如何在Pyalgotrade中使用多种工具创建复合策略？

Question

我在交易策略中使用pyalgotrade，其中我想在一个列表中使用多个代码。

它现在的设置方式是，它为列表中的每个单独的滴头运行策略，但我希望它作为一个组合策略来运行它们。

，我该怎么做？

以下是代码：

    from pyalgotrade.tools     import yahoofinance
    from pyalgotrade           import strategy
    from pyalgotrade.barfeed   import yahoofeed
    from pyalgotrade.technical import stoch
    from pyalgotrade           import dataseries
    from pyalgotrade.technical import ma
    from pyalgotrade           import technical
    from pyalgotrade.technical import highlow
    from pyalgotrade           import talibext
    from pyalgotrade.talibext  import indicator
    import numpy as np
    import talib


    testlist = ['aapl', 'msft', 'z']

    class MyStrategy( strategy.BacktestingStrategy ):

        def __init__( self, feed, instrument ):
            strategy.BacktestingStrategy.__init__( self, feed )
            self.__position = []
            self.__instrument = instrument
            self.setUseAdjustedValues( True )
            self.__prices = feed[instrument].getPriceDataSeries()

            self.__stoch = stoch.StochasticOscillator( feed[instrument], 20, dSMAPeriod = 3, maxLen = 3 )

        def onBars( self, bars ):

            self.__PPO = talibext.indicator.PPO( self.__prices, len( self.__prices ), 12, 26, matype = 1 )

            try: slope = talib.LINEARREG_SLOPE( self.__PPO, 3 )[-1]
            except Exception: slope = np.nan


            bar = bars[self.__instrument]
            self.info( "%s,%s,%s" % ( bar.getClose(), self.__PPO[-1], slope ) )

            if self.__PPO[-1] is None:
                return

            for inst in self.__instrument:
                print inst
               #INSERT STRATEGY HERE

def run_strategy():
    # Load the yahoo feed from the CSV file
    instruments = ['aapl', 'msft', 'z']
    feed = yahoofinance.build_feed(instruments,2015,2016, ".")

    # Evaluate the strategy with the feed.
    myStrategy = MyStrategy(feed, instruments)
    myStrategy.run()
    print "Final portfolio value: $%.2f" % myStrategy.getBroker().getEquity()




run_strategy()

Answer 1

您可以使用此示例作为交易多个工具的指南：erniechan.html

Answer 2

feed是pyalgotrade.feed.BaseFeed的实例。它包含一个或多个工具的BarDataSeries，它定义了一个价格序列。当打电话给feed[instrument]时，你会得到这个仪器的BarDataSeries。您需要一个for loop来处理每个单独的仪器。它将使您的代码干净，添加一个专门的类来处理每个工具。请参阅InstrumentManager类。我修复了很多程序错误。

class InstrumentManager():
    def __init__(self, feed, instrument):
        self.instrument = instrument

        self.__prices = feed[instrument].getPriceDataSeries()

        self.__stoch = stoch.StochasticOscillator( feed[instrument], 20, dSMAPeriod = 3, maxLen = 3 )

        self.__signal = None

    def onBars(self, bars):
        bar = bars.getBar(self.instrument)
        if bar:
            self.__PPO = talibext.indicator.PPO( self.__prices, len( self.__prices ), 12, 26, matype = 1 )

            try: slope = talib.LINEARREG_SLOPE( self.__PPO, 3 )[-1]
            except Exception: slope = np.nan

            print( "%s,%s,%s" % ( bar.getClose(), self.__PPO[-1], slope ) )

            if self.__PPO[-1] is None:
                return

            # set signal in some conditions. eg self.__signal = 'buy'

    def signal():
        return self.__signal

class MyStrategy( strategy.BacktestingStrategy ):

    def __init__( self, feed, instruments ):
        strategy.BacktestingStrategy.__init__( self, feed )
        self.__position = []
        self.__feed = feed
        self.__instruments = instruments
        self.setUseAdjustedValues( True )
        self.instManagers = {}
        self.loadInstManagers()

    def loadInstManagers(self):
        for i in self.__instruments:
            im = InstrumentManager(self.__feed, i)

            self.instManagers[i] = im

    def updateInstManagers(self, bars):
        for im in self.instManagers.values():
            im.onBars(bars)

    def onBars( self, bars ):
        self.updateInstManagers(bars)

        for inst in self.__instruments:
            instManager = self.instManagers[inst]
            print inst

            # Do something by instManager.signal()