def setUp(self):
self.events = queue.Queue()
self.status = dict()
self.portfolio = PortfolioLocal(self.status)
self.execution = SimulatedExecutionHandler(self.status)
self.manager = Manager(self.status, self.events, self.execution,
self.portfolio, None)
self.event_src = DukascopyCSVPriceHandler("EUR_USD", self.events)
def setUp(self):
self.events = queue.Queue()
self.status = dict()
self.portfolio = PortfolioLocal(self.status)
self.execution = SimulatedExecutionHandler(self.status)
self.manager = Manager(self.status, self.events,
self.execution, self.portfolio, None)
self.event_src = DukascopyCSVPriceHandler("EUR_USD", self.events)
class TestHelloUnitTest(unittest.TestCase):
def setUp(self):
self.events = queue.Queue()
self.status = dict()
self.portfolio = PortfolioLocal(self.status)
self.execution = SimulatedExecutionHandler(self.status)
self.manager = Manager(self.status, self.events, self.execution,
self.portfolio, None)
self.event_src = DukascopyCSVPriceHandler("EUR_USD", self.events)
def simulate(self):
while not self.events.empty():
self.manager.perform_trade(self.events.get(False))
print("Total Order Count: %s" % self.portfolio.order_count)
print("Realized P&L : %s" % round(self.status["realized_pnl"], 5))
print(
"Profit Factor : %s" %
round(self.portfolio.total_profit / self.portfolio.total_loss, 5))
def assertResult(self, count, pnl, pfac):
self.assertEqual(count, self.portfolio.order_count)
self.assertEqual(pnl, round(self.status["realized_pnl"], 5))
self.assertEqual(
pfac,
round(self.portfolio.total_profit / self.portfolio.total_loss, 5))
def test_sma(self):
self.event_src.file_path = \
"../data/EURUSD_Candlestick_15_s_BID_16.07.2015-16.07.2015.csv"
self.event_src.stream_to_queue()
strategy = SMA(self.status)
strategy.mean_period_short = 20
strategy.mean_period_long = 40
self.manager.strategy = strategy
self.simulate()
self.assertResult(103, 19.3, 1.14339)
def test_sma2(self):
self.event_src.file_path = \
"../data/EURUSD_Candlestick_15_s_BID_16.07.2015-16.07.2015.csv"
self.event_src.stream_to_queue()
strategy = SMA(self.status)
strategy.mean_period_short = 40
strategy.mean_period_long = 80
self.manager.strategy = strategy
self.simulate()
self.assertResult(59, 58.6, 1.98157)
def test_sma3(self):
self.event_src.file_path = \
"../data/EURUSD_Candlestick_15_s_BID_16.07.2015-16.07.2015.csv"
self.event_src.stream_to_queue()
strategy = SMA(self.status)
strategy.mean_period_short = 20
strategy.mean_period_long = 80
self.manager.strategy = strategy
self.simulate()
self.assertResult(59, -14.2, 0.85899)
def test_sma4(self):
self.event_src.file_path = \
"../data/EURUSD_Candlestick_15_s_BID_16.07.2015-16.07.2015.csv"
self.event_src.stream_to_queue()
strategy = SMA(self.status)
strategy.mean_period_short = 40
strategy.mean_period_long = 120
self.manager.strategy = strategy
self.simulate()
self.assertResult(27, 35, 1.07973)
def test_sma5(self):
self.event_src.file_path = \
"../data/EURUSD_Candlestick_15_s_BID_16.07.2015-16.07.2015.csv"
self.event_src.stream_to_queue()
strategy = SMA(self.status)
strategy.mean_period_short = 30
strategy.mean_period_long = 60
self.manager.strategy = strategy
self.simulate()
self.assertResult(67, 11.4, 1.13029)
class TestHelloUnitTest(unittest.TestCase):
def setUp(self):
self.events = queue.Queue()
self.status = dict()
self.portfolio = PortfolioLocal(self.status)
self.execution = SimulatedExecutionHandler(self.status)
self.manager = Manager(self.status, self.events,
self.execution, self.portfolio, None)
self.event_src = DukascopyCSVPriceHandler("EUR_USD", self.events)
def simulate(self):
while not self.events.empty():
self.manager.perform_trade(self.events.get(False))
print("Total Order Count: %s" % self.portfolio.order_count)
print("Realized P&L : %s" % round(self.status["realized_pnl"], 5))
print("Profit Factor : %s" % round(
self.portfolio.total_profit/self.portfolio.total_loss, 5))
def assertResult(self, count, pnl, pfac):
self.assertEqual(count, self.portfolio.order_count)
self.assertEqual(pnl, round(self.status["realized_pnl"], 5))
self.assertEqual(pfac, round(
self.portfolio.total_profit/self.portfolio.total_loss, 5))
def test_sma(self):
self.event_src.file_path = \
"../data/EURUSD_Candlestick_15_s_BID_16.07.2015-16.07.2015.csv"
self.event_src.stream_to_queue()
strategy = SMA(self.status)
strategy.mean_period_short = 20
strategy.mean_period_long = 40
self.manager.strategy = strategy
self.simulate()
self.assertResult(103, 19.3, 1.14339)
def test_sma2(self):
self.event_src.file_path = \
"../data/EURUSD_Candlestick_15_s_BID_16.07.2015-16.07.2015.csv"
self.event_src.stream_to_queue()
strategy = SMA(self.status)
strategy.mean_period_short = 40
strategy.mean_period_long = 80
self.manager.strategy = strategy
self.simulate()
self.assertResult(59, 58.6, 1.98157)
def test_sma3(self):
self.event_src.file_path = \
"../data/EURUSD_Candlestick_15_s_BID_16.07.2015-16.07.2015.csv"
self.event_src.stream_to_queue()
strategy = SMA(self.status)
strategy.mean_period_short = 20
strategy.mean_period_long = 80
self.manager.strategy = strategy
self.simulate()
self.assertResult(59, -14.2, 0.85899)
def test_sma4(self):
self.event_src.file_path = \
"../data/EURUSD_Candlestick_15_s_BID_16.07.2015-16.07.2015.csv"
self.event_src.stream_to_queue()
strategy = SMA(self.status)
strategy.mean_period_short = 40
strategy.mean_period_long = 120
self.manager.strategy = strategy
self.simulate()
self.assertResult(27, 35, 1.07973)
def test_sma5(self):
self.event_src.file_path = \
"../data/EURUSD_Candlestick_15_s_BID_16.07.2015-16.07.2015.csv"
self.event_src.stream_to_queue()
strategy = SMA(self.status)
strategy.mean_period_short = 30
strategy.mean_period_long = 60
self.manager.strategy = strategy
self.simulate()
self.assertResult(67, 11.4, 1.13029)
# strategy = SMABOL(status)
# strategy = SMARSIOLS(status)
# strategy = WMA(status)
# strategy = SMAOLS(status)
# strategy = SMA(status)
# strategy = RSI(status)
# strategy = SMARSI(status)
# strategy = Granville(status)
# strategy = Momentum(status)
# strategy = BolingerBand(status)
manager = Manager(status, events, execution,
portfolio, strategy, timeseries)
print("=== Backtesting Start =================================== ")
# event_src = MetatraderCSVPriceHandler("EUR_USD", events)
event_src = DukascopyCSVPriceHandler("EUR_USD", events,
# "data/EURUSD_Ticks_24.07.2015-3H.csv")
"data/EURUSD_Ticks_28.07.2015-3H-2.csv")
# "data/EURUSD_Ticks_29.07.2015-4H.csv")
event_src.stream_to_queue()
simulating(events, manager)
print("=== End .... v(^_^)v =================================== ")
show_result()
plot_data()
