def setUpClass(self):
Logger.pushLogData("unitTesting", __name__)
forceWorkingDirectory()
pyswing.globals.potentialRuleMatches = None
pyswing.globals.equityCount = None
pyswing.database.overrideDatabase("output/TestStrategy.db")
pyswing.constants.pySwingStartDate = datetime.datetime(2015, 1, 1)
deleteFile(pyswing.database.pySwingDatabase)
copyFile(pyswing.database.pySwingTestDatabase, pyswing.database.pySwingDatabase)
twoRuleStrategy = Strategy("Rule Equities Indicator_BB20 abs(t1.Close - t2.upperband) < abs(t1.Close - t2.middleband)", "Rule Equities abs(Close - High) * 2 < abs(Close - Low)", "Exit TrailingStop3.0 RiskRatio2", "Buy")
twoRuleStrategy.evaluateTwoRuleStrategy()
threeRuleStrategy = Strategy("Rule Equities Indicator_BB20 abs(t1.Close - t2.upperband) < abs(t1.Close - t2.middleband)", "Rule Equities abs(Close - High) * 2 < abs(Close - Low)", "Exit TrailingStop3.0 RiskRatio2", "Buy", "Rule Indicator_RSI RSI > 20")
threeRuleStrategy.evaluateThreeRuleStrategy()
historicTrades = Strategy("Rule Equities Indicator_BB20 abs(t1.Close - t2.upperband) < abs(t1.Close - t2.middleband)", "Rule Equities abs(Close - High) * 2 < abs(Close - Low)", "Exit TrailingStop3.0 RiskRatio2", "Buy", "Rule Indicator_RSI RSI > 20")
historicTrades.generateHistoricTrades()
def evaluateTwoRuleStrategies(argv):
"""
Evaluate Two-Rule Strategies.
:param argv: Command Line Parameters.
-n = Name
-m = Minimum Matches Per Day
-s = Strategy Name
Example:
python -m pyswing.EvaluateTwoRuleStrategies -n asx -m 0.1 -s v4.0
"""
Logger.log(logging.INFO, "Log Script Call", {"scope":__name__, "arguments":" ".join(argv)})
Logger.pushLogData("script", __name__)
marketName = ""
minimumMatchesPerDay = None
try:
shortOptions = "n:m:s:dh"
longOptions = ["marketName=", "matches=", "strategy=", "debug", "help"]
opts, __ = getopt.getopt(argv, shortOptions, longOptions)
except getopt.GetoptError as e:
Logger.log(logging.ERROR, "Error Reading Options", {"scope": __name__, "exception": str(e)})
usage()
sys.exit(2)
for opt, arg in opts:
if opt in ("-d", "--debug"):
Logger().setLevel(logging.DEBUG)
elif opt in ("-h", "--help"):
print("?")
usage()
sys.exit()
elif opt in ("-n", "--marketName"):
marketName = arg
elif opt in ("-m", "--matches"):
minimumMatchesPerDay = arg
elif opt in ("-s", "--strategy"):
pyswing.constants.pySwingStrategy = arg
if marketName != "" and minimumMatchesPerDay and pyswing.constants.pySwingStrategy:
pyswing.database.initialiseDatabase(marketName)
Logger.log(logging.INFO, "Evaluate Two-Rule Strategies", {"scope":__name__, "market":marketName, "matches":minimumMatchesPerDay, "strategy":pyswing.constants.pySwingStrategy})
strategies = getTwoRuleStrategies(minimumMatchesPerDay)
exits = getExitStrategies()
inverseStrategies = set()
for rules in strategies:
if rules not in inverseStrategies:
for exit in exits:
buyStrategy = Strategy(rules[0], rules[1], exit, 'Buy')
buyStrategy.evaluateTwoRuleStrategy()
sellStrategy = Strategy(rules[0], rules[1], exit, 'Sell')
sellStrategy.evaluateTwoRuleStrategy()
inverseStrategies.add((rules[1], rules[0]))
TeamCity.setBuildResultText("Evaluated Two-Rule Strategies")
else:
Logger.log(logging.ERROR, "Missing Options", {"scope": __name__, "options": str(argv)})
usage()
sys.exit(2)
def test_analyseStrategy(self):
strategy = Strategy('Rule Indicator_RSI RSI > 20', 'Rule Indicator_RSI RSI > 20', 'Exit TrailingStop3.0 RiskRatio2', 'Buy', 'Rule Indicator_RSI RSI > 20')
strategy.meanResultPerTrade = 1.0
strategy.medianResultPerTrade = 1.0
strategy.totalProfit = 1.0
strategy.numberOfTrades = 1.0
strategy.sharpeRatio = 1.0
strategy.maximumDrawdown = 1.0
data = strategy.askHorse('2015-05-25 00:00:00')
self.assertTrue(data)
self.assertEqual(len(strategy.tradeDetails), 3)
strategy = Strategy('Rule Equities abs(Close - High) * 10 < abs(Close - Low)', 'Rule Equities abs(Close - High) * 10 < abs(Close - Low)', 'Exit TrailingStop3.0 RiskRatio2', 'Buy', 'Rule Equities abs(Close - High) * 10 < abs(Close - Low)')
strategy.meanResultPerTrade = 1.0
strategy.medianResultPerTrade = 1.0
strategy.totalProfit = 1.0
strategy.numberOfTrades = 1.0
strategy.sharpeRatio = 1.0
strategy.maximumDrawdown = 1.0
moreData = strategy.askHorse('2015-05-26 00:00:00')
self.assertFalse(moreData)
self.assertEqual(len(strategy.tradeDetails), 0)
def evaluateThreeRuleStrategies(argv):
"""
Evaluate Three-Rule Strategies.
:param argv: Command Line Parameters.
-n = Name
-N = Number of Two-Rule Strategies to Work Through
-s = Strategy Name
-t = Minimum Number of Trades
Example:
python -m pyswing.EvaluateThreeRuleStrategies -n asx -N 10 -s v4.0 -t 400
"""
Logger.log(logging.INFO, "Log Script Call", {"scope":__name__, "arguments":" ".join(argv)})
Logger.pushLogData("script", __name__)
marketName = ""
numberOfStrategies = ""
numberOfTrades = ""
try:
shortOptions = "n:N:s:t:dh"
longOptions = ["marketName=","number=", "strategy=", "trades=", "debug", "help"]
opts, __ = getopt.getopt(argv, shortOptions, longOptions)
except getopt.GetoptError as e:
Logger.log(logging.ERROR, "Error Reading Options", {"scope": __name__, "exception": str(e)})
usage()
sys.exit(2)
for opt, arg in opts:
if opt in ("-d", "--debug"):
Logger().setLevel(logging.DEBUG)
elif opt in ("-h", "--help"):
print("?")
usage()
sys.exit()
elif opt in ("-n", "--marketName"):
marketName = arg
elif opt in ("-N", "--number"):
numberOfStrategies = int(arg)
elif opt in ("-s", "--strategy"):
pyswing.constants.pySwingStrategy = arg
elif opt in ("-t", "--trades"):
numberOfTrades = arg
if marketName != "" and numberOfTrades != "" and numberOfStrategies > 0 and pyswing.constants.pySwingStrategy:
pyswing.database.initialiseDatabase(marketName)
Logger.log(logging.INFO, "Evaluate Three-Rule Strategies", {"scope":__name__, "market":marketName, "number":str(numberOfStrategies), "strategy":pyswing.constants.pySwingStrategy})
rules = getRules()
strategiesEvaluated = 0
while strategiesEvaluated < numberOfStrategies:
rule1, rule2, exit, type = getBestUnprocessedTwoRuleStrategy(numberOfTrades)
for rule3 in rules:
strategy = Strategy(rule1, rule2, exit, type, rule3)
strategy.evaluateThreeRuleStrategy()
markTwoRuleStrategyAsProcessed(rule1, rule2, type)
strategiesEvaluated += 1
deleteEmptyThreeRuleStrategies()
TeamCity.setBuildResultText("Evaluated Three-Rule Strategies")
else:
Logger.log(logging.ERROR, "Missing Options", {"scope": __name__, "options": str(argv)})
usage()
sys.exit(2)
def test_analyseStrategy(self):
strategy = Strategy('Rule Indicator_RSI RSI > 20',
'Rule Indicator_RSI RSI > 20',
'Exit TrailingStop3.0 RiskRatio2', 'Buy',
'Rule Indicator_RSI RSI > 20')
strategy.meanResultPerTrade = 1.0
strategy.medianResultPerTrade = 1.0
strategy.totalProfit = 1.0
strategy.numberOfTrades = 1.0
strategy.sharpeRatio = 1.0
strategy.maximumDrawdown = 1.0
data = strategy.askHorse('2015-05-25 00:00:00')
self.assertTrue(data)
self.assertEqual(len(strategy.tradeDetails), 3)
strategy = Strategy(
'Rule Equities abs(Close - High) * 10 < abs(Close - Low)',
'Rule Equities abs(Close - High) * 10 < abs(Close - Low)',
'Exit TrailingStop3.0 RiskRatio2', 'Buy',
'Rule Equities abs(Close - High) * 10 < abs(Close - Low)')
strategy.meanResultPerTrade = 1.0
strategy.medianResultPerTrade = 1.0
strategy.totalProfit = 1.0
strategy.numberOfTrades = 1.0
strategy.sharpeRatio = 1.0
strategy.maximumDrawdown = 1.0
moreData = strategy.askHorse('2015-05-26 00:00:00')
self.assertFalse(moreData)
self.assertEqual(len(strategy.tradeDetails), 0)
def setUpClass(self):
Logger.pushLogData("unitTesting", __name__)
forceWorkingDirectory()
pyswing.globals.potentialRuleMatches = None
pyswing.globals.equityCount = None
pyswing.database.overrideDatabase("output/TestStrategy.db")
pyswing.constants.pySwingStartDate = datetime.datetime(2015, 1, 1)
deleteFile(pyswing.database.pySwingDatabase)
copyFile(pyswing.database.pySwingTestDatabase,
pyswing.database.pySwingDatabase)
twoRuleStrategy = Strategy(
"Rule Equities Indicator_BB20 abs(t1.Close - t2.upperband) < abs(t1.Close - t2.middleband)",
"Rule Equities abs(Close - High) * 2 < abs(Close - Low)",
"Exit TrailingStop3.0 RiskRatio2", "Buy")
twoRuleStrategy.evaluateTwoRuleStrategy()
threeRuleStrategy = Strategy(
"Rule Equities Indicator_BB20 abs(t1.Close - t2.upperband) < abs(t1.Close - t2.middleband)",
"Rule Equities abs(Close - High) * 2 < abs(Close - Low)",
"Exit TrailingStop3.0 RiskRatio2", "Buy",
"Rule Indicator_RSI RSI > 20")
threeRuleStrategy.evaluateThreeRuleStrategy()
historicTrades = Strategy(
"Rule Equities Indicator_BB20 abs(t1.Close - t2.upperband) < abs(t1.Close - t2.middleband)",
"Rule Equities abs(Close - High) * 2 < abs(Close - Low)",
"Exit TrailingStop3.0 RiskRatio2", "Buy",
"Rule Indicator_RSI RSI > 20")
historicTrades.generateHistoricTrades()
