TradingTest.py 文件源码

def backtestHistory(_initial_virtual_shares, _start_date, _stockcode, _interval,_train_batch_size = 100):
    ZZZZ = Investor(_name='ZZZZ', _initial_virtual_shares=_initial_virtual_shares, _start_date=_start_date, _stockcode=_stockcode, _interval=_interval,_train_batch_size = _train_batch_size)
    total = ZZZZ.maxcnt-ZZZZ.now
    # pbar = ProgressBar(widgets=[' ', AnimatedMarker(), 'Predicting: ', Percentage()], maxval=total).start()
    while ZZZZ.now < ZZZZ.maxcnt:
        # pbar.update(ZZZZ.now)
        # time.sleep(0.01)
        ZZZZ.TradeNext(use_NN=False)
    # pbar.finish()

    print
    print classification_report(ZZZZ.TRUEY, ZZZZ.PREDY)
    f1 = f1_score(ZZZZ.TRUEY, ZZZZ.PREDY)
    accuracy = accuracy_score(ZZZZ.TRUEY, ZZZZ.PREDY)
    print "accuracy:", accuracy
    print "f1: ",f1
    predROR = ZZZZ.getTotalROR()[0]
    realROR = ZZZZ.getTotalROR()[1]
    assert not (realROR == 0)
    print 'pred ROR:', predROR, '%', '\t|\treal ROR:', realROR, '%'

    return predROR, realROR, f1, accuracy, total, ZZZZ.TRAINERROR