def testShort3(self):
strat = self.__createStrategy()
stratAnalyzer = trades.Trades()
strat.attachAnalyzer(stratAnalyzer)
# Enter short
strat.addOrder(buildUTCDateTime(2011, 1, 3, 15, 0), strat.getBroker().createMarketOrder, broker.Order.Action.SELL_SHORT, TradesAnalyzerTestCase.TestInstrument, 2) # 127.14
# Decrease short position
strat.addOrder(buildUTCDateTime(2011, 1, 3, 15, 16), strat.getBroker().createMarketOrder, broker.Order.Action.BUY_TO_COVER, TradesAnalyzerTestCase.TestInstrument, 1) # 127.16
# Exit short
strat.addOrder(buildUTCDateTime(2011, 1, 3, 15, 30), strat.getBroker().createMarketOrder, broker.Order.Action.BUY_TO_COVER, TradesAnalyzerTestCase.TestInstrument, 1) # 127.2
strat.run()
self.assertTrue(round(strat.getBroker().getCash(), 2) == round(1000 + (127.14 - 127.16) + (127.14 - 127.2), 2))
self.assertTrue(stratAnalyzer.getCount() == 1)
self.assertTrue(stratAnalyzer.getEvenCount() == 0)
self.assertTrue(round(stratAnalyzer.getAll().mean(), 2) == -0.08)
self.assertTrue(stratAnalyzer.getUnprofitableCount() == 1)
self.assertTrue(round(stratAnalyzer.getLosses().mean(), 2) == -0.08)
self.assertTrue(stratAnalyzer.getProfitableCount() == 0)
def testLongShort(self):
strat = self.__createStrategy()
stratAnalyzer = trades.Trades()
strat.attachAnalyzer(stratAnalyzer)
# Enter long
strat.addOrder(buildUTCDateTime(2011, 1, 3, 15, 0), strat.getBroker().createMarketOrder, broker.Order.Action.BUY, TradesAnalyzerTestCase.TestInstrument, 1) # 127.14
# Exit long and enter short
strat.addOrder(buildUTCDateTime(2011, 1, 3, 15, 16), strat.getBroker().createMarketOrder, broker.Order.Action.SELL, TradesAnalyzerTestCase.TestInstrument, 2) # 127.16
# Exit short
strat.addOrder(buildUTCDateTime(2011, 1, 3, 15, 30), strat.getBroker().createMarketOrder, broker.Order.Action.BUY_TO_COVER, TradesAnalyzerTestCase.TestInstrument, 1) # 127.2
strat.run()
self.assertTrue(round(strat.getBroker().getCash(), 2) == round(1000 + (127.16 - 127.14) + (127.16 - 127.2), 2))
self.assertTrue(stratAnalyzer.getCount() == 2)
self.assertTrue(stratAnalyzer.getEvenCount() == 0)
self.assertTrue(round(stratAnalyzer.getAll().mean(), 2) == -0.01)
self.assertTrue(round(stratAnalyzer.getAll().std(ddof=1), 4) == 0.0424)
self.assertTrue(stratAnalyzer.getProfitableCount() == 1)
self.assertTrue(round(stratAnalyzer.getProfits().mean(), 2) == 0.02)
self.assertTrue(stratAnalyzer.getUnprofitableCount() == 1)
self.assertTrue(round(stratAnalyzer.getLosses().mean(), 2) == -0.04)
def main():
'''
策略执行
:return:
'''
instrument = "600036"
feeds = mootdx.build_feed([instrument], 2008, 2018, "histdata/mootdx")
# 3.实例化策略
strat = MyStrategy(feeds, instrument)
# 4.设置指标和绘图
ratio = sharpe.SharpeRatio()
strat.attachAnalyzer(ratio)
# plter = plotter.StrategyPlotter(strat)
# 4.设置指标和绘图
draws = drawdown.DrawDown()
strat.attachAnalyzer(draws)
tradeAnalyzer = trades.Trades()
strat.attachAnalyzer(tradeAnalyzer)
plter = plotter.StrategyPlotter(strat)
# 5.运行策略
strat.run()
strat.info("最终收益: {}".format(strat.getResult()))
# 6.输出夏普率、绘图
strat.info("夏普比率: {}".format(ratio.getSharpeRatio(0)))
strat.info("最大回撤: {}".format(draws.getMaxDrawDown()))
strat.info("回撤时间: {}".format(draws.getLongestDrawDownDuration()))
plter.plot()
def testProportionalCommissionBug(self):
# Regression test for a bug reported by 'Jackson Sam' on 30/Aug/2013.
strat = self.__createStrategy()
strat.getBroker().setCommission(backtesting.FixedPerTrade(0.01))
stratAnalyzer = trades.Trades()
strat.attachAnalyzer(stratAnalyzer)
# There are 3 trades here:
# Trade 1 (Long)
# Buy 1 @ 127.16 Commission: 0.01
# Sell 1 @ 127.26 Commission: 0.005
# Trade 2 (Short)
# Sell 1 @ 127.26 Commission: 0.005
# Buy 1 @ 127.37 Commission: 0.005
# Trade 3 (Long)
# Buy 1 @ 127.37 Commission: 0.005
# Sell 1 @ 127.4 Commission: 0.01
strat.addOrder(buildUTCDateTime(2011, 1, 3, 15, 38), strat.getBroker().createMarketOrder, broker.Order.Action.BUY, TradesAnalyzerTestCase.TestInstrument, 1) # Fill at 127.16
strat.addOrder(buildUTCDateTime(2011, 1, 3, 15, 42), strat.getBroker().createMarketOrder, broker.Order.Action.SELL, TradesAnalyzerTestCase.TestInstrument, 2) # Fill at 127.26
strat.addOrder(buildUTCDateTime(2011, 1, 3, 15, 53), strat.getBroker().createMarketOrder, broker.Order.Action.BUY, TradesAnalyzerTestCase.TestInstrument, 2) # Fill at 127.37
strat.addOrder(buildUTCDateTime(2011, 1, 3, 15, 58), strat.getBroker().createMarketOrder, broker.Order.Action.SELL, TradesAnalyzerTestCase.TestInstrument, 1) # Fill at 127.4
strat.run()
allReturns = stratAnalyzer.getAllReturns()
self.assertEqual(round(allReturns[0], 6), 0.000668)
self.assertEqual(round(allReturns[1], 6), -0.000943)
self.assertEqual(round(allReturns[2], 6), 0.000118)
def main():
strat = thrSMA
instrument = '600288'
paras = [2, 20, 60, 10]
feeds = tushare.build_feed([instrument], 2016, 2017, "histdata/tushare")
strat = strat(feeds, instrument, *paras)
retAnalyzer = returns.Returns()
strat.attachAnalyzer(retAnalyzer)
sharpeRatioAnalyzer = sharpe.SharpeRatio()
strat.attachAnalyzer(sharpeRatioAnalyzer)
drawDownAnalyzer = drawdown.DrawDown()
strat.attachAnalyzer(drawDownAnalyzer)
tradesAnalyzer = trades.Trades()
strat.attachAnalyzer(tradesAnalyzer)
plter = plotter.StrategyPlotter(strat, True, True, True)
strat.run()
plter.plot()
# 夏普率
sharp = sharpeRatioAnalyzer.getSharpeRatio(0.05)
# 最大回撤
maxdd = drawDownAnalyzer.getMaxDrawDown()
# 收益率
return_ = retAnalyzer.getCumulativeReturns()[-1]
# 收益曲线
return_list = []
for item in retAnalyzer.getCumulativeReturns():
return_list.append(item)
def testNoTrades(self):
strat = self.__createStrategy()
stratAnalyzer = trades.Trades()
strat.attachAnalyzer(stratAnalyzer)
strat.run()
self.assertTrue(strat.getBroker().getCash() == 1000)
self.assertTrue(stratAnalyzer.getCount() == 0)
self.assertTrue(stratAnalyzer.getEvenCount() == 0)
self.assertTrue(stratAnalyzer.getProfitableCount() == 0)
self.assertTrue(stratAnalyzer.getUnprofitableCount() == 0)
def testStrategy():
instrument = '600288'
frequency = bar.Frequency.TRADE
fromDate = '20160815'
toDate = '20160820'
strat = OrderBook
paras = [5, 20]
plot = True
from mooquant.tools import tushare
feeds = tushare.build_feed([instrument], 2016, 2017, "histdata/tushare")
strat = strat(feeds, instrument, *paras)
retAnalyzer = returns.Returns()
strat.attachAnalyzer(retAnalyzer)
sharpeRatioAnalyzer = sharpe.SharpeRatio()
strat.attachAnalyzer(sharpeRatioAnalyzer)
drawDownAnalyzer = drawdown.DrawDown()
strat.attachAnalyzer(drawDownAnalyzer)
tradesAnalyzer = trades.Trades()
strat.attachAnalyzer(tradesAnalyzer)
if plot:
plt = plotter.StrategyPlotter(strat, True, True, True)
strat.run()
if plot:
plt.plot()
# 夏普率
sharp = sharpeRatioAnalyzer.getSharpeRatio(0.05)
# 最大回撤
maxdd = drawDownAnalyzer.getMaxDrawDown()
# 收益率
return_ = retAnalyzer.getCumulativeReturns()[-1]
# 收益曲线
return_list = []
for item in retAnalyzer.getCumulativeReturns():
return_list.append(item)
def testSomeTrades_Position(self):
strat = self.__createPositionStrategy()
stratAnalyzer = trades.Trades()
strat.attachAnalyzer(stratAnalyzer)
# Winning trade
strat.addPosEntry(buildUTCDateTime(2011, 1, 3, 15, 0), strat.enterLong, TradesAnalyzerTestCase.TestInstrument, 1) # 127.14
strat.addPosExitMarket(buildUTCDateTime(2011, 1, 3, 15, 16)) # 127.16
# Losing trade
strat.addPosEntry(buildUTCDateTime(2011, 1, 3, 15, 30), strat.enterLong, TradesAnalyzerTestCase.TestInstrument, 1) # 127.2
strat.addPosExitMarket(buildUTCDateTime(2011, 1, 3, 15, 31)) # 127.16
# Winning trade
strat.addPosEntry(buildUTCDateTime(2011, 1, 3, 15, 38), strat.enterLong, TradesAnalyzerTestCase.TestInstrument, 1) # 127.16
strat.addPosExitMarket(buildUTCDateTime(2011, 1, 3, 15, 42)) # 127.26
# Unfinished trade not closed
strat.addPosEntry(buildUTCDateTime(2011, 1, 3, 15, 47), strat.enterLong, TradesAnalyzerTestCase.TestInstrument, 1) # 127.34
strat.run()
self.assertTrue(round(strat.getBroker().getCash(), 2) == round(1000 + (127.16 - 127.14) + (127.16 - 127.2) + (127.26 - 127.16) - 127.34, 2))
self.assertTrue(stratAnalyzer.getCount() == 3)
self.assertTrue(stratAnalyzer.getEvenCount() == 0)
self.assertTrue(round(stratAnalyzer.getAll().mean(), 2) == 0.03)
self.assertTrue(round(stratAnalyzer.getAll().std(ddof=1), 2) == 0.07)
self.assertTrue(round(stratAnalyzer.getAll().std(ddof=0), 2) == 0.06)
self.assertTrue(stratAnalyzer.getProfitableCount() == 2)
self.assertTrue(round(stratAnalyzer.getProfits().mean(), 2) == 0.06)
self.assertTrue(round(stratAnalyzer.getProfits().std(ddof=1), 2) == 0.06)
self.assertTrue(round(stratAnalyzer.getProfits().std(ddof=0), 2) == 0.04)
self.assertEqual(stratAnalyzer.getPositiveReturns()[0], (127.16 - 127.14) / 127.14)
self.assertEqual(stratAnalyzer.getPositiveReturns()[1], (127.26 - 127.16) / 127.16)
self.assertTrue(stratAnalyzer.getUnprofitableCount() == 1)
self.assertTrue(round(stratAnalyzer.getLosses().mean(), 2) == -0.04)
if version.LooseVersion(numpy.__version__) >= version.LooseVersion("1.6.2"):
self.assertTrue(math.isnan(stratAnalyzer.getLosses().std(ddof=1)))
else:
self.assertTrue(stratAnalyzer.getLosses().std(ddof=1) == 0)
self.assertTrue(stratAnalyzer.getLosses().std(ddof=0) == 0)
self.assertEqual(stratAnalyzer.getNegativeReturns()[0], (127.16 - 127.2) / 127.2)
def testSomeTrades(self):
strat = self.__createStrategy()
stratAnalyzer = trades.Trades()
strat.attachAnalyzer(stratAnalyzer)
# Winning trade
strat.addOrder(buildUTCDateTime(2011, 1, 3, 15, 0), strat.getBroker().createMarketOrder, broker.Order.Action.BUY, TradesAnalyzerTestCase.TestInstrument, 1) # 127.14
strat.addOrder(buildUTCDateTime(2011, 1, 3, 15, 16), strat.getBroker().createMarketOrder, broker.Order.Action.SELL, TradesAnalyzerTestCase.TestInstrument, 1) # 127.16
# Losing trade
strat.addOrder(buildUTCDateTime(2011, 1, 3, 15, 30), strat.getBroker().createMarketOrder, broker.Order.Action.BUY, TradesAnalyzerTestCase.TestInstrument, 1) # 127.2
strat.addOrder(buildUTCDateTime(2011, 1, 3, 15, 31), strat.getBroker().createMarketOrder, broker.Order.Action.SELL, TradesAnalyzerTestCase.TestInstrument, 1) # 127.16
# Winning trade
strat.addOrder(buildUTCDateTime(2011, 1, 3, 15, 38), strat.getBroker().createMarketOrder, broker.Order.Action.BUY, TradesAnalyzerTestCase.TestInstrument, 1) # 127.16
strat.addOrder(buildUTCDateTime(2011, 1, 3, 15, 42), strat.getBroker().createMarketOrder, broker.Order.Action.SELL, TradesAnalyzerTestCase.TestInstrument, 1) # 127.26
# Open trade.
strat.addOrder(buildUTCDateTime(2011, 1, 3, 15, 47), strat.getBroker().createMarketOrder, broker.Order.Action.BUY, TradesAnalyzerTestCase.TestInstrument, 1) # 127.34
strat.run()
self.assertTrue(round(strat.getBroker().getCash(), 2) == round(1000 + (127.16 - 127.14) + (127.16 - 127.2) + (127.26 - 127.16) - 127.34, 2))
self.assertTrue(stratAnalyzer.getCount() == 3)
self.assertTrue(stratAnalyzer.getEvenCount() == 0)
self.assertTrue(round(stratAnalyzer.getAll().mean(), 2) == 0.03)
self.assertTrue(round(stratAnalyzer.getAll().std(ddof=1), 2) == 0.07)
self.assertTrue(round(stratAnalyzer.getAll().std(ddof=0), 2) == 0.06)
self.assertTrue(stratAnalyzer.getProfitableCount() == 2)
self.assertTrue(round(stratAnalyzer.getProfits().mean(), 2) == 0.06)
self.assertTrue(round(stratAnalyzer.getProfits().std(ddof=1), 2) == 0.06)
self.assertTrue(round(stratAnalyzer.getProfits().std(ddof=0), 2) == 0.04)
self.assertTrue(stratAnalyzer.getUnprofitableCount() == 1)
self.assertTrue(round(stratAnalyzer.getLosses().mean(), 2) == -0.04)
if version.LooseVersion(numpy.__version__) >= version.LooseVersion("1.6.2"):
self.assertTrue(math.isnan(stratAnalyzer.getLosses().std(ddof=1)))
else:
self.assertTrue(stratAnalyzer.getLosses().std(ddof=1) == 0)
self.assertTrue(stratAnalyzer.getLosses().std(ddof=0) == 0)
def testLong2(self):
strat = self.__createStrategy()
stratAnalyzer = trades.Trades()
strat.attachAnalyzer(stratAnalyzer)
# Enter long
strat.addOrder(buildUTCDateTime(2011, 1, 3, 15, 0), strat.getBroker().createMarketOrder, broker.Order.Action.BUY, TradesAnalyzerTestCase.TestInstrument, 1) # 127.14
# Extend long position
strat.addOrder(buildUTCDateTime(2011, 1, 3, 15, 16), strat.getBroker().createMarketOrder, broker.Order.Action.BUY, TradesAnalyzerTestCase.TestInstrument, 1) # 127.16
# Exit long
strat.addOrder(buildUTCDateTime(2011, 1, 3, 15, 30), strat.getBroker().createMarketOrder, broker.Order.Action.SELL, TradesAnalyzerTestCase.TestInstrument, 2) # 127.2
strat.run()
self.assertTrue(round(strat.getBroker().getCash(), 2) == round(1000 + (127.2 - 127.14) + (127.2 - 127.16), 2))
self.assertTrue(stratAnalyzer.getCount() == 1)
self.assertTrue(stratAnalyzer.getEvenCount() == 0)
self.assertTrue(round(stratAnalyzer.getAll().mean(), 2) == 0.1)
self.assertTrue(stratAnalyzer.getProfitableCount() == 1)
self.assertTrue(round(stratAnalyzer.getProfits().mean(), 2) == 0.1)
self.assertTrue(stratAnalyzer.getUnprofitableCount() == 0)
def testStrategy():
strat = thrSMA
instrument = '600288'
market = 'SH'
fromDate = '20150101'
toDate = '20150601'
frequency = bar.Frequency.MINUTE
plot = True
paras = [2, 20, 60, 10]
feeds = tushare.build_feed([instrument], 2016, 2017, "histdata/tushare")
strat = strat(feeds, instrument, *paras)
retAnalyzer = returns.Returns()
strat.attachAnalyzer(retAnalyzer)
sharpeRatioAnalyzer = sharpe.SharpeRatio()
strat.attachAnalyzer(sharpeRatioAnalyzer)
drawDownAnalyzer = drawdown.DrawDown()
strat.attachAnalyzer(drawDownAnalyzer)
tradesAnalyzer = trades.Trades()
strat.attachAnalyzer(tradesAnalyzer)
strat.run()
# 夏普率
sharp = sharpeRatioAnalyzer.getSharpeRatio(0.05)
# 最大回撤
maxdd = drawDownAnalyzer.getMaxDrawDown()
# 收益率
return_ = retAnalyzer.getCumulativeReturns()[-1]
# 收益曲线
return_list = []
for item in retAnalyzer.getCumulativeReturns():
return_list.append(item)
def testSomeTradesWithCommissions(self):
strat = self.__createStrategy()
strat.getBroker().setCommission(backtesting.FixedPerTrade(0.01))
stratAnalyzer = trades.Trades()
strat.attachAnalyzer(stratAnalyzer)
# Losing trade
strat.addOrder(buildUTCDateTime(2011, 1, 3, 15, 30), strat.getBroker().createMarketOrder, broker.Order.Action.BUY, TradesAnalyzerTestCase.TestInstrument, 1) # 127.2
strat.addOrder(buildUTCDateTime(2011, 1, 3, 15, 31), strat.getBroker().createMarketOrder, broker.Order.Action.SELL, TradesAnalyzerTestCase.TestInstrument, 1) # 127.16
# Winning trade
strat.addOrder(buildUTCDateTime(2011, 1, 3, 15, 38), strat.getBroker().createMarketOrder, broker.Order.Action.BUY, TradesAnalyzerTestCase.TestInstrument, 1) # 127.16
strat.addOrder(buildUTCDateTime(2011, 1, 3, 15, 42), strat.getBroker().createMarketOrder, broker.Order.Action.SELL, TradesAnalyzerTestCase.TestInstrument, 1) # 127.26
# Open trade.
strat.addOrder(buildUTCDateTime(2011, 1, 3, 15, 47), strat.getBroker().createMarketOrder, broker.Order.Action.BUY, TradesAnalyzerTestCase.TestInstrument, 1) # 127.34
strat.run()
self.assertTrue(round(strat.getBroker().getCash(), 2) == round(1000 + (127.16 - 127.2) + (127.26 - 127.16) - 127.34 - 0.01*5, 2))
self.assertTrue(numpy.array_equal(stratAnalyzer.getCommissionsForAllTrades(), numpy.array([0.02, 0.02])))
self.assertTrue(numpy.array_equal(stratAnalyzer.getCommissionsForProfitableTrades(), numpy.array([0.02])))
self.assertTrue(numpy.array_equal(stratAnalyzer.getCommissionsForUnprofitableTrades(), numpy.array([0.02])))
self.assertTrue(numpy.array_equal(stratAnalyzer.getCommissionsForEvenTrades(), numpy.array([])))
def testStrategy():
from mooquant import bar
from mooquant import plotter
strat = fourSMA
instrument = '600288'
market = 'SH'
fromDate = '20150101'
toDate = '20150601'
frequency = bar.Frequency.MINUTE
paras = [2, 20, 60, 10]
plot = True
# path set ############################33
# if frequency == bar.Frequency.MINUTE:
# path = os.path.join('..', 'histdata', 'minute')
# elif frequency == bar.Frequency.DAY:
# path = os.path.join('..', 'histdata', 'day')
# filepath = os.path.join(path, instrument + market + ".csv")
# don't change ############################33
# barfeed = Feed(frequency)
# barfeed.setDateTimeFormat('%Y-%m-%d %H:%M:%S')
# barfeed.loadBars(instrument, market, fromDate, toDate, filepath)
# mooquant_id = instrument + '.' + market
# strat = strat(barfeed, mooquant_id, *paras)
from mooquant.tools import tushare
feeds = tushare.build_feed([instrument], 2016, 2017, "histdata/tushare")
strat = strat(feeds, instrument, *paras)
retAnalyzer = returns.Returns()
strat.attachAnalyzer(retAnalyzer)
sharpeRatioAnalyzer = sharpe.SharpeRatio()
strat.attachAnalyzer(sharpeRatioAnalyzer)
drawDownAnalyzer = drawdown.DrawDown()
strat.attachAnalyzer(drawDownAnalyzer)
tradesAnalyzer = trades.Trades()
strat.attachAnalyzer(tradesAnalyzer)
if plot:
plt = plotter.StrategyPlotter(strat, True, True, True)
strat.run()
if plot:
plt.plot()
# 夏普率
sharp = sharpeRatioAnalyzer.getSharpeRatio(0.05)
# 最大回撤
maxdd = drawDownAnalyzer.getMaxDrawDown()
# 收益率
return_ = retAnalyzer.getCumulativeReturns()[-1]
# 收益曲线
return_list = []
for item in retAnalyzer.getCumulativeReturns():
return_list.append(item)
if __name__ == '__main__':
feed = yahoofeed.Feed()
feed.addBarsFromCSV("orcl", "./tests/data/orcl-2000.csv")
# Evaluate the strategy with the feed's bars.
myStrategy = sma_crossover.SMACrossOver(feed, "orcl", 20)
# Attach different analyzers to a strategy before executing it.
retAnalyzer = returns.Returns()
myStrategy.attachAnalyzer(retAnalyzer)
sharpeRatioAnalyzer = sharpe.SharpeRatio()
myStrategy.attachAnalyzer(sharpeRatioAnalyzer)
drawDownAnalyzer = drawdown.DrawDown()
myStrategy.attachAnalyzer(drawDownAnalyzer)
tradesAnalyzer = trades.Trades()
myStrategy.attachAnalyzer(tradesAnalyzer)
# Run the strategy.
myStrategy.run()
print("Final portfolio value: $%.2f" % myStrategy.getResult())
print("Cumulative returns: %.2f %%" %
(retAnalyzer.getCumulativeReturns()[-1] * 100))
print("Sharpe ratio: %.2f" % (sharpeRatioAnalyzer.getSharpeRatio(0.05)))
print("Max. drawdown: %.2f %%" % (drawDownAnalyzer.getMaxDrawDown() * 100))
print("Longest drawdown duration: %s" %
(drawDownAnalyzer.getLongestDrawDownDuration()))
print()
print("Total trades: %d" % (tradesAnalyzer.getCount()))
