def foo(config):
print('Running...')
asset = EURUSD(generate_data(100000))
account = Account(initial_balance=1000)
slow_period = 45
fast_period = 35
sma = np.zeros((asset.data.shape[0],2))
sma[(slow_period-1):,0] = moving_average(asset.data[:,1],slow_period)
sma[(fast_period-1):,1] = moving_average(asset.data[:,1],fast_period)
risk_man = ConstantRate(config['lot_size'],on='free_margin')
strategy = MACross(RiskManagement=risk_man,rate=config['rate'])
strategy = asset.register(strategy)
result = BackTest(account,strategy).run(assets=asset,exog=sma)
tune.track.log(mean_accuracy=result.Account.balance)
if stock not in selected.index:
self.selected_to_close.append(stock)
del self.past_data[0]
return order.asset_id in self.selected_to_close # close if the order is selected for close
else:
return False
else:
return order.asset_id in self.selected_to_close # close if the order is selected for close
def decide_short_close(self, order, spot_price, timestamp, Account, exog):
return False
stocks = [
Stock(generate_data(10000, freq='1h'),
name=f'stock_{i}',
short_name=f'STCK_{i}') for i in range(20)
] # randomly generate stock prices
account = Account(
initial_balance=1000) # initialize an account with 1000 USD balance
risk_man = ConstantRate(0.05) # constant lot size with 5% of balance each time
strategy = CustomAllocation(RiskManagement=risk_man,
id=45450,
name='custom_buyer')
for stock in stocks:
strategy = stock.register(
strategy) # allow strategy to use all of them, either one or multiple
sim = BackTest(Account=account, Strategy=strategy).run(stocks)
print(sim.Account.balances)
# TO DO: simplify the code
class Random(ParamSearch):
def __init__(self,q,*args,**kwargs):
super().__init__(*args,**kwargs)
if not 0 < q < 1:
raise ValueError('q must be in (0,1)')
self.q = q
def run(self,*args,**kwargs):
params = list(dict_product(self._paramset))
size = len(params)
self.n = int(size*self.q)
idxs = np.random.randint(0,size,self.n,dtype=int)
params = [params[i] for i in idxs]
list(map(lambda s: self._run(s,*args,**kwargs),params))
return self
if __name__ == '__main__':
from strategy_tester.utils import generate_data, dict_product
from strategy_tester.account import Account
from strategy_tester.strategy import Strategy
from strategy_tester.risk_management import ConstantRate
data = generate_data(100000)
account = Account(balance=1000)
paramset = {'RiskManagement':[ConstantRate(0.05),ConstantRate(0.1),ConstantRate(0.2)]}
sim = Random(0.7,account,Strategy,paramset).run(data.values)
print(sim.output)
'strike_price': spot_price[asset_id]
}
output[asset_id] = args
return output
def decide_long_close(self, order, spot_price, timestamp, Account, exog):
return exog[0] < exog[1]
def decide_short_close(self, order, spot_price, timestamp, Account, exog):
return exog[0] > exog[1]
np.random.seed(123)
aapl = AAPL(generate_data(100000))
account = Account(initial_balance=1000)
risk_man = ConstantRate(0.01, on='free_margin')
strategy = MACross(RiskManagement=risk_man, id=45450, name='ma_cross_trader')
strategy = aapl.register(strategy)
slow_period = 45
fast_period = 35
sma = np.zeros((aapl.data.shape[0], 2))
sma[(slow_period - 1):, 0] = moving_average(aapl.data[:, 1], slow_period)
sma[(fast_period - 1):, 1] = moving_average(aapl.data[:, 1], fast_period)
sim = BackTest(Account=account, Strategy=strategy,
track=(ROI, sharpe_ratio)).run(aapl, exog=sma)
print(sim.tracked_results)
print(sim.Account.balances)
print(sim.Account.equities)
self.q = q
def run(self, *args, **kwargs):
params = list(dict_product(self._paramset))
size = len(params)
self.n = int(size * self.q)
idxs = np.random.randint(0, size, self.n, dtype=int)
params = [params[i] for i in idxs]
list(map(lambda s: self._run(s, *args, **kwargs), params))
return self
if __name__ == "__main__":
from strategy_tester.utils import generate_data, dict_product
from strategy_tester.account import Account
from strategy_tester.strategy import Strategy
from strategy_tester.risk_management import ConstantRate
data = generate_data(100000)
account = Account()
paramset = {
"RiskManagement": [
ConstantRate(0.05),
ConstantRate(0.1),
ConstantRate(0.2),
]
}
sim = Random(0.7, account, Strategy, paramset).run(data.values)
print(sim.output)
import sys
import numpy as np
import pandas as pd
sys.path.insert(0, '../')
from strategy_tester.account import Account
from strategy_tester.asset import EURUSD
from strategy_tester.strategy import Strategy
from strategy_tester.risk_management import ConstantRate, KellyCriterion
from strategy_tester.simulate import BackTest
from strategy_tester.utils import generate_data
eurusd = EURUSD(generate_data(100000))
account = Account(initial_balance=1000)
strategy_1 = Strategy(RiskManagement=ConstantRate(0.05),
id=23030,
name='noise_trader_1')
strategy_2 = Strategy(RiskManagement=KellyCriterion(n=20),
id=23031,
name='noise_trader_2')
strategy_1, strategy_2 = eurusd.register(strategy_1, strategy_2)
sim = BackTest(Account=account, Strategy=[strategy_1, strategy_2]).run(eurusd)
print(sim.Account.balances)
"strike_price": ticker.price,
}
output[ticker.aid] = args
return output
def decide_long_close(self, order, tickers, Account, exog):
return exog[0] < exog[1]
def decide_short_close(self, order, tickers, Account, exog):
return exog[0] > exog[1]
np.random.seed(123)
aapl = Stock(price=generate_data(100000), base="AAPL")
account = Account()
risk_man = ConstantRate(0.01, on="free_margin")
strategy = MACross(RiskManagement=risk_man, id=45450, name="ma_cross_trader")
strategy = aapl.register(strategy)
slow_period = 55
fast_period = 35
def convert_ticker_data(tickers, fields=None):
output = []
for ticker in tickers:
output.append(ticker.to_dict(fields))
return pd.DataFrame(output)
import sys import numpy as np import pandas as pd sys.path.insert(0,'../') from strategy_tester.account import Account from strategy_tester.asset import EURUSD, GBPUSD from strategy_tester.strategy import Strategy from strategy_tester.risk_management import ConstantRate from strategy_tester.simulate import BackTest from strategy_tester.utils import generate_data eurusd = EURUSD(data=generate_data(100000)) gbpusd = GBPUSD(data=generate_data(100000)) account = Account(initial_balance=1000) risk_man = ConstantRate(0.1) strategy_1 = Strategy(RiskManagement=risk_man,id=23030,name='noise_trader') strategy_2 = Strategy(RiskManagement=risk_man,id=23031,name='noise_trader2') strategy_1,strategy_2 = eurusd.register(strategy_1,strategy_2) strategy_1 = gbpusd.register(strategy_1) sim = BackTest(Account=account,Strategy=[strategy_1,strategy_2]).run(assets=(eurusd,gbpusd)) print(sim.Account.balances)