def test_can_run_multiple_strategies(self):
# Arrange
strategies = [
EMACross(symbol=self.usdjpy.symbol,
bar_spec=TestStubs.bar_spec_1min_bid(),
risk_bp=10,
fast_ema=10,
slow_ema=20,
atr_period=20,
sl_atr_multiple=2.0,
extra_id_tag='001'),
EMACross(symbol=self.usdjpy.symbol,
bar_spec=TestStubs.bar_spec_1min_bid(),
risk_bp=10,
fast_ema=10,
slow_ema=20,
atr_period=20,
sl_atr_multiple=2.0,
extra_id_tag='002')
]
start = datetime(2013, 1, 2, 0, 0, 0, 0)
stop = datetime(2013, 1, 3, 0, 0, 0, 0)
# Act
self.engine.run(start, stop, strategies=strategies)
# Assert
self.assertEqual(559, strategies[0].fast_ema.count)
self.assertEqual(559, strategies[1].fast_ema.count)
def test_run_multiple_strategies(self):
# Arrange
strategy1 = EMACross(
instrument_id=self.usdjpy.id,
bar_spec=BarSpecification(15, BarAggregation.MINUTE,
PriceType.BID),
trade_size=Decimal(1_000_000),
fast_ema=10,
slow_ema=20,
extra_id_tag="001",
)
strategy2 = EMACross(
instrument_id=self.usdjpy.id,
bar_spec=BarSpecification(15, BarAggregation.MINUTE,
PriceType.BID),
trade_size=Decimal(1_000_000),
fast_ema=20,
slow_ema=40,
extra_id_tag="002",
)
# Note since these strategies are operating on the same instrument_id as per
# the EMACross BUY/SELL logic they will be flattening each others positions.
# The purpose of the test is just to ensure multiple strategies can run together.
# Act
self.engine.run(strategies=[strategy1, strategy2])
# Assert
self.assertEqual(2689, strategy1.fast_ema.count)
self.assertEqual(2689, strategy2.fast_ema.count)
self.assertEqual(115043, self.engine.iteration)
self.assertEqual(Money(994662.69, USD),
self.engine.portfolio.account(self.venue).balance())
def test_run_for_tick_processing():
# Arrange
data = BacktestDataContainer()
data.add_instrument(USDJPY_SIM)
data.add_bars(USDJPY_SIM.symbol, BarAggregation.MINUTE, PriceType.BID, TestDataProvider.usdjpy_1min_bid())
data.add_bars(USDJPY_SIM.symbol, BarAggregation.MINUTE, PriceType.ASK, TestDataProvider.usdjpy_1min_ask())
strategy = EMACross(
symbol=USDJPY_SIM.symbol,
bar_spec=TestStubs.bar_spec_1min_bid(),
trade_size=Decimal(1_000_000),
fast_ema=10,
slow_ema=20,
)
engine = BacktestEngine(
data=data,
strategies=[strategy],
bypass_logging=True,
)
engine.add_exchange(
venue=Venue("SIM"),
oms_type=OMSType.HEDGING,
starting_balances=[Money(1_000_000, USD)],
)
start = datetime(2013, 2, 1, 0, 0, 0, 0, tzinfo=pytz.utc)
stop = datetime(2013, 2, 10, 0, 0, 0, 0, tzinfo=pytz.utc)
stats_file = "perf_stats_tick_processing.prof"
cProfile.runctx("engine.run(start, stop)", globals(), locals(), stats_file)
s = pstats.Stats(stats_file)
s.strip_dirs().sort_stats("time").print_stats()
def test_run_with_ema_cross_strategy():
# Arrange
engine = BacktestEngine(bypass_logging=True)
engine.add_instrument(USDJPY_SIM)
engine.add_bars(
USDJPY_SIM.id,
BarAggregation.MINUTE,
PriceType.BID,
TestDataProvider.usdjpy_1min_bid(),
)
engine.add_bars(
USDJPY_SIM.id,
BarAggregation.MINUTE,
PriceType.ASK,
TestDataProvider.usdjpy_1min_ask(),
)
interest_rate_data = pd.read_csv(
os.path.join(PACKAGE_ROOT, "data", "short-term-interest.csv"))
fx_rollover_interest = FXRolloverInterestModule(
rate_data=interest_rate_data)
engine.add_venue(
venue=Venue("SIM"),
venue_type=VenueType.BROKERAGE,
oms_type=OMSType.HEDGING,
account_type=AccountType.MARGIN,
base_currency=USD,
starting_balances=[Money(1_000_000, USD)],
modules=[fx_rollover_interest],
)
strategy = EMACross(
instrument_id=USDJPY_SIM.id,
bar_spec=TestStubs.bar_spec_1min_bid(),
trade_size=Decimal(1_000_000),
fast_ema=10,
slow_ema=20,
)
start = datetime(2013, 2, 1, 0, 0, 0, 0, tzinfo=pytz.utc)
stop = datetime(2013, 3, 1, 0, 0, 0, 0, tzinfo=pytz.utc)
stats_file = "perf_stats_backtest_run_ema.prof"
cProfile.runctx(
"engine.run(start, stop, strategies=[strategy])",
globals(),
locals(),
stats_file,
)
s = pstats.Stats(stats_file)
s.strip_dirs().sort_stats("time").print_stats()
def test_run_for_tick_processing():
# Arrange
engine = BacktestEngine(bypass_logging=True)
engine.add_instrument(USDJPY_SIM)
engine.add_bars(
USDJPY_SIM.id,
BarAggregation.MINUTE,
PriceType.BID,
TestDataProvider.usdjpy_1min_bid(),
)
engine.add_bars(
USDJPY_SIM.id,
BarAggregation.MINUTE,
PriceType.ASK,
TestDataProvider.usdjpy_1min_ask(),
)
engine.add_venue(
venue=Venue("SIM"),
venue_type=VenueType.BROKERAGE,
oms_type=OMSType.HEDGING,
account_type=AccountType.MARGIN,
base_currency=USD,
starting_balances=[Money(1_000_000, USD)],
)
strategy = EMACross(
instrument_id=USDJPY_SIM.id,
bar_spec=TestStubs.bar_spec_1min_bid(),
trade_size=Decimal(1_000_000),
fast_ema=10,
slow_ema=20,
)
start = datetime(2013, 2, 1, 0, 0, 0, 0, tzinfo=pytz.utc)
stop = datetime(2013, 2, 10, 0, 0, 0, 0, tzinfo=pytz.utc)
stats_file = "perf_stats_tick_processing.prof"
cProfile.runctx(
"engine.run(start, stop, strategies=[strategy])",
globals(),
locals(),
stats_file,
)
s = pstats.Stats(stats_file)
s.strip_dirs().sort_stats("time").print_stats()
def test_run_ema_cross_with_minute_bar_spec(self):
# Arrange
strategy = EMACross(
symbol=self.gbpusd.symbol,
bar_spec=BarSpecification(5, BarAggregation.MINUTE, PriceType.MID),
trade_size=Decimal(1_000_000),
fast_ema=10,
slow_ema=20,
)
# Act
self.engine.run(strategies=[strategy])
# Assert
self.assertEqual(8353, strategy.fast_ema.count)
self.assertEqual(120467, self.engine.iteration)
self.assertEqual(Money(947226.84, GBP), self.engine.portfolio.account(self.venue).balance())
def test_run_ema_cross_with_tick_bar_spec(self):
# Arrange
strategy = EMACross(
symbol=self.instrument.symbol,
bar_spec=BarSpecification(250, BarAggregation.TICK, PriceType.LAST),
trade_size=Decimal(100),
fast_ema=10,
slow_ema=20,
)
# Act
self.engine.run(strategies=[strategy])
# Assert
self.assertEqual(39, strategy.fast_ema.count)
self.assertEqual(19998, self.engine.iteration)
self.assertEqual(Money('995991.41500000', USDT), self.engine.portfolio.account(self.venue).balance())
def test_run_ema_cross_strategy(self):
# Arrange
strategy = EMACross(
symbol=self.usdjpy.symbol,
bar_spec=BarSpecification(15, BarAggregation.MINUTE, PriceType.BID),
trade_size=Decimal(1_000_000),
fast_ema=10,
slow_ema=20,
)
# Act
self.engine.run(strategies=[strategy])
# Assert - Should return expected PnL
self.assertEqual(2689, strategy.fast_ema.count)
self.assertEqual(115043, self.engine.iteration)
self.assertEqual(Money(997731.21, USD), self.engine.portfolio.account(self.venue).balance())
def test_run_ema_cross_with_tick_bar_spec(self):
# Arrange
strategy = EMACross(
symbol=self.audusd.symbol,
bar_spec=BarSpecification(100, BarAggregation.TICK, PriceType.MID),
trade_size=Decimal(1_000_000),
fast_ema=10,
slow_ema=20,
)
# Act
self.engine.run(strategies=[strategy])
# Assert
self.assertEqual(999, strategy.fast_ema.count)
self.assertEqual(99999, self.engine.iteration)
self.assertEqual(Money(995431.92, AUD), self.engine.portfolio.account(self.venue).balance())
def test_run_ema_cross_with_minute_bar_spec(self):
# Arrange
strategy = EMACross(
instrument_id=self.audusd.id,
bar_spec=BarSpecification(1, BarAggregation.MINUTE, PriceType.MID),
trade_size=Decimal(1_000_000),
fast_ema=10,
slow_ema=20,
)
# Act
self.engine.run(strategies=[strategy])
# Assert
self.assertEqual(1771, strategy.fast_ema.count)
self.assertEqual(99999, self.engine.iteration)
self.assertEqual(Money(991360.19, AUD),
self.engine.portfolio.account(self.venue).balance())
def test_run_ema_cross_with_tick_bar_spec(self):
# Arrange
strategy = EMACross(
instrument_id=self.ethusdt.id,
bar_spec=BarSpecification(250, BarAggregation.TICK,
PriceType.LAST),
trade_size=Decimal(100),
fast_ema=10,
slow_ema=20,
)
# Act
self.engine.run(strategies=[strategy])
# Assert
self.assertEqual(279, strategy.fast_ema.count)
self.assertEqual(69806, self.engine.iteration)
self.assertEqual(Money("998873.43110000", USDT),
self.engine.portfolio.account(self.venue).balance())
def test_rerunning_backtest_with_redis_db_builds_correct_index(self):
# Arrange
strategy = EMACross(
instrument_id=self.usdjpy.id,
bar_spec=BarSpecification(15, BarAggregation.MINUTE, PriceType.BID),
trade_size=Decimal(1_000_000),
fast_ema=10,
slow_ema=20,
)
# Generate a lot of data
self.engine.run(strategies=[strategy])
# Reset engine
self.engine.reset()
self.engine.run()
# Act
# Assert
self.assertTrue(self.engine.get_exec_engine().cache.check_integrity())
def test_run_ema_cross_strategy(self):
# Arrange
strategies = [
EMACross(symbol=self.usdjpy.symbol,
bar_spec=TestStubs.bar_spec_1min_bid(),
fast_ema=10,
slow_ema=20)
]
start = datetime(2013, 1, 2, 0, 0, 0, 0)
stop = datetime(2013, 1, 3, 0, 0, 0, 0)
# Act
self.engine.run(start, stop, strategies=strategies)
# Assert
self.assertEqual(559, strategies[0].fast_ema.count)
self.assertEqual(-1857.67,
self.engine.analyzer.get_performance_stats()
['PNL']) # Money represented as double here
def test_rerun_ema_cross_strategy_returns_identical_performance(self):
# Arrange
strategy = EMACross(
symbol=self.usdjpy.symbol,
bar_spec=BarSpecification(15, BarAggregation.MINUTE, PriceType.BID),
trade_size=Decimal(1_000_000),
fast_ema=10,
slow_ema=20,
)
self.engine.run(strategies=[strategy])
result1 = self.engine.analyzer.get_performance_stats_pnls()
# Act
self.engine.reset()
self.engine.run()
result2 = self.engine.analyzer.get_performance_stats_pnls()
# Assert
self.assertEqual(all(result1), all(result2))
def test_exec_cache_check_integrity_when_index_cleared_fails(self):
# Arrange
strategy = EMACross(
symbol=self.usdjpy.symbol,
bar_spec=BarSpecification(15, BarAggregation.MINUTE,
PriceType.BID),
trade_size=Decimal(1_000_000),
fast_ema=10,
slow_ema=20,
)
# Generate a lot of data
self.engine.run(strategies=[strategy])
# Clear index
self.cache.clear_index()
# Act
# Assert
self.assertFalse(self.cache.check_integrity())
def test_rerun_ema_cross_strategy_returns_identical_performance(self):
# Arrange
strategies = [
EMACross(symbol=self.usdjpy.symbol,
bar_spec=TestStubs.bar_spec_1min_bid(),
fast_ema=10,
slow_ema=20)
]
start = datetime(2013, 1, 2, 0, 0, 0, 0)
stop = datetime(2013, 1, 3, 0, 0, 0, 0)
self.engine.run(start, stop, strategies=strategies)
result1 = self.engine.analyzer.get_performance_stats()
# Act
self.engine.run(start, stop)
result2 = self.engine.analyzer.get_performance_stats()
# Assert
self.assertEqual(all(result1), all(result2))
def test_run_for_tick_processing(self):
# Arrange
usdjpy = InstrumentLoader.default_fx_ccy(TestStubs.symbol_usdjpy_fxcm())
data = BacktestDataContainer()
data.add_instrument(usdjpy)
data.add_bars(usdjpy.symbol, BarAggregation.MINUTE, PriceType.BID, TestDataProvider.usdjpy_1min_bid())
data.add_bars(usdjpy.symbol, BarAggregation.MINUTE, PriceType.ASK, TestDataProvider.usdjpy_1min_ask())
strategies = [EMACross(
symbol=usdjpy.symbol,
bar_spec=TestStubs.bar_spec_1min_bid(),
fast_ema=10,
slow_ema=20)]
config = BacktestConfig(
exec_db_type="in-memory",
bypass_logging=True,
console_prints=False)
engine = BacktestEngine(
data=data,
strategies=strategies,
venue=Venue("FXCM"),
oms_type=OMSType.HEDGING,
generate_position_ids=True,
config=config,
fill_model=None,
)
start = datetime(2013, 2, 1, 0, 0, 0, 0, tzinfo=pytz.utc)
stop = datetime(2013, 2, 10, 0, 0, 0, 0, tzinfo=pytz.utc)
stats_file = "perf_stats_tick_processing.prof"
cProfile.runctx("engine.run(start, stop)", globals(), locals(), stats_file)
s = pstats.Stats(stats_file)
s.strip_dirs().sort_stats("time").print_stats()
self.assertTrue(True)
def test_run_for_tick_processing(self):
# Arrange
usdjpy = TestStubs.instrument_usdjpy()
data = BacktestDataContainer()
data.add_instrument(usdjpy)
data.add_bars(usdjpy.symbol, BarStructure.MINUTE, PriceType.BID, TestDataProvider.usdjpy_1min_bid())
data.add_bars(usdjpy.symbol, BarStructure.MINUTE, PriceType.ASK, TestDataProvider.usdjpy_1min_ask())
strategies = [EMACross(
symbol=usdjpy.symbol,
bar_spec=TestStubs.bar_spec_1min_bid(),
risk_bp=10,
fast_ema=10,
slow_ema=20,
atr_period=20,
sl_atr_multiple=2.0)]
config = BacktestConfig(
exec_db_type='in-memory',
bypass_logging=True,
console_prints=False)
engine = BacktestEngine(
data=data,
strategies=strategies,
config=config,
fill_model=None)
start = datetime(2013, 2, 1, 0, 0, 0, 0, tzinfo=timezone.utc)
stop = datetime(2013, 2, 10, 0, 0, 0, 0, tzinfo=timezone.utc)
stats_file = 'perf_stats_tick_processing.prof'
cProfile.runctx('engine.run(start, stop)', globals(), locals(), stats_file)
s = pstats.Stats(stats_file)
s.strip_dirs().sort_stats("time").print_stats()
self.assertTrue(True)
# BAR_SPEC_FX = BarSpecification(100, BarStructure.TICK, PriceType.BID)
# BAR_SPEC_CFD = BarSpecification(500, BarStructure.TICK, PriceType.BID)
symbols_fx = [
Symbol('AUD/USD', Venue('FXCM')),
Symbol('EUR/USD', Venue('FXCM')),
Symbol('GBP/USD', Venue('FXCM')),
Symbol('USD/JPY', Venue('FXCM')),
]
strategies_fx = []
for symbol in symbols_fx:
strategies_fx.append(
EMACross(symbol,
BAR_SPEC_FX,
risk_bp=10.0,
fast_ema=10,
slow_ema=20,
atr_period=20))
# symbols_cfd = [
# Symbol('XAUUSD', Venue('FXCM')),
# Symbol('SPX500', Venue('FXCM')),
# Symbol('AUS200', Venue('FXCM')),
# Symbol('USOil', Venue('FXCM')),
# Symbol('GER30', Venue('FXCM')),
# ]
# strategies_cfd = []
# for symbol in symbols_cfd:
# strategies_fx.append(EMACrossPy(
# symbol,
