backtest.py 文件源码

def backtest(config_file, day_trade):
    cfg = config.Config(config_file)
    cfg.day_trade = day_trade
    dfs = load_data(config_file)
    trender = strategies[cfg.strategy](**cfg.strategy_parameters)
    res = []
    for df in dfs:
        res.append(trender.backtest(data_frame=df))
    final_panel = pd.Panel({os.path.basename(p['path']): df for p, df in
                            zip(cfg.data_path, res)})
    profit_series = final_panel.sum(axis=0)['total_profit'].cumsum()
    final_panel.to_excel(cfg.output_file)

    if cfg.show:
        profit_series.plot()
        plt.xlabel('Time')
        plt.ylabel('Profit')
        plt.legend('Profit')
        plt.show()