def __init__(self,
instruments,
initialCash,
fromYear,
toYear,
debugMode=True,
csvStorage="./googlefinance",
filterInvalidRows=True):
self.__logger = logger.getLogger(GoogleFinanceBacktest.LOGGER_NAME)
self.__finalPortfolioValue = 0
# Create Feed
self.__feed = googlefeed.Feed()
rowFilter = lambda row: row["Close"] == "-" or row["Open"] == "-" or row["High"] == "-" or row["Low"] == "-" or \
row["Volume"] == "-"
self.__feed = googlefinance.build_feed(
instruments,
fromYear,
toYear,
storage=csvStorage,
skipErrors=True,
rowFilter=rowFilter if filterInvalidRows else None)
# Create Broker
comissionModel = backtesting.FixedPerTrade(10)
self.__broker = backtesting.Broker(initialCash,
self.__feed,
commission=comissionModel)
self.__strategy = TradingSystem(self.__feed,
self.__broker,
debugMode=debugMode)
# Create Analyzers
returnsAnalyzer = returns.Returns()
self.__strategy.attachAnalyzer(returnsAnalyzer)
dailyResultsAnalyzer = DailyTradingResults()
self.__strategy.attachAnalyzer(dailyResultsAnalyzer)
self.__tradesAnalyzer = Trades()
self.__strategy.attachAnalyzer(self.__tradesAnalyzer)
# Create plotters
self.__plotters = []
self.__plotters.append(
plotter.StrategyPlotter(self.__strategy,
plotAllInstruments=False,
plotPortfolio=True,
plotBuySell=False))
self.__plotters[0].getOrCreateSubplot("returns").addDataSeries(
"Simple returns", returnsAnalyzer.getReturns())
self.__plotters[0].getOrCreateSubplot("dailyresult").addDataSeries(
"Daily Results", dailyResultsAnalyzer.getTradeResults())
for i in range(0, len(instruments)):
p = plotter.StrategyPlotter(self.__strategy,
plotAllInstruments=False,
plotPortfolio=False)
p.getInstrumentSubplot(instruments[i])
self.__plotters.append(p)
def initializeStrategy(self):
assert self.__feed is not None
assert self.__broker is not None
assert self.__debugMode is not None
assert self.__tradingAlgorithmGenerator is not None
self.__tradingStrategy = TradingSystem(self.__feed,
self.__broker,
debugMode=self.__debugMode)
self.__tradingStrategy.setAlgorithm(
self.__tradingAlgorithmGenerator(self.__feed, self.__broker))
def runDonchianAlgorithm(self, broker, feed, donchianEntry, donchianExit, riskFactor):
strategy = TradingSystem(feed, broker, debugMode=False)
strategy.setAlgorithm(DonchianTradingAlgorithm(feed, broker, donchianEntry, donchianExit, riskFactor))
feed.dispatchWithoutIncrementingDate()
feed.nextEvent()
for order in broker.getActiveMarketOrders() + broker.getStopOrdersToConfirm():
bar = broker.getCurrentBarForInstrument(order.getInstrument())
if bar is None:
continue
if not broker.confirmOrder(order, bar):
broker.cancelOrder(order)
