def ExecuteTest(results, pair, data_file, strategy_path="X:\Projects\StrategyTester\ui\StrategyUI\src\Strategy\strategy.py", equity=10000.0):
pairs = [pair] # ["GBPUSD"] #
#strategy = imp.load_source('strategy', strategy_path)
equity = Decimal(equity) # Decimal(10000.0) #
file_path = os.path.join(CSV_DATA_DIR,data_file) # "GBPUSD_20140102.csv") #
event_queue = queue.Queue()
market_data = HistoricCSVPriceHandler(pairs,event_queue,file_path) # LoadData, generates MARKET event on new data arrived
strategy = None
if strategy_path.find("TestStrategy")>=0:
strategy = TestStrategy(pairs, event_queue) # Trading strategy - later will use Strategy patter to change during execution
else:
strategy = MovingAverageCrossStrategy(pairs, event_queue)
portfolio = Portfolio(market_data, event_queue, equity=equity, backtest=True) # Stores openned positions, and will analyze trading events according to Portfolio and
# current market state
execution = SimulatedExecution()
iters = 0
max_iters = 100
while iters < max_iters and market_data.continue_backtest:
try:
event = event_queue.get(False)
except queue.Empty:
market_data.stream_next_tick()
else:
if event is not None:
if event.type == 'TICK':
strategy.calculate_signals(event)
portfolio.update_portfolio(event,results)
elif event.type == 'SIGNAL':
portfolio.execute_signal(event)
elif event.type == 'ORDER':
execution.execute_order(event)
time.sleep(0.1)
iters += 1
import os
pairs = [sys.argv[1]] # ["GBPUSD"] #
strategy_params = {
"short_window": 500,
"long_window": 2000
}
equity = Decimal(sys.argv[2]) # Decimal(10000.0) #
file_path = os.path.join(settings.CSV_DATA_DIR,sys.argv[3]) # "GBPUSD_20140102.csv") #
event_queue = queue.Queue()
market_data = HistoricCSVPriceHandler(pairs,event_queue,file_path) # LoadData, generates MARKET event on new data arrived
strategy = MovingAverageCrossStrategy(pairs, event_queue, **strategy_params) # Trading strategy - later will use Strategy patter to change during execution
portfolio = Portfolio(market_data, event_queue, equity=equity,backtest=True) # Stores openned positions, and will analyze trading events according to Portfolio and
# current market state
execution = SimulatedExecution()
print("Running Backtest...")
iters = 0
max_iters = 100
while iters < max_iters and market_data.continue_backtest:
try:
event = event_queue.get(False)
except queue.Empty:
market_data.stream_next_tick()
else:
if event is not None:
if event.type == 'TICK':
strategy.calculate_signals(event)
portfolio.update_portfolio(event)
elif event.type == 'SIGNAL':
