def run_strategy(isBenchmark, instruments, posMax, entrySma, exitSma,
rsiPeriod, overSoldThreshold):
# Load the yahoo feed from the CSV file
feed = yahoofeed.Feed()
feed.sanitizeBars(True)
for instrument, startYear in instruments.items():
for year in range(startYear, assets.endYear):
if os.path.isfile(assets.folder + instrument + "-" + str(year) +
".csv"):
feed.addBarsFromCSV(
instrument,
assets.folder + instrument + "-" + str(year) + ".csv")
if isBenchmark:
myStrategy = MyBenchmark(feed, instruments, posMax, exitSma)
else:
myStrategy = MyStrategy(feed, instruments, posMax, entrySma, exitSma,
rsiPeriod, overSoldThreshold)
# Attach analyzers to the strategy.
# Returns first in case others use it (DataSeries)
returnsAnalyzer = returns.Returns()
myStrategy.attachAnalyzer(returnsAnalyzer)
returnsAnalyzer.getReturns().setMaxLen(1000000)
sharpeAnalyzer = sharpe.SharpeRatio()
myStrategy.attachAnalyzer(sharpeAnalyzer)
drawDownAnalyzer = drawdown.DrawDown()
myStrategy.attachAnalyzer(drawDownAnalyzer)
tradesAnalyzer = trades.Trades()
myStrategy.attachAnalyzer(tradesAnalyzer)
volaAnalyzer = volatility.VolaAnalyzer(120)
myStrategy.attachAnalyzer(volaAnalyzer)
# Attach a plotter to the strategy
plt = plotter.StrategyPlotter(myStrategy, False)
volaSeries = volaAnalyzer.getVolaSeries()
plt.getOrCreateSubplot("Volatility").addDataSeries("Volatility",
volaSeries)
capStart = myStrategy.getBroker().getEquity()
myStrategy.info("CAPITAL INICIAL: $%.4f" % capStart)
# Run the strategy
myStrategy.run()
# Show basic information
allRet = returnsAnalyzer.getReturns()
capEnd = myStrategy.getBroker().getEquity()
myStrategy.info("CAPITAL FINAL: $%.4f" % capEnd)
myStrategy.info(" ")
myStrategy.info("Rentabilidad: %.4f%%" % (100 *
(capEnd - capStart) / capStart))
myStrategy.info("Rentabilidad Anualizada: %.4f%%" % (100 * (math.pow(
(capEnd / capStart),
(365.0 /
((myStrategy.endDateTime - myStrategy.startDateTime).days))) - 1)))
myStrategy.info("Volatilidad Anualizada: %.4f%%" %
(100 * stats.stddev(allRet, 1) * math.sqrt(252)))
myStrategy.info("Ratio de Sharpe Anualizado: %.4f" %
(100 * sharpeAnalyzer.getSharpeRatio(0.0036, True)))
myStrategy.info("DrawDown Maximo: %.4f%%" %
(100 * drawDownAnalyzer.getMaxDrawDown()))
myStrategy.info("DrawDown Mas Largo: %s dias" %
(drawDownAnalyzer.getLongestDrawDownDuration().days))
myStrategy.info(" ")
myStrategy.info("Rentabilidad Media: %.4f%%" % (100 * stats.mean(allRet)))
posRet = []
negRet = []
allRet = returnsAnalyzer.getReturns()
for ret in allRet:
if ret > 0:
posRet.append(ret)
elif ret < 0:
negRet.append(ret)
myStrategy.info("Ganancia Media: %.4f%%" % (100 * stats.mean(posRet)))
myStrategy.info("Perdida Media: %.4f%%" % (100 * stats.mean(negRet)))
myStrategy.info(" ")
myStrategy.info("Ganancia Media por Op: $%s" %
(stats.mean(tradesAnalyzer.getProfits())))
myStrategy.info("Perdida Media por Op: $%s" %
(stats.mean(tradesAnalyzer.getLosses())))
myStrategy.info("Comisiones Totales: $%s" %
(sum(tradesAnalyzer.getCommissionsForAllTrades())))
myStrategy.info("Num Ops Igual: %s" % (tradesAnalyzer.getEvenCount()))
myStrategy.info("Num Ops Gano: %s" % (tradesAnalyzer.getProfitableCount()))
myStrategy.info("Num Ops Pierdo: %s" %
(tradesAnalyzer.getUnprofitableCount()))
# Plot the strategy.
plt.plot()
def run_strategy(index, startYear, endYear):
# Load the yahoo feed from the CSV file
feed = yahoofeed.Feed()
feed.sanitizeBars(True)
for year in range(startYear, endYear):
feed.addBarsFromCSV(index,
"./data/" + index + "-" + str(year) + ".csv")
# Evaluate the strategy with the feed.
myStrategy = MyStrategy(feed, index)
# Attach analyzers to the strategy.
# Returns first in case others use it (DataSeries)
returnsAnalyzer = returns.Returns()
myStrategy.attachAnalyzer(returnsAnalyzer)
returnsAnalyzer.getReturns().setMaxLen(300000)
sharpeAnalyzer = sharpe.SharpeRatio()
myStrategy.attachAnalyzer(sharpeAnalyzer)
drawDownAnalyzer = drawdown.DrawDown()
myStrategy.attachAnalyzer(drawDownAnalyzer)
tradesAnalyzer = trades.Trades()
myStrategy.attachAnalyzer(tradesAnalyzer)
volaAnalyzer = volatility.VolaAnalyzer(120)
myStrategy.attachAnalyzer(volaAnalyzer)
# Attach a plotter to the strategy
plt = plotter.StrategyPlotter(myStrategy)
volaSeries = volaAnalyzer.getVolaSeries()
plt.getOrCreateSubplot("Volatility").addDataSeries("Volatility",
volaSeries)
# Run the strategy
myStrategy.run()
# Show basic information
myStrategy.info("Valor final de la cartera: $%.2f" %
myStrategy.getBroker().getEquity())
myStrategy.info("Ratio de Sharpe Anualizado: " +
str(sharpeAnalyzer.getSharpeRatio(0.0036, True)))
myStrategy.info("DrawDown Maximo: " +
str(drawDownAnalyzer.getMaxDrawDown()))
myStrategy.info("DrawDown Mas Largo: " +
str(drawDownAnalyzer.getLongestDrawDownDuration()))
meanProfit = stats.mean(tradesAnalyzer.getProfits())
myStrategy.info("Ganancia Media: " + str(meanProfit))
meanLoss = stats.mean(tradesAnalyzer.getLosses())
myStrategy.info("Perdida Media: " + str(meanLoss))
myStrategy.info("Num Ops Igual: " + str(tradesAnalyzer.getEvenCount()))
myStrategy.info("Num Ops Gano: " +
str(tradesAnalyzer.getProfitableCount()))
myStrategy.info("Num Ops Pierdo: " +
str(tradesAnalyzer.getUnprofitableCount()))
allRet = returnsAnalyzer.getReturns()
#print len(allRet)
myStrategy.info("Rent Media: " + str(stats.mean(allRet)))
posRet = []
negRet = []
allRet = returnsAnalyzer.getReturns()
for ret in allRet:
if ret > 0:
posRet.append(ret)
elif ret < 0:
negRet.append(ret)
myStrategy.info("Ganancia Media: " + str(stats.mean(posRet)))
myStrategy.info("Perdida Media: " + str(stats.mean(negRet)))
myStrategy.info("Vola Media: " + str(stats.mean(volaSeries[-60:])))
# Plot the strategy.
plt.plot()
# Attach analyzers to the strategy
returnsAnalyzer = returns.Returns()
myStrategy.attachAnalyzer(returnsAnalyzer)
returnsAnalyzer.getReturns().setMaxLen(1000000)
sharpeAnalyzer = sharpe.SharpeRatio()
myStrategy.attachAnalyzer(sharpeAnalyzer)
drawDownAnalyzer = drawdown.DrawDown()
myStrategy.attachAnalyzer(drawDownAnalyzer)
tradesAnalyzer = trades.Trades()
myStrategy.attachAnalyzer(tradesAnalyzer)
volaAnalyzer = volatility.VolaAnalyzer(120)
myStrategy.attachAnalyzer(volaAnalyzer)
# Attach a plotter to the strategy
plt = plotter.StrategyPlotter(myStrategy, False)
capStart = myStrategy.getBroker().getEquity()
myStrategy.info("CAPITAL INICIAL: $%.4f" % capStart)
# Run the strategy
myStrategy.run()
# Show basic information
allRet = returnsAnalyzer.getReturns()
capEnd = myStrategy.getBroker().getEquity()