# 使用交易系统代码进行回测的例子


import tradesys as ts
import backtrader as bt
import run
import math
import pandas as pd


# 实际的策略类
class MyStrategy(ts.Strategy):
    params = (("maperiod", 15),
              ("bprint", False),)
    
    def __init__(self):
        super(MyStrategy, self).__init__()
        self.sma = dict()
        for i, d in enumerate(self.datas):
             self.sma[d] = bt.indicators.SimpleMovingAverage(d.close, period=self.params.maperiod)
        self.n = len(self.datas)
        self.order = None
        
    def downcast(self, amount, lot): 
        return abs(amount//lot*lot)
        
    def next(self):
        if self.order:
            return
            
        for i, d in enumerate(self.datas):
            pos = self.getposition(d).size
            cash = self.broker.get_cash()/self.n
            amount = self.downcast(cash*0.95/d.close[0], 100)

            if not pos:
                if d.close[0] > self.sma[d][0]:
                    self.buy(data = d, size = amount)
                    # self.order = self.order_target_percent(d, 40, name=d._name)
            else:
                if d.close[0] < self.sma[d][0]:
                    self.order = self.order_target_percent(d, 0, name=d._name)
                            
        """
        if not self.position:
            cash = self.broker.getcash()
            price = self.datas[0].close[0]
            if price <= 0.0:
                return
            stake = math.ceil(((0.95*cash/price)/self.n)/100)*100
            if self.datas[0].close[0] > self.sma[0][0]:
                self.order = self.buy(size = stake)
        else:
            if self.data_close[0][0] < self.sma[0][0]:
                self.order = self.close()
                """
                
                
# 买入持有的策略类，测试能否正常关闭交易
class HoldStrategy(ts.Strategy):
    params = (("maperiod", 15),
              ("bprint", False),)
    
    def __init__(self):
        super(HoldStrategy, self).__init__()
        self.n = len(self.datas)
        
    def downcast(self, amount, lot): 
        return abs(amount//lot*lot)
        
    def next(self):
        for i, d in enumerate(self.datas):
            pos = self.getposition(d).size
            cash = self.broker.get_cash()/self.n
            amount = self.downcast(cash*0.99/d.close[0], 100)
            
            if not pos:
                self.buy(data = d, size = amount)
            else:
                if self.is_lastday(data = d):
                    self.close(data = d)
                
    def is_lastday(self,data): 
        try: 
            next_next_close = data.close[2]
        except IndexError: 
            return True 
        except: 
            print("发生其它错误")
            return False


# 对单只股票进行回测
@run.change_dir
def back_test():
    ts.init_display()
    backtest = ts.BackTest(
        strategy = HoldStrategy, 
        codes = ["513100"], 
        bk_code = "000300",
        start_date = "20160101", 
        end_date = "20211231", 
        rf = 0.03, 
        start_cash = 10000000,
        stamp_duty=0.005, 
        commission=0.0001, 
        adjust = "hfq", 
        period = "daily", 
        refresh = True, 
        bprint = False, 
        bdraw = True)
    results = backtest.run()
    print("回测结果", results)
    
    
# 对整个市场进行回测
@run.change_dir
def do_research():
    ts.init_display()
    research = ts.Research(MyStrategy, start_date = "20150101", end_date = "20210101", min_len = 100, retest = False, refresh = False, maperiod = 19)
    results = research.run()
    print(results.head(), results.describe())
    print(results.isnull().any())
    
    
# 进行调参
@run.change_dir    
def do_opt():
    ts.init_display()
    map = range(2, 20)
    opt = ts.OptStrategy(
        codes = ["513100"], 
        bk_code = "000300", 
        strategy = MyStrategy, 
        start_date = "20160101", 
        end_date = "20211231", 
        start_cash = 10000000, 
        retest = False, 
        refresh = False, 
        bprint = False,
        bdraw = False, 
        maperiod = range(10, 20))
    results = opt.run()
    results = opt.sort_results(results, key = "年化收益率")
    print(results.loc[:, ["参数", "年化收益率"]])


if __name__ == "__main__":
    back_test()
    # do_research()
    # do_opt()