backtrader.analyzers.leverage module

Leverage Analyzer Module - Gross leverage calculation.

This module provides the GrossLeverage analyzer for calculating the gross leverage (ratio of used capital to portfolio value).

Classes:

GrossLeverage: Analyzer that calculates gross leverage.

示例

>>> cerebro = bt.Cerebro()
>>> cerebro.addanalyzer(bt.analyzers.GrossLeverage, _name='lev')
>>> results = cerebro.run()
>>> print(results[0].analyzers.lev.get_analysis())

class backtrader.analyzers.leverage.GrossLeverage

基类：Analyzer

This analyzer calculates the Gross Leverage of the current strategy on a timeframe basis

Params:

• fund (default: None)

  If None, the actual mode of the broker (fundmode - True/False) will be autodetected to decide if the returns are based on the total net asset value or on the fund value. See set_fundmode in the broker documentation

  Set it to True or False for a specific behavior

- Get_analysis

Returns a dictionary with returns as values and the datetime points for each return as keys

params = (('fund', None),)

__init__(*args, **kwargs)

Initialize the GrossLeverage analyzer.

参数:

• *args -- Positional arguments.

• **kwargs -- Keyword arguments for analyzer parameters.

start()

Initialize the analyzer at the start of the backtest.

Sets the fund mode based on parameters or broker settings.

notify_fund(cash, value, fundvalue, shares)

Update cash and value from fund notification.

参数:

• cash -- Current cash amount.

• value -- Current portfolio value.

• fundvalue -- Current fund value.

• shares -- Number of fund shares.

next()

Calculate and record the gross leverage for the current bar.

Gross leverage is calculated as (value - cash) / value. Returns 0.0 if 100% in cash, 1.0 if fully invested without shorting.