【戦略検証】Pythonで投資ストラテジーの検証を行えるスクリプト

import pandas as pd
import numpy as np
import talib as ta
from strategy.base.base_strategy import BaseStrategy

class SimpleMAStrategy(BaseStrategy):

    def __init__(self, sma_length, initial_capital, force_stop):
        super().__init__(initial_capital, force_stop)
        self.sma_length = sma_length

    def prepare(self, data=None, multiplier=1):
        super().prepare()
        df = data.copy()
        # - 終値が移動平均線をX*MA以上を下回ったらLong
        # - 終値が移動平均線をX*MA以上を上回ったらShort
        df["MA"] = ta.SMA(df["close"], self.sma_length)

        # Entry logic
        df["long_entry_signal"] = np.where(-df["close"] + df["MA"] > df["MA"]*multiplier,  1, 0)
        df["long_entry_at"] = np.where(df["long_entry_signal"], df["close"].shift(-1), 0) # long at next close price when long signal occurs
        df["short_entry_signal"] = np.where(df["close"] - df["MA"] > df["MA"]*multiplier,  1, 0)
        df["short_entry_at"] = np.where(df["short_entry_signal"], df["close"].shift(-1), 0) # short at next close price when short signal occurs

        # Exit logic
        df["long_exit_signal"] = np.where(df["close"] > df["MA"],  1, 0) # short at next close price when short signal occurs
        df["long_exit_at"] = np.where(df["long_exit_signal"], df["close"].shift(-1), 0)
        df["short_exit_signal"] = np.where(df["close"] < df["MA"],  1, 0) # long at next close price when long signal occurs
        df["short_exit_at"] = np.where(df["short_exit_signal"], df["close"].shift(-1), 0)

        return df

#使う場合
strategy = SimpleMAStrategy(initial_capital=1000, force_stop=0.1)
processed = strategy.prepare(data, multiplier=2)
result = strategy.simulate(processed)

import pandas as pd
import numpy as np
import talib as ta
from strategy.base.base_strategy import BaseStrategy

strategy = BaseStrategy(initial_capital=1000, force_stop=0.1)
already_processed = pd.read_csv("processed_data.csv") 
result = strategy.simulate(already_processed)