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pyalgotrade を使用してトレーディング戦略を作成しています。ティッカー (testlist) のリストを調べて、get_score 関数を使用して取得しているスコアと一緒に辞書 (list_large{}) に追加しています。私の最新の問題は、ディクショナリ (list_large{}) 内の各ティッカーが同じスコアを取得していることです。理由はありますか？

コード：

from pyalgotrade import strategy
from pyalgotrade.tools import yahoofinance
import numpy as np
import pandas as pd
from collections import OrderedDict

from pyalgotrade.technical import ma
from talib import MA_Type
import talib

smaPeriod = 10
testlist = ['aapl','ddd','gg','z']

class MyStrategy(strategy.BacktestingStrategy):
    def __init__(self, feed, instrument):
        super(MyStrategy, self).__init__(feed, 1000)
        self.__position = [] 
        self.__instrument = instrument
        self.setUseAdjustedValues(True)
        self.__prices = feed[instrument].getPriceDataSeries()
        self.__sma = ma.SMA(feed[instrument].getPriceDataSeries(), smaPeriod)

    def get_score(self,slope):
        MA_Score = self.__sma[-1] * slope
        return MA_Score

    def onBars(self, bars): 

        global bar 
        bar = bars[self.__instrument]

        slope = 8

        for instrument in bars.getInstruments():

            list_large = {}
            for tickers in testlist: #replace with real list when ready
                list_large.update({tickers : self.get_score(slope)}) 

            organized_list = OrderedDict(sorted(list_large.items(), key=lambda t: -t[1]))#organize the list from highest to lowest score

         print list_large


def run_strategy(inst):
    # Load the yahoo feed from the CSV file

    feed = yahoofinance.build_feed([inst],2015,2016, ".") # feed = yahoofinance.build_feed([inst],2015,2016, ".")

    # Evaluate the strategy with the feed.
    myStrategy = MyStrategy(feed, inst)
    myStrategy.run()
    print "Final portfolio value: $%.2f" % myStrategy.getBroker().getEquity()


def main():
    instruments = ['ddd','msft']
    for inst in instruments:
            run_strategy(inst)


if __name__ == '__main__':
        main()
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1 に答える 1

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Check this code of the onBars() function:

slope = 8    # <---- value of slope = 8 

for instrument in bars.getInstruments():
    list_large = {}
    for tickers in testlist: #replace with real list when ready
        list_large.update({tickers : self.get_score(slope)}) 
        #       Updating dict of each ticker based on ^

Each time self.get_score(slope) is called, it returns the same value and hence, all the value of tickers hold the same value in dict

I do not know how you want to deal with slope and how you want to update it's value. But this logic can be simplified without using .update as:

list_large = {}
for tickers in testlist: 
    list_large[tickers] = self.get_score(slope)
     #           ^ Update value of `tickers` key
于 2016-11-26T19:50:13.797 に答える