def test():
xdf = tstool.get_cont_data('rb1701', datetime.date(2016,1,1), datetime.date(2016,8,19), freq = '30m', nearby = 0, rollrule = '-10b')
xdf['WPR'] = dh.WPR(xdf, 9)
xdf["SAR"] = dh.SAR(xdf, incr = 0.01, maxaf = 0.1)
xdf['RSI'] = dh.RSI(xdf, 14)
xdf['MA10'] = dh.MA(xdf, 10)
xdf['MA120'] = dh.MA(xdf, 120)
ind_fields = [['SAR'], \
['WPR', 'RSI'], \
['close', 'MA10', 'MA120']]
ind_levels = [[],\
[70, 30],\
[]]
plot_indicators(xdf, ind_fields, ind_levels)
def asctrend_sim(mdf, config):
offset = config['offset']
tcost = config['trans_cost']
bar_func = config.get('bar_conv_func', 'dh.bar_conv_func2')
param = config['param']
freq = config['freq']
close_daily = config['close_daily']
xdf = dh.conv_ohlc_freq(mdf,
freq,
extra_cols=['contract'],
bar_func=eval(bar_func))
wpr_period = param[0]
wpr_level = param[1]
rsi_sig = config['rsi_sig']
wpr_sig = config.get('wpr_sig', True)
wpr = dh.WPR(xdf, wpr_period)
wpr_buy = 50 + wpr_level
wpr_sell = 50 - wpr_level
wpr_signal = pd.Series(0, index=wpr.index)
if wpr_sig:
wpr_signal[dh.CROSSOVER(wpr, wpr_buy, 1)] = 1
wpr_signal[dh.CROSSOVER(wpr, wpr_sell, -1)] = -1
else:
wpr_signal[(wpr >= wpr_buy)] = 1
wpr_signal[(wpr <= wpr_sell)] = -1
xdf['wpr_signal'] = wpr_signal.shift(1).fillna(0)
rsi_period = param[2]
rsi_offset = param[3]
rsi_buy = 50 + rsi_offset
rsi_sell = 50 - rsi_offset
rsi = dh.RSI(xdf, n=rsi_period)
rsi_signal = pd.Series(0, index=rsi.index)
if rsi_sig:
rsi_signal[dh.CROSSOVER(rsi, rsi_buy, 1)] = 1
rsi_signal[dh.CROSSOVER(rsi, rsi_sell, -1)] = -1
else:
rsi_signal[(rsi >= rsi_buy)] = 1
rsi_signal[(rsi <= rsi_sell)] = -1
xdf['rsi_signal'] = rsi_signal.shift(1).fillna(0)
if len(param) > 4:
sar_step = param[4]
sar_max = param[5]
else:
sar_step = 0.005
sar_max = 0.02
sar = dh.SAR(xdf, incr=sar_step, maxaf=sar_max)
sar_signal = pd.Series(0, index=sar.index)
sar_signal[(sar < xdf['close'])] = 1
sar_signal[(sar > xdf['close'])] = -1
xdf['sar_signal'] = sar_signal.shift(1)
xdf['sar_stop'] = sar.shift(1)
xdf['close_ind'] = np.isnan(xdf['close'].shift(-1))
if close_daily:
daily_end = (xdf['date'] != xdf['date'].shift(-1))
xdf['close_ind'] = xdf['close_ind'] | daily_end
long_signal = pd.Series(np.nan, index=xdf.index)
short_signal = pd.Series(np.nan, index=xdf.index)
long_signal[(xdf['wpr_signal'] > 0) & (xdf['rsi_signal'] > 0) &
(xdf['sar_signal'] > 0)] = 1
long_signal[(xdf['wpr_signal'] < 0) | (xdf['rsi_signal'] < 0)] = 0
long_signal[xdf['close_ind']] = 0
long_signal = long_signal.fillna(method='ffill').fillna(0)
short_signal[(xdf['wpr_signal'] < 0) & (xdf['rsi_signal'] < 0) &
(xdf['sar_signal'] < 0)] = -1
short_signal[(xdf['wpr_signal'] > 0) | (xdf['rsi_signal'] > 0)] = 0
short_signal[xdf['close_ind']] = 0
short_signal = short_signal.fillna(method='ffill').fillna(0)
if len(xdf[(long_signal > 0) & (short_signal < 0)]) > 0:
print xdf[(long_signal > 0) & (short_signal < 0)]
print "something wrong with the position as long signal and short signal happen the same time"
xdf['pos'] = long_signal + short_signal
xdf['cost'] = abs(xdf['pos'] - xdf['pos'].shift(1)) * (offset +
xdf['open'] * tcost)
xdf['cost'] = xdf['cost'].fillna(0.0)
xdf['traded_price'] = xdf.open + (xdf['pos'] -
xdf['pos'].shift(1)) * offset
closed_trades = backtest.simdf_to_trades1(xdf, slippage=offset)
return (xdf, closed_trades)
def asctrend_sim(mdf, config):
offset = config['offset']
tcost = config['trans_cost']
unit = config['unit']
stoploss = config['stoploss']
bar_func = config.get('bar_conv_func', 'dh.bar_conv_func2')
param = config['param']
freq = config['freq']
pos_update = config.get('pos_update', False)
pos_class = config['pos_class']
pos_args = config['pos_args']
close_daily = config['close_daily']
xdf = dh.conv_ohlc_freq(mdf,
freq,
extra_cols=['contract'],
bar_func=eval(bar_func))
asc_period = param[0]
asc_risk = param[1]
rsi_sig = config['rsi_sig']
asctrend = dh.ASCTREND(xdf, asc_period, risk=asc_risk)
xdf['asc_signal'] = asctrend["ASCSIG_%s" % str(asc_period)].shift(1)
xdf['asc_stop'] = asctrend["ASCSTOP_%s" % str(asc_period)].shift(1)
rsi_period = param[2]
rsi_offset = param[3]
rsi_buy = 50 + rsi_offset
rsi_sell = 50 - rsi_offset
rsi = dh.RSI(xdf, n=rsi_period)
rsi_signal = pd.Series(0, index=rsi.index)
if rsi_sig:
rsi_signal[(rsi >= rsi_buy) & (rsi.shift(1) < rsi_buy)] = 1
rsi_signal[(rsi <= rsi_sell) & (rsi.shift(1) > rsi_sell)] = -1
else:
rsi_signal[(rsi >= rsi_buy)] = 1
rsi_signal[(rsi <= rsi_sell)] = -1
xdf['rsi_signal'] = rsi_signal.shift(1)
if len(param) > 4:
sar_step = param[4]
sar_max = param[5]
else:
sar_step = 0.005
sar_max = 0.02
sar = dh.SAR(xdf, incr=sar_step, maxaf=sar_max)
sar_signal = pd.Series(0, index=sar.index)
sar_signal[(sar < xdf['close'])] = 1
sar_signal[(sar > xdf['close'])] = -1
xdf['sar_signal'] = sar_signal.shift(1)
xdf['sar_stop'] = sar.shift(1)
xdf['close_ind'] = np.isnan(xdf['close'].shift(-1))
if close_daily:
daily_end = (xdf['date'] != xdf['date'].shift(-1))
xdf['close_ind'] = xdf['close_ind'] | daily_end
xdf['pos'] = 0
xdf['cost'] = 0
xdf['traded_price'] = xdf.open
curr_pos = []
closed_trades = []
tradeid = 0
for idx, dd in enumerate(xdf.index):
mslice = xdf.loc[dd]
if len(curr_pos) == 0:
pos = 0
else:
pos = curr_pos[0].pos
xdf.set_value(dd, 'pos', pos)
if np.isnan(mslice.sar_stop) or np.isnan(mslice.asc_stop):
continue
buy_trig = (mslice.asc_signal > 0) and (mslice.rsi_signal >
0) and (mslice.sar_signal > 0)
sell_trig = (mslice.asc_signal < 0) and (mslice.rsi_signal <
0) and (mslice.sar_signal < 0)
buy_close = (mslice.asc_signal < 0) or (mslice.rsi_signal < 0)
sell_close = (mslice.asc_signal > 0) or (mslice.rsi_signal > 0)
if mslice.close_ind:
if (pos != 0):
curr_pos[0].close(mslice.open - misc.sign(pos) * offset, dd)
tradeid += 1
curr_pos[0].exit_tradeid = tradeid
closed_trades.append(curr_pos[0])
curr_pos = []
xdf.set_value(
dd, 'cost',
xdf.at[dd, 'cost'] - abs(pos) * (mslice.open * tcost))
xdf.set_value(dd, 'traded_price',
mslice.open - misc.sign(pos) * offset)
pos = 0
else:
if pos_update and pos != 0:
curr_pos[0].update_price(mslice.asc_stop)
pos_close = curr_pos[0].check_exit(mslice.open, 0)
else:
pos_close = False
if (buy_close and (pos > 0)) or (sell_close and
(pos < 0)) or pos_close:
curr_pos[0].close(mslice.open - misc.sign(pos) * offset, dd)
tradeid += 1
curr_pos[0].exit_tradeid = tradeid
closed_trades.append(curr_pos[0])
curr_pos = []
xdf.set_value(
dd, 'cost',
xdf.at[dd, 'cost'] - abs(pos) * (mslice.open * tcost))
xdf.set_value(dd, 'traded_price',
mslice.open - misc.sign(pos) * offset)
pos = 0
if (buy_trig or sell_trig) and (pos == 0):
target_pos = buy_trig * unit - sell_trig * unit
new_pos = pos_class([mslice.contract], [1], target_pos,
mslice.open, mslice.asc_stop, **pos_args)
tradeid += 1
new_pos.entry_tradeid = tradeid
new_pos.open(mslice.open + misc.sign(target_pos) * offset, dd)
curr_pos.append(new_pos)
pos = target_pos
xdf.set_value(
dd, 'cost', xdf.at[dd, 'cost'] - abs(target_pos) *
(mslice.open * tcost))
xdf.set_value(dd, 'traded_price',
mslice.open + misc.sign(target_pos) * offset)
xdf.set_value(dd, 'pos', pos)
return (xdf, closed_trades)