QuantDigger是由一群量化交易爱好者一起开发的开源的股票/期货回测框架 主要用于学习和研究。欢迎大家提供宝贵意见,贡献代码^_^. 或者加入我们的python量化交易群--334555399.
除了开发人员,还要特别感谢 vodkabuaa 给出的意见, ongbe 帮忙修复代码bug, tushare库的作者 Jimmy ,以及所有朋友的支持.
- 主要代码贡献者:
你可以选择pip安装 (推荐)
python install_pip.py (如果已经安装了pip,略过这一步。) pip install QuantDigger python install_dependency.py
或者克隆github代码后本地安装
git clone https://github.com/QuantFans/quantdigger.git python install.py (会根据情况安装pip, 及依赖包)
- Python
- pandas
- python-dateutil
- matplotlib
- numpy
- TA-Lib
- logbook
- pyqt (可选)
- tushare (可选, 一个非常强大的股票信息抓取工具)
from quantdigger.kernel.engine.execute_unit import ExecuteUnit
from quantdigger.kernel.indicators.common import MA, BOLL
from quantdigger.kernel.engine.strategy import TradingStrategy, pcontract, stock
import plotting
class DemoStrategy(TradingStrategy):
""" 策略类 """
def __init__(self, pcontracts, exe):
""" 初始化指标变量 """
super(DemoStrategy, self).__init__(pcontracts, exe)
self.ma20 = MA(self, self.close, 20,'ma20', 'b', '1')
self.ma10 = MA(self, self.close, 10,'ma10', 'y', '1')
self.b_upper, self.b_middler, self.b_lower = BOLL(self, self.close, 10,'boll10', 'y', '1')
#self.ma2 = NumberSeries(self)
def on_tick(self):
""" 策略函数,对每根Bar运行一次。"""
#self.ma2.update(average(self.open, 10))
if self.ma10[1] < self.ma20[1] and self.ma10 > self.ma20:
self.buy('d', self.open, 1)
elif self.position() > 0 and self.ma10[1] > self.ma20[1] and self.ma10 < self.ma20:
self.sell('d', self.open, 1)
print self.position(), self.cash()
print self.datetime, self.b_upper, self.b_middler, self.b_lower
# 运行策略
begin_dt, end_dt = None, None
pcon = pcontract('SHFE', 'IF000', 'Minutes', 10)
#pcon = stock('600848') 利用tushare远程加载股票数据
simulator = ExecuteUnit(begin_dt, end_dt)
algo = DemoStrategy([pcon], simulator)
simulator.run()
# 显示回测结果
plotting.plot_result(simulator.data[pcon],
algo._indicators,
algo.blotter.deal_positions,
algo.blotter)
main.py