[ Python backtrader ] Multi 기본 하루 1주 매수전략

test2.py

0.00MB

from __future__ import (absolute_import, division, print_function,
                        unicode_literals)
import datetime  # For datetime objects
import os.path  # To manage paths
import sys  # To find out the script name (in argv[0])
import backtrader as bt
import pandas as pd
import psycopg2
import numpy as np

companylist = ['A005930','A000660'] # 매수할 company리스트를 담는다.

class TestStrategy(bt.Strategy):

    def log(self, txt, dt=None):
        ''' Logging function fot this strategy'''
        dt = dt or self.datas[0].datetime.date(0)
        print('%s, %s' % (dt.isoformat(), txt))

    def __init__(self):
        # Keep a reference to the "close" line in the data[0] dataseries
        self.dataclose = self.datas[0].close

 

# next함수에서 data가 multi로 feed될 것을 가정하여 self.datas를 for문을 돌려 매수를 한다. company list가 self.datas[0], self.datas[1]에 담기며 실제 이름 string('A005930')은 self.datas[0]._name이다.
    def next(self):
        for i, j in enumerate(self.datas):
            self.log('%s Close, %.2f' % (self.datas[i]._name,self.datas[i].close[0]))
            print(self.datas[i]._name)
            if  self.datas[i].close[0] > 0:
                order = self.buy(data=self.datas[i])
            self.log('psize %s, %.2f' % (j._name, self.getposition(j).size)) # self.getposition()을 통해 특정 종목의 총 매수한 수량 반환

        self.log('portfolio value, %.2f' % self.broker.getvalue())
        self.log('current cash, %.2f' % self.broker.getcash())
    def notify_order(self, order): # order객체에도 data를 갖지고 있어 order.data._name을 통해 ticker 이름을 출력함.
        if order.status == order.Completed: # order.Submitted : 1, order.Accepted : 2, order.Completed :3
            self.log('Order %s buy excuted price: %.2f, size: %.2f, value: %.2f, comm: %.2f' % (order.data._name,order.executed.price,order.executed.size,order.executed.value,order.executed.comm))

 

 

con = psycopg2.connect("dbname='webcroll' user='postgres' host='localhost' password='1111'")
selectsql = '''select dates , 수정시가 as Open, 수정고가 as High, 수정저가 as Low, 수정주가 as Close,0 as Volumn,0 as OpenInterest 
                from periodpriceg
                where 1=1
                and code = %s
                order by dates;'''
cur = con.cursor()

cerebro = bt.Cerebro()
for i,j in enumerate(companylist):
    cur.execute(selectsql,(j,))
    resultlist = cur.fetchall()

    df = pd.DataFrame(data=np.array(resultlist), columns=['dates', 'open', 'high','low','close','volumn','openinterest'])

 

# Dataframe의 날짜 string을 datatime64형태로 type을 변경한다.
    temp = []
    for i in df['dates']:
        i = np.datetime64(i)
        temp.append(i)
    df['dates'] = temp

    df['open'] = pd.to_numeric(df['open'])
    df['high'] = pd.to_numeric(df['high'])
    df['low'] = pd.to_numeric(df['low'])
    df['close'] = pd.to_numeric(df['close'])
    df['volumn'] = pd.to_numeric(df['volumn'])
    df['openinterest'] = pd.to_numeric(df['openinterest'])

 

# dates컬럼을 index로 지정한다.
    df = df.set_index('dates')

    print(df)
    print(df.iloc[0][0])
    print(type(df.iloc[0][0]))
    data = bt.feeds.PandasData(dataname=df,
                               # datetime='Date',
                               nocase=True,
                               )

    cerebro.addstrategy(TestStrategy)
    cerebro.adddata(data,name = j)

cerebro.broker.setcash(100000000.0)

# Print out the starting conditions
print('Starting Portfolio Value: %.2f' % cerebro.broker.getvalue())

# Run over everything
cerebro.broker.setcommission(commission=0.005)
cerebro.run()

# Print out the final result
print('Final Portfolio Value: %.2f' % cerebro.broker.getvalue())
print('Final Portfolio Cash: %.2f' % cerebro.broker.getcash())
cerebro.plot(volume=False)