dataseries
self.dataclose = self.datas[0].close
self.order = None
def log(self, txt, dt=None):
dt = dt or self.datas[0].datetime.date(0)
print(f'{dt.isoformat()} {txt}')
#Print date and close
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 enough cash
if order.status in [order.Completed]:
if order.isbuy():
self.log('LONG EXECUTED, %.2f' % order.executed.price)
elif order.issell():
self.log('SELL EXECUTED, %.2f' % order.executed.price)
self.bar_executed = len(self)
elif order.status in [order.Canceled, order.Margin, order.Rejected]:
self.log('Order Canceled/Margin/Rejected')
# Write down: no pending order
self.order = None
def next(self):
self.log("Close: '{0}'" .format(self.data.adj_close[0]))
print('%f %f %f %f %f %f %f %f %f %f %f %f %f' % (self.data.Indexx[0],self.data.open[0],
self.data.high[0],self.data.low[0],
self.data.close[0],self.data.adj_close[0],
self.data.volume[0],self.data.EMA_100[0],
self.data.RSI[0], self.data.CCI[0],
self.data.MACD_macd[0],self.data.MACD_sign[0],self.data.MACD_hist[0]))
if self.order:
return
if self.data.MACD_hist[0]>0:
if self.position.size<0 and self.data.MACD_hist[-1]<0 :
self.close()
self.log('CLOSE SHORT POSITION, %.2f' % self.dataclose[0])
elif self.position.size==0:
self.order=self.buy()
self.log('OPEN LONG POSITION, %.2f' % self.dataclose[0])
elif self.data.MACD_hist[0]<0:
if self.position.size>0 and self.data.MACD_hist[-1]>0:
self.order=self.close()
self.log('CLOSE LONG POSITION, %.2f' % self.dataclose[0])
elif self.position.size==0:
self.order=self.sell()
self.log('OPEN SHORT POSITION, %.2f' % self.dataclose[0])
print('')
class BasicIndicatorsFeeded(btFeeds.PandasData):
lines = ('Indexx', 'adj_close', 'EMA_100', 'RSI', 'CCI', 'MACD_macd', 'MACD_sign', 'MACD_hist',)
params = ( ('Indexx', 0), ('adj_close', 5), ('volume', 6),
('EMA_100', 7), ('RSI', 8), ('CCI', 9),
('MACD_macd', 10), ('MACD_sign', 11), ('MACD_hist', 12),)
if __name__ == '__main__':
cerebro = bt.Cerebro()
#Add data feed to Cerebro
data1 = yf.download("AAPL",start="2021-08-09", end="2021-12-21",group_by="ticker")
data1.insert(0,'Indexx',' ')
data1['Indexx']=range(len(data1))
data1['EMA_100']=talib.EMA(data1['Adj Close'],100)
data1['RSI']=talib.RSI(data1['Adj Close'],14)
data1['CCI']=talib.CCI(data1['High'], data1['Low'], data1['Adj Close'], timeperiod=14)
data1['MACD_macd']=talib.MACD(data1['Adj Close'], fastperiod=12, slowperiod=26, signalperiod=9)[0]
data1['MACD_sign']=talib.MACD(data1['Adj Close'], fastperiod=12, slowperiod=26, signalperiod=9)[1]
data1['MACD_hist']=talib.MACD(data1['Adj Close'], fastperiod=12, slowperiod=26, signalperiod=9)[2]
# data1['Long_position']
# Run Cerebro Engine
cerebro.broker.setcash(8000000000)
start_portfolio_value = cerebro.broker.getvalue()
cerebro.addstrategy(SimpleMACDStrat)
data = BasicIndicatorsFeeded(dataname=data1)
cerebro.adddata(data)
cerebro.run()
cerebro.plot()
# print(data1)
print('-------------------')
#print('%f' %data)
# print(data)
end_portfolio_value = cerebro.broker.getvalue()
pnl = end_portfolio_value - start_portfolio_value
print(f'Starting Portfolio Value: {start_portfolio_value:2f}')
print(f'Final Portfolio Value: {end_portfolio_value:2f}')
print(f'PnL: {pnl:.2f}')
结果如下：
results
2021 年 11 月 10 日，macd_hist 从积极变为消极。我们预计第二天(2021-11-11):
a) 多头头寸在 and
之后平仓b)开空仓
1)我们看到 a) 实际上在同一天关闭。下一次不是应该发生吗？
2)第二天还执行了卖出，这是不应该发生的。
对于 1) 和 2) 的任何建议都将受到欢迎。谢谢。
阿贝
编辑：
顺便说一句，我知道这个想法可以这样编码（只有 def next）：
def next(self):
#print('%f' % (self.datas[0].Indexxx[0])
self.log("Close: '{0}'" .format(self.data.adj_close[0]))
print('%f %f %f %f %f %f %f %f %f %f %f %f %f' % (self.data.Indexx[0],self.data.open[0],
self.data.high[0],self.data.low[0],
self.data.close[0],self.data.adj_close[0],
self.data.volume[0],self.data.EMA_100[0],
self.data.RSI[0], self.data.CCI[0],
self.data.MACD_macd[0],self.data.MACD_sign[0],self.data.MACD_hist[0]))
if self.order:
return
print(self.position)
if self.data.MACD_hist[0]>0 and self.data.MACD_hist[-1]<0:
self.order=self.buy()
self.log('CLOSE SHORT POSITION and open long, %.2f' % self.dataclose[0])
if self.data.MACD_hist[0]<0 and self.data.MACD_hist[-1]>0:
self.order=self.sell()
self.log('CLOSE LONG POSITION and open short, %.2f' % self.dataclose[0])
print('')
可是我真的很想分开
self.close()
例如
self.buy()
这将使我以后可以使用不同的条件来平仓和开仓。
非常感谢任何输入、想法和评论。
阿贝
在您的代码中显示了以下内容：
if self.data.MACD_hist[0]>0:
if self.position.size<0 and self.data.MACD_hist[-1]<0 :
self.close()
self.log('CLOSE SHORT POSITION, %.2f' % self.dataclose[0])
elif self.position.size==0:
self.order=self.buy()
self.log('OPEN LONG POSITION, %.2f' % self.dataclose[0])
elif self.data.MACD_hist[0]<0:
if self.position.size>0 and self.data.MACD_hist[-1]>0:
self.order=self.close()
self.log('CLOSE LONG POSITION, %.2f' % self.dataclose[0])
elif self.position.size==0:
self.order=self.sell()
self.log('OPEN SHORT POSITION, %.2f' % self.dataclose[0])
按照逻辑，next只可能满足其中一个条件。
您表示您希望收盘和入场分开。您需要将 elif 更改为 if。此外，如果您使用 self.position.size == 0 标准，则在执行收盘前不会发生这种情况，因此收盘后的柱线，而不是下一个柱线。但如果您希望有其他条件，您可以在另一个 if 语句之后输入。
if self.data.MACD_hist[0]>0:
if self.position.size<0 and self.data.MACD_hist[-1]<0 :
self.close()
self.log('CLOSE SHORT POSITION, %.2f' % self.dataclose[0])
#### change here ####
if SOME OTHER CONDITION:
self.order=self.buy()
self.log('OPEN LONG POSITION, %.2f' % self.dataclose[0])
...
一旦平仓，实际上就没有必要检查仓位是否达到 0 个单位。你可以放心地假设它会。