def test_backtest_analyze():
ta = ana.AlphaAnalyzer()
dv = DataView()
dv.load_dataview(folder_path=dataview_dir_path)
ta.initialize(dataview=dv, file_folder=backtest_result_dir_path)
ta.do_analyze(result_dir=backtest_result_dir_path, selected_sec=list(ta.universe)[:3])
def analyze_backtest_results():
# Analyzer help us calculate various trade statistics according to trade results.
# All the calculation results will be stored as its members.
ta = ana.AlphaAnalyzer()
dv = DataView()
dv.load_dataview(folder_path=dataview_store_folder)
ta.initialize(dataview=dv, file_folder=backtest_result_folder)
ta.do_analyze(result_dir=backtest_result_folder,
selected_sec=list(ta.universe)[:3])
def test_backtest_analyze():
ta = ana.AlphaAnalyzer()
dv = DataView()
dv.load_dataview(folder_path=dataview_dir_path)
ta.initialize(dataview=dv, file_folder=backtest_result_dir_path)
print "process trades..."
ta.process_trades()
print "get daily stats..."
ta.get_daily()
print "calc strategy return..."
ta.get_returns(consider_commission=True)
# position change info is huge!
# print "get position change..."
# ta.get_pos_change_info()
selected_sec = list(ta.universe)[:2]
if len(selected_sec) > 0:
print "Plot single securities PnL"
for symbol in selected_sec:
df_daily = ta.daily.get(symbol, None)
if df_daily is not None:
ana.plot_trades(df_daily,
symbol=symbol,
save_folder=backtest_result_dir_path)
print "Plot strategy PnL..."
ta.plot_pnl(backtest_result_dir_path)
print "generate report..."
static_folder = jutil.join_relative_path("trade/analyze/static")
ta.gen_report(source_dir=static_folder,
template_fn='report_template.html',
out_folder=backtest_result_dir_path,
selected=selected_sec)
ta.brinson('sw1')
