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点此获取backtrader技术教程

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很多同学问如何用backtrader进行期货回测。以下给个例子，与普通股票回测不同的是佣金的设置方式。

1 佣金类设置

import datetime  # For datetime objects
import backtrader as bt
import backtrader.feeds as btfeeds
import backtrader.indicators as btind
import pandas as pd
import numpy as np
from datetime import datetime
class Par_SAR(bt.Strategy):
    params = (('period', 2), ('af', 0.02), ('afmax', 0.2))

    def __init__(self):
       pass
       



if __name__ == '__main__':
    # rb 15 min data 
    brf_min_bar = bt.feeds.GenericCSVData(
        dataname='E:/Quant/Backtrader/backtrader-master/China_Market/data/rb_15m.csv',
        timeframe=bt.TimeFrame.Minutes,
        #fromdate=datetime.datetime(2019, 5, 1),
        #todate=datetime.datetime(2020, 6, 1),
        nullvalue=0.0,
        dtformat=('%Y-%m-%d %H:%M:%S'),
        datetime=1,
        time=-1,
        high=4,
        low=5,
        open=3,
        close=6,
        volume=-1,
        # openinterest=-1
    )
    # Add the Data Feed to Cerebro
    cerebro.adddata(brf_min_bar)
    #cerebro.resampledata(brf_min_bar, timeframe=bt.TimeFrame.Days)

    # Add strategy
    cerebro.addstrategy(Par_SAR)
    # 设置初始资本为100,000
    cerebro.broker.setcash(1000000.0) 

    # 设置期货佣金模式
    cerebro.broker.setcommission(commission=0.0001, margin=2800.0, mult=10.0)

    cerebro.run()

以上佣金设置，实际上使用了backtrader内置的佣金类CommInfoBase，该类可设置的参数如下。当然，多数参数采用默认值即可，无需设置，如以上案例，只设置了3个参数，其他都是默认值。以下参数中的leverage，可能与期货也有关系。另外，该类也可以考虑借款利息。

Params:

• 
commission

  (def:
  
0.0

  ): base commission value in percentage or monetary units
• 
mult

  (def
  
1.0

  ): multiplier applied to the asset for value/profit
• 
margin

  (def:
  
None

  ): amount of monetary units needed to open/hold an operation. It only applies if the final
  
_stocklike

  attribute in the class is set to
  
False

• 
automargin

  (def:
  
False

  ): Used by the method
  
get_margin

  to automatically calculate the margin/guarantees needed with the following policy
  • Use param
    
margin

    if param
    
automargin

    evaluates to
    
False

  • Use param
    
mult

    and use
    
mult * price

    if
    
automargin < 0

  • Use param
    
automargin

    and use
    
automargin * price

    if
    
automargin > 0


• 
commtype

  (def:
  
None

  ): Supported values are
  
CommInfoBase.COMM_PERC

  (commission to be understood as %) and
  
CommInfoBase.COMM_FIXED

  (commission to be understood as monetary units)
  
  The default value of
  
None

  is a supported value to retain compatibility with the legacy
  
CommissionInfo

  object. If
  
commtype

  is set to None, then the following applies:
  • 
margin

    is
    
None

    : Internal
    
_commtype

    is set to
    
COMM_PERC

    and
    
_stocklike

    is set to
    
True

    (Operating %-wise with Stocks)
  • 
margin

    is not
    
None

    :
    
_commtype

    set to
    
COMM_FIXED

    and
    
_stocklike

    set to
    
False

    (Operating with fixed rount-trip commission with Futures)

If this param is set to something else than

None

, then it will be passed to the internal

_commtype

attribute and the same will be done with the param

stocklike

and the internal attribute

_stocklike


• 
stocklike

  (def:
  
False

  ): Indicates if the instrument is Stock-like or Futures-like (see the
  
commtype

  discussion above)
• 
percabs

  (def:
  
False

  ): when
  
commtype

  is set to COMM_PERC, whether the parameter
  
commission

  has to be understood as XX% or 0.XX
  
  If this param is
  
True

  : 0.XX If this param is
  
False

  : XX%
• 
interest

  (def:
  
0.0

  )
  
  If this is non-zero, this is the yearly interest charged for holding a short selling position. This is mostly meant for stock short-selling
  
  The formula:
  
days * price * abs(size) * (interest / 365)

  
  It must be specified in absolute terms: 0.05 -> 5%
  
  Note
  
  the behavior can be changed by overriding the method:
  
_get_credit_interest

• 
interest_long

  (def:
  
False

  )
  
  Some products like ETFs get charged on interest for short and long positions. If ths is
  
True

  and
  
interest

  is non-zero the interest will be charged on both directions
• 
leverage

  (def:
  
1.0

  )
  
  Amount of leverage for the asset with regards to the needed cash

可以从佣金基类派生自己的佣金类，以满足自己的要求，比如，有人期望佣金率不仅依赖交易金额，还依赖乘数mult，则可定义新的佣金类如下

import backtrader as bt

class CommInfo_Fut_Perc_Mult(bt.CommInfoBase):
    params = (
      ('stocklike', False),  # Futures
      ('commtype', bt.CommInfoBase.COMM_PERC),  # Apply % Commission
    # ('percabs', False),  # pass perc as xx% which is the default
    )

    def _getcommission(self, size, price, pseudoexec):
        return size * price * self.p.commission * self.p.mult

然后，像下面这样使用它

comminfo = CommInfo_Fut_Perc_Mult(
    commission=0.1,  # 0.1%
    mult=10,
    margin=2000  # Margin is needed for futures-like instruments
)

cerebro.addcommissioninfo(comminfo)

2 拼接滚动合约

另外，backtrader还允许将不同到期日的期货合约滚动拼接起来形成连续期货（The RollOver Data Feed），例子如下

import backtrader as bt

cerebro = bt.Cerebro()
data0 = bt.feeds.MyFeed(dataname='Expiry0')
data1 = bt.feeds.MyFeed(dataname='Expiry1')
...
dataN = bt.feeds.MyFeed(dataname='ExpiryN')

drollover = bt.feeds.RollOver(data0, data1, ..., dataN, dataname='MyRoll', **kwargs)
cerebro.adddata(drollover)

cerebro.run()

RollOver类有两个参数控制如何拼接合约，

checkdate

和

checkcondition

。详细描述参考

Data Feeds – Rollover – Backtrader