backtrader进行期货回测要注意的问题：保证金等设置，拼接滚动合约

最新推荐文章于 2025-09-07 09:22:00 发布

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最新推荐文章于 2025-09-07 09:22:00 发布 · 3.6k 阅读

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很多同学问如何用backtrader进行期货回测。以下给个例子，与普通股票回测不同的是佣金的设置方式。

1 佣金类设置

import datetime  # For datetime objects
import backtrader as bt
import backtrader.feeds as btfeeds
import backtrader.indicators as btind
import pandas as pd
import numpy as np
from datetime import datetime
class Par_SAR(bt.Strategy):
    params = (('period', 2), ('af', 0.02), ('afmax', 0.2))

    def __init__(self):
       pass
       



if __name__ == '__main__':
    # rb 15 min data 
    brf_min_bar = bt.feeds.GenericCSVData(
        dataname='E:/Quant/Backtrader/backtrader-master/China_Market/data/rb_15m.csv',
        timeframe=bt.TimeFrame.Minutes,
        #fromdate=datetime.datetime(2019, 5, 1),
        #todate=datetime.datetime(2020, 6, 1),
        nullvalue=0.0,
        dtformat=('%Y-%m-%d %H:%M:%S'),
        datetime=1,
        time=-1,
        high=4,
        low=5,
        open=3,
        close=6,
        volume=-1,
        # openinterest=-1
    )
    # Add the Data Feed to Cerebro
    cerebro.adddata(brf_min_bar)
    #cerebro.resampledata(brf_min_bar, timeframe=bt.TimeFrame.Days)

    # Add strategy
    cerebro.addstrategy(Par_SAR)
    # 设置初始资本为100,000
    cerebro.broker.setcash(1000000.0