回测连续上涨和下跌.ipynb

{
 "cells": [
  {
   "cell_type": "code",
   "execution_count": 16,
   "metadata": {},
   "outputs": [],
   "source": [
    "import  backtrader as bt "
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 17,
   "metadata": {},
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "Starting Portfolio Value: 1000000.00\n"
     ]
    }
   ],
   "source": [
    "#Create an instance of engine, the engine 创建引擎\n",
    "engine = bt.Cerebro()\n",
    "\n",
    "# Set our desired cash start 设置初始资金,默认10000\n",
    "startcash=1000000\n",
    "engine.broker.setcash(startcash)\n",
    "print('Starting Portfolio Value: %.2f' % engine.broker.getvalue())"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "###数据加载 dataframe 日期一定要asc排列"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 18,
   "metadata": {},
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "{\"query\" : \"SELECT close,high,low,open,time_key, volume,create_time FROM kline_day_b where code='HK.01810' and  1550462537>time_key and time_key>1518926537  order by create_time asc\"}\n",
      "             close   high    low   open    time_key     volume\n",
      "create_time                                                   \n",
      "2018-07-09   16.80  17.00  16.00  16.60  1531065600  462182642\n",
      "2018-07-10   19.00  19.34  17.00  17.00  1531152000  534072218\n",
      "2018-07-11   19.00  19.80  18.30  18.50  1531238400  374721138\n",
      "2018-07-12   19.26  19.70  19.02  19.40  1531324800  132592630\n",
      "2018-07-13   21.45  21.80  19.52  19.60  1531411200  364065075\n",
      "2018-07-16   21.05  21.30  19.40  19.94  1531670400  211621432\n",
      "2018-07-17   20.90  21.70  20.55  21.45  1531756800   97690237\n",
      "2018-07-18   21.55  22.20  21.40  21.40  1531843200  142583771\n",
      "2018-07-19   20.10  21.90  19.82  21.70  1531929600  153563433\n",
      "2018-07-20   19.88  20.45  19.50  20.10  1532016000  111713800\n",
      "2018-07-23   19.02  19.98  19.00  19.88  1532275200   82544900\n",
      "2018-07-24   18.24  19.70  18.20  19.10  1532361600  113828488\n",
      "2018-07-25   18.58  18.88  18.18  18.56  1532448000   72027810\n",
      "2018-07-26   18.30  18.84  18.12  18.80  1532534400   40951672\n",
      "2018-07-27   19.04  19.12  18.30  18.32  1532620800   68204685\n",
      "2018-07-30   18.68  18.92  18.32  18.86  1532880000   43124305\n",
      "2018-07-31   17.60  18.48  17.42  18.42  1532966400  100190678\n",
      "2018-08-01   17.86  18.26  17.56  17.94  1533052800   42088808\n",
      "2018-08-02   17.26  18.14  16.96  18.00  1533139200   80125110\n",
      "2018-08-03   17.00  17.68  16.90  17.32  1533225600   47386901\n",
      "2018-08-06   17.22  17.68  17.10  17.20  1533484800   39896098\n",
      "2018-08-07   17.42  17.62  17.22  17.30  1533571200   29000537\n",
      "2018-08-08   17.14  17.62  17.02  17.50  1533657600   37947677\n",
      "2018-08-09   18.08  18.60  17.26  17.40  1533744000  109541974\n",
      "2018-08-10   18.16  18.60  18.00  18.30  1533830400   54535948\n",
      "2018-08-13   17.44  18.06  17.24  17.98  1534089600   49053111\n",
      "2018-08-14   17.16  17.60  17.00  17.60  1534176000   51105928\n",
      "2018-08-15   16.30  17.34  16.22  17.28  1534262400   79753065\n",
      "2018-08-16   16.24  16.60  15.52  16.16  1534348800   60546391\n",
      "2018-08-17   16.36  16.74  16.26  16.60  1534435200   26655983\n",
      "...            ...    ...    ...    ...         ...        ...\n",
      "2018-12-31   12.92  13.10  12.84  13.10  1546185600   11246279\n",
      "2019-01-02   12.20  12.98  12.18  12.98  1546358400   32515761\n",
      "2019-01-03   11.76  12.32  11.76  12.28  1546444800   38910146\n",
      "2019-01-04   11.96  12.04  11.50  11.66  1546531200   25943844\n",
      "2019-01-07   12.00  12.38  11.96  12.32  1546790400   28376962\n",
      "2019-01-08   11.10  12.16  11.06  12.16  1546876800   91106400\n",
      "2019-01-09   10.34  11.10  10.34  10.50  1546963200  240922422\n",
      "2019-01-10    9.97  10.04   9.44   9.63  1547049600  376414318\n",
      "2019-01-11   10.34  10.52  10.00  10.18  1547136000  126655283\n",
      "2019-01-14   10.02  10.48  10.00  10.42  1547395200   54264395\n",
      "2019-01-15    9.96  10.16   9.83  10.06  1547481600   82269650\n",
      "2019-01-16    9.70   9.94   9.59   9.70  1547568000  367223812\n",
      "2019-01-17    9.74   9.95   9.67   9.81  1547654400   81046985\n",
      "2019-01-18   10.16  10.24   9.89   9.97  1547740800  139896858\n",
      "2019-01-21   10.30  10.48  10.22  10.22  1548000000   86294625\n",
      "2019-01-22   10.00  10.40   9.92  10.38  1548086400   59735038\n",
      "2019-01-23    9.97  10.02   9.89   9.93  1548172800   37825844\n",
      "2019-01-24   10.00  10.12   9.92  10.00  1548259200   41246163\n",
      "2019-01-25   10.10  10.26  10.02  10.04  1548345600   64613994\n",
      "2019-01-28   10.02  10.22   9.94  10.20  1548604800   44290538\n",
      "2019-01-29    9.91   9.99   9.86   9.92  1548691200   33530991\n",
      "2019-01-30    9.84   9.95   9.84   9.90  1548777600   32802193\n",
      "2019-01-31    9.84   9.98   9.82   9.95  1548864000   50076676\n",
      "2019-02-01   10.44  10.44   9.87   9.90  1548950400  127579302\n",
      "2019-02-04   10.36  10.50  10.28  10.46  1549209600   49681936\n",
      "2019-02-08   10.26  10.32  10.00  10.30  1549555200   57644100\n",
      "2019-02-11   10.70  10.90  10.22  10.34  1549814400  140732181\n",
      "2019-02-12   10.60  11.10  10.54  10.94  1549900800  117906288\n",
      "2019-02-13   11.38  11.42  10.60  10.72  1549987200  156224007\n",
      "2019-02-14   11.52  11.56  11.20  11.36  1550073600  108811783\n",
      "\n",
      "[146 rows x 6 columns]\n"
     ]
    },
    {
     "data": {
      "text/plain": [
       "<backtrader.feeds.pandafeed.PandasData at 0x7f2253d7b860>"
      ]
     },
     "execution_count": 18,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "import requests,json,datetime\n",
    "import arrow\n",
    "start_ = arrow.now().timestamp\n",
    "end_ = arrow.now().shift(years=-1).timestamp\n",
    "\n",
    "url = \"http://es:9200/_xpack/sql\"\n",
    "\n",
    "querystring = {\"format\":\"json\"}\n",
    "\n",
    "payload = \"\"\"{\"query\" : \"SELECT close,high,low,open,time_key, volume,create_time FROM kline_day_b where code='HK.01810' and  %s>time_key and time_key>%s  order by create_time asc\"}\"\"\"%(start_,end_)\n",
    "print(payload)\n",
    "headers = {\n",
    "    'content-type': \"application/json\",\n",
    "    'authorization': \"Basic ZWxhc3RpYzpMT09QMnRoZW1vb24=\",\n",
    "    'cache-control': \"no-cache\",\n",
    "    'postman-token': \"88a2e398-4dc0-439a-deae-3902fa9f4fa0\"\n",
    "    }\n",
    "\n",
    "response = requests.request(\"POST\", url, data=payload, headers=headers, params=querystring)\n",
    "data = json.loads(response.content)\n",
    "\n",
    "import pandas as pd\n",
    "\n",
    "df = pd.DataFrame(data['rows'],columns=[i['name'] for i in data['columns']])\n",
    "df['create_time'] = df['create_time'].apply(lambda i : datetime.datetime.utcfromtimestamp(arrow.get(i).timestamp))\n",
    "df.set_index(['create_time'],inplace=True,)\n",
    "df.index = pd.DatetimeIndex(df.index)\n",
    "print(df)\n",
    "\n",
    "startDay = datetime.datetime.strptime('2018-7-9','%Y-%m-%d')\n",
    "endDay = datetime.datetime.strptime('2019-2-13','%Y-%m-%d')\n",
    "\n",
    "\n",
    "\n",
    "data1 = bt.feeds.PandasData(dataname= df,fromdate = startDay,\n",
    "                           todate = endDay,)\n",
    "engine.adddata(data1, name='HK.01810')"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 20,
   "metadata": {
    "scrolled": true
   },
   "outputs": [
    {
     "ename": "ValueError",
     "evalue": "need more than 1 value to unpack",
     "output_type": "error",
     "traceback": [
      "\u001b[0;31m---------------------------------------------------------------------------\u001b[0m",
      "\u001b[0;31mValueError\u001b[0m                                Traceback (most recent call last)",
      "\u001b[0;32m<ipython-input-20-9dcc0e2e9d10>\u001b[0m in \u001b[0;36m<module>\u001b[0;34m()\u001b[0m\n\u001b[1;32m    178\u001b[0m \u001b[0;31m# Create a Stratey\u001b[0m\u001b[0;34m\u001b[0m\u001b[0;34m\u001b[0m\u001b[0m\n\u001b[1;32m    179\u001b[0m \u001b[0;31m#添加税费\u001b[0m\u001b[0;34m\u001b[0m\u001b[0;34m\u001b[0m\u001b[0m\n\u001b[0;32m--> 180\u001b[0;31m \u001b[0;32mclass\u001b[0m \u001b[0mTestStrategy4\u001b[0m\u001b[0;34m(\u001b[0m\u001b[0mbt\u001b[0m\u001b[0;34m.\u001b[0m\u001b[0mStrategy\u001b[0m\u001b[0;34m)\u001b[0m\u001b[0;34m:\u001b[0m\u001b[0;34m\u001b[0m\u001b[0m\n\u001b[0m\u001b[1;32m    181\u001b[0m \u001b[0;34m\u001b[0m\u001b[0m\n\u001b[1;32m    182\u001b[0m     \u001b[0mparams\u001b[0m  \u001b[0;34m=\u001b[0m \u001b[0;34m(\u001b[0m\u001b[0;34m(\u001b[0m\u001b[0;34m'exitbars'\u001b[0m\u001b[0;34m)\u001b[0m\u001b[0;34m)\u001b[0m\u001b[0;34m\u001b[0m\u001b[0m\n",
      "\u001b[0;32m~/anaconda3/lib/python3.7/site-packages/backtrader/strategy.py\u001b[0m in \u001b[0;36m__new__\u001b[0;34m(meta, name, bases, dct)\u001b[0m\n\u001b[1;32m     53\u001b[0m             \u001b[0mdct\u001b[0m\u001b[0;34m[\u001b[0m\u001b[0;34m'notify_trade'\u001b[0m\u001b[0;34m]\u001b[0m \u001b[0;34m=\u001b[0m \u001b[0mdct\u001b[0m\u001b[0;34m.\u001b[0m\u001b[0mpop\u001b[0m\u001b[0;34m(\u001b[0m\u001b[0;34m'notify_operation'\u001b[0m\u001b[0;34m)\u001b[0m\u001b[0;34m\u001b[0m\u001b[0m\n\u001b[1;32m     54\u001b[0m \u001b[0;34m\u001b[0m\u001b[0m\n\u001b[0;32m---> 55\u001b[0;31m         \u001b[0;32mreturn\u001b[0m \u001b[0msuper\u001b[0m\u001b[0;34m(\u001b[0m\u001b[0mMetaStrategy\u001b[0m\u001b[0;34m,\u001b[0m \u001b[0mmeta\u001b[0m\u001b[0;34m)\u001b[0m\u001b[0;34m.\u001b[0m\u001b[0m__new__\u001b[0m\u001b[0;34m(\u001b[0m\u001b[0mmeta\u001b[0m\u001b[0;34m,\u001b[0m \u001b[0mname\u001b[0m\u001b[0;34m,\u001b[0m \u001b[0mbases\u001b[0m\u001b[0;34m,\u001b[0m \u001b[0mdct\u001b[0m\u001b[0;34m)\u001b[0m\u001b[0;34m\u001b[0m\u001b[0m\n\u001b[0m\u001b[1;32m     56\u001b[0m \u001b[0;34m\u001b[0m\u001b[0m\n\u001b[1;32m     57\u001b[0m     \u001b[0;32mdef\u001b[0m \u001b[0m__init__\u001b[0m\u001b[0;34m(\u001b[0m\u001b[0mcls\u001b[0m\u001b[0;34m,\u001b[0m \u001b[0mname\u001b[0m\u001b[0;34m,\u001b[0m \u001b[0mbases\u001b[0m\u001b[0;34m,\u001b[0m \u001b[0mdct\u001b[0m\u001b[0;34m)\u001b[0m\u001b[0;34m:\u001b[0m\u001b[0;34m\u001b[0m\u001b[0m\n",
      "\u001b[0;32m~/anaconda3/lib/python3.7/site-packages/backtrader/lineseries.py\u001b[0m in \u001b[0;36m__new__\u001b[0;34m(meta, name, bases, dct)\u001b[0m\n\u001b[1;32m    348\u001b[0m \u001b[0;34m\u001b[0m\u001b[0m\n\u001b[1;32m    349\u001b[0m         \u001b[0;31m# Create the class - pulling in any existing \"lines\"\u001b[0m\u001b[0;34m\u001b[0m\u001b[0;34m\u001b[0m\u001b[0m\n\u001b[0;32m--> 350\u001b[0;31m         \u001b[0mcls\u001b[0m \u001b[0;34m=\u001b[0m \u001b[0msuper\u001b[0m\u001b[0;34m(\u001b[0m\u001b[0mMetaLineSeries\u001b[0m\u001b[0;34m,\u001b[0m \u001b[0mmeta\u001b[0m\u001b[0;34m)\u001b[0m\u001b[0;34m.\u001b[0m\u001b[0m__new__\u001b[0m\u001b[0;34m(\u001b[0m\u001b[0mmeta\u001b[0m\u001b[0;34m,\u001b[0m \u001b[0mname\u001b[0m\u001b[0;34m,\u001b[0m \u001b[0mbases\u001b[0m\u001b[0;34m,\u001b[0m \u001b[0mdct\u001b[0m\u001b[0;34m)\u001b[0m\u001b[0;34m\u001b[0m\u001b[0m\n\u001b[0m\u001b[1;32m    351\u001b[0m \u001b[0;34m\u001b[0m\u001b[0m\n\u001b[1;32m    352\u001b[0m         \u001b[0;31m# Check the line aliases before creating the lines\u001b[0m\u001b[0;34m\u001b[0m\u001b[0;34m\u001b[0m\u001b[0m\n",
      "\u001b[0;32m~/anaconda3/lib/python3.7/site-packages/backtrader/metabase.py\u001b[0m in \u001b[0;36m__new__\u001b[0;34m(meta, name, bases, dct)\u001b[0m\n\u001b[1;32m    237\u001b[0m \u001b[0;34m\u001b[0m\u001b[0m\n\u001b[1;32m    238\u001b[0m         \u001b[0;31m# Subclass and store the newly derived params class\u001b[0m\u001b[0;34m\u001b[0m\u001b[0;34m\u001b[0m\u001b[0m\n\u001b[0;32m--> 239\u001b[0;31m         \u001b[0mcls\u001b[0m\u001b[0;34m.\u001b[0m\u001b[0mparams\u001b[0m \u001b[0;34m=\u001b[0m \u001b[0mparams\u001b[0m\u001b[0;34m.\u001b[0m\u001b[0m_derive\u001b[0m\u001b[0;34m(\u001b[0m\u001b[0mname\u001b[0m\u001b[0;34m,\u001b[0m \u001b[0mnewparams\u001b[0m\u001b[0;34m,\u001b[0m \u001b[0mmorebasesparams\u001b[0m\u001b[0;34m)\u001b[0m\u001b[0;34m\u001b[0m\u001b[0m\n\u001b[0m\u001b[1;32m    240\u001b[0m \u001b[0;34m\u001b[0m\u001b[0m\n\u001b[1;32m    241\u001b[0m         \u001b[0;32mreturn\u001b[0m \u001b[0mcls\u001b[0m\u001b[0;34m\u001b[0m\u001b[0m\n",
      "\u001b[0;32m~/anaconda3/lib/python3.7/site-packages/backtrader/metabase.py\u001b[0m in \u001b[0;36m_derive\u001b[0;34m(cls, name, info, otherbases, recurse)\u001b[0m\n\u001b[1;32m    114\u001b[0m         \u001b[0;31m# plus and update from parameter\u001b[0m\u001b[0;34m\u001b[0m\u001b[0;34m\u001b[0m\u001b[0m\n\u001b[1;32m    115\u001b[0m         \u001b[0mclsinfo\u001b[0m \u001b[0;34m=\u001b[0m \u001b[0mbaseinfo\u001b[0m\u001b[0;34m.\u001b[0m\u001b[0mcopy\u001b[0m\u001b[0;34m(\u001b[0m\u001b[0;34m)\u001b[0m\u001b[0;34m\u001b[0m\u001b[0m\n\u001b[0;32m--> 116\u001b[0;31m         \u001b[0mclsinfo\u001b[0m\u001b[0;34m.\u001b[0m\u001b[0mupdate\u001b[0m\u001b[0;34m(\u001b[0m\u001b[0minfo\u001b[0m\u001b[0;34m)\u001b[0m\u001b[0;34m\u001b[0m\u001b[0m\n\u001b[0m\u001b[1;32m    117\u001b[0m \u001b[0;34m\u001b[0m\u001b[0m\n\u001b[1;32m    118\u001b[0m         \u001b[0;31m# The new items to update/set are those from the otherbase plus the new\u001b[0m\u001b[0;34m\u001b[0m\u001b[0;34m\u001b[0m\u001b[0m\n",
      "\u001b[0;31mValueError\u001b[0m: need more than 1 value to unpack"
     ]
    }
   ],
   "source": [
    "\n",
    "class TestStrategy(bt.Strategy):\n",
    "\n",
    "    def log(self, txt, dt=None):\n",
    "        ''' Logging function for this strategy'''\n",
    "        dt = dt or self.datas[0].datetime.date(0)\n",
    "        print('%s, %s' % (dt.isoformat(), txt))\n",
    "\n",
    "    def __init__(self):\n",
    "        # Keep a reference to the \"close\" line in the data[0] dataseries\n",
    "        self.dataclose = self.datas[0].close\n",
    "        self.order = None\n",
    "\n",
    "    def next(self):\n",
    "        # Simply log the closing price of the series from the reference\n",
    "        self.log('Close, %.2f' % self.dataclose[0])\n",
    "        #如果今天的收盘价小于昨天收盘价\n",
    "        if self.dataclose[0]<self.dataclose[-1]:\n",
    "            if self.dataclose[-1]<self.dataclose[-2]:\n",
    "                self.log('BUY CREATE, %.2f' % self.dataclose[0])\n",
    "                self.buy(size=200)\n",
    "\n",
    "\n",
    "class TestStrategy2(bt.Strategy):\n",
    "\n",
    "    def log(self, txt, dt=None):\n",
    "        ''' Logging function for this strategy'''\n",
    "        dt = dt or self.datas[0].datetime.date(0)\n",
    "        print('%s, %s' % (dt.isoformat(), txt))\n",
    "\n",
    "    def __init__(self):\n",
    "        # Keep a reference to the \"close\" line in the data[0] dataseries\n",
    "        self.dataclose = self.datas[0].close\n",
    "        self.order = None\n",
    "\n",
    "        \n",
    "    def notify_order(self, order):\n",
    "        '''判断订单状态'''\n",
    "        if order.status in [order.Submitted, order.Accepted]:\n",
    "            return\n",
    "        if order.status in [order.Completed]:\n",
    "            if order.isbuy():\n",
    "                self.log('BUY EXECUTED, %.2f' % order.executed.price)\n",
    "            elif order.issell():\n",
    "                self.log('SELL EXECUTED, %.2f' % order.executed.price)\n",
    "            self.bar_executed = len(self)\n",
    "        elif order.status in [order.Canceled, order.Margin, order.Rejected]:\n",
    "            self.log('Order Canceled/Margin/Rejected')\n",
    "\n",
    "        # Write down: no pending order\n",
    "        self.order = None\n",
    "\n",
    "    def next(self):\n",
    "        # Simply log the closing price of the series from the reference\n",
    "        self.log('Close, %.2f' % self.dataclose[0])\n",
    "        # 如果有订单状态不执行\n",
    "        if self.order:\n",
    "            return\n",
    "        # 如果今天的收盘价小于昨天收盘价\n",
    "        # Check if we are in the market 检测是否在市场上\n",
    "        if not self.position:\n",
    "            if self.dataclose[0] < self.dataclose[-1]:\n",
    "                if self.dataclose[-1] < self.dataclose[-2]:\n",
    "                    self.log('BUY CREATE, %.2f' % self.dataclose[0])\n",
    "                    self.order = self.buy(size=200)\n",
    "\n",
    "        else:\n",
    "\n",
    "            # Already in the market ... we might sell\n",
    "            # 如果bar 连续上涨大于等于5天那么以第六天的价格卖掉\n",
    "            # 2019-01-16, Close, 9.70\n",
    "            # 2019-01-17, Close, 9.74\n",
    "            # 2019-01-18, Close, 10.16\n",
    "            # 2019-01-21, Close, 10.30\n",
    "            # 2019-01-22, Close, 10.00\n",
    "            # 2019-01-23, Close, 9.97\n",
    "            # 2019-01-23, SELL CREATE, 9.97\n",
    "            # 2019-01-24, SELL EXECUTED, 10.00\n",
    "            # 2019-01-24, Close, 10.00\n",
    "            if len(self) >= (self.bar_executed + 5):\n",
    "                # SELL, SELL, SELL!!! (with all possible default parameters)\n",
    "                self.log('SELL CREATE, %.2f' % self.dataclose[0])\n",
    "\n",
    "                # Keep track of the created order to avoid a 2nd order\n",
    "                self.order = self.sell()\n",
    "# Create a Stratey\n",
    "#添加税费\n",
    "class TestStrategy3(bt.Strategy):\n",
    "\n",
    "    def log(self, txt, dt=None):\n",
    "        ''' Logging function fot this strategy'''\n",
    "        dt = dt or self.datas[0].datetime.date(0)\n",
    "        print('%s, %s' % (dt.isoformat(), txt))\n",
    "\n",
    "    def __init__(self):\n",
    "        # Keep a reference to the \"close\" line in the data[0] dataseries\n",
    "        self.dataclose = self.datas[0].close\n",
    "\n",
    "        # To keep track of pending orders and buy price/commission\n",
    "        self.order = None\n",
    "        self.buyprice = None\n",
    "        self.buycomm = None\n",
    "    \n",
    "    def notify_order(self, order):\n",
    "        \n",
    "        #如果状态在提交和接受状态\n",
    "        if order.status in [order.Submitted, order.Accepted]:\n",
    "            # Buy/Sell order submitted/accepted to/by broker - Nothing to do\n",
    "            return\n",
    "\n",
    "        # Check if an order has been completed\n",
    "        # Attention: broker could reject order if not enough cash\n",
    "        #如果状态为完成状态\n",
    "        if order.status in [order.Completed]:\n",
    "            if order.isbuy():\n",
    "                self.log(\n",
    "                    'BUY EXECUTED, Price: %.2f, Cost: %.2f, Comm %.2f' %\n",
    "                    (order.executed.price,\n",
    "                     order.executed.value,\n",
    "                     order.executed.comm))\n",
    "\n",
    "                self.buyprice = order.executed.price\n",
    "                self.buycomm = order.executed.comm\n",
    "            else:  # Sell\n",
    "                self.log('SELL EXECUTED, Price: %.2f, Cost: %.2f, Comm %.2f' %\n",
    "                         (order.executed.price,\n",
    "                          order.executed.value,\n",
    "                          order.executed.comm))\n",
    "\n",
    "            self.bar_executed = len(self)\n",
    "\n",
    "        elif order.status in [order.Canceled, order.Margin, order.Rejected]:\n",
    "            self.log('Order Canceled/Margin/Rejected')\n",
    "\n",
    "        self.order = None\n",
    "    #通知贸易\n",
    "    def notify_trade(self, trade):\n",
    "        if not trade.isclosed:\n",
    "            return\n",
    "\n",
    "        self.log('OPERATION PROFIT, GROSS %.2f, NET %.2f' %\n",
    "                 (trade.pnl, trade.pnlcomm))\n",
    "\n",
    "    def next(self):\n",
    "        # Simply log the closing price of the series from the reference\n",
    "        self.log('Close, %.2f' % self.dataclose[0])\n",
    "\n",
    "        # Check if an order is pending ... if yes, we cannot send a 2nd one\n",
    "        if self.order:\n",
    "            return\n",
    "\n",
    "        # Check if we are in the market\n",
    "        if not self.position:\n",
    "\n",
    "            # Not yet ... we MIGHT BUY if ...\n",
    "            if self.dataclose[0] < self.dataclose[-1]:\n",
    "                    # current close less than previous close\n",
    "\n",
    "                    if self.dataclose[-1] < self.dataclose[-2]:\n",
    "                        # previous close less than the previous close\n",
    "\n",
    "                        # BUY, BUY, BUY!!! (with default parameters)\n",
    "                        self.log('BUY CREATE, %.2f' % self.dataclose[0])\n",
    "\n",
    "                        # Keep track of the created order to avoid a 2nd order\n",
    "                        self.order = self.buy()\n",
    "\n",
    "        else:\n",
    "\n",
    "            # Already in the market ... we might sell\n",
    "            if len(self) >= (self.bar_executed + 5):\n",
    "                # SELL, SELL, SELL!!! (with all possible default parameters)\n",
    "                self.log('SELL CREATE, %.2f' % self.dataclose[0])\n",
    "\n",
    "                # Keep track of the created order to avoid a 2nd order\n",
    "                self.order = self.sell()\n",
    "\n",
    "# Create a Stratey\n",
    "#添加税费\n",
    "class TestStrategy4(bt.Strategy):\n",
    "    \n",
    "    params  = (('exitbars'))\n",
    "    def log(self, txt, dt=None):\n",
    "        ''' Logging function fot this strategy'''\n",
    "        dt = dt or self.datas[0].datetime.date(0)\n",
    "        print('%s, %s' % (dt.isoformat(), txt))\n",
    "\n",
    "    def __init__(self):\n",
    "        # Keep a reference to the \"close\" line in the data[0] dataseries\n",
    "        self.dataclose = self.datas[0].close\n",
    "\n",
    "        # To keep track of pending orders and buy price/commission\n",
    "        self.order = None\n",
    "        self.buyprice = None\n",
    "        self.buycomm = None\n",
    "    \n",
    "    def notify_order(self, order):\n",
    "        \n",
    "        #如果状态在提交和接受状态\n",
    "        if order.status in [order.Submitted, order.Accepted]:\n",
    "            # Buy/Sell order submitted/accepted to/by broker - Nothing to do\n",
    "            return\n",
    "\n",
    "        # Check if an order has been completed\n",
    "        # Attention: broker could reject order if not enough cash\n",
    "        #如果状态为完成状态\n",
    "        if order.status in [order.Completed]:\n",
    "            if order.isbuy():\n",
    "                self.log(\n",
    "                    'BUY EXECUTED, Price: %.2f, Cost: %.2f, Comm %.2f' %\n",
    "                    (order.executed.price,\n",
    "                     order.executed.value,\n",
    "                     order.executed.comm))\n",
    "\n",
    "                self.buyprice = order.executed.price\n",
    "                self.buycomm = order.executed.comm\n",
    "            else:  # Sell\n",
    "                self.log('SELL EXECUTED, Price: %.2f, Cost: %.2f, Comm %.2f' %\n",
    "                         (order.executed.price,\n",
    "                          order.executed.value,\n",
    "                          order.executed.comm))\n",
    "\n",
    "            self.bar_executed = len(self)\n",
    "\n",
    "        elif order.status in [order.Canceled, order.Margin, order.Rejected]:\n",
    "            self.log('Order Canceled/Margin/Rejected')\n",
    "\n",
    "        self.order = None\n",
    "    #通知贸易\n",
    "    def notify_trade(self, trade):\n",
    "        if not trade.isclosed:\n",
    "            return\n",
    "\n",
    "        self.log('OPERATION PROFIT, GROSS %.2f, NET %.2f' %\n",
    "                 (trade.pnl, trade.pnlcomm))\n",
    "\n",
    "    def next(self):\n",
    "        # Simply log the closing price of the series from the reference\n",
    "        self.log('Close, %.2f' % self.dataclose[0])\n",
    "\n",
    "        # Check if an order is pending ... if yes, we cannot send a 2nd one\n",
    "        if self.order:\n",
    "            return\n",
    "\n",
    "        # Check if we are in the market\n",
    "        if not self.position:\n",
    "\n",
    "            # Not yet ... we MIGHT BUY if ...\n",
    "            if self.dataclose[0] < self.dataclose[-1]:\n",
    "                    # current close less than previous close\n",
    "\n",
    "                    if self.dataclose[-1] < self.dataclose[-2]:\n",
    "                        # previous close less than the previous close\n",
    "\n",
    "                        # BUY, BUY, BUY!!! (with default parameters)\n",
    "                        self.log('BUY CREATE, %.2f' % self.dataclose[0])\n",
    "\n",
    "                        # Keep track of the created order to avoid a 2nd order\n",
    "                        self.order = self.buy()\n",
    "\n",
    "        else:\n",
    "\n",
    "            # Already in the market ... we might sell\n",
    "            if len(self) >= (self.bar_executed + 5):\n",
    "                # SELL, SELL, SELL!!! (with all possible default parameters)\n",
    "                self.log('SELL CREATE, %.2f' % self.dataclose[0])\n",
    "\n",
    "                # Keep track of the created order to avoid a 2nd order\n",
    "                self.order = self.sell()\n",
    "                \n",
    "engine.broker.setcommission(commission=0.001)\n",
    "#engine.addstrategy(TestStrategy3)#添加税费\n",
    "engine.addstrategy(TestStrategy4,exitbars=1)#自定义一些参数\n",
    "\n",
    "\n",
    "engine.run()\n",
    "print('Final Portfolio Value: %.2f' % engine.broker.getvalue())"
   ]
  },
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   "execution_count": null,
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  {
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