November 2022
Intermediate to advanced
392 pages
10h 8m
Chinese
Content preview from Python算法交易
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掌握向量化回测
｜
137
Parameters
==========
SMA: tuple
SMA parameter tuple
'''
self.set_parameters(int(SMA[0]), int(SMA[1]))
return -self.run_strategy()[0]
def optimize_parameters(self, SMA1_range, SMA2_range):
''' Finds global maximum given the SMA parameter ranges.
Parameters
==========
SMA1_range, SMA2_range: tuple
tuples of the form (start, end, step size)
'''
opt = brute(self.update_and_run, (SMA1_range, SMA2_range), finish=None)
return opt, -self.update_and_run(opt)
if __name__ == '__main__':
smabt = SMAVectorBacktester('EUR=', 42, 252,
'2010-1-1', '2020-12-31')
print(smabt.run_strategy()) ...
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