Ticket #108中提出了投資組合工具pyfolio的集成。
鑑於zipline和pyfolio之間的緊密集成，第一次看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，因此是集成的奇蹟。
大多數部分已經在backtrader中就位：
分析器基礎設施
兒童分析儀
TimeReturn 分析器
只需要一個主PyFolio分析器和 3 個簡易子分析器。加上一種依賴於pyfolio已經需要的依賴項之一的方法，即pandas 。
最具挑戰性的部分……“正確處理所有依賴項”。
pandas更新numpy的更新scikit-lean的更新seaborn的更新
在帶有 C 編譯器的類 Unix 環境下，一切都差不多了。在 Windows 下，甚至安裝了特定的 Microsoft 編譯器（在本例中是 Python 2.7 的鏈），事情都失敗了。但是，一個擁有 Windows 最新軟件包集合的知名站點提供了幫助。如果您需要，請訪問它：
如果沒有經過測試，集成將不完整，這就是為什麼通常的樣本始終存在的原因。
沒有 PyFolio
該示例使用random.randint來決定何時購買/出售，所以這只是檢查事情是否正常：
$ ./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
在測試運行的 2 年默認壽命期間，隨機選擇並分散了 3 個數據和幾個買賣操作
PyFolio 運行
pyfolio在 Jupyter Notebook 中運行時運行良好，包括內聯繪圖。這是筆記本
筆記
runstrat在這裡 [] 作為參數以使用默認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]
pyfolioplotting.py:1210: FutureWarning: .resample() is now a deferred operation use .resample(...).mean() instead of .resample(...) **kwargs)
<matplotlib.figure.Figure at 0x23982b70>
樣品用途：
$ ./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)