我正在尝试在工具变量中添加多个股票报价(例如APPL、TSLA、AMZN),以便metaplotlib 可以为多个股票报价生成布林带图。现在它只显示一只股票的图表。
我尝试使用该仪器作为字典,然后尝试使用 if 循环,但它没有奏效。请告知我是否必须以不同的方式或任何其他简单的方式来实现它。
from pyalgotrade import strategy
from pyalgotrade import plotter
from pyalgotrade.tools import yahoofinance
from pyalgotrade.technical import bollinger
from pyalgotrade.stratanalyzer import sharpe
class BBands(strategy.BacktestingStrategy):
def __init__(self, feed, instrument, bBandsPeriod):
strategy.BacktestingStrategy.__init__(self, feed)
self.__instrument = instrument
self.__bbands = bollinger.BollingerBands(feed[instrument].getCloseDataSeries(), bBandsPeriod, 2)
def getBollingerBands(self):
return self.__bbands
def onBars(self, bars):
lower = self.__bbands.getLowerBand()[-1]
upper = self.__bbands.getUpperBand()[-1]
if lower is None:
return
shares = self.getBroker().getShares(self.__instrument)
bar = bars[self.__instrument]
if shares == 0 and bar.getClose() < lower:
sharesToBuy = int(self.getBroker().getCash(False) / bar.getClose())
self.marketOrder(self.__instrument, sharesToBuy)
elif shares > 0 and bar.getClose() > upper:
self.marketOrder(self.__instrument, -1*shares)
def main(plot):
instrument = "AAPL"
bBandsPeriod = 40
# Download the bars.
feed = yahoofinance.build_feed([instrument], 2015, 2016, ".")
strat = BBands(feed, instrument, bBandsPeriod)
sharpeRatioAnalyzer = sharpe.SharpeRatio()
strat.attachAnalyzer(sharpeRatioAnalyzer)
if plot:
plt = plotter.StrategyPlotter(strat, True, True, True)
plt.getInstrumentSubplot(instrument).addDataSeries("upper", strat.getBollingerBands().getUpperBand())
plt.getInstrumentSubplot(instrument).addDataSeries("middle", strat.getBollingerBands().getMiddleBand())
plt.getInstrumentSubplot(instrument).addDataSeries("lower", strat.getBollingerBands().getLowerBand())
strat.run()
print "Sharpe ratio: %.2f" % sharpeRatioAnalyzer.getSharpeRatio(0.05)
if plot:
plt.plot()
if __name__ == "__main__":
main(True)