def param_updated(self):
# make sure parent updates its param
super(StopWinAlgo, self).param_updated()
# algo settings
self.if_ema = self.param['if_ema'] # if false, use sma
self.if_stop_win = self.param['if_stop_win'] #if false, don't stop win
self.if_consider_spread = self.param['if_consider_spread'] #if false, don't consider spread and fee
# create rolling
self.long_roll = SimpleMoving(size=self.param['rolling'])
self.short_roll = SimpleMoving(size=self.param['rolling'])
self.long_autoreg = Autoregressive(alpha = self.param['alpha'])
self.short_autoreg = Autoregressive(alpha = self.param['alpha'])
self.spreadx_roll = SimpleMoving(size = self.param['rolling'])
self.spready_roll = SimpleMoving(size = self.param['rolling'])
self.bollinger = self.param['bollinger']
self.block = self.param['block']
self.stop_win = self.param['stop_win']
#other params
self.last_long_res = -999
self.last_short_res = -999
#records
self.records = {'timestamp': [], 'longs': [], 'shorts': [],
'long_mean': [], 'short_mean': [],
'long_sd': [], 'short_sd':[]}
#tracker
self.tracker = TradeAnalysis(self.pair.x)
def back_test(pair, date, param):
tracker = TradeAnalysis(Contract(pair[0]))
algo = {'class': ConstantAlgo}
algo['param'] = {
'x': pair[0],
'y': pair[1],
'a': 1,
'b': 0,
'rolling': param[0],
'bollinger': param[1],
'const': param[2],
'block': 100,
'tracker': tracker
}
settings = {
'date': date,
'path': DATA_PATH,
'tickset': 'top',
'algo': algo,
'singletick': True
}
runner = PairRunner(settings)
runner.run()
account = runner.account
history = account.history.to_dataframe(account.items)
score = float(history[['pnl']].iloc[-1])
order_win = tracker.order_winning_ratio()
order_profit = tracker.analyze_all_profit()[0]
num_rounds = tracker.analyze_all_profit()[2]
return score, order_win, order_profit, num_rounds, runner
def param_updated(self):
# make sure parent updates its param
super(SMAAlgo, self).param_updated()
# create rolling
self.long_roll = SimpleMoving(size=self.param['rolling'])
self.short_roll = SimpleMoving(size=self.param['rolling'])
self.spreadx_roll = SimpleMoving(size = self.param['rolling'])
self.spready_roll = SimpleMoving(size = self.param['rolling'])
#params
self.bollinger = self.param['bollinger']
self.block = self.param['block']
self.stop_win = self.param['stop_win']
#other params
self.last_long_res = -999
self.last_short_res = -999
#records
self.records = {'timestamp': [], 'longs': [], 'shorts': [],
'long_mean': [], 'short_mean': [],
'long_sd': [], 'short_sd':[]}
self.max_profit = 0
#tracker
self.tracker = TradeAnalysis(self.pair.x)
def get_tracker(date_list, product):
pair = 0
for date in date_list:
pair = get_best_pair(date,market, product)
if type(pair) != tuple:
continue
else:
break
return TradeAnalysis(Contract(pair[0]))
