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my first test
This project forked from francinexue/xuefu
my first test
简版code包含4个py文件,data、constant、pyalg2,pyalgo_test 1.下载数据:data.py 调用tushare财经数据包接口,详细内容请读文档:http://pythonhosted.org/tushare/index.html#id2 调用constant.py文件,存储部分下载时间的参数 方法: 1.sava_data():(需运行) 下载全部tushare数据至d:/data/目录,格式为0004.csv code.csv为全部代码 code_inuse.csv为过滤数据项较全的代码,可忽略 2.refresh_data(): 每次下载以往数据设定了某一天,若需更新至当日,调用此方法 3.plt_macd() 算出macd并作图的示例 4.change_type_to_yahoo():(需运行) 下载完成后需调用此方法转换为pyalotrade可识别的类型,存储于d:/data2/,格式为0019.csv 此处使用的为inuse数据,可以更改为code.csv 5.get_beta(): 算beta示例 2.进行测试:pyalg_2.py 调用pyalgotrade方法进行回测,详细内容请读文档:http://gbeced.github.io/pyalgotrade/docs/v0.17/html/tutorial.html 调用pyalgo_test.py文件 调用pyalg_util.py文件 方法: 1.提供两个测试方法: turtle_test():和vwap(plot):,底部有调用 2.turrle_test 提供三种数据加载方式:csv,dataFrame,sql(未完成直接方式,暂由dataFrame为桥) dataFrame方式调用同目录util文件夹下的dataFrameBarfeed.py 和dataFramefeed.py sql方式数据来自data.sql_py 3.回测主体pyalgo_test.py, 主体位于onbar()方法,可使用self.__position和self.marketOrder(element, 100)两种方式,效果一样。 注意onbar()是一条条更新,故__init__()中的数据也是随着onbar的滚动而增加。 如highlow.Low()最后一参数为存储数据个数,[-1]为当前运行结果,[-2]为上一次,用以调节窗口 方法: 1.SMACrossOver(): 示例方法 2.VWAPMomentum(): 两只股票组合示例 3.turtle(): 海龟交易法示例 4.最新版本已上传:pyalg_util.py,添加运行时数据信息,格式为dic格式,包含retur、sharpratio、tradeInfo等 调用方法见pyalg_2.py 调用pyalgo_test.py文件 需在pyalgo_test.py中添加addInfo信息,具体内容有注释 ****注意:此方法只为监测数据并返回array,json等格式自己作图用。pyalgotrade本身已带作图方法及基础的信息。 若不需要可删除调用部分:pyalg_util.py,pyalgo_test.py中的addInfo 方法,调用部分、getDateTimeSeries方法部分。 5.目前支持同tushare中获取数据并存入数据库中:data_sql.py,数据库为postgress(已经支持pandas_dataFrame为桥进行pyalgotrade回测, 代码见pyalg_2,直接读取功能开发中) 调用constant.py,数据库连接等设置在此处,其他数据库也一样 方法: 支持对h_data、hist_data、realtime_quotes等的get、set方法,其中set为获取数据并存入数据库中,get为获取数据库数据 详见方法内注释
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