def run(start_date: str,
finish_date: str,
candles: Dict[str, Dict[str, Union[str, np.ndarray]]] = None,
chart: bool = False,
tradingview: bool = False,
full_reports: bool = False,
csv: bool = False,
json: bool = False) -> None:
# clear the screen
if not jh.should_execute_silently():
click.clear()
# validate routes
validate_routes(router)
# initiate candle store
store.candles.init_storage(5000)
# load historical candles
if candles is None:
print('loading candles...')
candles = load_candles(start_date, finish_date)
click.clear()
if not jh.should_execute_silently():
# print candles table
key = '{}-{}'.format(config['app']['considering_candles'][0][0],
config['app']['considering_candles'][0][1])
table.key_value(stats.candles(candles[key]['candles']),
'candles',
alignments=('left', 'right'))
print('\n')
# print routes table
table.multi_value(stats.routes(router.routes))
print('\n')
# print guidance for debugging candles
if jh.is_debuggable('trading_candles') or jh.is_debuggable(
'shorter_period_candles'):
print(
' Symbol | timestamp | open | close | high | low | volume'
)
# run backtest simulation
simulator(candles)
if not jh.should_execute_silently():
# print trades metrics
if store.completed_trades.count > 0:
change = []
# calcualte market change
for e in router.routes:
if e.strategy is None:
return
first = Candle.select(Candle.close).where(
Candle.timestamp == jh.date_to_timestamp(start_date),
Candle.exchange == e.exchange,
Candle.symbol == e.symbol).first()
last = Candle.select(Candle.close).where(
Candle.timestamp == jh.date_to_timestamp(finish_date) -
60000, Candle.exchange == e.exchange,
Candle.symbol == e.symbol).first()
change.append(
((last.close - first.close) / first.close) * 100.0)
data = report.portfolio_metrics()
data.append(
['Market Change',
str(round(np.average(change), 2)) + "%"])
print('\n')
table.key_value(data, 'Metrics', alignments=('left', 'right'))
print('\n')
# save logs
store_logs(json, tradingview, csv)
if chart:
charts.portfolio_vs_asset_returns()
# QuantStats' report
if full_reports:
quantstats.quantstats_tearsheet()
else:
print(jh.color('No trades were made.', 'yellow'))
def run(start_date: str,
finish_date: str,
candles: Dict[str, Dict[str, Union[str, np.ndarray]]] = None,
chart: bool = False,
tradingview: bool = False,
full_reports: bool = False,
csv: bool = False,
json: bool = False) -> None:
# clear the screen
if not jh.should_execute_silently():
click.clear()
# validate routes
validate_routes(router)
# initiate candle store
store.candles.init_storage(5000)
# load historical candles
if candles is None:
print('loading candles...')
candles = load_candles(start_date, finish_date)
click.clear()
if not jh.should_execute_silently():
# print candles table
key = f"{config['app']['considering_candles'][0][0]}-{config['app']['considering_candles'][0][1]}"
table.key_value(stats.candles(candles[key]['candles']),
'candles',
alignments=('left', 'right'))
print('\n')
# print routes table
table.multi_value(stats.routes(router.routes))
print('\n')
# print guidance for debugging candles
if jh.is_debuggable('trading_candles') or jh.is_debuggable(
'shorter_period_candles'):
print(
' Symbol | timestamp | open | close | high | low | volume'
)
# run backtest simulation
simulator(candles)
if not jh.should_execute_silently():
# print trades metrics
if store.completed_trades.count > 0:
change = []
# calcualte market change
for e in router.routes:
if e.strategy is None:
return
first = Candle.select(Candle.close).where(
Candle.timestamp == jh.date_to_timestamp(start_date),
Candle.exchange == e.exchange,
Candle.symbol == e.symbol).first()
last = Candle.select(Candle.close).where(
Candle.timestamp == jh.date_to_timestamp(finish_date) -
60000, Candle.exchange == e.exchange,
Candle.symbol == e.symbol).first()
change.append(
((last.close - first.close) / first.close) * 100.0)
data = report.portfolio_metrics()
data.append(
['Market Change', f"{str(round(np.average(change), 2))}%"])
print('\n')
table.key_value(data, 'Metrics', alignments=('left', 'right'))
print('\n')
# save logs
more = ""
routes_count = len(router.routes)
if routes_count > 1:
more = f"-and-{routes_count-1}-more"
study_name = f"{router.routes[0].strategy_name}-{router.routes[0].exchange}-{router.routes[0].symbol}-{router.routes[0].timeframe}{more}-{start_date}-{finish_date}"
store_logs(study_name, json, tradingview, csv)
if chart:
charts.portfolio_vs_asset_returns(study_name)
# QuantStats' report
if full_reports:
price_data = []
# load close candles for Buy and hold and calculate pct_change
for index, c in enumerate(
config['app']['considering_candles']):
exchange, symbol = c[0], c[1]
if exchange in config['app'][
'trading_exchanges'] and symbol in config['app'][
'trading_symbols']:
# fetch from database
candles_tuple = Candle.select(
Candle.timestamp, Candle.close).where(
Candle.timestamp.between(
jh.date_to_timestamp(start_date),
jh.date_to_timestamp(finish_date) - 60000),
Candle.exchange == exchange,
Candle.symbol == symbol).order_by(
Candle.timestamp.asc()).tuples()
candles = np.array(candles_tuple)
timestamps = candles[:, 0]
price_data.append(candles[:, 1])
price_data = np.transpose(price_data)
price_df = pd.DataFrame(price_data,
index=pd.to_datetime(timestamps,
unit="ms"),
dtype=float).resample('D').mean()
price_pct_change = price_df.pct_change(1).fillna(0)
bh_daily_returns_all_routes = price_pct_change.mean(1)
quantstats.quantstats_tearsheet(bh_daily_returns_all_routes,
study_name)
else:
print(jh.color('No trades were made.', 'yellow'))
