我的程序试图用两个简单的SMA指标回测从public.bybit.com
db检索的 Dataframe ,交易条目似乎悬浮在收盘价/准确的进入价格之上
代码如下:
import pandas as pd
from backtesting import Strategy, Backtest
from backtesting.lib import crossover
from backtesting.test import SMA
datasetURL = 'https://public.bybit.com/kline_for_metatrader4/AXSUSDT/2023/AXSUSDT_15_2023-01-01_2023-01-31.csv.gz'
class daStrategy(Strategy):
def init(self) -> None:
super().init()
self.firstSMA = self.I(SMA, self.data['Close'], 9)
self.secondSMA = self.I(SMA, self.data['Close'], 3)
def next(self):
if crossover(self.firstSMA, self.secondSMA):
self.position.close()
self.buy()
elif crossover(self.secondSMA, self.firstSMA):
self.position.close()
self.sell()
data = pd.read_csv(
datasetURL,
names = [
'datetime',
'Open',
'High',
'Low',
'Close',
'Volume'
],
compression = 'gzip',
index_col = 'datetime',
parse_dates= True
)
bt = Backtest(
data,
daStrategy,
cash = 10000,
margin = 1 / 1, #leverage of 1
commission =0.025
)
stat = bt.run()
print(stat)
bt.plot()
你看我的条目是如何高于或低于实际蜡烛x1c 0d1x]
1条答案
按热度按时间e5nqia271#
这是因为佣金太大。
含佣金的输出=0.005:enter image description here
如果您的佣金相对于价格太高(以%计),那么您的交易头寸将相对于价格图表移动。