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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)
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1 回答 1

2

这应该有助于：

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, instruments, bBandsPeriod):
        strategy.BacktestingStrategy.__init__(self, feed)
        self.__instruments = instruments

        self.__bbands = {}
        for instrument in instruments:
            self.__bbands[instrument] = bollinger.BollingerBands(feed[instrument].getCloseDataSeries(), bBandsPeriod, 2)

    def getBollingerBands(self):
        return self.__bbands

    def onBarsPerInstrument(self, instrument, bars):
        bbands = self.__bbands[instrument]
        lower = bbands.getLowerBand()[-1]
        upper = bbands.getUpperBand()[-1]
        if lower is None:
            return

        shares = self.getBroker().getShares(instrument)
        bar = bars[instrument]
        if shares == 0 and bar.getClose() < lower:
            sharesToBuy = int(self.getBroker().getCash(False) / bar.getClose())
            self.marketOrder(instrument, sharesToBuy)
        elif shares > 0 and bar.getClose() > upper:
            self.marketOrder(instrument, -1*shares)

    def onBars(self, bars):
        for instrument in self.__instruments:
            self.onBarsPerInstrument(instrument, bars)


def main(plot):
    instruments = ["AAPL", "ORCL"]
    bBandsPeriod = 40

    # Download the bars.
    feed = yahoofinance.build_feed(instruments, 2015, 2016, ".")

    strat = BBands(feed, instruments, bBandsPeriod)
    sharpeRatioAnalyzer = sharpe.SharpeRatio()
    strat.attachAnalyzer(sharpeRatioAnalyzer)

    if plot:
        plt = plotter.StrategyPlotter(strat, True, True, True)
        for instrument in instruments:
            bbands = strat.getBollingerBands()[instrument]
            plt.getInstrumentSubplot(instrument).addDataSeries("upper", bbands.getUpperBand())
            plt.getInstrumentSubplot(instrument).addDataSeries("middle", bbands.getMiddleBand())
            plt.getInstrumentSubplot(instrument).addDataSeries("lower", bbands.getLowerBand())

    strat.run()
    print "Sharpe ratio: %.2f" % sharpeRatioAnalyzer.getSharpeRatio(0.05)

    if plot:
        plt.plot()


if __name__ == "__main__":
    main(True)
于 2017-03-05T03:08:04.173 回答