def run_strategy(data_provider: DataProvider) -> Tuple[float, str]:
""" Returns the strategy end result and checksum of the preloaded data. """
start_date = str_to_date("2017-01-01")
end_date = str_to_date("2018-01-01")
settings = get_test_settings()
session_builder = BacktestTradingSessionBuilder(data_provider, settings,
PDFExporter(settings),
ExcelExporter(settings))
session_builder.set_backtest_name('SPY w. stop ' +
str(SpxWithStopLoss.percentage))
session_builder.set_initial_cash(1000000)
session_builder.set_frequency(Frequency.DAILY)
session_builder.set_commission_model(IBCommissionModel)
session_builder.set_data_provider(data_provider)
session_builder.set_monitor_settings(BacktestMonitorSettings.no_stats())
ts = session_builder.build(start_date, end_date)
ts.use_data_preloading(SpxWithStopLoss.ticker, RelativeDelta(days=40))
SpxWithStopLoss(ts)
ts.start_trading()
data_checksum = ts.get_preloaded_data_checksum()
actual_end_value = ts.portfolio.portfolio_eod_series()[-1]
return actual_end_value, data_checksum
def setUp(self) -> None:
settings = get_test_settings()
self.data_provider = BloombergDataProvider(settings)
self.data_provider.connect()
if not self.data_provider.connected:
raise self.skipTest("No Bloomberg connection")
def setUp(self):
dates = DatetimeIndex(start='2014-01-01', freq='d', periods=10)
returns = np.arange(0, 1, 0.1)
self.test_series = QFSeries(index=dates, data=returns)
reversed_returns = returns[::-1]
self.test_series_reversed = QFSeries(index=dates,
data=reversed_returns)
self.test_data_frame = concat(
[self.test_series, self.test_series_reversed],
axis=1,
join='inner')
settings = get_test_settings()
self.xl_exporter = ExcelExporter(settings=settings)
def run_strategy(data_provider: DataProvider) -> Tuple[float, str]:
""" Returns the strategy end result and checksum of the preloaded data. """
model_tickers = [BloombergFutureTicker("Corn", "C {} Comdty", 1, 10, 1)]
start_date = str_to_date('2003-05-30')
end_date = str_to_date('2009-01-01')
initial_risk = 0.006
# ----- build trading session ----- #
settings = get_test_settings()
session_builder = BacktestTradingSessionBuilder(data_provider, settings,
PDFExporter(settings),
ExcelExporter(settings))
session_builder.set_backtest_name('Simple Futures Strategy')
session_builder.set_position_sizer(InitialRiskPositionSizer,
initial_risk=initial_risk)
session_builder.set_frequency(Frequency.DAILY)
session_builder.set_data_provider(data_provider)
session_builder.set_monitor_settings(BacktestMonitorSettings.no_stats())
ts = session_builder.build(start_date, end_date)
# ----- build models ----- #
model = SimpleFuturesModel(fast_time_period=50,
slow_time_period=100,
risk_estimation_factor=3,
data_provider=ts.data_handler)
model_tickers_dict = {model: model_tickers}
# ----- start trading ----- #
strategy = AlphaModelStrategy(ts,
model_tickers_dict,
use_stop_losses=False)
OnBeforeMarketOpenSignalGeneration(strategy)
ts.use_data_preloading(model_tickers)
ts.start_trading()
data_checksum = ts.get_preloaded_data_checksum()
actual_end_value = ts.portfolio.portfolio_eod_series()[-1]
return actual_end_value, data_checksum
import pandas as pd
from qf_lib.common.enums.frequency import Frequency
from qf_lib.common.enums.price_field import PriceField
from qf_lib.common.enums.quandl_db_type import QuandlDBType
from qf_lib.common.tickers.tickers import QuandlTicker
from qf_lib.common.utils.dateutils.string_to_date import str_to_date
from qf_lib.containers.dataframe.prices_dataframe import PricesDataFrame
from qf_lib.containers.dataframe.qf_dataframe import QFDataFrame
from qf_lib.containers.qf_data_array import QFDataArray
from qf_lib.containers.series.prices_series import PricesSeries
from qf_lib.containers.series.qf_series import QFSeries
from qf_lib.data_providers.quandl.quandl_data_provider import QuandlDataProvider
from qf_lib_tests.unit_tests.config.test_settings import get_test_settings
settings = get_test_settings()
@unittest.skipIf(
not hasattr(settings, "quandl_key"),
"`quandl_key` property was not found in the settings.\n"
"Set it using `QUANTFIN_SECRET` environment variable. Sample value of the env. variable: \n"
"{\"quandl_key\": \"zW14dr45trz4up4d4juZ\"}\n"
"To get the key, register an account at https://www.quandl.com")
class TestQuandlTable(unittest.TestCase):
START_DATE = str_to_date('2014-01-01')
END_DATE = str_to_date('2015-02-02')
SINGLE_FIELD = 'adj_close'
MANY_FIELDS = ['adj_low', 'adj_volume', 'adj_close']
db_name = 'WIKI/PRICES'
type = QuandlDBType.Table
def setUp(self):
self.timer = SettableTimer(initial_time=str_to_date('2017-01-01'))
settings = get_test_settings()
self.bbg_provider = BloombergDataProvider(settings)