import backtrader as bt
import backtrader.analyzers as btanalyzers
import matplotlib
from datetime import datetime
class MaCrossStrategy(bt.Strategy):
def __init__(self):
ma_fast = bt.ind.SMA(period = 10)
ma_slow = bt.ind.SMA(period = 50)
self.crossover = bt.ind.CrossOver(ma_fast, ma_slow)
def next(self):
if not self.position:
if self.crossover > 0:
self.buy()
elif self.crossover < 0:
self.close()
cerebro = bt.Cerebro()
data = bt.feeds.YahooFinanceData(dataname = 'AAPL', fromdate = datetime(2010, 1, 1), todate = datetime(2020, 1, 1))
cerebro.adddata(data)
cerebro.addstrategy(MaCrossStrategy)
cerebro.broker.setcash(1000000.0)
cerebro.addsizer(bt.sizers.PercentSizer, percents = 10)
cerebro.addanalyzer(btanalyzers.SharpeRatio, _name = "sharpe")
cerebro.addanalyzer(btanalyzers.Transactions, _name = "trans")
cerebro.addanalyzer(btanalyzers.TradeAnalyzer, _name = "trades")
back = cerebro.run()
cerebro.broker.getvalue()
back[0].analyzers.sharpe.get_analysis()
back[0].analyzers.trans.get_analysis()
back[0].analyzers.trades.get_analysis()
cerebro.plot()