파이썬을 사용하여 여러 주식을 백 테스팅

Question

저는 이제 거래 전략 테스트를위한 인기있는 파이썬 라이브러리 인 Pyalgotrade를 사용하고 있습니다. 나는 한 쌍의 주식을 차례로 테스트 할 수있는 루프를 작성하려고합니다.

이 전략에 다음 6 가지 주식을 넣고 각 주식을 한 번 조정하고 여러 결과를 얻고 싶다고 가정 해 보겠습니다. 어떻게 그 루프를 쓸 수 있습니까?

재고 = AAPL, 이베이 NFLX, BBY, GOOG, WBAI]

from pyalgotrade import strategy 
from pyalgotrade.barfeed import yahoofeed 
from pyalgotrade.technical import ma 
from pyalgotrade.tools import yahoofinance 


class MyStrategy(strategy.BacktestingStrategy): 
    def __init__(self, feed, instrument, smaPeriod): 
     strategy.BacktestingStrategy.__init__(self, feed, 1000) 
     self.__position = None 
     self.__instrument = instrument 
     # We'll use adjusted close values instead of regular close values. 
     self.setUseAdjustedValues(True) 
     self.__sma = ma.SMA(feed[instrument].getAdjCloseDataSeries(), smaPeriod) 

    def onEnterOk(self, position): 
     execInfo = position.getEntryOrder().getExecutionInfo() 
     self.info("BUY at $%.2f" % (execInfo.getPrice())) 

    def onEnterCanceled(self, position): 
     self.__position = None 

    def onExitOk(self, position): 
     execInfo = position.getExitOrder().getExecutionInfo() 
     self.info("SELL at $%.2f" % (execInfo.getPrice())) 
     self.__position = None 

    def onExitCanceled(self, position): 
     # If the exit was canceled, re-submit it. 
     self.__position.exitMarket() 

    def onBars(self, bars): 
     # Wait for enough bars to be available to calculate a SMA. 
     if self.__sma[-1] is None: 
      return 

     bar = bars[self.__instrument] 
     # If a position was not opened, check if we should enter a long position. 
     if self.__position is None: 
      if bar.getAdjClose() > self.__sma[-1]: 
       # Enter a buy market order for 10 shares. The order is good till canceled. 
       self.__position = self.enterLong(self.__instrument, 10, True) 
     # Check if we have to exit the position. 
     elif bar.getAdjClose() < self.__sma[-1]: 
      self.__position.exitMarket() 



def run_strategy(smaPeriod): 
    instruments = ["AAPL"] 

     # Download the bars. 
    feed = yahoofinance.build_feed(instruments, 2011, 2013, ".") 

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

run_strategy(10) 

Answer 1

def run_strategy(smaPeriod,inst): 

     # Download the bars. 
    feed = yahoofinance.build_feed([inst], 2011, 2013, ".") 

     # Evaluate the strategy with the feed's bars. 
    myStrategy = MyStrategy(feed, inst, smaPeriod) 
    myStrategy.run() 
    print "Final portfolio value: $%.2f" % myStrategy.getBroker().getEquity() 
def main(): 
    instruments = ["AAPL","EBAY", "NFLX", "BBY"] 
    for inst in instruments: 
      run_strategy(10,inst) 
if __name__ == '__main__': 
     main()