November 2022
Intermediate to advanced
392 pages
10h 8m
Chinese
Content preview from Python算法交易
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构建基于事件回测的类
｜
219
lobt.run_mean_reversion_strategy(50, 5)
lobt = BacktestLongOnly('AAPL.O', '2010-1-1', '2019-12-31', 10000,
verbose=False)
run_strategies()
# transaction costs: 10 USD fix, 1% variable
lobt = BacktestLongOnly('AAPL.O', '2010-1-1', '2019-12-31',
10000, 10.0, 0.01, False)
run_strategies()
6.6.3
多空回测类
以下
Python
代码包含一个用于对多头
/
空头策略进行基于事件的回测的类，以及基
于
SMA
，动量和均值回归的策略的实现。
#
#
基于事件回测的多空类的
Python
脚本
#
# Python for Algorithmic Trading
# (c) Dr. Yves J. Hilpisch
# The Python Quants GmbH
#
from BacktestBase import *
class BacktestLongShort(BacktestBase):
def go_long(self, bar, units=None, amount=None):
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I'm always learning. So when I got on to O'Reilly, I was like a kid in a candy store. There are playlists. There are answers. There's on-demand training. It's worth its weight in gold, in terms of what it allows me to do.