注意
2017年2月
pyfolio API 已更改，不再 create_full_tear_sheet 具有 gross_lev 作為命名參數的參數。
因此，下面的示例不起作用
鑒於zipline和pyfolio之間的緊密集成，第一眼看到本教程認為它很困難，但是pyfolio可用於其他一些用途的示例測試數據實際上對於解碼幕後運行的內容非常有用，因此集成奇跡。
集成了一個投資組合工具，即pyfolio在 工單#108中提出。
大多數作品已經在 backtrader到位：
-
分析儀基礎結構
-
兒童分析儀
-
時間倒車分析儀
只需要一台主PyFolio 分析儀和3台簡易兒童分析儀。再加上一個依賴於已經需要 pyfolio 的依賴項之一的方法，該依賴項是 pandas。
最具挑戰性的部分...“獲得正確的所有依賴關係”。
-
更新
pandas -
更新
numpy -
更新
scikit-lean -
更新
seaborn
在帶有C編譯器的類Unix環境中，一切都與時間有關。在Windows下，即使安裝了特定的Microsoft編譯器（在這種情況下是Python 2.7的鏈），事情也失敗了。但是，一個擁有Windows最新軟體包集合的知名網站提供了説明。如果您需要，請存取它：
如果不進行測試，集成將不完整，這就是為什麼通常的樣本一如既往地存在的原因。
無 PyFolio
該示例用於random.randint 決定何時買入/賣出，因此這隻是檢查一切是否正常：
$ ./pyfoliotest.py --printout --no-pyfolio --plot
輸出：
Len,Datetime,Open,High,Low,Close,Volume,OpenInterest 0001,2005-01-03T23:59:59,38.36,38.90,37.65,38.18,25482800.00,0.00 BUY 1000 @%23.58 0002,2005-01-04T23:59:59,38.45,38.54,36.46,36.58,26625300.00,0.00 BUY 1000 @%36.58 SELL 500 @%22.47 0003,2005-01-05T23:59:59,36.69,36.98,36.06,36.13,18469100.00,0.00 ... SELL 500 @%37.51 0502,2006-12-28T23:59:59,25.62,25.72,25.30,25.36,11908400.00,0.00 0503,2006-12-29T23:59:59,25.42,25.82,25.33,25.54,16297800.00,0.00 SELL 250 @%17.14 SELL 250 @%37.01
有3個數據和幾個買入和賣出操作是隨機選擇的，並分散在測試運行的2年默認壽命中
PyFolio run
pyfolio 在Jupyter Notebook中運行時，包括內聯繪圖，一切都很有效。這是筆記本
注意
runstrat get here [] 作為參數，使用預設參數運行，並跳過筆記本本身傳遞的參數
%matplotlib inline
from __future__ import (absolute_import, division, print_function,
unicode_literals)
import argparse
import datetime
import random
import backtrader as bt
class St(bt.Strategy):
params = (
('printout', False),
('stake', 1000),
)
def __init__(self):
pass
def start(self):
if self.p.printout:
txtfields = list()
txtfields.append('Len')
txtfields.append('Datetime')
txtfields.append('Open')
txtfields.append('High')
txtfields.append('Low')
txtfields.append('Close')
txtfields.append('Volume')
txtfields.append('OpenInterest')
print(','.join(txtfields))
def next(self):
if self.p.printout:
# Print only 1st data ... is just a check that things are running
txtfields = list()
txtfields.append('%04d' % len(self))
txtfields.append(self.data.datetime.datetime(0).isoformat())
txtfields.append('%.2f' % self.data0.open[0])
txtfields.append('%.2f' % self.data0.high[0])
txtfields.append('%.2f' % self.data0.low[0])
txtfields.append('%.2f' % self.data0.close[0])
txtfields.append('%.2f' % self.data0.volume[0])
txtfields.append('%.2f' % self.data0.openinterest[0])
print(','.join(txtfields))
# Data 0
for data in self.datas:
toss = random.randint(1, 10)
curpos = self.getposition(data)
if curpos.size:
if toss > 5:
size = curpos.size // 2
self.sell(data=data, size=size)
if self.p.printout:
print('SELL {} @%{}'.format(size, data.close[0]))
elif toss < 5:
self.buy(data=data, size=self.p.stake)
if self.p.printout:
print('BUY {} @%{}'.format(self.p.stake, data.close[0]))
def runstrat(args=None):
args = parse_args(args)
cerebro = bt.Cerebro()
cerebro.broker.set_cash(args.cash)
dkwargs = dict()
if args.fromdate:
fromdate = datetime.datetime.strptime(args.fromdate, '%Y-%m-%d')
dkwargs['fromdate'] = fromdate
if args.todate:
todate = datetime.datetime.strptime(args.todate, '%Y-%m-%d')
dkwargs['todate'] = todate
data0 = bt.feeds.BacktraderCSVData(dataname=args.data0, **dkwargs)
cerebro.adddata(data0, name='Data0')
data1 = bt.feeds.BacktraderCSVData(dataname=args.data1, **dkwargs)
cerebro.adddata(data1, name='Data1')
data2 = bt.feeds.BacktraderCSVData(dataname=args.data2, **dkwargs)
cerebro.adddata(data2, name='Data2')
cerebro.addstrategy(St, printout=args.printout)
if not args.no_pyfolio:
cerebro.addanalyzer(bt.analyzers.PyFolio, _name='pyfolio')
results = cerebro.run()
if not args.no_pyfolio:
strat = results[0]
pyfoliozer = strat.analyzers.getbyname('pyfolio')
returns, positions, transactions, gross_lev = pyfoliozer.get_pf_items()
if args.printout:
print('-- RETURNS')
print(returns)
print('-- POSITIONS')
print(positions)
print('-- TRANSACTIONS')
print(transactions)
print('-- GROSS LEVERAGE')
print(gross_lev)
import pyfolio as pf
pf.create_full_tear_sheet(
returns,
positions=positions,
transactions=transactions,
gross_lev=gross_lev,
live_start_date='2005-05-01',
round_trips=True)
if args.plot:
cerebro.plot(style=args.plot_style)
def parse_args(args=None):
parser = argparse.ArgumentParser(
formatter_class=argparse.ArgumentDefaultsHelpFormatter,
description='Sample for pivot point and cross plotting')
parser.add_argument('--data0', required=False,
default='../../datas/yhoo-1996-2015.txt',
help='Data to be read in')
parser.add_argument('--data1', required=False,
default='../../datas/orcl-1995-2014.txt',
help='Data to be read in')
parser.add_argument('--data2', required=False,
default='../../datas/nvda-1999-2014.txt',
help='Data to be read in')
parser.add_argument('--fromdate', required=False,
default='2005-01-01',
help='Starting date in YYYY-MM-DD format')
parser.add_argument('--todate', required=False,
default='2006-12-31',
help='Ending date in YYYY-MM-DD format')
parser.add_argument('--printout', required=False, action='store_true',
help=('Print data lines'))
parser.add_argument('--cash', required=False, action='store',
type=float, default=50000,
help=('Cash to start with'))
parser.add_argument('--plot', required=False, action='store_true',
help=('Plot the result'))
parser.add_argument('--plot-style', required=False, action='store',
default='bar', choices=['bar', 'candle', 'line'],
help=('Plot style'))
parser.add_argument('--no-pyfolio', required=False, action='store_true',
help=('Do not do pyfolio things'))
import sys
aargs = args if args is not None else sys.argv[1:]
return parser.parse_args(aargs)
runstrat([])
Entire data start date: 2005-01-03 Entire data end date: 2006-12-29 Out-of-Sample Months: 20 Backtest Months: 3
[-0.012 -0.025]
D:drobinWinPython-64bit-2.7.10.3python-2.7.10.amd64libsite-packagespyfolioplotting.py:1210: FutureWarning: .resample() is now a deferred operation use .resample(...).mean() instead of .resample(...) **kwargs)
<matplotlib.figure.Figure at 0x23982b70>
範例用法：
$ ./pyfoliotest.py --help
usage: pyfoliotest.py [-h] [--data0 DATA0] [--data1 DATA1] [--data2 DATA2]
[--fromdate FROMDATE] [--todate TODATE] [--printout]
[--cash CASH] [--plot] [--plot-style {bar,candle,line}]
[--no-pyfolio]
Sample for pivot point and cross plotting
optional arguments:
-h, --help show this help message and exit
--data0 DATA0 Data to be read in (default:
../../datas/yhoo-1996-2015.txt)
--data1 DATA1 Data to be read in (default:
../../datas/orcl-1995-2014.txt)
--data2 DATA2 Data to be read in (default:
../../datas/nvda-1999-2014.txt)
--fromdate FROMDATE Starting date in YYYY-MM-DD format (default:
2005-01-01)
--todate TODATE Ending date in YYYY-MM-DD format (default: 2006-12-31)
--printout Print data lines (default: False)
--cash CASH Cash to start with (default: 50000)
--plot Plot the result (default: False)
--plot-style {bar,candle,line}
Plot style (default: bar)
--no-pyfolio Do not do pyfolio things (default: False)