strategies.py 文件源码

def backtest(self, data_frame):
        dfs = data_frame.groupby(pd.TimeGrouper(freq='D'))
        # only choose trading days
        dfs = [(d, df) for (d, df) in dfs if df.shape[0]]

        if sys.version_info[0] < 3:
            exit_dfs = [self._compute_daily_performance(daily_data)
                        for daily_data in dfs]
        else:
            exit_dfs = Parallel(n_jobs=-1, verbose=50)(
                delayed(self._compute_daily_performance)(daily_data)
                for daily_data in dfs)

        return pd.concat(exit_dfs)