vectorbt学习_41DMA之一基础策略

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#conda envs:vectorbt_env
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import warnings
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import vectorbt as vbt
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import numpy as np
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import pandas as pd
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from datetime import datetime, timedelta
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import pytz
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from dateutil.parser import parse
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import ipywidgets as widgets
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from copy import deepcopy
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from tqdm import tqdm
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import imageio
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from IPython import display
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import plotly.graph_objects as go
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import itertools
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import dateparser
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import gc
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import math
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from tools import dbtools
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warnings.filterwarnings("ignore")
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pd.set_option('display.max_rows',500)
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pd.set_option('display.max_columns',500)
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pd.set_option('display.width',1000)

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# fig.show_svg()
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fast_window = 35
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slow_window = 60
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# Pre-calculate running windows on data with time buffer
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fast_ma = vbt.MA.run(ohlcv_wbuf['Close'], fast_window)
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slow_ma = vbt.MA.run(ohlcv_wbuf['Close'], slow_window)
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print(fast_ma.ma.shape)
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print(slow_ma.ma.shape)
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# Remove time buffer
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fast_ma = fast_ma[wobuf_mask]
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slow_ma = slow_ma[wobuf_mask]
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# there should be no nans after removing time buffer
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assert(~fast_ma.ma.isnull().any())
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assert(~slow_ma.ma.isnull().any())
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print(fast_ma.ma.shape)
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print(slow_ma.ma.shape)
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fig = ohlcv['Open'].vbt.plot(trace_kwargs=dict(name='Price'))
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fig = fast_ma.ma.vbt.plot(trace_kwargs=dict(name='Fast MA'), fig=fig)
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fig = slow_ma.ma.vbt.plot(trace_kwargs=dict(name='Slow MA'), fig=fig)
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fig.show_svg()

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# 信号计算
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dmac_entries = fast_ma.ma_crossed_above(slow_ma)
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dmac_exits = fast_ma.ma_crossed_below(slow_ma)
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# 行情-指标-信号可视化
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fig = ohlcv['Close'].vbt.plot(trace_kwargs=dict(name='Price'))
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fig = fast_ma.ma.vbt.plot(trace_kwargs=dict(name='Fast MA'), fig=fig)
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fig = slow_ma.ma.vbt.plot(trace_kwargs=dict(name='Slow MA'), fig=fig)
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fig = dmac_entries.vbt.signals.plot_as_entry_markers(ohlcv['Close'], fig=fig)
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fig = dmac_exits.vbt.signals.plot_as_exit_markers(ohlcv['Close'], fig=fig)
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fig.show_svg()
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# (单独)信号可视化
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fig = dmac_entries.vbt.signals.plot(trace_kwargs=dict(name='Entries'))
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dmac_exits.vbt.signals.plot(trace_kwargs=dict(name='Exits'), fig=fig).show_svg()
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# 信号的统计信息
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dmac_entries.vbt.signals.stats(settings=dict(other=dmac_exits))

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Start                       2020-01-02 00:00:00+00:00
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End                         2022-12-30 00:00:00+00:00
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Period                                            728
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Total                                               6
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Rate [%]                                     0.824176
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Total Overlapping                                   0
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Overlapping Rate [%]                              0.0
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First Index                 2020-01-08 00:00:00+00:00
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Last Index                  2022-12-16 00:00:00+00:00
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Norm Avg Index [-1, 1]                      -0.002751
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Distance -> Other: Min                            7.0
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Distance -> Other: Max                          200.0
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Distance -> Other: Mean                     76.333333
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Distance -> Other: Std                      66.503133
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Total Partitions                                    6
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Partition Rate [%]                              100.0
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Partition Length: Min                             1.0
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Partition Length: Max                             1.0
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Partition Length: Mean                            1.0
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Partition Length: Std                             0.0
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Partition Distance: Min                          90.0
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Partition Distance: Max                         252.0
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Partition Distance: Mean                        142.6
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Partition Distance: Std                     65.305436
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dtype: object