前回の振り返り
前回は、株式を買うことで建玉を作った。
how-to-make-stock-trading-system.dogwood008.com
今回の内容
建玉を手仕舞い（売る）ことで、含み益または含み損を確定させる。また、どのようなタイミングで売買しているかをグラフにプロットする。
解説が間に合っていないのと、まだソースコードは調整中だが、「時間を掛けて良いものより、短期間にそこそこのものを出して、後から磨く」というこのブログのポリシーを守るため、まだ改訂するが一旦掲載する。
次回も続きをするが、おそらく今回と同じように全部整う前にちょい出しすることになると思われる。
main.py
# 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 the backtrader platform import backtrader as bt from backtrader import Order # ログ用 from logging import getLogger, StreamHandler, Formatter, DEBUG, INFO, WARN # Create a Stratey class TestStrategyWithLogger(bt.Strategy): params = ( ('size', 1000), ) def _log(self, txt, loglevel=INFO, dt=None): ''' Logging function for this strategy ''' dt = dt or self.datas[0].datetime.date(0) self._logger.log(loglevel, '%s, %s' % (dt.isoformat(), txt)) def _debug(self, txt, dt=None): self._log(txt, DEBUG, dt) def _info(self, txt, dt=None): self._log(txt, INFO, dt) def __init__(self, loglevel=DEBUG): # Keep a reference to the "close" line in the data[0] dataseries self._dataclose = self.datas[0].close self._logger = getLogger(__name__) self.handler = StreamHandler() self.handler.setLevel(loglevel) self._logger.setLevel(DEBUG) self._logger.addHandler(self.handler) self._logger.propagate = False self.handler.setFormatter( Formatter('[%(levelname)s] %(message)s')) def notify_order(self, order: Order) -> None: ''' backtraderから呼ばれる ''' if order.status == Order.Completed: if order.isbuy(): self._info('BUY: %.2f' % order.executed.price) def next(self): # Simply log the closing price of the series from the reference self._debug('[Close, position] = %.2f, %s' % (self._dataclose[0], self.getposition())) if self._dataclose[0] < self._dataclose[-1]: # current close less than previous close if self._dataclose[-1] < self._dataclose[-2]: # previous close less than the previous close # BUY, BUY, BUY!!! (with all possible default parameters) self._info('BUY CREATE, %.2f' % self._dataclose[0]) self.buy(size=self.params.size) if self._dataclose[-2] * .97 > self._dataclose[-1]: # 前日が前々日の3%を超える下落時に手仕舞い self.close() if __name__ == '__main__': # Create a cerebro entity cerebro = bt.Cerebro() # Add a strategy IN_DEVELOPMENT = True loglevel = DEBUG if IN_DEVELOPMENT else WARN cerebro.addstrategy(TestStrategyWithLogger, loglevel) # Datas are in a subfolder of the samples. Need to find where the script is # because it could have been called from anywhere modpath = os.path.dirname(os.path.abspath(sys.argv[0])) datapath = os.path.join(modpath, '/opt/backtrader/datas/orcl-1995-2014.txt') # Create a Data Feed data = bt.feeds.YahooFinanceCSVData( dataname=datapath, # Do not pass values before this date fromdate=datetime.datetime(2000, 1, 1), # Do not pass values after this date todate=datetime.datetime(2000, 12, 31), reverse=False) # Add the Data Feed to Cerebro cerebro.adddata(data) # Set our desired cash start cerebro.broker.setcash(100000.0) # Print out the starting conditions print('Starting Portfolio Value: %.2f' % cerebro.broker.getvalue()) # Run over everything cerebro.run() # Print out the final result print('Final Portfolio Value: %.2f' % cerebro.broker.getvalue()) width_inch = 16 height_inch = 9 figure = cerebro.plot(style='candlebars', width=width_inch, height=height_inch)[0][0] figure.savefig('plot.png')
# Pipfile [[source]] name = "pypi" url = "https://pypi.org/simple" verify_ssl = true [dev-packages] [packages] backtrader = "*" matplotlib = "==3.2.2" [requires] python_version = "3.8"
