def warmUp(self):
u = userVals()
mydata = open(self.filename)
dataread = csv.reader(mydata, delimiter=',')
self.csvData = list(dataread)
self.warmUpDataOpen = []
self.warmUpDataHigh = []
self.warmUpDataLow = []
self.warmUpDataClose = []
self.warmUpDataVolume = []
self.warmUpDate = []
for x in range(0, u.warmUpPeriod-1):
open_ = self.csvData[x][2]
high = self.csvData[x][3]
low = self.csvData[x][4]
close = self.csvData[x][5]
volume = self.csvData[x][1]
date = self.csvData[x][0]
self.warmUpDataOpen.append(float(open_))
self.warmUpDataHigh.append(float(high))
self.warmUpDataLow.append(float(low))
self.warmUpDataClose.append(float(close))
self.warmUpDataVolume.append(float(volume))
self.warmUpDate.append(date)
return self.warmUpDataOpen, self.warmUpDataHigh, self.warmUpDataLow, self.warmUpDataClose, self.warmUpDataVolume, self.warmUpDate
def feedData(self, data):
u = userVals()
mydata = open(self.filename)
dataread = csv.reader(mydata, delimiter=',')
self.csvData = list(dataread)
self.wO = self.warmUp()[0]
self.wH = self.warmUp()[1]
self.wL = self.warmUp()[2]
self.wC = self.warmUp()[3]
self.wV = self.warmUp()[4]
self.wD = self.warmUp()[5]
for x in range(u.warmUpPeriod, data):
open_ = self.csvData[x][2]
high = self.csvData[x][3]
low = self.csvData[x][4]
close = self.csvData[x][5]
volume = self.csvData[x][1]
date = self.csvData[x][0]
self.wO.append(float(open_))
self.wH.append(float(high))
self.wL.append(float(low))
self.wC.append(float(close))
self.wV.append(float(volume))
self.wD.append(date)
return self.wO, self.wH, self.wL, self.wC, self.wV, self.wD
def __init__(self):
u = userVals()
self.initialCash = 5000
self.totalTrades = 0
self.tradeWins = 0
self.tradeLosses = 0
self.tradeLots = 0
self.entryPrice = 0
self.profit = 0
self.loss = 0
self.currentPosition = "None"
self.initialPoint = u.warmUpPeriod
self.status = True
self.accountHistory = [self.initialCash]
self.filename = "./Data/Forex/USDCAD_Hist_M15.csv"
def main(self):
u = userVals()
mydata = open(self.filename)
dataread = csv.reader(mydata, delimiter=',')
self.csvData = list(dataread)
for x in range(u.warmUpPeriod, len(self.csvData)):
feed = self.feedData(x)
open_= feed[0]
high = feed[1]
low = feed[2]
close = feed[3]
self.volume = feed[4]
date = feed[5]
# Create indicators here
self.SMA1 = talib.SMA(np.array(self.close), timeperiod=15)
self.SMA2 = talib.SMA(np.array(self.close), timeperiod=30)
self.SMAHigh = talib.SMA(np.array(self.high), timeperiod=5)
self.SMALow = talib.SMA(np.array(self.low), timeperiod=5)
# Trade Logic
if self.currentPosition == "None":
# Entry Signals
if (self.tradeLong() == True ):
self.entryPrice = close[-1]
self.totalTrades = self.totalTrades + 1
self.tradeLots = abs((self.initialCash *userVals.risk)/abs(self.entryPrice - low[-2]))
self.currentPosition = "Long"
elif (self.tradeShort() == True ):
self.entryPrice = close[-1]
self.totalTrades = self.totalTrades + 1
self.tradeLots = abs((self.initialCash *userVals.risk)/abs(self.entryPrice - high[-2]))
self.currentPosition = "Short"
elif self.currentPosition != "None":
# Exit Signals
if self.currentPosition == "Long":
# Exit Long Position
if (self.close[-1] < self.SMALow[-1]):
exitClose = close[-1]
pips = exitClose - self.entryPrice
pipValue = 1/exitClose/10
newCash = self.initialCash + (pipValue*pips*(self.tradeLots))
# Decide if trade was win or loss
if exitClose > self.entryPrice:
self.tradeWins = self.tradeWins +1
self.profit = (newCash - self.initialCash) + self.profit
elif exitClose < self.entryPrice:
self.tradeLosses = self.tradeLosses + 1
self.loss = (self.initialCash - newCash) + self.loss
self.initialCash = newCash
self.currentPosition = "None"
self.accountHistory.append(self.initialCash)
elif self.currentPosition == "Short":
if (self.close[-1] > self.SMAhigh[-1]):
exitClose = close[-1]
pips = exitClose - self.entryPrice
pipValue = 1/exitClose/10
newCash = self.initialCash + (pipValue*pips*(self.tradeLots))
# Decide if trade was win or loss
if exitClose < self.entryPrice:
self.tradeWins = self.tradeWins +1
self.loss = (self.initialCash - newCash) + self.loss
elif exitClose > self.entryPrice:
self.tradeLosses = self.tradeLosses + 1
self.profit = (newCash - self.initialCash) + self.profit
self.initialCash = newCash
self.currentPosition = "None"
self.accountHistory.append(self.initialCash)
print "Account:", self.initialCash, "Total Trades:", self.totalTrades, "Wins:", self.tradeWins, "Losses:", self.tradeLosses, "Profit:", self.profit, "Losses:", self.loss
plt.xlabel('Total Trades')
plt.ylabel('Balance')
plt.plot(np.array([x for x in range(len(self.accountHistory))]), np.array(self.accountHistory))
plt.savefig('BacktestForex.png')
def main(self):
u = userVals()
mydata = open(self.filename)
dataread = csv.reader(mydata, delimiter=',')
self.csvData = list(dataread)
for x in range(u.warmUpPeriod, len(self.csvData)):
feed = self.feedData(x)
open_ = feed[0]
self.high = feed[1]
self.low = feed[2]
self.close = feed[3]
self.volume = feed[4]
date = feed[5]
# Create indicators here
self.SMA1 = talib.SMA(np.array(self.close), timeperiod=15)
self.SMA2 = talib.SMA(np.array(self.close), timeperiod=30)
self.SMAHigh = talib.SMA(np.array(self.high), timeperiod=5)
self.SMALow = talib.SMA(np.array(self.low), timeperiod=5)
# Trade Logic
if self.currentPosition == "None":
#Entry Signals
if (self.tradeLong() == True):
self.entryPrice = self.close[-1]
self.totalTrades = self.totalTrades + 1
self.tradeLots = int(self.initialCash / self.entryPrice)
self.currentPosition = "Long"
elif (self.tradeShort() == True):
self.entryPrice = self.close[-1]
self.totalTrades = self.totalTrades + 1
self.tradeLots = int(self.initialCash / self.entryPrice)
self.currentPosition = "Short"
elif self.currentPosition != "None":
#Exit Signals
if self.currentPosition == "Short":
if self.close[-1] > self.SMAHigh[-1]:
exitClose = self.close[-1]
prof = (self.tradeLots *
self.entryPrice) - (self.tradeLots * exitClose)
newCash = self.initialCash + prof
if exitClose < self.entryPrice:
self.tradeWins = self.tradeWins + 1
self.profit = prof + self.profit
elif exitClose > self.entryPrice:
self.tradeLosses = self.tradeLosses + 1
self.loss = abs(prof) + self.loss
self.initialCash = newCash
self.currentPosition = "None"
self.accountHistory.append(self.initialCash)
elif self.currentPosition == "Long":
if (self.close[-1] < self.SMALow[-1]):
exitClose = self.close[-1]
prof = (self.tradeLots * exitClose) - (self.tradeLots *
self.entryPrice)
newCash = self.initialCash + prof
if exitClose > self.entryPrice:
self.tradeWins = self.tradeWins + 1
self.profit = prof + self.profit
elif exitClose < self.entryPrice:
self.tradeLosses = self.tradeLosses + 1
self.loss = abs(prof) + self.loss
self.initialCash = newCash
self.currentPosition = "None"
self.accountHistory.append(self.initialCash)
print "Account:", self.initialCash, "Total Trades:", self.totalTrades, "Wins:", self.tradeWins, "Losses:", self.tradeLosses, "Profit:", self.profit, "Losses:", self.loss
plt.xlabel('Total Trades')
plt.ylabel('Balance')
plt.plot(np.array([x for x in range(len(self.accountHistory))]),
np.array(self.accountHistory))
plt.savefig('BacktestStocks.png')