def main():
# Load the orders file.
ordersFile = OrdersFile("./OrderFiles/orders.csv")
print "First date", ordersFile.getFirstDate()
print "Last date", ordersFile.getLastDate()
print "Symbols", ordersFile.getInstruments()
qsPath = "/Users/LunaFire/Anaconda/lib/python2.7/site-packages/QSTK"
feed = yahoofeed.Feed()
feed.setBarFilter(csvfeed.DateRangeFilter(ordersFile.getFirstDate(), ordersFile.getLastDate()))
feed.setDailyBarTime(datetime.time(0, 0, 0)) # This is to match the dates loaded with the ones in the orders file.
for symbol in ordersFile.getInstruments():
feed.addBarsFromCSV(symbol, os.path.join(qsPath, "QSData", "Yahoo", symbol + ".csv"))
# Run the strategy.
cash = 1000000
useAdjustedClose = True
myStrategy = MyStrategy(feed, cash, ordersFile, useAdjustedClose)
# Attach returns and sharpe ratio analyzers.
retAnalyzer = returns.Returns()
myStrategy.attachAnalyzer(retAnalyzer)
sharpeRatioAnalyzer = sharpe.SharpeRatio()
myStrategy.attachAnalyzer(sharpeRatioAnalyzer)
myStrategy.run()
# Print the results.
print "Final portfolio value: $%.2f" % myStrategy.getResult()
print "Anual return: %.2f %%" % (retAnalyzer.getCumulativeReturns()[-1] * 100)
print "Average daily return: %.2f %%" % (stats.mean(retAnalyzer.getReturns()) * 100)
print "Std. dev. daily return: %.4f" % (stats.stddev(retAnalyzer.getReturns()))
print "Sharpe ratio: %.2f" % (sharpeRatioAnalyzer.getSharpeRatio(0))
def backtest(strategyClass, is_optimization, is_tick, start_date, end_date,
symbol, frequency, position_size, lb, i):
if is_tick:
feed = bitbf.CSVTradeFeed()
feed.addBarsFromCSV("../xbtusd_trades.csv",
'XBTUSD',
fromDateTime=start_date,
toDateTime=end_date)
else:
feed = GenericBarFeed(bar.Frequency.MINUTE, maxLen=10000)
feed.setColumnName('datetime', 'Date')
feed.setDateTimeFormat('%Y-%m-%dT%H:%M:%S.%fZ')
feed.setBarFilter(csvfeed.DateRangeFilter(start_date, end_date))
feed.addBarsFromCSV("XBTUSD", "../BITMEX_SPOT_BTC_USD_1MIN.csv")
if is_optimization:
strat = local.run(strategyClass,
feed,
parameters_generator(),
workerCount=None,
logLevel=10,
batchSize=1)
print(strat.getResult(), strat.getParameters())
else:
strat = strategyClass(feed, None, symbol, int(frequency),
position_size, lb, i)
strat.run()
def testOneBarReturn(self):
initialCash = 1000
barFeed = yahoofeed.Feed()
barFeed.setBarFilter(
csvfeed.DateRangeFilter(datetime.datetime(2001, 12, 0o7),
datetime.datetime(2001, 12, 0o7)))
barFeed.addBarsFromCSV(
AnalyzerTestCase.TestInstrument,
common.get_data_file_path("orcl-2001-yahoofinance.csv"))
strat = strategy_test.TestStrategy(barFeed, initialCash)
# 2001-12-07,15.74,15.95,15.55,15.91,42463200,15.56
# Manually place the orders to get them filled on the first (and only) bar.
order = strat.getBroker().createMarketOrder(
broker.Order.Action.BUY, AnalyzerTestCase.TestInstrument, 1,
False) # Open: 15.74
strat.getBroker().submitOrder(order)
order = strat.getBroker().createMarketOrder(
broker.Order.Action.SELL, AnalyzerTestCase.TestInstrument, 1,
True) # Close: 15.91
strat.getBroker().submitOrder(order)
stratAnalyzer = returns.Returns()
strat.attachAnalyzer(stratAnalyzer)
strat.run()
self.assertTrue(strat.getBroker().getCash() == initialCash +
(15.91 - 15.74))
finalValue = 1000 - 15.74 + 15.91
rets = (finalValue - initialCash) / float(initialCash)
self.assertEqual(stratAnalyzer.getReturns()[-1], rets)
def testTwoBarReturns_CloseClose(self):
initialCash = 15.90
barFeed = yahoofeed.Feed()
barFeed.setBarFilter(
csvfeed.DateRangeFilter(datetime.datetime(2001, 12, 0o6),
datetime.datetime(2001, 12, 0o7)))
barFeed.addBarsFromCSV(
AnalyzerTestCase.TestInstrument,
common.get_data_file_path("orcl-2001-yahoofinance.csv"))
strat = strategy_test.TestStrategy(barFeed, initialCash)
# 2001-12-06,15.61,16.03,15.50,15.90,66944900,15.55
# 2001-12-07,15.74,15.95,15.55,15.91,42463200,15.56
# Manually place the entry order, to get it filled on the first bar.
order = strat.getBroker().createMarketOrder(
broker.Order.Action.BUY, AnalyzerTestCase.TestInstrument, 1,
True) # Close: 15.90
strat.getBroker().submitOrder(order)
strat.addOrder(datetime.datetime(2001, 12, 0o6),
strat.getBroker().createMarketOrder,
broker.Order.Action.SELL,
AnalyzerTestCase.TestInstrument, 1,
True) # Close: 15.91
stratAnalyzer = returns.Returns()
strat.attachAnalyzer(stratAnalyzer)
strat.run()
self.assertTrue(strat.getBroker().getCash() == initialCash +
(15.91 - 15.90))
# First day returns: 0
self.assertTrue(stratAnalyzer.getReturns()[0] == 0)
# Second day returns: Open vs Prev. day's close
self.assertTrue(stratAnalyzer.getReturns()[1] == (15.91 - 15.90) /
15.90)
def addBarsFromCSV(self,
instrument,
path,
timezone=None,
fromDateTime=None,
toDateTime=None):
if timezone is None:
timezone = self.__timezone
rowParser = PoloniexCSVRowParser(self.__columnNames,
self.__dateTimeFormat,
self.getDailyBarTime(),
self.getFrequency(), timezone)
#startTimestamp = calendar.timegm(startDateTime.utctimetuple()) if startDateTime else None
#endTimestamp = calendar.timegm(endDateTime.utctimetuple()) if endDateTime else None
# Save the barfilter to restore it later.
prevBarFilter = self.getBarFilter()
try:
if fromDateTime or toDateTime:
self.setBarFilter(
csvfeed.DateRangeFilter(to_utc_if_naive(fromDateTime),
to_utc_if_naive(toDateTime)))
super(CSVTradeFeed, self).addBarsFromCSV(instrument, path,
rowParser)
finally:
self.setBarFilter(prevBarFilter)
assert not rowParser.barsHaveAdjClose()
def testTwoBarReturns_OpenClose(self):
initialCash = 15.61
barFeed = yahoofeed.Feed()
barFeed.setBarFilter(csvfeed.DateRangeFilter(datetime.datetime(2001, 12, 6), datetime.datetime(2001, 12, 7)))
barFeed.addBarsFromCSV(
INSTRUMENT, common.get_data_file_path("orcl-2001-yahoofinance.csv")
)
strat = strategy_test.TestStrategy(barFeed, {PRICE_CURRENCY: initialCash})
# 2001-12-06,15.61,16.03,15.50,15.90,66944900,15.55
# 2001-12-07,15.74,15.95,15.55,15.91,42463200,15.56
# Manually place the entry order, to get it filled on the first bar.
order = strat.getBroker().createMarketOrder(
broker.Order.Action.BUY, INSTRUMENT, 1, False
) # Open: 15.61
strat.getBroker().submitOrder(order)
strat.addOrder(
datetime.datetime(2001, 12, 6), strat.getBroker().createMarketOrder, broker.Order.Action.SELL,
INSTRUMENT, 1, True
) # Close: 15.91
stratAnalyzer = returns.Returns(PRICE_CURRENCY)
strat.attachAnalyzer(stratAnalyzer)
strat.run()
self.assertTrue(strat.getBroker().getBalance(PRICE_CURRENCY) == initialCash + (15.91 - 15.61))
# First day returns: Open vs Close
self.assertTrue(stratAnalyzer.getReturns()[0] == (15.90 - 15.61) / 15.61)
# Second day returns: Close vs Prev. day's close
self.assertTrue(stratAnalyzer.getReturns()[1] == (15.91 - 15.90) / 15.90)
def main():
# Load the orders file.
ordersFile = OrdersFile("orders.csv")
print "First date", ordersFile.getFirstDate()
print "Last date", ordersFile.getLastDate()
print "Symbols", ordersFile.getInstruments()
# Load the data from QSTK storage. QS environment variable has to be defined.
if os.getenv("QS") == None:
raise Exception("QS environment variable not defined")
feed = yahoofeed.Feed()
feed.setBarFilter(csvfeed.DateRangeFilter(ordersFile.getFirstDate(), ordersFile.getLastDate()))
feed.setDailyBarTime(datetime.time(0, 0, 0)) # This is to match the dates loaded with the ones in the orders file.
for symbol in ordersFile.getInstruments():
feed.addBarsFromCSV(symbol, os.path.join(os.getenv("QS"), "QSData", "Yahoo", symbol + ".csv"))
# Run the strategy.
cash = 1000000
useAdjustedClose = True
myStrategy = MyStrategy(feed, cash, ordersFile, useAdjustedClose)
# Attach returns and sharpe ratio analyzers.
retAnalyzer = returns.Returns()
myStrategy.attachAnalyzer(retAnalyzer)
sharpeRatioAnalyzer = sharpe.SharpeRatio()
myStrategy.attachAnalyzer(sharpeRatioAnalyzer)
myStrategy.run()
# Print the results.
print "Final portfolio value: $%.2f" % myStrategy.getResult()
print "Anual return: %.2f %%" % (retAnalyzer.getCumulativeReturns()[-1] * 100)
print "Average daily return: %.2f %%" % (stats.mean(retAnalyzer.getReturns()) * 100)
print "Std. dev. daily return: %.4f" % (stats.stddev(retAnalyzer.getReturns()))
print "Sharpe ratio: %.2f" % (sharpeRatioAnalyzer.getSharpeRatio(0, 252))
def load_intraday_bars():
global feed
print "Loading bars from file"
feed = ninjatraderfeed.Feed(bar.Frequency.MINUTE)
# feed.setBarFilter(csvfeed.DateRangeFilter(dt.as_utc(datetime.datetime(2008, 1, 1)), dt.as_utc(datetime.datetime(2008, 12, 31))))
feed.setBarFilter(csvfeed.DateRangeFilter(dt.as_utc(datetime.datetime(2008, 1, 1)), dt.as_utc(datetime.datetime(2008, 3, 31))))
feed.addBarsFromCSV(instrument, "/Users/gabo/Downloads/etf-quotes/SPY.Last.txt")
def __testFilteredRangeImpl(self, fromDate, toDate):
barFeed = yahoofeed.Feed()
barFeed.setBarFilter(csvfeed.DateRangeFilter(fromDate, toDate))
barFeed.addBarsFromCSV(INSTRUMENT, common.get_data_file_path("orcl-2000-yahoofinance.csv"))
barFeed.addBarsFromCSV(INSTRUMENT, common.get_data_file_path("orcl-2001-yahoofinance.csv"))
# Dispatch and handle events.
handler = BarFeedEventHandler_TestFilterRange(self, INSTRUMENT, fromDate, toDate)
barFeed.getNewValuesEvent().subscribe(handler.onBars)
while not barFeed.eof():
barFeed.dispatch()
self.assertTrue(handler.getEventCount() > 0)
def __testFilteredRangeImpl(self, fromDate, toDate):
barFeed = csvfeed.YahooFeed()
barFeed.setBarFilter(csvfeed.DateRangeFilter(fromDate, toDate))
barFeed.addBarsFromCSV(YahooTestCase.TestInstrument, common.get_data_file_path("orcl-2000-yahoofinance.csv"))
barFeed.addBarsFromCSV(YahooTestCase.TestInstrument, common.get_data_file_path("orcl-2001-yahoofinance.csv"))
# Dispatch and handle events.
handler = BarFeedEventHandler_TestFilterRange(self, YahooTestCase.TestInstrument, fromDate, toDate)
barFeed.getNewBarsEvent().subscribe(handler.onBars)
while not barFeed.stopDispatching():
barFeed.dispatch()
self.assertTrue(handler.getEventCount() > 0)
def __testFilteredRangeImpl(self, fromDate, toDate):
barFeed = ibfeed.CSVFeed()
barFeed.setBarFilter(csvfeed.DateRangeFilter(fromDate, toDate))
barFeed.addBarsFromCSV(IBTestCase.TestInstrument, common.get_data_file_path("ib-spy-5min-20120627.csv"))
barFeed.addBarsFromCSV(IBTestCase.TestInstrument, common.get_data_file_path("ib-spy-5min-20120628.csv"))
barFeed.addBarsFromCSV(IBTestCase.TestInstrument, common.get_data_file_path("ib-spy-5min-20120629.csv"))
# Dispatch and handle events.
handler = BarFeedEventHandler_TestFilterRange(self, IBTestCase.TestInstrument, fromDate, toDate)
barFeed.getNewBarsEvent().subscribe(handler.onBars)
while not barFeed.stopDispatching():
barFeed.dispatch()
self.assertTrue(handler.getEventCount() > 0)
def addBarsFromCSV(self,
path,
instrument="BTC/USD",
timezone=None,
fromDateTime=None,
toDateTime=None):
"""Loads bars from a trades CSV formatted file.
:param path: The path to the file.
:type path: string.
:param instrument: The instrument identifier.
:type instrument: A :class:`pyalgotrade.instrument.Instrument` or a string formatted like
QUOTE_SYMBOL/PRICE_CURRENCY.
:param timezone: An optional timezone to use to localize bars. By default bars are loaded in UTC.
:type timezone: A pytz timezone.
:param fromDateTime: An optional datetime to use to filter bars to load.
If supplied only those bars whose datetime is greater than or equal to fromDateTime are loaded.
:type fromDateTime: datetime.datetime.
:param toDateTime: An optional datetime to use to filter bars to load.
If supplied only those bars whose datetime is lower than or equal to toDateTime are loaded.
:type toDateTime: datetime.datetime.
.. note::
* Every file that you load bars from must have trades in the same currency.
* If fromDateTime or toDateTime are naive, they are treated as UTC.
"""
if timezone is None:
timezone = self.__timezone
instrument = build_instrument(instrument)
rowParser = RowParser(instrument, self.__unixTimeFix, timezone)
# Save the barfilter to restore it later.
prevBarFilter = self.getBarFilter()
try:
if fromDateTime or toDateTime:
self.setBarFilter(
csvfeed.DateRangeFilter(to_utc_if_naive(fromDateTime),
to_utc_if_naive(toDateTime)))
super(CSVTradeFeed, self).addBarsFromCSV(path, rowParser)
finally:
self.setBarFilter(prevBarFilter)
def main(plot):
feed = alphavantagefeed.Feed()
start_date = datetime.datetime(2012, 1, 1)
end_date = datetime.datetime(2015, 12, 31)
data_filter = csvfeed.DateRangeFilter(fromDate=start_date, toDate=end_date)
feed.setBarFilter(data_filter)
feed.addBarsFromCSV("AAPL", "./data/daily_adjusted_AAPL.csv")
feed.addBarsFromCSV("MSFT", "./data/daily_adjusted_MSFT.csv")
feed.addBarsFromCSV("SPY", "./data/daily_adjusted_SPY.csv")
market = "SPY"
predicate = BuyOnEvent(feed, market)
event_study = eventstudy.EventStudy(predicate, 20, 20)
event_study.run(feed, False)
results = event_study.getResults()
print(results)
print("%d events found" % (results.getEventCount()))
if plot:
eventstudy.plot_to_file(results, 'eventstudyAV.pdf')
