Commit: c0a503d1f466d4f8ca74c6fd760a70e0b247df93 - mt5-operator (git)

Commit MetaInfo

• Revision: c0a503d1f466d4f8ca74c6fd760a70e0b247df93 (tree)
• Time: 2023-01-23 18:20:41
• Author: kazuhiro_kondow <simauma.circus@gmai...>
• Commiter: kazuhiro_kondow

Log Message

検討資料を追加
M1で比較的使えそうなMACDのパラメータが出来たと思う

Change Summary

• add: investigation_study/backtesting_fx_M1_1.py
• add: investigation_study/backtesting_fx_M1_2.py
• modified: investigation_study/ta-lib_api_test.py

Incremental Difference

--- /dev/null
+++ b/investigation_study/backtesting_fx_M1_1.py
@@ -0,0 +1,381 @@
+# 元ネタ
+# https://qiita.com/Fujinoinvestor/items/780b138e441531860e60
+
+# データcsvはmt5から取得している
+
+import os
+import talib as ta
+from backtesting.lib import crossover
+from backtesting import Backtest
+from backtesting import Strategy
+import pandas as pd
+import time
+
+# 現在ディレクトリ取得
+cwd = os.getcwd()
+
+# get data
+data_path = os.path.join(
+    cwd,
+    'csv',
+    'USDJPY_M1_202210040357_202212302354.csv'
+)
+
+# csvがtab区切りなのでreat_tableを使う
+df = pd.read_table(
+    data_path
+)
+
+# DataFrameのカラム名をbacktesting向けに修正
+df = df.rename(
+    columns={
+        "<DATE>": "Date",
+        "<TIME>": "Time",
+        "<OPEN>": "Open",
+        "<HIGH>": "High",
+        "<LOW>": "Low",
+        "<CLOSE>": "Close",
+        "<TICKVOL>": "Volume",
+        "<VOL>": "not_use",
+        "<SPREAD>": "Spread",
+    }
+)
+
+# 日付に時間文字列を結合
+df.Date = df['Date'] + ' ' + df['Time']
+
+# Dateカラムをdatetime型に変換
+df.Date = pd.to_datetime(df['Date'], format='%Y.%m.%d %H:%M:%S')
+
+# indexをDateカラムに設定
+df = df.set_index('Date')
+
+# 必要なカラムのみ取得
+data = df.loc[:, ['Open', 'High', 'Low', 'Close', 'Volume']]
+
+
+def MACD(close, n1, n2, ns):
+    macd, macdsignal, macdhist = ta.MACD(
+        close, fastperiod=n1, slowperiod=n2, signalperiod=ns)
+    return macd, macdsignal
+
+
+# 下記記事を参考にStrategyを修正
+# https://mmorley.hatenablog.com/entry/fx_backtesting01
+
+class MACDCross(Strategy):
+    n1 = 12  # 短期EMAの期間
+    n2 = 26  # 長期EMAの期間
+    ns = 9  # シグナル（MACDのSMA）の期間
+
+    def init(self):
+        self.macd, self.macdsignal = self.I(
+            MACD, self.data.Close, self.n1, self.n2, self.ns)
+
+    # チャートデータの行ごとに呼び出される
+    def next(self):
+        # macdがsignalを上回った時
+        if crossover(self.macd, self.macdsignal):
+            # positionがあるなら決済する
+            if self.position:
+                self.position.close()
+            # 買いオーダー
+            self.buy()
+
+        # signalがmacdを上回った時
+        elif crossover(self.macdsignal, self.macd):
+            # positionがあるなら決済する
+            if self.position:
+                self.position.close()
+            # 売りオーダー
+            self.sell()
+
+
+# バックテストを設定
+bt = Backtest(
+    data,  # チャートデータ
+    MACDCross,  # 売買戦略
+    # 最初の所持金
+    cash=10000,
+    # 取引手数料
+    commission=0.00495,
+    # レバレッジ倍率の逆数（0.5で2倍レバレッジ）
+    margin=1.0,
+    # True：現在の終値で取引，False：次の時間の始値で取引
+    trade_on_close=True,
+    # 自動でポジションをクローズ(オープン)
+    exclusive_orders=True
+)
+
+
+s_time = time.perf_counter()
+# バックテスト実行
+output = bt.run()
+e_time = time.perf_counter()
+# 経過時間を出力(秒)
+p_time = round((e_time - s_time), 3)
+print(f'Processing time: {p_time}')
+
+# 実行結果(データ)
+print(output)
+
+# 悲惨な結果
+# >>> print(output)
+# Start                     2022-10-04 03:57:00
+# End                       2022-12-30 23:54:00
+# Duration                     87 days 19:57:00
+# Exposure Time [%]                    1.984646
+# Equity Final [$]                    12.377452
+# Equity Peak [$]                       10000.0
+# Return [%]                         -99.876225
+# Buy & Hold Return [%]               -9.405472
+# Return (Ann.) [%]                   -99.91742
+# Volatility (Ann.) [%]                0.326292
+# Sharpe Ratio                              0.0
+# Sortino Ratio                             0.0
+# Calmar Ratio                              0.0
+# Max. Drawdown [%]                  -99.876225
+# Avg. Drawdown [%]                  -99.876225
+# Max. Drawdown Duration       87 days 19:17:00
+# Avg. Drawdown Duration       87 days 19:17:00
+# # Trades                                  145
+# Win Rate [%]                              0.0
+# Best Trade [%]                      -0.214864
+# Worst Trade [%]                     -0.689839
+# Avg. Trade [%]                      -0.490869
+# Max. Trade Duration           0 days 00:48:00
+# Avg. Trade Duration           0 days 00:13:00
+# Profit Factor                             0.0
+# Expectancy [%]                      -0.490853
+# SQN                                 -7.314609
+# _strategy                           MACDCross
+# _equity_curve                             ...
+# _trades                        Size  Entry...
+# dtype: object
+
+# 実行結果（グラフ）
+bt.plot()
+
+# 最適化
+# output2 = bt.optimize(
+#     n1=range(2, 100, 1),
+#     n2=range(2, 300, 1),
+#     ns=range(2, 50, 1),
+#     maximize='Equity Final [$]',
+#     method='grid'
+# )
+s_time = time.perf_counter()
+output2 = bt.optimize(
+    n1=range(10, 100, 10),
+    n2=range(10, 300, 10),
+    ns=range(10, 50, 5),
+    maximize='Equity Final [$]',
+    method='grid'
+)
+e_time = time.perf_counter()
+
+# 経過時間を出力(秒)
+p_time = round((e_time - s_time), 3)
+print(f'Processing time: {p_time}')
+
+print(output2)
+
+# Processing time: 2554.244
+# >>> output2
+# Start                     2022-10-04 03:57:00
+# End                       2022-12-30 23:54:00
+# Duration                     87 days 19:57:00
+# Exposure Time [%]                    7.207517
+# Equity Final [$]                    13.095701
+# Equity Peak [$]                       10000.0
+# Return [%]                         -99.869043
+# Buy & Hold Return [%]               -9.405472
+# Return (Ann.) [%]                      -100.0
+# Volatility (Ann.) [%]                0.000001
+# Sharpe Ratio                              0.0
+# Sortino Ratio                             0.0
+# Calmar Ratio                              0.0
+# Max. Drawdown [%]                  -99.869573
+# Avg. Drawdown [%]                  -99.869573
+# Max. Drawdown Duration       87 days 14:24:00
+# Avg. Drawdown Duration       87 days 14:24:00
+# # Trades                                  140
+# Win Rate [%]                              0.0
+# Best Trade [%]                      -0.253867
+# Worst Trade [%]                     -0.659086
+# Avg. Trade [%]                      -0.502208
+# Max. Trade Duration           2 days 02:16:00
+# Avg. Trade Duration           0 days 01:08:00
+# Profit Factor                             0.0
+# Expectancy [%]                      -0.502191
+# SQN                                 -7.369103
+# _strategy                 MACDCross(n1=30,...
+# _equity_curve                             ...
+# _trades                        Size  Entry...
+# dtype: object
+
+# 一週間分の1分足件数
+w1 = 7 * 24 * 60
+one_week = data[-w1:]
+
+# バックテストを設定
+bt = Backtest(
+    one_week,  # チャートデータ
+    MACDCross,  # 売買戦略
+    # 最初の所持金
+    cash=10000,
+    # 取引手数料（為替価格に対する倍率で指定、為替価格100円でcommission=0.0005なら0.05円）
+    # OANDAの場合0.3〜0.9銭=0.003~0.009円
+    commission=0.00009,
+    # レバレッジ倍率の逆数（0.5で2倍レバレッジ）
+    margin=1.0,
+    # True：現在の終値で取引，False：次の時間の始値で取引
+    trade_on_close=True,
+    # 自動でポジションをクローズ(オープン)
+    exclusive_orders=True
+)
+
+s_time = time.perf_counter()
+# バックテスト実行
+output3 = bt.run()
+e_time = time.perf_counter()
+# 経過時間を出力(秒)
+p_time = round((e_time - s_time), 3)
+print(f'Processing time: {p_time}')
+print(output3)
+
+# 手数料(spread)を見直して再テスト、決して悪くない
+# Processing time: 0.249
+# Start                     2022-12-20 23:24:00
+# End                       2022-12-30 23:54:00
+# Duration                     10 days 00:30:00
+# Exposure Time [%]                   99.563492
+# Equity Final [$]                  9208.140463
+# Equity Peak [$]                  10025.718238
+# Return [%]                          -7.918595
+# Buy & Hold Return [%]               -0.418553
+# Return (Ann.) [%]                  -92.562689
+# Volatility (Ann.) [%]                0.743469
+# Sharpe Ratio                              0.0
+# Sortino Ratio                             0.0
+# Calmar Ratio                              0.0
+# Max. Drawdown [%]                   -8.183151
+# Avg. Drawdown [%]                   -1.233574
+# Max. Drawdown Duration        9 days 21:31:00
+# Avg. Drawdown Duration        1 days 10:14:00
+# Trades                                  802
+# Win Rate [%]                        28.179551
+# Best Trade [%]                       0.440687
+# Worst Trade [%]                     -0.153847
+# Avg. Trade [%]                      -0.010355
+# Max. Trade Duration           3 days 00:13:00
+# Avg. Trade Duration           0 days 00:18:00
+# Profit Factor                        0.613766
+# Expectancy [%]                      -0.010338
+# SQN                                 -5.064877
+# _strategy                           MACDCross
+# _equity_curve                             ...
+# _trades                        Size  Entry...
+# dtype: object
+
+s_time = time.perf_counter()
+output4 = bt.optimize(
+    n1=range(10, 100, 10),
+    n2=range(10, 300, 10),
+    ns=range(10, 50, 5),
+    maximize='Equity Final [$]',
+    method='grid'
+)
+e_time = time.perf_counter()
+
+# 経過時間を出力(秒)
+p_time = round((e_time - s_time), 3)
+print(f'Processing time: {p_time}')
+
+print(output4)
+# 最適化した所、収支＋に変わった
+# Processing time: 398.75
+# Start                     2022-12-20 23:24:00
+# End                       2022-12-30 23:54:00
+# Duration                     10 days 00:30:00
+# Exposure Time [%]                   96.795635
+# Equity Final [$]                 10154.142206
+# Equity Peak [$]                  10166.385206
+# Return [%]                           1.541422
+# Buy & Hold Return [%]               -0.418553
+# Return (Ann.) [%]                   61.905686
+# Volatility (Ann.) [%]               23.791446
+# Sharpe Ratio                         2.602014
+# Sortino Ratio                        9.281665
+# Calmar Ratio                        26.552283
+# Max. Drawdown [%]                   -2.331464
+# Avg. Drawdown [%]                   -0.146011
+# Max. Drawdown Duration        8 days 11:53:00
+# Avg. Drawdown Duration        0 days 05:44:00
+# Trades                                    212
+# Win Rate [%]                         32.54717
+# Best Trade [%]                       0.802108
+# Worst Trade [%]                     -0.206393
+# Avg. Trade [%]                       0.007255
+# Max. Trade Duration           3 days 00:22:00
+# Avg. Trade Duration           0 days 01:07:00
+# Profit Factor                        1.233927
+# Expectancy [%]                       0.007317
+# SQN                                  0.961529
+# _strategy                 MACDCross(n1=70,...
+# _equity_curve                             ...
+# _trades                        Size  Entry...
+# dtype: object
+# >>> output4._strategy
+# <Strategy MACDCross(n1=70,n2=270,ns=10)>
+
+# もう少し細やかに最適化とSQN追及するとどーなる？
+s_time = time.perf_counter()
+output5 = bt.optimize(
+    n1=range(2, 100, 4),
+    n2=range(2, 300, 4),
+    ns=range(2, 50, 2),
+    maximize='SQN',
+    method='grid'
+)
+e_time = time.perf_counter()
+# 経過時間を出力(秒)
+p_time = round((e_time - s_time), 3)
+print(f'Processing time: {p_time}')
+
+print(output5)
+# UserWarning: Searching for best of 45000 configurations.
+# Processing time: 9053.424
+# Start                     2022-12-20 23:24:00
+# End                       2022-12-30 23:54:00
+# Duration                     10 days 00:30:00
+# Exposure Time [%]                   97.668651
+# Equity Final [$]                 10185.183082
+# Equity Peak [$]                  10197.426082
+# Return [%]                           1.851831
+# Buy & Hold Return [%]               -0.418553
+# Return (Ann.) [%]                   78.245453
+# Volatility (Ann.) [%]               23.784343
+# Sharpe Ratio                         3.289788
+# Sortino Ratio                       14.517367
+# Calmar Ratio                        37.341789
+# Max. Drawdown [%]                   -2.095386
+# Avg. Drawdown [%]                   -0.156905
+# Max. Drawdown Duration        8 days 07:09:00
+# Avg. Drawdown Duration        0 days 06:23:00
+#   Trades                                  214
+# Win Rate [%]                        31.308411
+# Best Trade [%]                       0.810285
+# Worst Trade [%]                     -0.182724
+# Avg. Trade [%]                        0.00861
+# Max. Trade Duration           3 days 00:24:00
+# Avg. Trade Duration           0 days 01:07:00
+# Profit Factor                        1.287511
+# Expectancy [%]                       0.008672
+# SQN                                  1.145089
+# _strategy                 MACDCross(n1=98,...
+# _equity_curve                             ...
+# _trades                        Size  Entry...
+# dtype: object
+# >>> output5._strategy
+# <Strategy MACDCross(n1=98,n2=218,ns=8)>

--- /dev/null
+++ b/investigation_study/backtesting_fx_M1_2.py
@@ -0,0 +1,851 @@
+# 元ネタ
+# https://qiita.com/Fujinoinvestor/items/780b138e441531860e60
+
+# データcsvはmt5から取得している
+# M1_1の続き
+# Strategyを変更してst,tpを付けてみる
+# tp（take profit）利確する価格
+# sl（stop losst）損切りする価格
+
+import os
+import talib as ta
+from backtesting.lib import crossover
+from backtesting import Backtest
+from backtesting import Strategy
+import pandas as pd
+import time
+
+# 現在ディレクトリ取得
+cwd = os.getcwd()
+
+# get data
+data_path = os.path.join(
+    cwd,
+    'csv',
+    'USDJPY_M1_202210040357_202212302354.csv'
+)
+
+# csvがtab区切りなのでreat_tableを使う
+df = pd.read_table(
+    data_path
+)
+
+# DataFrameのカラム名をbacktesting向けに修正
+df = df.rename(
+    columns={
+        "<DATE>": "Date",
+        "<TIME>": "Time",
+        "<OPEN>": "Open",
+        "<HIGH>": "High",
+        "<LOW>": "Low",
+        "<CLOSE>": "Close",
+        "<TICKVOL>": "Volume",
+        "<VOL>": "not_use",
+        "<SPREAD>": "Spread",
+    }
+)
+
+# 日付に時間文字列を結合
+df.Date = df['Date'] + ' ' + df['Time']
+
+# Dateカラムをdatetime型に変換
+df.Date = pd.to_datetime(df['Date'], format='%Y.%m.%d %H:%M:%S')
+
+# indexをDateカラムに設定
+df = df.set_index('Date')
+
+# 必要なカラムのみ取得
+data = df.loc[:, ['Open', 'High', 'Low', 'Close', 'Volume']]
+
+# 一週間分の1分足件数
+w1 = 7 * 24 * 60
+one_week = data[-w1:]
+
+
+def MACD(close, n1, n2, ns):
+    macd, macdsignal, macdhist = ta.MACD(
+        close, fastperiod=n1, slowperiod=n2, signalperiod=ns)
+    return macd, macdsignal
+
+
+# 下記記事を参考にStrategyを修正
+# https://mmorley.hatenablog.com/entry/fx_backtesting01
+
+class MACDCross(Strategy):
+    n1 = 12  # 短期EMAの期間
+    n2 = 26  # 長期EMAの期間
+    ns = 9  # シグナル（MACDのSMA）の期間
+
+    def init(self):
+        self.macd, self.macdsignal = self.I(
+            MACD, self.data.Close, self.n1, self.n2, self.ns)
+
+    # チャートデータの行ごとに呼び出される
+    # tp（take profit）利確する価格
+    # sl（stop losst）損切りする価格
+    def next(self):
+        # macdがsignalを上回った時
+        if crossover(self.macd, self.macdsignal):
+            # 買いオーダー
+            self.buy(
+                tp=self.data.Close[-1] + 0.5,
+                sl=self.data.Close[-1] - 0.1
+            )
+
+        # signalがmacdを上回った時
+        elif crossover(self.macdsignal, self.macd):
+            # 売りオーダー
+            self.sell(
+                tp=self.data.Close[-1] - 0.5,
+                sl=self.data.Close[-1] + 0.1
+            )
+
+
+# バックテストを設定
+bt = Backtest(
+    one_week,  # チャートデータ
+    MACDCross,  # 売買戦略
+    # 最初の所持金
+    cash=10000,
+    # 取引手数料（為替価格に対する倍率で指定、為替価格100円でcommission=0.0005なら0.05円）
+    # OANDAの場合0.3〜0.9銭=0.003~0.009円
+    commission=0.00009,
+    # レバレッジ倍率の逆数（0.5で2倍レバレッジ）
+    margin=1.0,
+    # True：現在の終値で取引，False：次の時間の始値で取引
+    trade_on_close=True,
+    # 自動でポジションをクローズ(オープン)
+    exclusive_orders=True
+)
+
+s_time = time.perf_counter()
+# バックテスト実行
+output = bt.run()
+e_time = time.perf_counter()
+# 経過時間を出力(秒)
+p_time = round((e_time - s_time), 3)
+print(f'Processing time: {p_time}')
+
+# 実行結果(データ)
+print(output)
+
+# Processing time: 0.289
+# Start                     2022-12-20 23:24:00
+# End                       2022-12-30 23:54:00
+# Duration                     10 days 00:30:00
+# Exposure Time [%]                    97.35119
+# Equity Final [$]                  9174.553578
+# Equity Peak [$]                  10021.818238
+# Return [%]                          -8.254464
+# Buy & Hold Return [%]               -0.418553
+# Return (Ann.) [%]                  -93.371341
+# Volatility (Ann.) [%]                0.808312
+# Sharpe Ratio                              0.0
+# Sortino Ratio                             0.0
+# Calmar Ratio                              0.0
+# Max. Drawdown [%]                   -8.600758
+# Avg. Drawdown [%]                   -1.495578
+# Max. Drawdown Duration        9 days 21:31:00
+# Avg. Drawdown Duration        1 days 15:56:00
+#   Trades                                  802
+# Win Rate [%]                        27.680798
+# Best Trade [%]                        0.37054
+# Worst Trade [%]                     -0.085361
+# Avg. Trade [%]                      -0.010813
+# Max. Trade Duration           3 days 00:13:00
+# Avg. Trade Duration           0 days 00:18:00
+# Profit Factor                        0.599995
+# Expectancy [%]                      -0.010797
+# SQN                                 -5.341178
+# _strategy                           MACDCross
+# _equity_curve                             ...
+# _trades                        Size  Entry...
+# dtype: object
+
+# 最適解を求める
+s_time = time.perf_counter()
+output2 = bt.optimize(
+    n1=range(10, 100, 10),
+    n2=range(10, 250, 10),
+    ns=range(10, 50, 5),
+    maximize='Equity Final [$]',
+    method='grid'
+)
+e_time = time.perf_counter()
+# 経過時間を出力(秒)
+p_time = round((e_time - s_time), 3)
+print(f'Processing time: {p_time}')
+print(output2)
+
+# 悪くない数字
+# UserWarning: Searching for best of 1728 configurations.
+# Processing time: 368.784
+# Start                     2022-12-20 23:24:00
+# End                       2022-12-30 23:54:00
+# Duration                     10 days 00:30:00
+# Exposure Time [%]                   81.795635
+# Equity Final [$]                 10174.973572
+# Equity Peak [$]                  10187.216572
+# Return [%]                           1.749736
+# Buy & Hold Return [%]               -0.418553
+# Return (Ann.) [%]                   72.702503
+# Volatility (Ann.) [%]               19.228445
+# Sharpe Ratio                         3.780987
+# Sortino Ratio                       13.703438
+# Calmar Ratio                        38.644871
+# Max. Drawdown [%]                   -1.881298
+# Avg. Drawdown [%]                   -0.104378
+# Max. Drawdown Duration        7 days 17:11:00
+# Avg. Drawdown Duration        0 days 04:33:00
+# # Trades                                  131
+# Win Rate [%]                        38.167939
+# Best Trade [%]                       0.370318
+# Worst Trade [%]                      -0.08493
+# Avg. Trade [%]                       0.013319
+# Max. Trade Duration           3 days 02:25:00
+# Avg. Trade Duration           0 days 01:36:00
+# Profit Factor                        1.372048
+# Expectancy [%]                       0.013395
+# SQN                                  1.234211
+# _strategy                 MACDCross(n1=60,...
+# _equity_curve                             ...
+# _trades                        Size  Entry...
+# dtype: object
+# <Strategy MACDCross(n1=60,n2=160,ns=45)>
+
+# Tradesを最大化してみると
+s_time = time.perf_counter()
+output3 = bt.optimize(
+    n1=range(10, 100, 10),
+    n2=range(10, 250, 10),
+    ns=range(10, 50, 5),
+    maximize='# Trades',
+    method='grid'
+)
+e_time = time.perf_counter()
+# 経過時間を出力(秒)
+p_time = round((e_time - s_time), 3)
+print(f'Processing time: {p_time}')
+print(output3)
+
+# あまり良くない
+# Start                     2022-12-20 23:24:00
+# End                       2022-12-30 23:54:00
+# Duration                     10 days 00:30:00
+# Exposure Time [%]                   97.519841
+# Equity Final [$]                  9068.847457
+# Equity Peak [$]                   10023.33473
+# Return [%]                          -9.311525
+# Buy & Hold Return [%]               -0.418553
+# Return (Ann.) [%]                  -95.398589
+# Volatility (Ann.) [%]                0.578335
+# Sharpe Ratio                              0.0
+# Sortino Ratio                             0.0
+# Calmar Ratio                              0.0
+# Max. Drawdown [%]                   -9.574552
+# Avg. Drawdown [%]                    -1.97134
+# Max. Drawdown Duration        9 days 21:50:00
+# Avg. Drawdown Duration        1 days 23:56:00
+# # Trades                                  872
+# Win Rate [%]                        27.752294
+# Best Trade [%]                        0.37054
+# Worst Trade [%]                     -0.085343
+# Avg. Trade [%]                      -0.011288
+# Max. Trade Duration           3 days 00:16:00
+# Avg. Trade Duration           0 days 00:17:00
+# Profit Factor                        0.573113
+# Expectancy [%]                      -0.011273
+# SQN                                  -6.07133
+# _strategy                 MACDCross(n1=10,...
+# _equity_curve                             ...
+# _trades                        Size  Entry...
+# dtype: object
+
+# SQNを最大化してみると
+s_time = time.perf_counter()
+output4 = bt.optimize(
+    n1=range(10, 100, 10),
+    n2=range(10, 250, 10),
+    ns=range(10, 50, 5),
+    maximize='SQN',
+    method='grid'
+)
+e_time = time.perf_counter()
+# 経過時間を出力(秒)
+p_time = round((e_time - s_time), 3)
+print(f'Processing time: {p_time}')
+print(output4)
+
+# Start                     2022-12-20 23:24:00
+# End                       2022-12-30 23:54:00
+# Duration                     10 days 00:30:00
+# Exposure Time [%]                   81.795635
+# Equity Final [$]                 10174.973572
+# Equity Peak [$]                  10187.216572
+# Return [%]                           1.749736
+# Buy & Hold Return [%]               -0.418553
+# Return (Ann.) [%]                   72.702503
+# Volatility (Ann.) [%]               19.228445
+# Sharpe Ratio                         3.780987
+# Sortino Ratio                       13.703438
+# Calmar Ratio                        38.644871
+# Max. Drawdown [%]                   -1.881298
+# Avg. Drawdown [%]                   -0.104378
+# Max. Drawdown Duration        7 days 17:11:00
+# Avg. Drawdown Duration        0 days 04:33:00
+# # Trades                                  131
+# Win Rate [%]                        38.167939
+# Best Trade [%]                       0.370318
+# Worst Trade [%]                      -0.08493
+# Avg. Trade [%]                       0.013319
+# Max. Trade Duration           3 days 02:25:00
+# Avg. Trade Duration           0 days 01:36:00
+# Profit Factor                        1.372048
+# Expectancy [%]                       0.013395
+# SQN                                  1.234211
+# _strategy                 MACDCross(n1=60,...
+# _equity_curve                             ...
+# _trades                        Size  Entry...
+# dtype: object
+# <Strategy MACDCross(n1=60,n2=160,ns=45)>
+
+# もっとStepを小さくしてSQNを最大化してみると
+s_time = time.perf_counter()
+output5 = bt.optimize(
+    n1=range(50, 75, 1),
+    n2=range(140, 160, 1),
+    ns=range(40, 50, 1),
+    maximize='SQN',
+    method='grid'
+)
+e_time = time.perf_counter()
+# 経過時間を出力(秒)
+p_time = round((e_time - s_time), 3)
+print(f'Processing time: {p_time}')
+print(output5)
+
+# だいぶ良い数字になった
+# UserWarning: Searching for best of 5000 configurations.
+# Processing time: 1009.649
+# Start                     2022-12-20 23:24:00
+# End                       2022-12-30 23:54:00
+# Duration                     10 days 00:30:00
+# Exposure Time [%]                   78.958333
+# Equity Final [$]                 10214.662583
+# Equity Peak [$]                  10226.905583
+# Return [%]                           2.146626
+# Buy & Hold Return [%]               -0.418553
+# Return (Ann.) [%]                   95.234605
+# Volatility (Ann.) [%]               23.585584
+# Sharpe Ratio                         4.037831
+# Sortino Ratio                       19.202462
+# Calmar Ratio                        53.851618
+# Max. Drawdown [%]                   -1.768463
+# Avg. Drawdown [%]                   -0.087079
+# Max. Drawdown Duration        6 days 20:34:00
+# Avg. Drawdown Duration        0 days 03:26:00
+# # Trades                                  125
+# Win Rate [%]                             38.4
+# Best Trade [%]                       0.370318
+# Worst Trade [%]                      -0.08493
+# Avg. Trade [%]                       0.017169
+# Max. Trade Duration           3 days 02:25:00
+# Avg. Trade Duration           0 days 01:39:00
+# Profit Factor                        1.484438
+# Expectancy [%]                       0.017252
+# SQN                                  1.493431
+# _strategy                 MACDCross(n1=62,...
+# _equity_curve                             ...
+# _trades                        Size  Entry...
+# dtype: object
+# <Strategy MACDCross(n1=62,n2=150,ns=47)>
+
+# 上記の設定で全件データを検証してみる
+
+
+class MACDCross2(Strategy):
+    n1 = 62  # 短期EMAの期間
+    n2 = 150  # 長期EMAの期間
+    ns = 47  # シグナル（MACDのSMA）の期間
+
+    def init(self):
+        self.macd, self.macdsignal = self.I(
+            MACD, self.data.Close, self.n1, self.n2, self.ns)
+
+    # チャートデータの行ごとに呼び出される
+    # tp（take profit）利確する価格
+    # sl（stop losst）損切りする価格
+    def next(self):
+        # macdがsignalを上回った時
+        if crossover(self.macd, self.macdsignal):
+            # 買いオーダー
+            self.buy(
+                tp=self.data.Close[-1] + 0.5,
+                sl=self.data.Close[-1] - 0.1
+            )
+
+        # signalがmacdを上回った時
+        elif crossover(self.macdsignal, self.macd):
+            # 売りオーダー
+            self.sell(
+                tp=self.data.Close[-1] - 0.5,
+                sl=self.data.Close[-1] + 0.1
+            )
+
+
+# バックテストを設定
+bt2 = Backtest(
+    data,  # チャートデータ
+    MACDCross2,  # 売買戦略
+    # 最初の所持金
+    cash=10000,
+    # 取引手数料（為替価格に対する倍率で指定、為替価格100円でcommission=0.0005なら0.05円）
+    # OANDAの場合0.3〜0.9銭=0.003~0.009円
+    commission=0.00009,
+    # レバレッジ倍率の逆数（0.5で2倍レバレッジ）
+    margin=1.0,
+    # True：現在の終値で取引，False：次の時間の始値で取引
+    trade_on_close=True,
+    # 自動でポジションをクローズ(オープン)
+    exclusive_orders=True
+)
+
+s_time = time.perf_counter()
+# バックテスト実行
+output6 = bt2.run()
+e_time = time.perf_counter()
+# 経過時間を出力(秒)
+p_time = round((e_time - s_time), 3)
+print(f'Processing time: {p_time}')
+
+# 実行結果(データ)
+print(output6)
+
+# 1週間分のデータから設定したMACDで
+# 1年分のデータを対象に戦略を立てることは難しい
+# DeepLearningと同様にTraning,Testにデータを分けて
+# 検証するのが正だと思う
+
+# Processing time: 1.582
+# Start                     2022-10-04 03:57:00
+# End                       2022-12-30 23:54:00
+# Duration                     87 days 19:57:00
+# Exposure Time [%]                    72.96044
+# Equity Final [$]                  9778.203995
+# Equity Peak [$]                  10053.368246
+# Return [%]                           -2.21796
+# Buy & Hold Return [%]               -9.405472
+# Return (Ann.) [%]                   -7.465731
+# Volatility (Ann.) [%]                8.548688
+# Sharpe Ratio                              0.0
+# Sortino Ratio                             0.0
+# Calmar Ratio                              0.0
+# Max. Drawdown [%]                   -6.357778
+# Avg. Drawdown [%]                   -0.444463
+# Max. Drawdown Duration       86 days 13:05:00
+# Avg. Drawdown Duration        5 days 03:41:00
+# # Trades                                 1267
+# Win Rate [%]                        28.887135
+# Best Trade [%]                       0.372445
+# Worst Trade [%]                     -0.084972
+# Avg. Trade [%]                      -0.001786
+# Max. Trade Duration           3 days 02:25:00
+# Avg. Trade Duration           0 days 01:14:00
+# Profit Factor                         0.95921
+# Expectancy [%]                      -0.001717
+# SQN                                 -0.550378
+# _strategy                          MACDCross2
+# _equity_curve                             ...
+# _trades                         Size  Entr...
+# dtype: object
+
+# 最後に
+# 自動でポジションをクローズ(オープン)
+# exclusive_orders=True
+# こちらのオプションを外して検証
+
+
+class MACDCross3(Strategy):
+    n1 = 12  # 短期EMAの期間
+    n2 = 26  # 長期EMAの期間
+    ns = 9  # シグナル（MACDのSMA）の期間
+
+    def init(self):
+        self.macd, self.macdsignal = self.I(
+            MACD, self.data.Close, self.n1, self.n2, self.ns)
+
+    # チャートデータの行ごとに呼び出される
+    # tp（take profit）利確する価格
+    # sl（stop losst）損切りする価格
+    def next(self):
+        # macdがsignalを上回った時
+        if crossover(self.macd, self.macdsignal):
+            # 買いオーダー
+            self.buy(
+                tp=self.data.Close[-1] + 0.5,
+                sl=self.data.Close[-1] - 0.1
+            )
+
+        # signalがmacdを上回った時
+        elif crossover(self.macdsignal, self.macd):
+            # 売りオーダー
+            self.sell(
+                tp=self.data.Close[-1] - 0.5,
+                sl=self.data.Close[-1] + 0.1
+            )
+
+
+# バックテストを設定
+bt3 = Backtest(
+    one_week,  # チャートデータ
+    MACDCross3,  # 売買戦略
+    # 最初の所持金
+    cash=10000,
+    # 取引手数料（為替価格に対する倍率で指定、為替価格100円でcommission=0.0005なら0.05円）
+    # OANDAの場合0.3〜0.9銭=0.003~0.009円
+    commission=0.00009,
+    # レバレッジ倍率の逆数（0.5で2倍レバレッジ）
+    margin=1.0,
+    # True：現在の終値で取引，False：次の時間の始値で取引
+    trade_on_close=True
+)
+
+s_time = time.perf_counter()
+# バックテスト実行
+output7 = bt3.run()
+e_time = time.perf_counter()
+# 経過時間を出力(秒)
+p_time = round((e_time - s_time), 3)
+print(f'Processing time: {p_time}')
+
+# 実行結果(データ)
+print(output7)
+
+# 右がオプション有り、左が無し
+# 結果がだいぶ良い
+# Start                     2022-12-20 23:24:00             Start                     2022-12-20 23:24:00
+# End                       2022-12-30 23:54:00             End                       2022-12-30 23:54:00
+# Duration                     10 days 00:30:00             Duration                     10 days 00:30:00
+# Exposure Time [%]                   94.007937             Exposure Time [%]                    97.35119
+# Equity Final [$]                   9934.66187             Equity Final [$]                  9174.553578
+# Equity Peak [$]                  10139.030034             Equity Peak [$]                  10021.818238
+# Return [%]                          -0.653381             Return [%]                          -8.254464
+# Buy & Hold Return [%]               -0.418553             Buy & Hold Return [%]               -0.418553
+# Return (Ann.) [%]                  -18.656595             Return (Ann.) [%]                  -93.371341
+# Volatility (Ann.) [%]                8.928979             Volatility (Ann.) [%]                0.808312
+# Sharpe Ratio                              0.0             Sharpe Ratio                              0.0
+# Sortino Ratio                             0.0             Sortino Ratio                             0.0
+# Calmar Ratio                              0.0             Calmar Ratio                              0.0
+# Max. Drawdown [%]                    -2.60927             Max. Drawdown [%]                   -8.600758
+# Avg. Drawdown [%]                   -0.130574             Avg. Drawdown [%]                   -1.495578
+# Max. Drawdown Duration        8 days 07:20:00             Max. Drawdown Duration        9 days 21:31:00
+# Avg. Drawdown Duration        0 days 04:41:00             Avg. Drawdown Duration        1 days 15:56:00
+# # Trades                                  122               Trades                                  802
+# Win Rate [%]                         27.04918             Win Rate [%]                        27.680798
+# Best Trade [%]                       0.370877             Best Trade [%]                        0.37054
+# Worst Trade [%]                     -0.085433             Worst Trade [%]                     -0.085361
+# Avg. Trade [%]                       0.007262             Avg. Trade [%]                      -0.010813
+# Max. Trade Duration           3 days 10:21:00             Max. Trade Duration           3 days 00:13:00
+# Avg. Trade Duration           0 days 02:14:00             Avg. Trade Duration           0 days 00:18:00
+# Profit Factor                        1.122313             Profit Factor                        0.599995
+# Expectancy [%]                       0.007399             Expectancy [%]                      -0.010797
+# SQN                                  -0.41845             SQN                                 -5.341178
+# _strategy                          MACDCross3             _strategy                           MACDCross
+# _equity_curve                             ...             _equity_curve                             ...
+# _trades                        Size  Entry...             _trades                        Size  Entry...
+
+# では最適化してみると・・・
+s_time = time.perf_counter()
+output8 = bt3.optimize(
+    n1=range(10, 100, 10),
+    n2=range(10, 250, 10),
+    ns=range(10, 50, 5),
+    maximize='SQN',
+    method='grid'
+)
+e_time = time.perf_counter()
+# 経過時間を出力(秒)
+p_time = round((e_time - s_time), 3)
+print(f'Processing time: {p_time}')
+print(output8)
+print(output8._strategy)
+# びっくりするほど優秀な数字！
+# UserWarning: Searching for best of 1728 configurations.
+# Processing time: 368.826
+# Start                     2022-12-20 23:24:00             Start                     2022-12-20 23:24:00
+# End                       2022-12-30 23:54:00             End                       2022-12-30 23:54:00
+# Duration                     10 days 00:30:00             Duration                     10 days 00:30:00
+# Exposure Time [%]                   76.041667             Exposure Time [%]                   81.795635
+# Equity Final [$]                 10304.130005             Equity Final [$]                 10174.973572
+# Equity Peak [$]                  10316.532005             Equity Peak [$]                  10187.216572
+# Return [%]                             3.0413             Return [%]                           1.749736
+# Buy & Hold Return [%]               -0.418553             Buy & Hold Return [%]               -0.418553
+# Return (Ann.) [%]                  156.954885             Return (Ann.) [%]                   72.702503
+# Volatility (Ann.) [%]               22.409417             Volatility (Ann.) [%]               19.228445
+# Sharpe Ratio                          7.00397             Sharpe Ratio                         3.780987
+# Sortino Ratio                        69.09806             Sortino Ratio                       13.703438
+# Calmar Ratio                       196.606603             Calmar Ratio                        38.644871
+# Max. Drawdown [%]                   -0.798319             Max. Drawdown [%]                   -1.881298
+# Avg. Drawdown [%]                   -0.069599             Avg. Drawdown [%]                   -0.104378
+# Max. Drawdown Duration        6 days 18:15:00             Max. Drawdown Duration        7 days 17:11:00
+# Avg. Drawdown Duration        0 days 02:25:00             Avg. Drawdown Duration        0 days 04:33:00
+# # Trades                                   42             # Trades                                  131
+# Win Rate [%]                        35.714286             Win Rate [%]                        38.167939
+# Best Trade [%]                       0.370278             Best Trade [%]                       0.370318
+# Worst Trade [%]                      -0.08493             Worst Trade [%]                      -0.08493
+# Avg. Trade [%]                       0.071801             Avg. Trade [%]                       0.013319
+# Max. Trade Duration           3 days 09:35:00             Max. Trade Duration           3 days 02:25:00
+# Avg. Trade Duration           0 days 04:45:00             Avg. Trade Duration           0 days 01:36:00
+# Profit Factor                        2.326556             Profit Factor                        1.372048
+# Expectancy [%]                       0.072026             Expectancy [%]                       0.013395
+# SQN                                  2.180297             SQN                                  1.234211
+# _strategy                 MACDCross3(n1=60...             _strategy                 MACDCross(n1=60,...
+# _equity_curve                             ...             _equity_curve                             ...
+# _trades                       Size  EntryB...             _trades                        Size  Entry...
+# MACDCross3(n1=60,n2=170,ns=45)
+
+# 同様にもう少し細分化して最適化
+s_time = time.perf_counter()
+output9 = bt3.optimize(
+    n1=range(50, 70, 1),
+    n2=range(160, 180, 1),
+    ns=range(40, 60, 1),
+    maximize='SQN',
+    method='grid'
+)
+e_time = time.perf_counter()
+# 経過時間を出力(秒)
+p_time = round((e_time - s_time), 3)
+print(f'Processing time: {p_time}')
+print(output9)
+print(output9._strategy)
+
+# 成績は良い、全件で検証する
+# UserWarning: Searching for best of 8000 configurations.
+# Processing time: 1592.988
+# Start                     2022-12-20 23:24:00
+# End                       2022-12-30 23:54:00
+# Duration                     10 days 00:30:00
+# Exposure Time [%]                    76.55754
+# Equity Final [$]                  10304.55431
+# Equity Peak [$]                   10316.95631
+# Return [%]                           3.045543
+# Buy & Hold Return [%]               -0.418553
+# Return (Ann.) [%]                  157.288393
+# Volatility (Ann.) [%]                 22.4435
+# Sharpe Ratio                         7.008193
+# Sortino Ratio                       69.247796
+# Calmar Ratio                       196.761091
+# Max. Drawdown [%]                   -0.799388
+# Avg. Drawdown [%]                   -0.067546
+# Max. Drawdown Duration        6 days 18:15:00
+# Avg. Drawdown Duration        0 days 02:21:00
+# # Trades                                   44
+# Win Rate [%]                        38.636364
+# Best Trade [%]                       0.370278
+# Worst Trade [%]                      -0.08493
+# Avg. Trade [%]                       0.077755
+# Max. Trade Duration           3 days 09:35:00
+# Avg. Trade Duration           0 days 04:37:00
+# Profit Factor                        2.504597
+# Expectancy [%]                       0.077979
+# SQN                                  2.181016
+# _strategy                 MACDCross3(n1=61...
+# _equity_curve                             ...
+# _trades                       Size  EntryB...
+# dtype: object
+# MACDCross3(n1=61,n2=169,ns=44)
+
+
+class MACDCross4(Strategy):
+    n1 = 61  # 期EMAの期間
+    n2 = 169  # 長期EMAの期間
+    ns = 44  # シグナル（MACDのSMA）の期間
+
+    def init(self):
+        self.macd, self.macdsignal = self.I(
+            MACD, self.data.Close, self.n1, self.n2, self.ns)
+
+    # チャートデータの行ごとに呼び出される
+    # tp（take profit）利確する価格
+    # sl（stop losst）損切りする価格
+    def next(self):
+        # macdがsignalを上回った時
+        if crossover(self.macd, self.macdsignal):
+            # 買いオーダー
+            self.buy(
+                tp=self.data.Close[-1] + 0.5,
+                sl=self.data.Close[-1] - 0.1
+            )
+
+        # signalがmacdを上回った時
+        elif crossover(self.macdsignal, self.macd):
+            # 売りオーダー
+            self.sell(
+                tp=self.data.Close[-1] - 0.5,
+                sl=self.data.Close[-1] + 0.1
+            )
+
+
+# バックテストを設定
+bt4 = Backtest(
+    data,  # チャートデータ
+    MACDCross4,  # 売買戦略
+    # 最初の所持金
+    cash=10000,
+    # 取引手数料（為替価格に対する倍率で指定、為替価格100円でcommission=0.0005なら0.05円）
+    # OANDAの場合0.3〜0.9銭=0.003~0.009円
+    commission=0.00009,
+    # レバレッジ倍率の逆数（0.5で2倍レバレッジ）
+    margin=1.0,
+    # True：現在の終値で取引，False：次の時間の始値で取引
+    trade_on_close=True
+)
+
+s_time = time.perf_counter()
+# バックテスト実行
+output10 = bt4.run()
+e_time = time.perf_counter()
+# 経過時間を出力(秒)
+p_time = round((e_time - s_time), 3)
+print(f'Processing time: {p_time}')
+
+# 実行結果(データ)
+print(output10)
+
+# 結果は良くないのでここから最適化してみる
+# Start                     2022-10-04 03:57:00
+# End                       2022-12-30 23:54:00
+# Duration                     87 days 19:57:00
+# Exposure Time [%]                   67.017594
+# Equity Final [$]                  9809.700304
+# Equity Peak [$]                  10074.386059
+# Return [%]                          -1.902997
+# Buy & Hold Return [%]               -9.405472
+# Return (Ann.) [%]                   -6.919477
+# Volatility (Ann.) [%]                7.711395
+# Sharpe Ratio                              0.0
+# Sortino Ratio                             0.0
+# Calmar Ratio                              0.0
+# Max. Drawdown [%]                   -5.597639
+# Avg. Drawdown [%]                   -0.231798
+# Max. Drawdown Duration       77 days 13:05:00
+# Avg. Drawdown Duration        2 days 08:47:00
+# # Trades                                  579
+# Win Rate [%]                        19.170984
+# Best Trade [%]                       0.372445
+# Worst Trade [%]                     -0.084989
+# Avg. Trade [%]                      -0.001945
+# Max. Trade Duration           3 days 09:35:00
+# Avg. Trade Duration           0 days 02:34:00
+# Profit Factor                        0.971765
+# Expectancy [%]                      -0.001814
+# SQN                                 -0.511846
+# _strategy                          MACDCross4
+# _equity_curve                             ...
+# _trades                        Size  Entry...
+
+
+# 最適化
+s_time = time.perf_counter()
+output11 = bt4.optimize(
+    n1=range(10, 100, 10),
+    n2=range(10, 250, 10),
+    ns=range(10, 50, 5),
+    maximize='SQN',
+    method='grid'
+)
+e_time = time.perf_counter()
+# 経過時間を出力(秒)
+p_time = round((e_time - s_time), 3)
+print(f'Processing time: {p_time}')
+print(output11)
+print(output11._strategy)
+
+# 全件データで最適化したら良い数字が出てる！
+# UserWarning: Searching for best of 1728 configurations.
+# Processing time: 2614.396
+# Start                     2022-10-04 03:57:00
+# End                       2022-12-30 23:54:00
+# Duration                     87 days 19:57:00
+# Exposure Time [%]                   84.856116
+# Equity Final [$]                 10564.701691
+# Equity Peak [$]                  10872.253006
+# Return [%]                           5.647017
+# Buy & Hold Return [%]               -9.405472
+# Return (Ann.) [%]                   22.408217
+# Volatility (Ann.) [%]                 9.94039
+# Sharpe Ratio                         2.254259
+# Sortino Ratio                        4.679768
+# Calmar Ratio                          5.36408
+# Max. Drawdown [%]                   -4.177457
+# Avg. Drawdown [%]                   -0.109228
+# Max. Drawdown Duration       25 days 18:11:00
+# Avg. Drawdown Duration        0 days 06:24:00
+# # Trades                                  871
+# Win Rate [%]                         22.38806
+# Best Trade [%]                       0.540564
+# Worst Trade [%]                     -0.085376
+# Avg. Trade [%]                       0.007813
+# Max. Trade Duration           3 days 01:51:00
+# Avg. Trade Duration           0 days 02:22:00
+# Profit Factor                        1.128089
+# Expectancy [%]                       0.007955
+# SQN                                  1.128353
+# _strategy                 MACDCross4(n1=30...
+# _equity_curve                             ...
+# _trades                        Size  Entry...
+# MACDCross4(n1=30,n2=50,ns=15)
+
+# もう少し細分化して最適化
+s_time = time.perf_counter()
+output12 = bt4.optimize(
+    n1=range(20, 40, 1),
+    n2=range(40, 60, 1),
+    ns=range(2, 20, 1),
+    maximize='SQN',
+    method='grid'
+)
+e_time = time.perf_counter()
+# 経過時間を出力(秒)
+p_time = round((e_time - s_time), 3)
+print(f'Processing time: {p_time}')
+print(output12)
+print(output12._strategy)
+
+# SQNは平均的な値だが今までの流れからすると良い値と考える
+# 全体＝１年間なので長いスパンで運用するよりもスケールを変えるか検討が必要
+# いったん、今のコードに機能として追加する方が先と考える
+# UserWarning: Searching for best of 7200 configurations.
+# Processing time: 11776.894
+# Start                     2022-10-04 03:57:00
+# End                       2022-12-30 23:54:00
+# Duration                     87 days 19:57:00
+# Exposure Time [%]                   85.284329
+# Equity Final [$]                 10644.792312
+# Equity Peak [$]                  10896.238091
+# Return [%]                           6.447923
+# Buy & Hold Return [%]               -9.405472
+# Return (Ann.) [%]                   26.162524
+# Volatility (Ann.) [%]               10.079171
+# Sharpe Ratio                         2.595702
+# Sortino Ratio                        5.504483
+# Calmar Ratio                         7.157977
+# Max. Drawdown [%]                   -3.655017
+# Avg. Drawdown [%]                   -0.110736
+# Max. Drawdown Duration       22 days 13:17:00
+# Avg. Drawdown Duration        0 days 06:13:00
+# # Trades                                  871
+# Win Rate [%]                        22.962113
+# Best Trade [%]                       0.540564
+# Worst Trade [%]                     -0.085376
+# Avg. Trade [%]                       0.010165
+# Max. Trade Duration           3 days 01:51:00
+# Avg. Trade Duration           0 days 02:23:00
+# Profit Factor                        1.167371
+# Expectancy [%]                        0.01031
+# SQN                                  1.276678
+# _strategy                 MACDCross4(n1=28...
+# _equity_curve                             ...
+# _trades                        Size  Entry...
+# MACDCross4(n1=28,n2=53,ns=15)

--- a/investigation_study/ta-lib_api_test.py
+++ b/investigation_study/ta-lib_api_test.py
@@ -1,6 +1,8 @@
 # 元ネタ
 # https://qiita.com/Fujinoinvestor/items/780b138e441531860e60
+
 # yahoo financeからデータ取得できないので手動で取得したcsvを使用する
+# https://finance.yahoo.com/quote/AAPL/history?p=AAPL
 
 import os
 import talib as ta
@@ -27,6 +29,7 @@ data_path = os.path.join(
     'AAPL_Jan_02_2018-Apr_16_2021.csv'
 )
 
+# csvが','区切りなのでreat_csvを使う
 df = pd.read_csv(
     data_path,
     index_col=['Date']