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* 增加backtestlog模块，用于输出回测日志时，将时间替换为回测时间 * 增加行情预取功能 * 增加回测报告中绘制自定义指标功能（仅支持Scatter)
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,101 @@ | ||
| { | ||
| "cells": [ | ||
| { | ||
| "attachments": {}, | ||
| "cell_type": "markdown", | ||
| "metadata": {}, | ||
| "source": [ | ||
| "\n", | ||
| "Nirvana Systems把Conners RSI称作终极技术指标，并在它的网站上发布了关于如何生成和使用这一指标的文章。著名的回测框架 backtrader也在文档和示例中引用了这篇文章。TradingView也内置了这一指标。\n", | ||
| "\n", | ||
| "为什么Conners RSI被称为终极技术指标，它有哪些优势？成功背后的原理是什么，又该如何实现这一指标呢？这篇文章就为你介绍。\n", | ||
| "\n", | ||
| "Conners RSI是在标准RSI的基础上，混合了另外两个指标得到的。\n", | ||
| "\n", | ||
| "第一个指标就是Streaks。它本质上是统计连续上涨或者下跌的周期数，并将该指标的RSI作为一个分数。我们知道，股票连涨周期数越长，则越可能反生反转（即下跌）；反之亦然。大家可以按照我们在《数据分析与Python实现》那几节课中，介绍的PDF/CDF的方法，来自行估计当某个标的连续上涨N天后，接下来继续上涨的概率有多大。\n", | ||
| "\n", | ||
| "下图显示了每日收盘价，及由此计算的streaks指标：\n", | ||
| "\n", | ||
| "\n", | ||
| "\n", | ||
| "第二个指标就是今天的涨跌幅，在过去一段时间内的的涨跌幅中的排名。它从另一个维度，描绘了当前市场的强弱。如果在过去20天内，只有3天的涨幅低于今天，那么今天的相对强弱就是15%，次日反转可能性大；如果17天的涨幅低于今天，那么今天的相对强弱就是85%，次日下跌的可能性变大。\n", | ||
| "\n", | ||
| "这两个指标加上经典RSI，就合成了Conners RSI:\n", | ||
| "\n", | ||
| "$$\n", | ||
| " CRSI(3, 2, 100) = [RSI(3) + RSI(Streak, 2) + PercentRank(100)] / 3\n", | ||
| "$$\n", | ||
| "\n", | ||
| "与单一的RSI只计算了上涨与下跌的空间相比，streaks指标则强调了上涨和下跌的时间周期 -- 只有一轮趋势的空间和时间都到位，才有更有可能发生反转；而PercentRank往往可以寻找到行情的加速阶段：一旦出现明显的涨跌异常 -- 这也是一段行情进入尾声的标志之一。正因为如此，Conners RSI才被认为是更有效的摆动类指标，可以比较精准地捕捉顶和底。\n", | ||
| "\n", | ||
| "Conners RSI的实际表现如何？我们拿最近1000天的沪指进行测试：\n", | ||
| "\n", | ||
| "\n", | ||
| "\n", | ||
| "backtrader的回测表明，最近4年以来（近似于1000个交易日），沪指仅上涨5.76%，但通过cornner's RSI策略抄底逃顶，我们在指数上竟然获得超过44%的收益。如果是对个股进行操作，收益很可能是数倍。\n", | ||
| "\n", | ||
| "由于这段时间毕竟沪指是上涨的，如果遇到行情极端不好，访策略表现如何？近两年来恒生指数就宛如下跌的飞刀，假设我们要强接飞刀，表现又是怎样？\n", | ||
| "\n", | ||
| "\n", | ||
| "<caption>图片来源: www.taindicators.com</caption>\n", | ||
| "\n", | ||
| "结论是，还是不要去接下跌的飞刀。但即使如此，即使是遇到下跌的飞刀，corner's RSI的表现也大大超过指数。" | ||
| ] | ||
| }, | ||
| { | ||
| "attachments": {}, | ||
| "cell_type": "markdown", | ||
| "metadata": {}, | ||
| "source": [ | ||
| "from coursea import *\n", | ||
| "await init()\n", | ||
| "\n", | ||
| "class ConnerRSIStrategy(BaseStrategy):\n", | ||
| " def __init__(self, url: str, sec: str, **kwargs):\n", | ||
| " self.sec = sec\n", | ||
| " self.pstreak = kwargs.get(\"pstreak\", 2)\n", | ||
| " self.prank = kwargs.get(\"prank\", 20)\n", | ||
| " \n", | ||
| " self.low_watermark = kwargs.get(\"low_watermark\", 13)\n", | ||
| " self.high_watermark = kwargs.get(\"high_watermark\", 58)\n", | ||
| " super().__init__(url, **kwargs)\n", | ||
| " \n", | ||
| " \n", | ||
| " async def predict(self, frame: Frame, frame_type: FrameType, i: int, barss, **kwargs):\n", | ||
| " bars = barss[self.sec]\n", | ||
| " close = bars[\"close\"]\n", | ||
| " \n", | ||
| " rsi = ta.RSI(close, 6)\n", | ||
| " streak = Streak(close)\n", | ||
| " rsi_streak = ta.RSI(streak, self.pstreak)\n", | ||
| " \n", | ||
| " pclose = close[-self.prank:]\n", | ||
| " prank = fsum(x < pclose[-1] for x in pclose)/ pclose\n", | ||
| " \n", | ||
| " crsi = (rsi[-1] + rsi_streak[-1] + prank)/3.0\n", | ||
| " \n", | ||
| " print(\"crsi is\", crsi)\n", | ||
| " if crsi <= self.low_watermark:\n", | ||
| " await self.buy(self.sec, money=self.cash, order_time=tf.combine_time(frame, 14, 56))\n", | ||
| " elif crsi >= self.high_watermark:\n", | ||
| " avail = self.available_shares(sec, frame)\n", | ||
| " await self.sell(self.sec, vol = avail, order_time=tf.combine_time(frame, 14, 56))\n", | ||
| " \n", | ||
| "start = datetime.date(2023, 1, 4)\n", | ||
| "end = datetime.date(2023, 4, 14)\n", | ||
| "\n", | ||
| "cs = ConnerRSIStrategy(cfg.backtest.url, \"002344.XSHE\", start=start, end=end, frame_type=FrameType.DAY, baseline=\"399300.XSHE\")\n", | ||
| "await cs.backtest(portfolio = [\"002344.XSHE\"], n=30)\n", | ||
| "await cs.plot_metrics()" | ||
| ] | ||
| } | ||
| ], | ||
| "metadata": { | ||
| "language_info": { | ||
| "name": "python" | ||
| }, | ||
| "orig_nbformat": 4 | ||
| }, | ||
| "nbformat": 4, | ||
| "nbformat_minor": 2 | ||
| } |
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,101 @@ | ||
| """ | ||
| 回测时，打印时间一般要求为回测当时的时间，而非系统时间。这个模块提供了改写日志时间的功能。 | ||
| 使用方法： | ||
| ```python | ||
| from omicron.core.backtestlog import BacktestLogger | ||
| logger = BacktestLogger.getLogger(__name__) | ||
| logger.setLevel(logging.INFO) | ||
| handler = logging.StreamHandler() | ||
| # 通过bt_date域来设置日期，而不是asctime | ||
| handler.setFormatter(Formatter("%(bt_date)s %(message)s")) | ||
| logging.basicConfig(level=logging.INFO, handlers=[handler]) | ||
| # 调用时与普通日志一样，但要增加一个date参数 | ||
| logger.info("this is info", date=datetime.date(2022, 3, 1)) | ||
| ``` | ||
| 上述代码将输出： | ||
| ``` | ||
| 2022-03-01 this is info | ||
| ``` | ||
| 使用本日志的核心是上述代码中的第3行和第9行，最后，在输出日志时加上`date=...`，如第15行所示。 | ||
| 注意在第9行，通常是`logging.getLogger(__nam__)`，而这里是`BacktestLogger.getLogger(__name__)` | ||
| 如果上述调用中没有传入`date`，则将使用调用时间，此时行为跟原日志系统一致。 | ||
| !!! warning | ||
| 当调用logger.exception时，不能传入date参数。 | ||
| """ | ||
|
|
||
| import datetime | ||
| import logging | ||
| from typing import Union | ||
|
|
||
| from coretypes import Frame | ||
|
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|
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| class BacktestLogger(object): | ||
| logger = None | ||
|
|
||
| def __init__(self, name): | ||
| self._log = logging.getLogger(name) | ||
|
|
||
| @classmethod | ||
| def getLogger(cls, name: str): | ||
| if cls.logger is None: | ||
| cls.logger = BacktestLogger(name) | ||
|
|
||
| return cls.logger | ||
|
|
||
| @classmethod | ||
| def debug(cls, msg, *args, date: Union[str, Frame, None] = None): | ||
| cls.logger._log.debug( | ||
| msg, *args, extra={"bt_date": date or datetime.datetime.now()} | ||
| ) | ||
|
|
||
| @classmethod | ||
| def info(cls, msg, *args, date: Union[str, Frame, None] = None): | ||
| cls.logger._log.info( | ||
| msg, *args, extra={"bt_date": date or datetime.datetime.now()} | ||
| ) | ||
|
|
||
| @classmethod | ||
| def warning(cls, msg, *args, date: Union[str, Frame, None] = None): | ||
| cls.logger._log.warning( | ||
| msg, *args, extra={"bt_date": date or datetime.datetime.now()} | ||
| ) | ||
|
|
||
| @classmethod | ||
| def error(cls, msg, *args, date: Union[str, Frame, None] = None): | ||
| cls.logger._log.error( | ||
| msg, *args, extra={"bt_date": date or datetime.datetime.now()} | ||
| ) | ||
|
|
||
| @classmethod | ||
| def critical(cls, msg, *args, date: Union[str, Frame, None] = None): | ||
| cls.logger._log.critical( | ||
| msg, *args, extra={"bt_date": date or datetime.datetime.now()} | ||
| ) | ||
|
|
||
| @classmethod | ||
| def exception(cls, e): | ||
| cls.logger._log.exception(e, extra={"bt_date": ""}) | ||
|
|
||
| @classmethod | ||
| def log(cls, level, msg, *args, date: Union[str, Frame, None] = None): | ||
| cls.logger._log.log( | ||
| level, msg, *args, extra={"bt_date": date or datetime.datetime.now()} | ||
| ) | ||
|
|
||
| @classmethod | ||
| def setLevel(cls, level): | ||
| cls.logger._log.setLevel(level) |
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