Strategia alta volatilita

                                       # Strategia Alta Volatilità Webinar Casario Del 07 Giugno 2022

import backtrader as bt
import yfinance as yf
import quantstats as qs
import pandas as pd

class Strategia(bt.Strategy):

    def __init__(self):
        self.sma = bt.ind.SMA(period=4)
        self.lowest = bt.indicators.Lowest(self.data.low, period=3)

    def next(self):
        data = self.data.datetime.date().strftime('%Y-%m-%d')

        if self.getposition().size == 0:
            if self.data0.close < self.lowest[-1] and ('2015-08-19' <= data <= '2016-03-02' or
                                                       '2016-06-13' <= data <= '2016-11-14' or
                                                       '2018-01-29' <= data <= '2018-04-18' or
                                                       '2018-10-17' <= data <= '2019-01-31' or
                                                       '2019-07-29' <= data <= '2019-09-13' or
                                                       '2021-12-01' <= data <= '2022-05-18'):
                volume = int((self.broker.getvalue()) / self.data0.close)
                self.sell(size=volume)

        elif self.data0.open > self.sma:
            self.close()


if __name__ == '__main__':
    tickers = ['XLB', 'XLV', 'XLP', 'XLY', 'XLC', 'XLU', 'XLI', 'XLF', 'XLK', 'XLE', 'XLRE']

    dataVix = yf.download('^VIX', '2015-01-01', '2022-06-07')

    for symbol in tickers:
        cerebro = bt.Cerebro()
        dataTicker = yf.download(symbol, '2015-01-01', '2022-06-07')

        tickerData = bt.feeds.PandasData(dataname=dataTicker)
        vixData = bt.feeds.PandasData(dataname=dataVix)

        cerebro.adddata(tickerData, name=symbol)
        cerebro.adddata(vixData, name='VIX')

        cerebro.addstrategy(Strategia)

        cerebro.broker.setcash(10000.0)
        cerebro.addanalyzer(bt.analyzers.PyFolio, _name='pyfolio')

        results = cerebro.run()

        strat = results[0]
        pyfoliozer = strat.analyzers.getbyname('pyfolio')
        returns, positions, transactions, gross_lev = pyfoliozer.get_pf_items()
        returns.index = returns.index.tz_convert(None)
        qs.reports.html(returns, output=f"""{symbol}""", download_filename=f"""{symbol}.html""")