def __init__(self, feed, instrument, broker, openrange, p_a, p_c,
isFinancialFuture, debug):
ORB.__init__(self, fd, instrument, broker, openrange, p_a, p_c,
isFinancialFuture, debug)
analyzer.ANALYZER.__init__(self)
self.sharpeRatioAnalyzer = sharpe.SharpeRatio()
myStrategy.attachAnalyzer(sharpeRatioAnalyzer)
self.drawDownAnalyzer = drawdown.DrawDown()
myStrategy.attachAnalyzer(drawDownAnalyzer)
self.tradesAnalyzer = trades.Trades()
myStrategy.attachAnalyzer(tradesAnalyzer)
# def print(self):
symbol = "Y00"
feed = sqlitefeed.Feed(DB_SQLITE_PATH, 60, 20000)
startDtime = dtime.datetime(2015,5,21)
endDtime = dtime.datetime(2015,6,18)
feed.loadBars(symbol,None,startDtime,endDtime)
commission_y00 = 0.0001
commission = TradePercentage(commission_y00)
initEquity = 1000000
myBroker = broker.backtesting.Broker(initEquity, feed, commission)
openrange = 20
p_a = 1
p_c = 2
a = ORB(feed, symbol, myBroker,openrange,p_a,p_c,False, False)
ANALYZE_ATTACH(a)
a.run()
ANALYZE_PRINT(a)
def __init__(self,feed,instrument,broker,openrange,p_a,p_c,isFinancialFuture, debug):
ORB.__init__(self, fd, instrument, broker, openrange, p_a,p_c, isFinancialFuture, debug)
analyzer.ANALYZER.__init__(self)