Trade_Algo.py 文件源码

def back_test_plot(self):
        import matplotlib.pyplot as plt
        import matplotlib.dates as mdates
        fig = plt.figure()
        all_lines = []
        ax = fig.add_subplot(111)
        ax.set_ylabel('PnL')
        has_right_ax = False
        if 'quant_index' in self.used_vars or \
            'quant_index1' in self.used_vars or \
            'quant_index2' in self.used_vars or \
            'quant_index3' in self.used_vars:
            has_right_ax = True
        dates = [ x[0] for x in self.pnls['portfolio'] ]
        for v in self.used_vars:
            if 'portfolio' in v:
                all_lines += ax.plot(dates, [x[1] for x in self.pnls[v]],label=v,linewidth=1)

        if has_right_ax:
            right_ax = ax.twinx()
            for v in self.used_vars:
                if 'index' in v:
                    all_lines += right_ax.plot(dates, self.quant_indices[v],label=v,linewidth=1,ls='dotted')

            right_ax.set_ylabel('quant_index')

        # format the ticks
        years = mdates.YearLocator()   # every year
        months = mdates.MonthLocator()  # every month
        yearsFmt = mdates.DateFormatter('%Y')

        ax.xaxis.set_major_locator(years)
        ax.xaxis.set_major_formatter(yearsFmt)
        ax.xaxis.set_minor_locator(months)
        datemin = min(dates)
        datemax = max(dates)
        ax.set_xlim(datemin, datemax)
        ax.format_xdata = mdates.DateFormatter('%Y-%m-%d')
        ax.grid(True)


        # rotates and right aligns the x labels, and moves the bottom of the
        # axes up to make room for them
        fig.autofmt_xdate()
        fig.tight_layout()
        plt.legend(all_lines,[l.get_label() for l in all_lines],loc='best')
        plt.show()