【非常关键】catalyst回测框架的使用总结【基本架构和数据类型】

绝地灬酷狼 2021-08-13 15:15 533阅读 0赞

catalyst框架的基础架构可以参考官方文档：[https://enigma.co/catalyst/beginner-tutorial.html][https_enigma.co_catalyst_beginner-tutorial.html]

### **最关键的就是三个对象** ###

context：catalyst.exchange.exchange_algorithm.ExchangeTradingAlgorithmBacktest的实例

data：catalyst._protocol。BarData的实例

perf：最终保存的数据DataFrame

import matplotlib.pyplot as plt
    import pandas as pd
    import talib
    from catalyst.utils.run_algo import run_algorithm
    from catalyst.exchange.exchange_algorithm import ExchangeTradingAlgorithmBacktest
    from catalyst._protocol import BarData
    
    
    def initialize(context):
        # 这里的context其实就是ExchangeTradingAlgorithmBacktest的实例
        context = context  # type:ExchangeTradingAlgorithmBacktest
        # print("context={}".format(type(context)))
        context.asset = context.symbol('btc_usdt')
    
    def handle_data(context, data):
        context = context  # type:ExchangeTradingAlgorithmBacktest
        # 这里的data就是BarData的实例
        data = data  # type:BarData
        # print("context={}".format(type(context)))
        # print("data={}".format(type(data)))
        context.order(context.asset, 1)
        context.record(btc=data.current(context.asset, 'price'))
    
    
    def analyze(context, perf):
        # 这里的perf就是一个最终的结果DataFrame
        perf = perf  # type:pd.DataFrame
        print(perf)
        # print("perf.columns={}".format(type(perf)))
        # print(perf.portfolio_value)
        # 以下是画图部分
        ax1 = plt.subplot(211)
        perf.portfolio_value.plot(ax=ax1)
        ax1.set_ylabel('portfolio value')
        ax2 = plt.subplot(212, sharex=ax1)
        perf.btc.plot(ax=ax2)
        ax2.set_ylabel('bitcoin price')
        plt.show()
    
    
    if __name__ == "__main__":
        run_algorithm(initialize,
                      exchange_name="binance",
                      capital_base=10000000,
                      start=pd.to_datetime("2019-01-01", utc=True),
                      end=pd.to_datetime("2019-01-05", utc=True),
                      handle_data=handle_data,
                      quote_currency="usdt",
                      data_frequency='daily',
                      analyze=analyze)

[https_enigma.co_catalyst_beginner-tutorial.html]: https://enigma.co/catalyst/beginner-tutorial.html