def testStrategy():
from engine import bar
strat = thrSMA
instrument = '600288'
market = 'SH'
fromDate = '20150101'
toDate ='20150601'
frequency = bar.Frequency.MINUTE
paras = [2, 20, 60, 10]
plot = True
#############################################path set ############################33
import os
print os.path.split(os.path.realpath(__file__))
if frequency == bar.Frequency.MINUTE:
path = os.path.join(os.environ.get('STRATEGYPATH'), '..', 'histdata', 'minute')
elif frequency == bar.Frequency.DAY:
path = os.path.join(os.environ.get('STRATEGYPATH'), '..', 'histdata', 'day')
filepath = os.path.join(path, instrument + market + ".csv")
#############################################don't change ############################33
from engine.barfeed.csvfeed import Feed
barfeed = Feed(frequency)
barfeed.setDateTimeFormat('%Y-%m-%d %H:%M:%S')
barfeed.loadBars(instrument, market, fromDate, toDate, filepath)
engine_id = instrument + '.' + market
strat = strat(barfeed, engine_id, *paras)
from engine.stratanalyzer import returns
from engine.stratanalyzer import sharpe
from engine.stratanalyzer import drawdown
from engine.stratanalyzer import trades
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 __testManualImpl(self, closingPrices, cash):
barFeed = TestBarFeed(bar.Frequency.DAY)
bars = build_bars_from_closing_prices(closingPrices)
barFeed.addBarsFromSequence("orcl", bars)
strat = strategy_test.TestStrategy(barFeed, cash)
stratAnalyzer = drawdown.DrawDown()
strat.attachAnalyzer(stratAnalyzer)
# Manually place the order to get it filled on the first bar.
order = strat.getBroker().createMarketOrder(broker.Order.Action.BUY,
"orcl", 1, True)
order.setGoodTillCanceled(True)
strat.getBroker().submitOrder(order)
strat.run()
return stratAnalyzer
def testNoTrades(self):
barFeed = yahoofeed.Feed()
barFeed.addBarsFromCSV(
"ige", common.get_data_file_path("sharpe-ratio-test-ige.csv"))
barFeed.addBarsFromCSV(
"spy", common.get_data_file_path("sharpe-ratio-test-spy.csv"))
strat = strategy_test.TestStrategy(barFeed, 1000)
strat.setBrokerOrdersGTC(True)
strat.setUseAdjustedValues(True)
stratAnalyzer = drawdown.DrawDown()
strat.attachAnalyzer(stratAnalyzer)
strat.run()
self.assertTrue(strat.getBroker().getCash() == 1000)
self.assertEqual(strat.orderUpdatedCalls, 0)
self.assertTrue(stratAnalyzer.getMaxDrawDown() == 0)
self.assertTrue(
stratAnalyzer.getLongestDrawDownDuration() == datetime.timedelta())
def __testIGE_BrokerImpl(self, quantity):
initialCash = 42.09 * quantity
# This testcase is based on an example from Ernie Chan's book:
# 'Quantitative Trading: How to Build Your Own Algorithmic Trading Business'
barFeed = yahoofeed.Feed()
barFeed.addBarsFromCSV(
"ige", common.get_data_file_path("sharpe-ratio-test-ige.csv"))
strat = strategy_test.TestStrategy(barFeed, initialCash)
strat.setUseAdjustedValues(True)
strat.setBrokerOrdersGTC(True)
stratAnalyzer = drawdown.DrawDown()
strat.attachAnalyzer(stratAnalyzer)
# Disable volume checks to match book results.
strat.getBroker().getFillStrategy().setVolumeLimit(None)
# Manually place the order to get it filled on the first bar.
order = strat.getBroker().createMarketOrder(broker.Order.Action.BUY,
"ige", quantity,
True) # Adj. Close: 42.09
order.setGoodTillCanceled(True)
strat.getBroker().submitOrder(order)
strat.addOrder(datetime.datetime(2007, 11, 13),
strat.getBroker().createMarketOrder,
broker.Order.Action.SELL, "ige", quantity,
True) # Adj. Close: 127.64
strat.run()
self.assertTrue(
round(strat.getBroker().getCash(), 2) == initialCash +
(127.64 - 42.09) * quantity)
self.assertEqual(strat.orderUpdatedCalls, 6)
self.assertTrue(round(stratAnalyzer.getMaxDrawDown(), 5) == 0.31178)
self.assertTrue(
stratAnalyzer.getLongestDrawDownDuration() == datetime.timedelta(
days=623))
def testStrategy():
from engine import bar
from engine import plotter
strat = Bollinger_Bandit
instrument = '600288'
market = 'SH'
fromDate = '20150101'
toDate ='20150601'
frequency = bar.Frequency.MINUTE
paras = [40, 15, 35, 15, 60, 2]
plot = True
#############################################path set ############################33
import os
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
from engine.barfeed.csvfeed import Feed
barfeed = Feed(frequency)
barfeed.setDateTimeFormat('%Y-%m-%d %H:%M:%S')
barfeed.loadBars(instrument, market, fromDate, toDate, filepath)
engine_id = instrument + '.' + market
strat = strat(barfeed, engine_id, *paras)
from engine.stratanalyzer import returns
from engine.stratanalyzer import sharpe
from engine.stratanalyzer import drawdown
from engine.stratanalyzer import trades
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)