def backtest(strategy, underlying, strategy_name, risk_capital, quantity, start, end, parameters, frequency_string="m"):
if util.printalot:
print('strategy_name: ' + str(strategy_name))
if util.printalot:
print('risk_capital: ' + str(risk_capital))
if util.printalot:
print('underlying: ' + str(underlying))
if util.printalot:
print('start: ' + str(start))
if util.printalot:
print('end: ' + str(end))
if util.printalot:
print()
# prepare
if util.printalot:
print('number of combinations: ' + str(len(list(dict_product(parameters)))))
for permutation in dict_product(parameters):
print(util.derive_strategy_code(permutation, parameters))
permutations = dict_product(parameters)
# create directories
path = os.getcwd()
util.make_dir(path + '/results')
strategy_path = path + '/results/' + strategy_name
util.make_dir(strategy_path)
try:
shutil.rmtree(strategy_path + '/daily_pnls')
except Exception as e:
print(e)
util.make_dir(strategy_path + '/daily_pnls')
run_strategies(permutations, strategy_name, parameters, strategy_path, frequency_string,
underlying, start, end, strategy, risk_capital, quantity)
def run_strategies(permutations,
strategy_name,
parameters,
strategy_path,
frequency_string,
underlying,
start,
end,
strategy,
risk_capital,
quantity,
include_underlying=False):
trade_log = {}
i = 0
for permutation in permutations:
running = True
for k, v in permutation.items():
if util.printalot: print(k, v)
if (strategy_name == 'bf70' or strategy_name
== 'bf70_plus') and (permutation['cheap_entry'] == None) and (
permutation['down_day_entry']
== False) and (permutation['patient_entry'] == True):
if util.printalot: print('continue')
continue
strategy_code = util.derive_strategy_code(permutation, parameters)
print(strategy_code)
# make dir for permutation
strategy_code_path = strategy_path + '/daily_pnls/' + strategy_code + "/"
make_dir(strategy_code_path)
single_entries = None
# get entries, measure time
starttime = time.time()
if frequency_string == 'c':
single_entries = {}
if frequency_string == 'b':
single_entries = entries.getDailyEntries(underlying, start, end,
permutation['dte_entry'])
if frequency_string == 'sms':
single_entries = entries.getSMSEntries(underlying, start, end,
permutation['dte_entry'])
if frequency_string == 'm':
single_entries = entries.getEntries(underlying, start, end,
permutation['dte_entry'])
if single_entries is None:
print("frequency string not known: " + frequency_string)
return False
print('time needed to get entries: ' +
format(float(time.time() - starttime), '.2f'))
# loop through entries
trade_nr = 0
index_nr = 0
next_date = None
while (running):
if next_date is None: next_date = start
entry = get_next_entry(index_nr, frequency_string, single_entries,
next_date, end, underlying,
permutation['dte_entry'])
if entry is not None:
entrydate = entry[0]
expiration = entry[1]
if entrydate >= (datetime.now().date() - timedelta(days=7)):
break
if strategy_name.startswith('the_bull'):
permutation['dte_exit'] = 37
try:
next_entry = get_next_entry(index_nr + 1,
frequency_string,
single_entries, next_date,
end, underlying,
permutation['dte_entry'])
if next_entry is not None:
permutation['dte_exit'] = 66 - (next_entry[0] -
entrydate).days
except Exception as e:
print(e)
# run with parameters
strategy.setParameters(permutation)
if ((strategy_name.startswith('bf70')
and (frequency_string == 'c'))):
strategy.patient_days_before = 0
result = run_strategy.fly(strategy, underlying, risk_capital,
quantity, entrydate, expiration)
if (not result is None):
trade_nr += 1
i += 1
# save dailypnls
file_name = strategy_code_path + str(i) + '.csv'
result['dailypnls'].to_csv(file_name)
del result['dailypnls']
trade_log[i] = dict(
{
'trade nr.': trade_nr,
'strategy_code': strategy_code
}, **result)
print(trade_log[i])
next_date = (result["exit_date"]) + timedelta(days=1)
else:
next_date = next_date + timedelta(days=1)
index_nr += 1
else:
running = False
if (include_underlying):
# create results file for underlying
underlying_daily_pnls_dict = {}
underlying_date = start
underlying_multiplier = None
underlying_at_entry = None
entry_vix = None
previouspnl = 0
while (underlying_date <= end):
while ((xnys.is_session(pd.Timestamp(underlying_date, tz=pytz.UTC))
is False) or (util.connector.query_midprice_underlying(
underlying, underlying_date) is None)):
underlying_date = underlying_date + timedelta(days=1)
if (underlying_date >= end) or (underlying_date >=
datetime.now().date()):
break
underlying_midprice = util.connector.query_midprice_underlying(
underlying, underlying_date)
if underlying_midprice != 0:
if underlying_multiplier is None:
underlying_start_date = underlying_date
underlying_at_entry = underlying_midprice
underlying_multiplier = (risk_capital /
underlying_midprice)
entry_vix = util.connector.query_midprice_underlying(
"^VIX", underlying_date)
current_pnl = (underlying_multiplier *
underlying_midprice) - risk_capital
if current_pnl != None:
underlying_daily_pnls_dict[underlying_date] = format(
float(current_pnl - previouspnl), '.2f')
previouspnl = current_pnl
underlying_date = underlying_date + timedelta(days=1)
underlying_daily_pnls = pd.DataFrame.from_dict(
underlying_daily_pnls_dict, orient='index')
underlying_daily_pnls = underlying_daily_pnls.reindex(
underlying_daily_pnls.index.rename('date'))
underlying_daily_pnls.index = pd.to_datetime(
underlying_daily_pnls.index)
underlying_daily_pnls.sort_index(inplace=True)
underlying_daily_pnls.columns = ['pnl']
underlying_strategy_code_path = strategy_path + '/daily_pnls/' + str(
underlying.replace("^", "")) + "/"
make_dir(underlying_strategy_code_path)
underlying_file_name = underlying_strategy_code_path + 'underlying.csv'
underlying_daily_pnls.to_csv(underlying_file_name)
# save underlying to trade_log
trade_log[i + 1] = dict({
'trade nr.':
trade_nr + 1,
'strategy_code':
str(underlying.replace("^", "")),
'entry_date':
underlying_start_date,
'expiration':
None,
'exit_date':
underlying_date,
'entry_underlying':
str(format(float(underlying_at_entry), '.2f')),
'entry_vix':
entry_vix,
'strikes':
None,
'iv_legs':
None,
'entry_price':
str(format(float(risk_capital), '.2f')),
'dte':
0,
'dit': (end - start).days,
'pnl':
str(format(float(current_pnl), '.2f')),
'dailypnls':
None,
'max_risk':
str(format(float(risk_capital), '.2f')),
'position_size':
underlying_multiplier,
'percentage':
str(
format(
float(round((float(current_pnl) / risk_capital) * 100, 2)),
'.2f')) + '%',
'exit':
None
})
# finished looping, save trade_log
df_log = pd.DataFrame.from_dict(trade_log, orient='index')
df_log.to_csv(strategy_path + '/single_results.csv')
def run_strategies(permutations, strategy_name, parameters, strategy_path,
frequency_string, underlying, start, end, strategy,
risk_capital, quantity):
trade_log = {}
i = 0
for permutation in permutations:
running = True
for k, v in permutation.items():
if util.printalot:
print(k, v)
if (strategy_name == 'bf70' or strategy_name
== 'bf70_plus') and (permutation['cheap_entry'] == None) and (
permutation['down_day_entry']
== False) and (permutation['patient_entry'] == True):
if util.printalot:
print('continue')
continue
strategy_code = util.derive_strategy_code(permutation, parameters)
print(strategy_code)
# make dir for permutation
strategy_code_path = strategy_path + '/daily_pnls/' + strategy_code + "/"
util.make_dir(strategy_code_path)
single_entries = None
# get entries, measure time
starttime = time.time()
if frequency_string == 'c':
single_entries = {}
if frequency_string == 'b':
single_entries = entries.getDailyEntries(underlying, start, end,
permutation['dte_entry'])
if frequency_string == 'sms':
single_entries = entries.getSMSEntries(underlying, start, end,
permutation['dte_entry'])
if frequency_string == 'm':
single_entries = entries.getEntries(underlying, start, end,
permutation['dte_entry'])
if single_entries is None:
print("frequency string not known: " + frequency_string)
return False
print('time needed to get entries: ' +
format(float(time.time() - starttime), '.2f'))
# loop through entries
trade_nr = 0
index_nr = 0
next_date = None
while (running):
if next_date is None:
next_date = start
entry = get_next_entry(index_nr, frequency_string, single_entries,
next_date, end, underlying,
permutation['dte_entry'])
if entry is not None:
entrydate = entry[0]
expiration = entry[1]
if entrydate >= (datetime.now().date() - timedelta(days=7)):
break
if strategy_name.startswith('the_bull'):
permutation['dte_exit'] = 37
try:
next_entry = get_next_entry(index_nr + 1,
frequency_string,
single_entries, next_date,
end, underlying,
permutation['dte_entry'])
if next_entry is not None:
permutation['dte_exit'] = 66 - (next_entry[0] -
entrydate).days
except Exception as e:
print(e)
# run with parameters
strategy.setParameters(permutation)
if ((strategy_name.startswith('bf70')
and (frequency_string == 'c'))):
strategy.patient_days_before = 0
result = run_strategy.fly(strategy, underlying, risk_capital,
quantity, entrydate, expiration)
if (not result is None):
trade_nr += 1
i += 1
# save dailypnls
file_name = strategy_code_path + str(i) + '.csv'
result['dailypnls'].to_csv(file_name)
del result['dailypnls']
trade_log[i] = dict(
{
'trade nr.': trade_nr,
'strategy_code': strategy_code
}, **result)
print(trade_log[i])
next_date = (result["exit_date"]) + timedelta(days=1)
else:
next_date = next_date + timedelta(days=1)
index_nr += 1
else:
running = False
# finished looping, save trade_log
df_log = pd.DataFrame.from_dict(trade_log, orient='index')
df_log.to_csv(strategy_path + '/single_results.csv')