Some tools

コスト関数

def trading_cost_bps(participation_ratio=0.1, commission_bps=10):
    c=commission_bps
    p=participation_ratio
    return (-1/(p/15+0.01)+200)/3.4-24+c

バックテスター

import pandas as pd
from datetime import date, datetime as dt
import random

def default_manager(d):
    """Manages each of process of back testing
    """
    print('Start back testing...')
    d.log=pd.DataFrame(0, index=d.dates, columns=d.universe)
    for date in d.dates:
        d.each_day(date)
        print(d.log)
    print('Backtest completed.')
    
    
class BackTestWorker(object):
    """Works as if a trader for each of the day
    """
    def __init__(self, universe, rule, dates, manager=default_manager, 
                 *args,**kwargs):
        self.universe=universe
        self.rule=rule
        self.dates=dates
        self.manager=manager
        self.args=args
        self.kwargs=kwargs
        
        
    def each_day(self, date):
        return self.rule(self, date)
        
    def run(self):
        self.manager(self)

def random_buyer(d, date):
    if date==d.dates[0]:
        d.log.loc[date,random.sample(d.universe,2)]=1
    else:
        pass

    
    
if __name__ == '__main__':
    BackTestWorker(
        ['3382','7203','2651'],
        random_buyer,
        [date(2007, 12, 5), date(2007, 12, 6), date(2007, 12, 7)]
    ).run()