#!/usr/bin/env python
'''
Created on Apr 26, 2013
@author: rtw
'''
import sys
from hedgeit.common.logger import getLogger
import getopt
from datetime import datetime
import json
from hedgeit.control.controller import Controller
from hedgeit.feeds.db import InstrumentDb
Log = getLogger(__name__)
def usage():
print '''
usage: backtest.py <manifest> <sector-map> <feedStart> <tradeStart> <tradeEnd>
Options:
-h : show usage
-c <number> : set the starting (per sector) equity (default = 1000000)
-p <parms> : model parameters. Formatted as comma separated list of
key=value pairs. ex.
atrPeriod=100,period=7
-t <model> : model type ('breakout', 'macross', 'rsireversal',
'split7s', 'connorsrsi', default = 'breakout')
-g : no compounding of equity
--tssb <name>: write out two files for tssb consumption - <name>_long.csv
and <name>_short.csv containing long and short trades
'''
hedgeit.feeds.instrument
Contains:
class InstrumentDb
'''
import csv
from instrument import Instrument
from hedgeit.common.logger import getLogger
from hedgeit.common.singleton import Singleton
import os
logger = getLogger("feeds.db")
@Singleton
class InstrumentDb(object):
def __init__(self):
'''
Constructor.
'''
self._db = {}
def load(self, manifest):
'''
Loads the instrument Database using a manifest file.
:param str manifest: file containing the list of instruments to load
File Format:
The file must be a .CSV file containing a header row with at least the
Contains:
class MultiSymFuturesBaseStrategy
'''
from hedgeit.feeds.db import InstrumentDb
from hedgeit.strategy.strategy import Strategy
from hedgeit.broker.brokers import BacktestingFuturesBroker
from hedgeit.feeds.indicators.atr import ATR
from hedgeit.common.logger import getLogger
from hedgeit.broker.commissions import FuturesCommission
from hedgeit.broker.orders import Order
import numpy
import datetime
logger = getLogger("strategy.msymfut")
class MultiSymFuturesBaseStrategy(Strategy):
def __init__(self, barFeed, symbols = None, broker = None, cash = 1000000,\
compounding = True, parms = None):
self._parms = self.defaultParms()
if parms:
self._parms.update(parms)
if broker is None:
broker = BacktestingFuturesBroker(
cash, barFeed, commission=FuturesCommission(2.50))
Strategy.__init__(self, barFeed, cash, broker)
if symbols is None:
self._symbols = barFeed.symbols()
"""
hedgeit.feeds.instrument
Contains:
class InstrumentDb
"""
import csv
from instrument import Instrument
from hedgeit.common.logger import getLogger
from hedgeit.common.singleton import Singleton
import os
logger = getLogger("feeds.db")
@Singleton
class InstrumentDb(object):
def __init__(self):
"""
Constructor.
"""
self._db = {}
def load(self, manifest):
"""
Loads the instrument Database using a manifest file.
:param str manifest: file containing the list of instruments to load
File Format:
The file must be a .CSV file containing a header row with at least the
'''
hedgeit.strategy.countertrends
Contains:
class RSIReversalStrategy
class ConnorsRSIStrategy
class Split7sStrategy
'''
from msymfut import MultiSymFuturesBaseStrategy
from hedgeit.feeds.indicators import talibfunc
from hedgeit.feeds.indicators.cum import CUM
from hedgeit.common.logger import getLogger
logger = getLogger("strategy.macross")
class RSIReversalStrategy(MultiSymFuturesBaseStrategy):
def __init__(self, barFeed, symbols = None, broker = None, cash = 1000000,\
compounding = True, parms = None):
MultiSymFuturesBaseStrategy.__init__(self,
barFeed,
symbols=symbols,
broker=broker,
cash=cash,
compounding=compounding,
parms=parms)
self._lastRSI = {}
self._tripped = {}
def defaultParms(self):
class ClenowController
'''
from hedgeit.analyzer.istrategy import InstrumentedStrategy
from hedgeit.feeds.feed import Feed
from hedgeit.feeds.db import InstrumentDb
from hedgeit.feeds.multifeed import MultiFeed
from hedgeit.strategy.factory import StrategyFactory
from hedgeit.analyzer.drawdown import DrawDown
from hedgeit.broker.brokers import BacktestingFuturesBroker
from hedgeit.broker.commissions import FuturesCommission
from hedgeit.broker.orders import Order
from alert import Alert
import numpy
from hedgeit.common.logger import getLogger
logger = getLogger("broker.backtesting")
class Controller(object):
def __init__(self, sectorMap,
modelType=None, cash = 1000000, tradeStart=None, compounding = True,
positionsFile=None, equityFile=None, returnsFile=None, summaryFile=None,
parms = None
):
self._runGroups = {}
self._startingCash = cash
self._db = InstrumentDb.Instance()
self._feed = MultiFeed()
self._broker = BacktestingFuturesBroker(cash, self._feed, commission=FuturesCommission(2.50))
show = True
'''
hedgeit.feeds.instrument
Contains:
class Instrument
'''
import csv
from csvparser import PremiumDataParser
from hedgeit.common.logger import getLogger
import os
logger = getLogger("hedgeit.feeds")
class Instrument(object):
'''
Instrument associates a symbol with bar data for a tradable instrument.
At present time, Instrument is hard-coded to support the PremiumData
feed format input via .csv file. In the future Instrument may become
an abstract base class to support different historical and/or real-time
data feeds
'''
def __init__(self, symbol, datafile, pointValue=1, currency='USD', exchange='', \
initialMargin=0, maintMargin=0, sector='',description=''):
'''
Constructor
:param str symbol: symbol name
:param str datafile: csv file containing historical bar data
:param number pointValue: multiplier for one unit of movement in price quote
import traceback
import getopt
import os
import shutil
import sys
import time
from hedgeit.common.sendmail import sendmail
from tssbutil.runtssb import get_process_list,run_tssb,kill_tssb
from hedgeit.control.controller import Controller
from hedgeit.feeds.db import InstrumentDb
import json
from hedgeit.common.logger import getLogger
from tssbutil.pdb import DbParser
from tssbutil.paudit import AuditParser
Log = getLogger(__name__)
class UpdateMain(object):
def __init__(self):
self._tradeappdir = 'c:/Trading Applications'
self._dataconvdir = 'c:/Program Files (x86)/Premium Data Converter'
# we know this script is in hedgeit/bin. We need to create the
# path to hedgeit/data for the data update
self._bindir = os.path.dirname(os.path.abspath(__file__))
self._basedir = os.path.split(self._bindir)[0]
self._datadir = os.path.join(self._basedir,'data')
self._alerts = []
self._exitOrders = []
def main(self,argv=None):
Contains:
class MultiSymFuturesBaseStrategy
'''
from hedgeit.feeds.db import InstrumentDb
from hedgeit.strategy.strategy import Strategy
from hedgeit.broker.brokers import BacktestingFuturesBroker
from hedgeit.feeds.indicators.atr import ATR
from hedgeit.common.logger import getLogger
from hedgeit.broker.commissions import FuturesCommission
from hedgeit.broker.orders import Order
import numpy
import datetime
logger = getLogger("strategy.msymfut")
class MultiSymFuturesBaseStrategy(Strategy):
def __init__(self, barFeed, symbols = None, broker = None, cash = 1000000,\
compounding = True, parms = None):
self._parms = self.defaultParms()
if parms:
self._parms.update(parms)
if broker is None:
broker = BacktestingFuturesBroker(cash, barFeed, commission=FuturesCommission(2.50))
Strategy.__init__(self, barFeed, cash, broker)
if symbols is None:
self._symbols = barFeed.symbols()
else:
self._symbols = symbols
# distributed under the License is distributed on an "AS IS" BASIS,
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
# See the License for the specific language governing permissions and
# limitations under the License.
######################################################################
## Broker
import broker
from commissions import *
from fillstrategy import *
import orders
from hedgeit.common.logger import getLogger
from hedgeit.feeds.db import InstrumentDb
import copy
logger = getLogger("broker.backtesting")
######################################################################
## These are backtest-specific orders derived from the base classes
## in the orders module.
class BacktestingOrder:
def __init__(self):
pass
def checkCanceled(self, broker, bars):
# This check is only for accepted orders that are not GTC.
if self.getGoodTillCanceled() or not self.isAccepted():
return
# TODO - for now every bar is a session close since we are only
'''
hedgeit.feeds.instrument
Contains:
class Instrument
'''
import csv
from csvparser import PremiumDataParser
from hedgeit.common.logger import getLogger
import os
logger = getLogger("hedgeit.feeds")
class Instrument(object):
'''
Instrument associates a symbol with bar data for a tradable instrument.
At present time, Instrument is hard-coded to support the PremiumData
feed format input via .csv file. In the future Instrument may become
an abstract base class to support different historical and/or real-time
data feeds
'''
def __init__(self, symbol, datafile, pointValue=1, currency='USD', exchange='', \
initialMargin=0, maintMargin=0, sector='',description=''):
'''
Constructor
:param str symbol: symbol name
:param str datafile: csv file containing historical bar data
:param number pointValue: multiplier for one unit of movement in price quote
:param str currency: currency that the instrument is settled in
'''
hedgeit.strategy.countertrends
Contains:
class RSIReversalStrategy
class ConnorsRSIStrategy
class Split7sStrategy
'''
from msymfut import MultiSymFuturesBaseStrategy
from hedgeit.feeds.indicators import talibfunc
from hedgeit.feeds.indicators.cum import CUM
from hedgeit.common.logger import getLogger
logger = getLogger("strategy.macross")
class RSIReversalStrategy(MultiSymFuturesBaseStrategy):
def __init__(self, barFeed, symbols = None, broker = None, cash = 1000000,\
compounding = True, parms = None):
MultiSymFuturesBaseStrategy.__init__(self,
barFeed,
symbols = symbols,
broker = broker,
cash = cash,
compounding = compounding,
parms = parms
)
self._lastRSI = {}
self._tripped = {}
def defaultParms(self):
