大体了解了Backtrader的运行原理后，尝试把一个通达信的交易策略改编为backtrader策略，并测试一下交易时间是否与通达信中出现的交易时间一致。如果一致，说明改写的策略有效。
通达信中有这样一个简单的“MA交易”指标：
可以在通达信主界面按ctrl+F——F3查找“交易”找到这个指标。
指标中这两行：
MA1:=MA(CLOSE,SHORT);MA2:=MA(CLOSE,LONG);
修改为Backtrader代码：
# 收盘价的 para_short 日简单移动平均self.ma1 = bt.indicators.SimpleMovingAverage(self.data.close, period=self.params.para_short)# 收盘价的 para_long 日简单移动平均self.ma2 = bt.indicators.SimpleMovingAverage(self.data.close, period=self.params.para_long)
通达信这两行：
平空开多:=CROSS(MA1,MA2);
平多开空:=CROSS(MA2,MA1);
直接改为Backtrader的交易条件。
根据这个通达信交易指标，制作一个简易附图指标，可以显示出买入卖出点，便于我们与backtrader回测结果进行对比。
MA1:=MA(CLOSE,SHORT);MA2:=MA(CLOSE,LONG);CROSS(MA1,MA2);CROSS(MA2,MA1);
附图中可以看到买卖日期。
这个策略在Backtrader中实现后，输出运行结果：
期初资金: 100000.00
-01-29, Close, 7.02
-02-01, Close, 7.08
-02-02, Close, 6.98
-02-03, Close, 6.69
-02-04, Close, 6.57
-02-05, Close, 6.73
-02-08, Close, 6.69
-02-09, Close, 6.83
-02-10, Close, 6.97
-02-18, Close, 7.11
-02-19, Close, 7.22
-02-22, Close, 7.15
-02-23, Close, 7.13
-02-23, 买入单, 7.13
-02-24, 已买入, 价格: 7.13, 费用: 7.13, 佣金 0.01
-02-24, Close, 7.11
-02-25, Close, 7.12
-02-26, Close, 7.36
-03-01, Close, 7.48
-03-02, Close, 7.33
-03-03, Close, 7.32
-03-04, Close, 7.39
-03-05, Close, 7.50
-03-08, Close, 7.48
-03-09, Close, 7.42
-03-10, Close, 7.40
-03-11, Close, 7.39
-03-12, Close, 7.65
-03-15, Close, 7.61
-03-16, Close, 7.86
-03-17, Close, 8.13
-03-18, Close, 7.97
-03-19, Close, 7.92
-03-22, Close, 7.82
-03-23, Close, 7.74
-03-24, Close, 7.72
-03-25, Close, 7.68
-03-26, Close, 7.77
-03-29, Close, 7.83
-03-30, Close, 8.07
-03-31, Close, 7.92
-04-01, Close, 8.02
-04-02, Close, 8.00
-04-06, Close, 8.04
-04-07, Close, 7.95
-04-08, Close, 7.91
-04-09, Close, 8.09
-04-12, Close, 8.29
-04-13, Close, 8.27
-04-14, Close, 8.67
-04-15, Close, 8.97
-04-16, Close, 8.85
-04-19, Close, 8.80
-04-20, Close, 8.48
-04-21, Close, 8.35
-04-22, Close, 8.41
-04-23, Close, 8.37
-04-26, Close, 8.30
-04-27, Close, 7.76
-04-27, 卖出单, 7.76
-04-28, 已卖出, 价格: 7.99, 费用: 7.13, 佣金 0.01
-04-28, 交易利润, 毛利润 0.86, 净利润 0.84
-04-28, Close, 7.81
-04-29, Close, 7.66
-04-30, Close, 7.73
-05-06, Close, 7.73
-05-07, Close, 7.73
-05-10, Close, 7.81
-05-11, Close, 7.86
-05-12, Close, 8.03
-05-13, Close, 8.03
-05-14, Close, 7.97
-05-17, Close, 7.93
-05-18, Close, 7.84
-05-19, Close, 7.89
-05-20, Close, 7.83
-05-21, Close, 7.79
-05-24, Close, 7.81
-05-25, Close, 7.89
-05-26, Close, 7.92
-05-27, Close, 7.89
-05-27, 买入单, 7.89
-05-28, 已买入, 价格: 7.91, 费用: 7.91, 佣金 0.01
-05-28, Close, 8.68
-05-31, Close, 9.30
-06-01, Close, 8.90
-06-02, Close, 8.95
-06-03, Close, 9.12
-06-04, Close, 8.84
-06-07, Close, 8.92
-06-08, Close, 8.92
-06-09, Close, 9.11
-06-10, Close, 8.88
-06-11, Close, 8.49
-06-15, Close, 8.55
-06-16, Close, 8.93
-06-17, Close, 8.81
-06-18, Close, 8.96
-06-21, Close, 9.16
-06-22, Close, 9.04
-06-23, Close, 9.04
-06-24, Close, 8.76
-06-25, Close, 8.96
-06-28, Close, 9.04
-06-29, Close, 8.88
-06-30, Close, 9.20
-07-01, Close, 9.22
-07-02, Close, 8.73
-07-05, Close, 8.61
-07-06, Close, 9.47
-07-07, Close, 9.49
-07-08, Close, 9.64
-07-09, Close, 9.52
-07-12, Close, 10.03
-07-13, Close, 9.64
-07-14, Close, 9.74
-07-15, Close, 9.60
-07-16, Close, 9.41
-07-19, Close, 9.47
-07-20, Close, 9.19
-07-21, Close, 9.26
-07-22, Close, 9.50
-07-23, Close, 9.69
-07-26, Close, 9.25
-07-27, Close, 8.95
-07-27, 卖出单, 8.95
-07-28, 已卖出, 价格: 8.95, 费用: 7.91, 佣金 0.01
-07-28, 交易利润, 毛利润 1.04, 净利润 1.02
-07-28, Close, 9.04
-07-29, Close, 9.04
-07-30, Close, 8.91
-08-02, Close, 9.16
-08-03, Close, 9.38
-08-04, Close, 9.30
-08-05, Close, 9.23
-08-06, Close, 9.15
-08-09, Close, 9.15
-08-10, Close, 9.09
-08-11, Close, 9.04
-08-12, Close, 9.09
-08-13, Close, 9.60
-08-16, Close, 9.50
-08-16, 买入单, 9.50
-08-17, 已买入, 价格: 9.51, 费用: 9.51, 佣金 0.01
-08-17, Close, 9.31
-08-18, Close, 10.24
-08-19, Close, 10.01
-08-20, Close, 9.72
-08-23, Close, 10.18
-08-24, Close, 9.97
-08-25, Close, 9.91
-08-26, Close, 9.77
-08-27, Close, 9.69
-08-30, Close, 9.86
-08-31, Close, 9.47
-09-01, Close, 9.64
-09-02, Close, 9.68
-09-03, Close, 10.10
-09-06, Close, 10.09
-09-07, Close, 10.12
-09-08, Close, 10.16
-09-09, Close, 10.08
-09-10, Close, 10.36
-09-13, Close, 10.59
-09-14, Close, 10.09
-09-15, Close, 10.10
-09-16, Close, 10.18
-09-17, Close, 10.48
-09-22, Close, 10.85
-09-23, Close, 10.65
-09-24, Close, 10.22
-09-27, Close, 9.95
-09-28, Close, 9.98
-09-29, Close, 9.39
-09-29, 卖出单, 9.39
-09-30, 已卖出, 价格: 9.53, 费用: 9.51, 佣金 0.01
-09-30, 交易利润, 毛利润 0.02, 净利润 0.00
-09-30, Close, 9.48
-10-08, Close, 9.56
-10-11, Close, 9.61
-10-12, Close, 9.28
-10-13, Close, 9.17
-10-14, Close, 9.19
-10-15, Close, 9.08
-10-18, Close, 8.93
-10-19, Close, 8.98
-10-20, Close, 9.03
-10-21, Close, 8.82
-10-22, Close, 8.63
-10-25, Close, 8.81
-10-26, Close, 8.76
-10-27, Close, 8.42
-10-28, Close, 8.47
-10-29, Close, 8.49
-11-01, Close, 8.64
-11-02, Close, 8.55
-11-03, Close, 8.71
-11-04, Close, 8.74
-11-05, Close, 8.47
-11-08, Close, 8.37
-11-09, Close, 8.65
-11-10, Close, 8.75
-11-11, Close, 8.72
-11-12, Close, 8.77
-11-15, Close, 9.00
-11-15, 买入单, 9.00
-11-16, 已买入, 价格: 9.00, 费用: 9.00, 佣金 0.01
-11-16, Close, 8.94
-11-17, Close, 9.00
-11-18, Close, 8.87
-11-19, Close, 8.89
-11-22, Close, 8.99
-11-23, Close, 8.99
-11-24, Close, 8.85
-11-25, Close, 8.86
-11-26, Close, 8.65
-11-29, Close, 8.44
-11-29, 卖出单, 8.44
-11-30, 已卖出, 价格: 8.44, 费用: 9.00, 佣金 0.01
-11-30, 交易利润, 毛利润 -0.56, 净利润 -0.58
-11-30, Close, 8.55
-12-01, Close, 8.57
-12-02, Close, 8.39
-12-03, Close, 8.42
-12-06, Close, 8.58
-12-07, Close, 8.40
-12-08, Close, 8.50
-12-09, Close, 8.60
-12-10, Close, 8.62
-12-13, Close, 8.67
-12-14, Close, 8.78
-12-15, Close, 8.65
-12-15, 买入单, 8.65
-12-16, 已买入, 价格: 8.63, 费用: 8.63, 佣金 0.01
-12-16, Close, 8.42
-12-16, 卖出单, 8.42
-12-17, 已卖出, 价格: 8.40, 费用: 8.63, 佣金 0.01
-12-17, 交易利润, 毛利润 -0.23, 净利润 -0.25
-12-17, Close, 8.32
-12-20, Close, 8.37
-12-21, Close, 8.43
-12-22, Close, 8.47
-12-23, Close, 8.30
-12-24, Close, 8.53
-12-27, Close, 8.69
-12-28, Close, 8.61
-12-28, 买入单, 8.61
-12-29, 已买入, 价格: 8.63, 费用: 8.63, 佣金 0.01
-12-29, Close, 8.63
-12-30, Close, 8.73
-12-31, Close, 8.88
-01-04, Close, 8.95
-01-05, Close, 8.70
-01-06, Close, 8.97
-01-07, Close, 8.89
-01-10, Close, 8.84
-01-11, Close, 8.89
-01-12, Close, 9.26
-01-13, Close, 9.09
-01-14, Close, 9.17
-01-17, Close, 9.16
-01-18, Close, 8.77
-01-19, Close, 8.75
-01-20, Close, 8.65
-01-21, Close, 8.24
-01-21, 卖出单, 8.24
-01-24, 已卖出, 价格: 8.24, 费用: 8.63, 佣金 0.01
-01-24, 交易利润, 毛利润 -0.39, 净利润 -0.41
-01-24, Close, 8.10
-01-25, Close, 7.70
-01-26, Close, 7.64
-01-27, Close, 7.57
期末资金: 100000.64
交易日期与通达信中买卖点出现日期一致。
实现这个例子的完整python代码：
from __future__ import (absolute_import, division, print_function,unicode_literals)from datetime import datetime # For datetime objects# Import the backtrader platformimport backtrader as btimport pandas as pd# 创建策略继承bt.Strategyclass TestStrategy(bt.Strategy):params = (# 均线参数设置15天，15日均线('maperiod', 15),('para_short', 5),('para_long', 20),)def log(self, txt, dt=None):# 记录策略的执行日志dt = dt or self.datas[0].datetime.date(0)print('%s, %s' % (dt.isoformat(), txt))def __init__(self):# 保存收盘价的引用self.dataclose = self.datas[0].close# 跟踪挂单self.order = None# 买入价格和手续费self.buyprice = Noneself.buycomm = None# 加入均线指标self.sma = bt.indicators.SimpleMovingAverage(self.datas[0], period=self.params.maperiod)# 收盘价的 para_short 日简单移动平均self.ma1 = bt.indicators.SimpleMovingAverage(self.data.close, period=self.params.para_short)# 收盘价的 para_long 日简单移动平均self.ma2 = bt.indicators.SimpleMovingAverage(self.data.close, period=self.params.para_long)# MA1 = self.sma_short[0]# MA2 = self.sma_long[0] # 交易函数def next(self):# 记录收盘价self.log('Close, %.2f' % self.dataclose[0])# 如果有订单正在挂起，不操作if self.order:return# 交易条件# MA1上穿MA2# buyin_flag = self.ma1 > self.ma2# MA2上穿MA1# sellout_flag = self.ma2 > self.ma1# 如果没有持仓则买入if not self.position:# MA1上穿MA2if self.ma1 > self.ma2: # 买入self.log('买入单, %.2f' % self.dataclose[0])# 跟踪订单避免重复self.order = self.buy()else:# 如果已经持仓，MA2上穿MA1if self.ma2 > self.ma1:# 全部卖出self.log('卖出单, %.2f' % self.dataclose[0])# 跟踪订单避免重复self.order = self.sell()# 订单状态通知，买入卖出都是下单def notify_order(self, order):if order.status in [order.Submitted, order.Accepted]:# broker 提交/接受了，买/卖订单则什么都不做return# 检查一个订单是否完成# 注意: 当资金不足时，broker会拒绝订单if order.status in [pleted]:if order.isbuy():self.log('已买入, 价格: %.2f, 费用: %.2f, 佣金 %.2f' %(order.executed.price,order.executed.value,m))self.buyprice = order.executed.priceself.buycomm = melif order.issell():self.log('已卖出, 价格: %.2f, 费用: %.2f, 佣金 %.2f' %(order.executed.price,order.executed.value,m))# 记录当前交易数量self.bar_executed = len(self)elif order.status in [order.Canceled, order.Margin, order.Rejected]:self.log('订单取消/保证金不足/拒绝')# 其他状态记录为：无挂起订单self.order = None# 交易状态通知，一买一卖算交易def notify_trade(self, trade):if not trade.isclosed:returnself.log('交易利润, 毛利润 %.2f, 净利润 %.2f' %(trade.pnl, trade.pnlcomm))start = '-01-01'end = '-01-31'def get_data(code, start_date, end_date):df_tdx = pd.read_feather(r'./dataout/tdx/'+code+r'.day.feather')df_tdx.index=pd.to_datetime(df_tdx.date, format = '%Y%m%d')df_tdx_b=df_tdx.truncate(before=start_date, after = end_date)df_tdx_b['openinterest']=0df_tdx_b.rename(columns={'vol':'volume'}, inplace = True)df_tdx_b=df_tdx_b[['open','high','low','close','volume','openinterest']]return df_tdx_bdataframe=get_data('sh600851', datetime.strptime(start,'%Y-%m-%d'), datetime.strptime(end,'%Y-%m-%d'))if __name__ == '__main__':# 初始化cerebro回测系统设置cerebro = bt.Cerebro()# 取得股票历史数据data = bt.feeds.PandasData(dataname=dataframe, fromdate = datetime.strptime(start,'%Y-%m-%d'), todate = datetime.strptime(end,'%Y-%m-%d'))# 为Cerebro引擎添加策略cerebro.addstrategy(TestStrategy)# 加载交易数据cerebro.adddata(data)# 设置投资金额cerebro.broker.setcash(100000.0)# 设置佣金为0.001,除以100去掉%号cerebro.broker.setcommission(commission=0.001)#获取回测开始时的总资金print('期初资金: %.2f' % cerebro.broker.getvalue())#运行回测系统cerebro.run()#获取回测结束后的总资金print('期末资金: %.2f' % cerebro.broker.getvalue())
写到这里，我突发奇想，是不是可以写个程序，自动把通达信公式改写为Backtrader策略呢？
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