pip install backtrader
pip install numpy
pip install matplotlib

from backtrader.feed import DataBase
from backtrader import date2num


class MySQLData(DataBase):
    pass

class MySQLData(DataBase):
    params = (
        ('fromdate', datetime.datetime.min),
        ('todate', datetime.datetime.max),
        ('ts_code', ''),
    )
    lines = (
        "turnover",
        "turnover_rate"
    )

    def load_data_from_db(self, table, ts_code, start_time, end_time):
        """
        从MySQL加载指定数据
        Args:
            table (str): 表名
            ts_code (str): 股票代码
            start_time (str): 起始时间
            end_time (str): 终止时间
        return:
            data (List): 数据集
        """
        db = pymysql.connect(
            host="localhost",
            user="root",
            password="12345678",
            db="golden_stone",
            port=3306
        )

        cur = db.cursor()
        sql = cur.execute(
            f"SELECT * FROM {table} WHERE trade_time >= '{start_time}' and trade_time < '{end_time}'"
            f"and ts_code = '{ts_code}' order by trade_time asc"
        )
        data = cur.fetchall()
        db.close()
        return iter(list(data))

    def __init__(self, *args, **kwargs):
        self.result = []
        self.empty = False

    def start(self):
        self.result = self.load_data_from_db("stock_normalk", self.p.ts_code, self.p.fromdate, self.p.todate)

    def _load(self):
        if self.empty:
            return False
        try:
            one_row = next(self.result)
        except StopIteration:
            return False
        self.lines.datetime[0] = date2num(one_row[3])
        self.lines.open[0] = float(one_row[4])
        self.lines.high[0] = float(one_row[5])
        self.lines.low[0] = float(one_row[6])
        self.lines.close[0] = float(one_row[7])
        self.lines.volume[0] = float(one_row[8])
        self.lines.turnover[0] = float(one_row[9])
        self.lines.turnover_rate[0] = float(one_row[12])
        return True

# Python 实用宝典
# 自定义数据流 — Python 量化投资实战教程(9)
import datetime
import traceback
import pymysql

from backtrader.feed import DataBase
from backtrader import date2num


class MySQLData(DataBase):
    params = (
        ('fromdate', datetime.datetime.min),
        ('todate', datetime.datetime.max),
        ('ts_code', ''),
    )
    lines = (
        "turnover",
        "turnover_rate"
    )

    def load_data_from_db(self, table, ts_code, start_time, end_time):
        """
        从MySQL加载指定数据
        Args:
            table (str): 表名
            ts_code (str): 股票代码
            start_time (str): 起始时间
            end_time (str): 终止时间
        return:
            data (List): 数据集
        """
        db = pymysql.connect(
            host="localhost",
            user="root",
            password="12345678",
            db="golden_stone",
            port=3306
        )

        cur = db.cursor()
        sql = cur.execute(
            f"SELECT * FROM {table} WHERE trade_time >= '{start_time}' and trade_time < '{end_time}'"
            f"and ts_code = '{ts_code}' order by trade_time asc"
        )
        data = cur.fetchall()
        db.close()
        return iter(list(data))

    def __init__(self, *args, **kwargs):
        self.result = []
        self.empty = False

    def start(self):
        self.result = self.load_data_from_db("stock_normalk", self.p.ts_code, self.p.fromdate, self.p.todate)

    def _load(self):
        if self.empty:
            return False
        try:
            one_row = next(self.result)
        except StopIteration:
            return False
        self.lines.datetime[0] = date2num(one_row[3])
        self.lines.open[0] = float(one_row[4])
        self.lines.high[0] = float(one_row[5])
        self.lines.low[0] = float(one_row[6])
        self.lines.close[0] = float(one_row[7])
        self.lines.volume[0] = float(one_row[8])
        self.lines.turnover[0] = float(one_row[9])
        self.lines.turnover_rate[0] = float(one_row[12])
        return True

class TestStrategy(bt.Strategy):
    def log(self, txt, dt=None):
        ''' Logging function fot this strategy'''
        dt = dt or self.datas[0].datetime.date(0)
        print('%s, %s' % (dt.isoformat(), txt))

    @staticmethod
    def percent(today, yesterday):
        return float(today - yesterday) / today

    def __init__(self):
        self.dataclose = self.datas[0].close
        self.volume = self.datas[0].volume
        # 新的变更：引入换手率指标
        self.turnover_rate = self.datas[0].turnover_rate

    # Python 实用宝典
    def next(self):
        self.log('Close, %.2f' % self.dataclose[0])
        if self.order:
            return

        if not self.position:
            condition1 = self.macd[-1] - self.signal[-1]
            condition2 = self.macd[0] - self.signal[0]
            # 增加判断换手率小于3%的条件
            if condition1 < 0 and condition2 > 0 and self.turnover_rate[0] < 3:
                self.log('BUY CREATE, %.2f' % self.dataclose[0])
                self.order = self.buy()

        else:
            condition = (self.dataclose[0] - self.bar_executed_close) / self.dataclose[0]
            if condition > 0.1 or condition < -0.1:
                self.log('SELL CREATE, %.2f' % self.dataclose[0])
                self.order = self.sell()

if __name__ == '__main__':
    cerebro = bt.Cerebro()

    cerebro.addstrategy(TestStrategy)

    # 加载数据到模型中
    data = MySQLData(
        ts_code="sh603520",
        fromdate=datetime.datetime(2017, 1, 1),
        todate=datetime.datetime(2020, 4, 12),
    )
    cerebro.adddata(data)

    cerebro.broker.setcash(10000)

    cerebro.addsizer(bt.sizers.FixedSize, stake=100)

    cerebro.broker.setcommission(commission=0.005)

    print('Starting Portfolio Value: %.2f' % cerebro.broker.getvalue())

    cerebro.run()

    print('Final Portfolio Value: %.2f' % cerebro.broker.getvalue())

    cerebro.plot()