策略也是需要经过验证的 - backtrader

目前基於Python的量化回测框架有很多，开源框架有zipline、vnpy和backtrader等等，本次以backtrader来示范，

安装方法可以参考官方网站

简单的设定

from __future__ import (absolute_import, division, print_function,
                        unicode_literals)

import backtrader as bt

if __name__ == '__main__':
    cerebro = bt.Cerebro()

    print('Starting Portfolio Value: %.2f' % cerebro.broker.getvalue())

    cerebro.run()

    print('Final Portfolio Value: %.2f' % cerebro.broker.getvalue())

比如说我们要回测SPY状况

from datetime import datetime
import backtrader as bt
from dateutil.relativedelta import relativedelta
import yfinance as yf
  
class TestStrategy(bt.Strategy):
    def __init__(self):
        self._next_buy_date = datetime(2010, 1, 5)
  
    def next(self):
        if self.data.datetime.date() >= self. _next_buy_date.date():
            self. _next_buy_date += relativedelta(months=1)
            self.buy(size=1)
  
cerebro = bt.Cerebro()
data = bt.feeds.PandasData(dataname=yf.download('SPY', '2015-07-06', '2021-09-23', auto_adjust=True))
  
cerebro.adddata(data) 
cerebro.addstrategy(TestStrategy)
cerebro.broker.set_cash(cash=10000)
cerebro.run()
cerebro.plot()