bt版backtrader_单标的_动量折时年化184最大回撤184

一.效果

二.实现

1.下载数据

2.调用回测引擎

engine = BacktraderEngine(df, start=datetime(2005, 1, 1))
engine.run_algo_strategy(algo_list=[
    SelectBySignal(rules_buy=['roc_20>0.08'], rules_sell=['roc_20<0']),
    WeightEqually(),
    ReBalance()
])

3.获取回测数据，进行分析

returns = engine.get_returns()
import empyrical
print("累计收益：", round(empyrical.cum_returns_final(returns), 3))
print("年化收益：", round(empyrical.annual_return(returns), 3))
print("最大回撤：", round(empyrical.max_drawdown(returns), 3))
print("夏普比", round(empyrical.sharpe_ratio(returns), 3))
print("卡玛比", round(empyrical.calmar_ratio(returns), 3))
import quantstats as qs
qs.reports.basic(returns)