class GoogleFinanceBacktest(object):
LOGGER_NAME = "GoogleFinanceBacktest"
def __init__(self,
instruments,
initialCash,
fromYear,
toYear,
debugMode=True,
csvStorage="./googlefinance",
filterInvalidRows=True):
self.__logger = logger.getLogger(GoogleFinanceBacktest.LOGGER_NAME)
self.__finalPortfolioValue = 0
# Create Feed
self.__feed = googlefeed.Feed()
rowFilter = lambda row: row["Close"] == "-" or row["Open"] == "-" or row["High"] == "-" or row["Low"] == "-" or \
row["Volume"] == "-"
self.__feed = googlefinance.build_feed(
instruments,
fromYear,
toYear,
storage=csvStorage,
skipErrors=True,
rowFilter=rowFilter if filterInvalidRows else None)
# Create Broker
comissionModel = backtesting.FixedPerTrade(10)
self.__broker = backtesting.Broker(initialCash,
self.__feed,
commission=comissionModel)
self.__strategy = TradingSystem(self.__feed,
self.__broker,
debugMode=debugMode)
# Create Analyzers
returnsAnalyzer = returns.Returns()
self.__strategy.attachAnalyzer(returnsAnalyzer)
dailyResultsAnalyzer = DailyTradingResults()
self.__strategy.attachAnalyzer(dailyResultsAnalyzer)
self.__tradesAnalyzer = Trades()
self.__strategy.attachAnalyzer(self.__tradesAnalyzer)
# Create plotters
self.__plotters = []
self.__plotters.append(
plotter.StrategyPlotter(self.__strategy,
plotAllInstruments=False,
plotPortfolio=True,
plotBuySell=False))
self.__plotters[0].getOrCreateSubplot("returns").addDataSeries(
"Simple returns", returnsAnalyzer.getReturns())
self.__plotters[0].getOrCreateSubplot("dailyresult").addDataSeries(
"Daily Results", dailyResultsAnalyzer.getTradeResults())
for i in range(0, len(instruments)):
p = plotter.StrategyPlotter(self.__strategy,
plotAllInstruments=False,
plotPortfolio=False)
p.getInstrumentSubplot(instruments[i])
self.__plotters.append(p)
def getBroker(self):
return self.__broker
def getFeed(self):
return self.__feed
def attachAlgorithm(self, tradingAlgorithm):
self.__strategy.setAlgorithm(tradingAlgorithm)
def getTradesAnalyzer(self):
return self.__tradesAnalyzer
def run(self):
self.__strategy.run()
self.__finalPortfolioValue = self.__strategy.getBroker().getEquity()
self.__logger.info("Final portfolio value: $%.2f" %
self.__strategy.getBroker().getEquity())
def generateHtmlReport(self, htmlfilepath):
figures = []
htmlcontent = ""
for p in self.__plotters:
subplots = p.getSubplots()
for instrument, subplot in subplots.items():
for ti in self.__strategy.getAlgorithm(
).getTechnicalIndicators().values():
if ti.isNewPlot():
p.getOrCreateSubplot(
instrument + " " +
ti.getName()).addAndProcessDataSeries(
instrument + " " + ti.getName(),
ti[instrument])
else:
subplot.addAndProcessDataSeries(
instrument + " " + ti.getName(),
ti[instrument],
defaultClass=SecondaryMarker)
fig = p.buildFigure()
figures.append(fig)
htmlcontent += self.__generatehtml(fig)
with open(htmlfilepath, mode="w") as htmlfile:
htmlfile.write(htmlcontent)
return figures
def __generatehtml(self, fig):
i = 0
for ax in fig.get_axes():
plugins.connect(
fig,
plugins.InteractiveLegendPlugin(
plot_elements=ax.get_lines(),
labels=[str(x) for x in ax.get_legend().get_texts()],
ax=ax,
alpha_unsel=0.0,
alpha_over=1.5))
i += 1
for line in ax.get_lines():
line.set_ydata(
[x if x is not None else 0 for x in line.get_ydata()])
plugins.connect(
fig,
plugins.PointLabelTooltip(
points=line,
labels=[str(y) for y in line.get_ydata()],
hoffset=10,
voffset=10))
return mpld3.fig_to_html(fig)
class GoogleFinanceBacktest(object):
LOGGER_NAME = "GoogleFinanceBacktest"
def __init__(self, instruments, initialCash, year, debugMode=True, csvStorage="./googlefinance"):
self.__logger = logger.getLogger(GoogleFinanceBacktest.LOGGER_NAME)
self.__finalPortfolioValue = 0
# Create Feed
self.__feed = googlefeed.Feed()
rowFilter = lambda row: row["Close"] == "-" or row["Open"] == "-" or row["High"] == "-" or row["Low"] == "-" or \
row["Volume"] == "-"
self.__feed = googlefinance.build_feed(instruments, year, year, storage=csvStorage, skipErrors=True, rowFilter=rowFilter)
# Create Broker
comissionModel = backtesting.FixedPerTrade(10)
self.__broker = backtesting.Broker(initialCash, self.__feed, commission=comissionModel)
self.__strategy = TradingSystem(self.__feed, self.__broker, debugMode=debugMode)
# Create Analyzers
returnsAnalyzer = returns.Returns()
self.__strategy.attachAnalyzer(returnsAnalyzer)
dailyResultsAnalyzer = DailyTradingResults()
self.__strategy.attachAnalyzer(dailyResultsAnalyzer)
# Create plotters
self.__plotters = []
self.__plotters.append(
plotter.StrategyPlotter(self.__strategy, plotAllInstruments=False, plotPortfolio=True, plotBuySell=False))
self.__plotters[0].getOrCreateSubplot("returns").addDataSeries("Simple returns", returnsAnalyzer.getReturns())
self.__plotters[0].getOrCreateSubplot("dailyresult").addDataSeries("Daily Results", dailyResultsAnalyzer.getTradeResults())
for i in range(0, len(instruments), 3):
p = plotter.StrategyPlotter(self.__strategy, plotAllInstruments=False, plotPortfolio=False)
p.getInstrumentSubplot(instruments[i])
self.__plotters.append(p)
if i < len(instruments) - 1:
p.getInstrumentSubplot(instruments[i + 1])
if i < len(instruments) - 2:
p.getInstrumentSubplot(instruments[i + 2])
def getBroker(self):
return self.__broker
def getFeed(self):
return self.__feed
def attachAlgorithm(self, tradingAlgorithm):
self.__strategy.setAlgorithm(tradingAlgorithm)
def run(self):
self.__strategy.run()
self.__finalPortfolioValue = self.__strategy.getBroker().getEquity()
self.__logger.info("Final portfolio value: $%.2f" % self.__strategy.getBroker().getEquity())
def generatePdfReport(self, pdfFile):
pdf = PdfPages(pdfFile)
for p in self.__plotters:
pdf.savefig(p.buildFigure())
pdf.close()
class GoogleFinanceBacktest(object):
LOGGER_NAME = "GoogleFinanceBacktest"
def __init__(self,
instruments,
initialCash,
year,
debugMode=True,
csvStorage="./googlefinance"):
self.__logger = logger.getLogger(GoogleFinanceBacktest.LOGGER_NAME)
self.__finalPortfolioValue = 0
# Create Feed
self.__feed = googlefeed.Feed()
rowFilter = lambda row: row["Close"] == "-" or row["Open"] == "-" or row["High"] == "-" or row["Low"] == "-" or \
row["Volume"] == "-"
self.__feed = googlefinance.build_feed(instruments,
year,
year,
storage=csvStorage,
skipErrors=True,
rowFilter=rowFilter)
# Create Broker
comissionModel = backtesting.FixedPerTrade(10)
self.__broker = backtesting.Broker(initialCash,
self.__feed,
commission=comissionModel)
self.__strategy = TradingSystem(self.__feed,
self.__broker,
debugMode=debugMode)
# Create Analyzers
returnsAnalyzer = returns.Returns()
self.__strategy.attachAnalyzer(returnsAnalyzer)
dailyResultsAnalyzer = DailyTradingResults()
self.__strategy.attachAnalyzer(dailyResultsAnalyzer)
# Create plotters
self.__plotters = []
self.__plotters.append(
plotter.StrategyPlotter(self.__strategy,
plotAllInstruments=False,
plotPortfolio=True,
plotBuySell=False))
self.__plotters[0].getOrCreateSubplot("returns").addDataSeries(
"Simple returns", returnsAnalyzer.getReturns())
self.__plotters[0].getOrCreateSubplot("dailyresult").addDataSeries(
"Daily Results", dailyResultsAnalyzer.getTradeResults())
for i in range(0, len(instruments)):
p = plotter.StrategyPlotter(self.__strategy,
plotAllInstruments=False,
plotPortfolio=False)
p.getInstrumentSubplot(instruments[i])
self.__plotters.append(p)
def getBroker(self):
return self.__broker
def getFeed(self):
return self.__feed
def attachAlgorithm(self, tradingAlgorithm):
self.__strategy.setAlgorithm(tradingAlgorithm)
def run(self):
self.__strategy.run()
self.__finalPortfolioValue = self.__strategy.getBroker().getEquity()
self.__logger.info("Final portfolio value: $%.2f" %
self.__strategy.getBroker().getEquity())
def generatePdfReport(self, pdfFile):
pdf = PdfPages(pdfFile)
for p in self.__plotters:
subplots = p.getSubplots()
for instrument, subplot in subplots.items():
for ti in self.__strategy.getAlgorithm(
).getTechnicalIndicators().values():
if ti.isNewPlot():
p.getOrCreateSubplot(
instrument + " " +
ti.getName()).addAndProcessDataSeries(
instrument + " " + ti.getName(),
ti[instrument])
else:
subplot.addAndProcessDataSeries(
instrument + " " + ti.getName(),
ti[instrument],
defaultClass=SecondaryMarker)
pdf.savefig(p.buildFigure())
pdf.close()