1.py

import FinanceDataReader as fdr
import os.path
import pandas as pd

data_exists = os.path.exists('data.csv')

if data_exists:
  print("데이터를 이미 받아왔습니다.")
  data = pd.read_csv('data.csv', parse_dates=['Date'], index_col=['Date'])
else:
  print("데이터를 새로 가져옵시다.")
  data = fdr.DataReader('KS11', '2015')
  data.to_csv('data.csv')

10.py

bt.plot()

2.py

from backtesting import Strategy
from backtesting.test import SMA
from backtesting.lib import crossover

class SmaCross(Strategy):
  n1 = 5
  n2 = 20

  def init(self):
    Close = self.data.Close
    self.ma5 = self.I(SMA, Close, self.n1)
    self.ma20 = self.I(SMA, Close, self.n2)

  def next(self):
    if crossover(self.ma5, self.ma20):
      self.buy()
    elif crossover(self.ma20, self.ma5):
      self.position.close()

3.py

data = data.dropna()

4.py

from backtesting import Backtest

bt = Backtest(data, SmaCross, cash=10000, commission=.002, exclusive_orders=True, trade_on_close=True)
bt.run()

5.py

bt.plot()

6.py

stats = bt.optimize(n1=range(5, 120, 5),
                    n2=range(10, 250, 5),
                    maximize='Equity Final [$]',
                    constraint=lambda param: param.n1 < param.n2)
stats

7.py

stats._strategy

8.py

stats['_equity_curve']

9.py

stats['_trades']