def __init__(self,
instrument,
dataSeries,
fastEMA,
slowEMA,
signalEMA,
maxLen=None):
assert (fastEMA > 0)
assert (slowEMA > 0)
assert (fastEMA < slowEMA)
assert (signalEMA > 0)
super(Macd, self).__init__(maxLen)
self.__instrument = instrument
self.__skipNum = max(fastEMA, slowEMA, signalEMA)
self.__fastEMAWindow = EMAEventWindow(fastEMA)
self.__slowEMAWindow = EMAEventWindow(slowEMA)
self.__signalEMAWindow = EMAEventWindow(signalEMA)
self.__signal = SequenceDataSeries(maxLen) #dea
self.__histogram = SequenceDataSeries(maxLen) #macd
self.__cross = SequenceDataSeries(
maxLen) #dead cross signals and gold cross signals
self.__close_prices = dataSeries.getPriceDataSeries()
self.top_divergences = list()
self.double_top_divergences = list()
self.bottom_divergences = list()
self.double_bottom_divergences = list()
self.cross_detect = CrossDetect()
self.max_limit_detect = MaxLimitDetect
self.min_limit_detect = MinLimitDetect
self.top_divergence_detect = TopDivergenceDetect()
self.bottom_divergence_detect = BottomDivergenceDetect()
self.__close_prices.getNewValueEvent().subscribe(self.__onNewValue)
def __init__(self, feed, instrument, n, initialCash=1000000):
strategy.BacktestingStrategy.__init__(self, feed, initialCash)
self.__instrument = instrument
self.getBroker().setFillStrategy(DefaultStrategy(None))
self.getBroker().setCommission(TradePercentage(0.001))
self.__position = None
self.__prices = feed[instrument].getPriceDataSeries()
self.__malength = int(n)
self.__ma = ma.SMA(self.__prices, self.__malength)
self.__pos = SequenceDataSeries() # record signal
def __init__(self, feed, instrument, mall, mals, masl, mass):
strategy.BacktestingStrategy.__init__(self, feed)
self.getBroker().setFillStrategy(DefaultStrategy(None))
self.getBroker().setCommission(TradePercentage(0.001))
self.__instrument = instrument
self.__close = feed[instrument].getCloseDataSeries()
self.__longPos = None
self.__shortPos = None
self.__mall = ma.SMA(self.__close, int(mall))
self.__mals = ma.SMA(self.__close, int(mals))
self.__masl = ma.SMA(self.__close, int(masl))
self.__mass = ma.SMA(self.__close, int(mass))
self.__position = SequenceDataSeries()
def __init__(self,
feed=None,
instrument='',
shortPeriod=0,
longPeriod=0,
money=None,
longAllowed=True,
shortAllowed=True):
strategy.BacktestingStrategy.__init__(self, feed)
self.position_cost = 0 #mid init position value
mid_DEFAULT_MAX_LEN = 10 * DEFAULT_MAX_LEN
self.__instrument = instrument
self.__longPosition = None
self.__shortPosition = None
self.__position_volume = SequenceDataSeries(
maxLen=mid_DEFAULT_MAX_LEN) #mid 当前持有头寸数量
self.__position_cost = SequenceDataSeries(
maxLen=mid_DEFAULT_MAX_LEN) #mid 当前持有头寸开仓成本
self.__position_pnl = SequenceDataSeries(
maxLen=mid_DEFAULT_MAX_LEN) #mid 当前持有头寸价值
self.__portfolio_value = SequenceDataSeries(maxLen=mid_DEFAULT_MAX_LEN)
self.__buy = SequenceDataSeries(maxLen=mid_DEFAULT_MAX_LEN)
self.__sell = SequenceDataSeries(maxLen=mid_DEFAULT_MAX_LEN)
self.__buySignal = False
self.__sellSignal = False
self.money = money
self.longAllowed = True
self.shortAllowed = True
#mid 计算ma将使用当天的收盘价格计算
#mid 1)
dataSeries = feed[instrument]
dataSeries.setMaxLen(mid_DEFAULT_MAX_LEN)
closeSeries = dataSeries.getOpenDataSeries()
#mid 2)
prices = closeSeries
prices.setMaxLen(mid_DEFAULT_MAX_LEN)
#mid 3)
self.__sma = ma.SMA(prices, shortPeriod, maxLen=mid_DEFAULT_MAX_LEN)
self.__lma = ma.SMA(prices, longPeriod, maxLen=mid_DEFAULT_MAX_LEN)
self.i = 0
def initEa(self, timeFrom=None, timeTo=None):
feeds = self.getFeeds(timeFrom=timeFrom, timeTo=timeTo)
instrument = self.instrument
strategy.BacktestingStrategy.__init__(self, feeds[instrument])
self.mid_DEFAULT_MAX_LEN = 10 * DEFAULT_MAX_LEN
mid_DEFAULT_MAX_LEN = self.mid_DEFAULT_MAX_LEN
#mid 计算ma将使用当天的收盘价格计算
#mid 1)
feed = feeds[instrument]
dataSeries = feed[instrument]
dataSeries.setMaxLen(mid_DEFAULT_MAX_LEN)
closeSeries = dataSeries.getCloseDataSeries()
#mid 2)
prices = closeSeries
prices.setMaxLen(mid_DEFAULT_MAX_LEN)
self.closePrices = prices
#mid follow vars will be used in subclass
self.timeFrom = timeFrom
self.timeTo = timeTo
self.instrument = instrument
self.longPosition = None
self.shortPosition = None
self.buySignal = False
self.sellSignal = False
#mid follow vars will be used only this class
self.__curPositionCost = 0 #mid init position value
mid_DEFAULT_MAX_LEN = self.mid_DEFAULT_MAX_LEN
self.__position_volume = SequenceDataSeries(
maxLen=mid_DEFAULT_MAX_LEN) #mid 当前持有头寸数量
self.__position_cost = SequenceDataSeries(
maxLen=mid_DEFAULT_MAX_LEN) #mid 当前持有头寸开仓成本
self.__position_pnl = SequenceDataSeries(
maxLen=mid_DEFAULT_MAX_LEN) #mid 当前持有头寸价值
self.__portfolio_value = SequenceDataSeries(maxLen=mid_DEFAULT_MAX_LEN)
self.__buy = SequenceDataSeries(maxLen=mid_DEFAULT_MAX_LEN)
self.__sell = SequenceDataSeries(maxLen=mid_DEFAULT_MAX_LEN)
def metric_goquant_to_backtest(metric_data_series):
ret = SequenceDataSeries()
for i, v in metric_data_series.items():
ret.appendWithDateTime(i, v)
return ret
def __init_pivot_levels(levels, maxLen=None):
return {l: SequenceDataSeries(maxLen) for l in levels}
def __init__(self, feed, instrument, bollingerlength, numStdDev,
closelength, ccMAlength, malength, space):
strategy.BacktestingStrategy.__init__(self, feed)
self.getBroker().setFillStrategy(DefaultStrategy(None))
self.getBroker().setCommission(TradePercentage(0.002))
self.__instrument = instrument
self.__bollingerlength = int(bollingerlength)
numStdDev = float(numStdDev) / 10
self.__closelength = int(closelength)
self.__ccMAlength = int(ccMAlength)
self.__malength = int(malength)
self.__longPos = None
self.__shortPos = None
self.__close = feed[instrument].getCloseDataSeries()
self.__open = feed[instrument].getOpenDataSeries()
self.__high = feed[instrument].getHighDataSeries()
self.__low = feed[instrument].getLowDataSeries()
self.__datetime = feed[instrument].getDateTimes()
self.__bollinger = bollinger.BollingerBands(self.__close,
self.__bollingerlength,
int(numStdDev))
self.__UpperBand = self.__bollinger.getUpperBand()
self.__LowerBand = self.__bollinger.getLowerBand()
self.__MA = SequenceDataSeries()
self.__space = int(space)
self.__enter = 0
self.__enterLong1 = 0
self.__enterLong2 = 0
self.__enterShort1 = 0
self.__enterShort2 = 0
self.__exitLong1 = 0
self.__exitLong2 = 0
self.__exitShort1 = 0
self.__exitShort1 = 0
#for test
#########################################################################
self.__p = SequenceDataSeries()
self.__filterCon = SequenceDataSeries()
self.__ccMACon1 = SequenceDataSeries()
self.__ccMACon2 = SequenceDataSeries()
self.__enterCon = SequenceDataSeries()
self.__enterLongCon1 = SequenceDataSeries()
self.__enterLongCon2 = SequenceDataSeries()
self.__enterShortCon1 = SequenceDataSeries()
self.__enterShortCon2 = SequenceDataSeries()
self.__exitLongCon1 = SequenceDataSeries()
self.__exitLongCon2 = SequenceDataSeries()
self.__exitShortCon1 = SequenceDataSeries()
self.__exitShortCon2 = SequenceDataSeries()
def initEa(self, timeFrom=None, timeTo=None):
self.results = {}
feed = self.getFeedNew(timeFrom=timeFrom, timeTo=timeTo)
self.mid_DEFAULT_MAX_LEN = 10 * DEFAULT_MAX_LEN
mid_DEFAULT_MAX_LEN = self.mid_DEFAULT_MAX_LEN
#mid set init cash
cash_or_brk = 1000000
volumeLimit = 0.5 #mid used to calculate available volume for an order: availableVolume = volumeLeft * volumeLimit
#mid set fillstrategy
fillStrategy = fillstrategy.DefaultStrategy(volumeLimit=volumeLimit)
broker = backtesting.Broker(cash_or_brk, feed)
broker.setFillStrategy(fillStrategy)
#mid init base
strategy.BacktestingStrategy.__init__(self, feed, broker)
#mid 计算ma将使用当天的收盘价格计算
#mid 1)
self.closePrices = {}
self.longPosition = {}
self.shortPosition = {}
self.buySignal = {}
self.sellSignal = {}
self.timeFrom = timeFrom
self.timeTo = timeTo
#mid follow vars will be used only this class
self.__portfolio_value = SequenceDataSeries(
maxLen=mid_DEFAULT_MAX_LEN) #mid 记录资产组合(cash + 各个持仓证券的价值和)的合计价值变化
self.__available_cash = SequenceDataSeries(
maxLen=mid_DEFAULT_MAX_LEN) #mid 记录资产组合的现金变化
self.__long_exitBar_pnl = {} #mid 多头平仓bar产生的pnl
self.__long_position_volume = {} #mid 当前多头数量
self.__long_position_cost = {} #mid 当前持有多头开仓成本
self.__long_position_currentBar_pnl = {} #mid 当前持有多头当前bar产生的pnl
self.__long_position_pnl = {} #mid 当前多头累计产生的pnl
self.__short_exitBar_pnl = {}
self.__short_position_volume = {} #mid 当前持有头寸数量
self.__short_position_cost = {} #mid 当前持有头寸开仓成本
self.__short_position_currentBar_pnl = {} #mid 当前持有头寸价值
self.__short_position_pnl = {}
self.__position_cumulativePNL = {
} #mid 当前 symbol 持有头寸cumulative pnl 价值(包括该symbol多头和空头的所有开仓平仓产生的pnl)
self.__buy = {}
self.__sell = {}
for instrument in self.instruments:
dataSeries = feed[instrument]
dataSeries.setMaxLen(mid_DEFAULT_MAX_LEN)
closeSeries = dataSeries.getCloseDataSeries()
#mid 2)
prices = closeSeries
prices.setMaxLen(mid_DEFAULT_MAX_LEN)
#mid follow vars will be used in subclass
self.closePrices[instrument] = prices
self.longPosition[instrument] = None
self.shortPosition[instrument] = None
self.buySignal[instrument] = False
self.sellSignal[instrument] = False
#mid follow vars will be used only this class
self.__long_exitBar_pnl[instrument] = None
self.__short_exitBar_pnl[instrument] = None
self.__long_position_volume[instrument] = SequenceDataSeries(
maxLen=mid_DEFAULT_MAX_LEN) #mid 当前持有头寸数量
self.__short_position_volume[instrument] = SequenceDataSeries(
maxLen=mid_DEFAULT_MAX_LEN) #mid 当前持有头寸数量
self.__long_position_cost[instrument] = SequenceDataSeries(
maxLen=mid_DEFAULT_MAX_LEN) #mid 当前持有头寸开仓成本
self.__short_position_cost[instrument] = SequenceDataSeries(
maxLen=mid_DEFAULT_MAX_LEN) #mid 当前持有头寸开仓成本
self.__long_position_currentBar_pnl[
instrument] = SequenceDataSeries(
maxLen=mid_DEFAULT_MAX_LEN) #mid 当前持有头寸价值
self.__short_position_currentBar_pnl[
instrument] = SequenceDataSeries(
maxLen=mid_DEFAULT_MAX_LEN) #mid 当前持有头寸价值
self.__short_position_pnl[instrument] = SequenceDataSeries(
maxLen=mid_DEFAULT_MAX_LEN)
self.__long_position_pnl[instrument] = SequenceDataSeries(
maxLen=mid_DEFAULT_MAX_LEN)
self.__position_cumulativePNL[instrument] = SequenceDataSeries(
maxLen=mid_DEFAULT_MAX_LEN)
self.__buy[instrument] = SequenceDataSeries(
maxLen=mid_DEFAULT_MAX_LEN)
self.__sell[instrument] = SequenceDataSeries(
maxLen=mid_DEFAULT_MAX_LEN)
