def testTwoBarReturns_CloseClose(self):
initialCash = 15.90
bar_feed = yahoofeed.Feed()
bar_feed.set_bar_filter(
csvfeed.DateRangeFilter(
strategy_test.datetime_from_date(2001, 12, 06),
strategy_test.datetime_from_date(2001, 12, 07)))
bar_feed.add_bars_from_csv(
ReturnsTestCase.TestInstrument,
common.get_data_file_path("orcl-2001-yahoofinance.csv"))
strat = strategy_test.TestStrategy(bar_feed, initialCash)
# 2001-12-06,15.61,16.03,15.50,15.90,66944900,15.55
# 2001-12-07,15.74,15.95,15.55,15.91,42463200,15.56
# Manually place the entry order, to get it filled on the first bar.
order = strat.get_broker().create_market_order(
broker.Order.Action.BUY, ReturnsTestCase.TestInstrument, 1,
True) # Close: 15.90
strat.get_broker().place_order(order)
strat.addOrder(strategy_test.datetime_from_date(2001, 12, 06),
strat.get_broker().create_market_order,
broker.Order.Action.SELL,
ReturnsTestCase.TestInstrument, 1, True) # Close: 15.91
stratAnalyzer = returns.Returns()
strat.attach_analyzer(stratAnalyzer)
strat.run()
self.assertTrue(strat.get_broker().get_cash() == initialCash +
(15.91 - 15.90))
# First day returns: 0
self.assertTrue(stratAnalyzer.get_returns()[0] == 0)
# Second day returns: Open vs Prev. day's close
self.assertTrue(stratAnalyzer.get_returns()[1] == (15.91 - 15.90) /
15.90)
def testOneBarReturn(self):
initialCash = 1000
bar_feed = yahoofeed.Feed()
bar_feed.set_bar_filter(
csvfeed.DateRangeFilter(
strategy_test.datetime_from_date(2001, 12, 07),
strategy_test.datetime_from_date(2001, 12, 07)))
bar_feed.add_bars_from_csv(
ReturnsTestCase.TestInstrument,
common.get_data_file_path("orcl-2001-yahoofinance.csv"))
strat = strategy_test.TestStrategy(bar_feed, initialCash)
# 2001-12-07,15.74,15.95,15.55,15.91,42463200,15.56
# Manually place the orders to get them filled on the first (and only) bar.
order = strat.get_broker().create_market_order(
broker.Order.Action.BUY, ReturnsTestCase.TestInstrument, 1,
False) # Open: 15.74
strat.get_broker().place_order(order)
order = strat.get_broker().create_market_order(
broker.Order.Action.SELL, ReturnsTestCase.TestInstrument, 1,
True) # Close: 15.91
strat.get_broker().place_order(order)
stratAnalyzer = returns.Returns()
strat.attach_analyzer(stratAnalyzer)
strat.run()
self.assertTrue(strat.get_broker().get_cash() == initialCash +
(15.91 - 15.74))
finalValue = 1000 - 15.74 + 15.91
rets = (finalValue - initialCash) / float(initialCash)
self.assertEqual(stratAnalyzer.get_returns()[-1], rets)
def main():
# Load the orders file.
ordersFile = OrdersFile("orders.csv")
print "First date", ordersFile.getFirstDate()
print "Last date", ordersFile.getLastDate()
print "Symbols", ordersFile.get_symbols()
# Load the data from QSTK storage. QS environment variable has to be defined.
feed = yahoofeed.Feed()
feed.set_bar_filter(
csvfeed.DateRangeFilter(ordersFile.getFirstDate(),
ordersFile.getLastDate()))
feed.set_daily_bar_time(
datetime.time(0, 0, 0)
) # This is to match the dates loaded with the ones in the orders file.
for symbol in ordersFile.get_symbols():
feed.add_bars_from_csv(
symbol,
os.path.join(os.getenv("QS"), "QSData", "Yahoo", symbol + ".csv"))
# Run the strategy.
cash = 1000000
use_adjustedClose = True
myStrategy = MyStrategy(feed, cash, ordersFile, use_adjustedClose)
# Attach returns and sharpe ratio analyzers.
retAnalyzer = returns.Returns()
myStrategy.attach_analyzer(retAnalyzer)
sharpeRatioAnalyzer = sharpe.SharpeRatio()
myStrategy.attach_analyzer(sharpeRatioAnalyzer)
myStrategy.run()
# Print the results.
print "Final portfolio value: $%.2f" % myStrategy.get_result()
print "Anual return: %.2f %%" % (retAnalyzer.get_cumulative_returns()[-1] *
100)
print "Average daily return: %.2f %%" % (
stats.mean(retAnalyzer.get_returns()) * 100)
print "Std. dev. daily return: %.4f" % (stats.stddev(
retAnalyzer.get_returns()))
print "Sharpe ratio: %.2f" % (sharpeRatioAnalyzer.get_sharpe_ratio(0, 252))
def testGoogle2011(self):
initial_value = 1000000
bar_feed = yahoofeed.Feed()
bar_feed.add_bars_from_csv(
ReturnsTestCase.TestInstrument,
common.get_data_file_path("goog-2011-yahoofinance.csv"))
strat = strategy_test.TestStrategy(bar_feed, initial_value)
order = strat.get_broker().create_market_order(
broker.Order.Action.BUY, ReturnsTestCase.TestInstrument, 1654,
True) # 2011-01-03 close: 604.35
strat.get_broker().place_order(order)
stratAnalyzer = returns.Returns()
strat.attach_analyzer(stratAnalyzer)
strat.run()
finalValue = strat.get_broker().get_value(
strat.get_feed().get_last_bars())
self.assertEqual(
round(stratAnalyzer.get_cumulative_returns()[-1], 4),
round((finalValue - initial_value) / float(initial_value), 4))
def testCumulativeReturn(self):
initialCash = 33.06
bar_feed = yahoofeed.Feed()
bar_feed.add_bars_from_csv(
ReturnsTestCase.TestInstrument,
common.get_data_file_path("orcl-2001-yahoofinance.csv"))
strat = strategy_test.TestStrategy(bar_feed, initialCash)
strat.addPosEntry(strategy_test.datetime_from_date(2001, 1, 12),
strat.enter_long, ReturnsTestCase.TestInstrument,
1) # 33.06
strat.addPosExit(strategy_test.datetime_from_date(2001, 11, 27),
strat.exit_position) # 14.32
stratAnalyzer = returns.Returns()
strat.attach_analyzer(stratAnalyzer)
strat.run()
self.assertTrue(
round(strat.get_broker().get_cash(), 2) == round(
initialCash + (14.32 - 33.06), 2))
self.assertTrue(
round(33.06 *
(1 +
stratAnalyzer.get_cumulative_returns()[-1]), 2) == 14.32)
from pytradelib.barfeed import yahoofeed
from pytradelib.stratanalyzer import returns
from pytradelib.stratanalyzer import sharpe
from pytradelib.stratanalyzer import drawdown
from pytradelib.stratanalyzer import trades
import smacross_strategy
# Load the yahoo feed from the CSV file
feed = yahoofeed.Feed()
feed.add_bars_from_csv("orcl", "orcl-2000.csv")
# Evaluate the strategy with the feed's bars.
myStrategy = smacross_strategy.Strategy(feed, 20)
# Attach different analyzers to a strategy before executing it.
retAnalyzer = returns.Returns()
myStrategy.attach_analyzer(retAnalyzer)
sharpeRatioAnalyzer = sharpe.SharpeRatio()
myStrategy.attach_analyzer(sharpeRatioAnalyzer)
drawDownAnalyzer = drawdown.DrawDown()
myStrategy.attach_analyzer(drawDownAnalyzer)
tradesAnalyzer = trades.Trades()
myStrategy.attach_analyzer(tradesAnalyzer)
# Run the strategy.
myStrategy.run()
print "Final portfolio value: $%.2f" % myStrategy.get_result()
print "Cumulative returns: %.2f %%" % (
retAnalyzer.get_cumulative_returns()[-1] * 100)
print "Sharpe ratio: %.2f" % (sharpeRatioAnalyzer.get_sharpe_ratio(0.05, 252))