def backtest(strategy_name):
strategy = strategy_name.split('_', 1)[0]
print(strategy)
if strategy == 'netzero':
backtest_strategies.backtest(netzero.netzero(), underlying,
strategy_name, risk_capital, quantity,
start, end, netzero.parameters,
frequency_string)
if strategy == 'the-bull':
backtest_strategies.backtest(the_bull.bull(), underlying,
strategy_name, risk_capital, quantity,
start, end, the_bull.parameters,
frequency_string)
if strategy == 'bf70':
backtest_strategies.backtest(bf70.bf70(), underlying, strategy_name,
risk_capital, quantity, start, end,
bf70.parameters, frequency_string)
backtest_strategies.backtest(bf70.bf70(), underlying, strategy_name,
risk_capital, quantity, start, end,
bf70.parameters, frequency_string,
include_underlying)
compute_stats.compute_stats(strategy_name, underlying, risk_capital)
strategy_name = 'the_bull_' + underlying.replace(
'^', '').lower() + '_' + frequency_string
if quantity is not None:
strategy_name += "_q" + str(quantity)
backtest_strategies.backtest(the_bull.bull(), underlying, strategy_name,
risk_capital, quantity, start, end,
the_bull.parameters, frequency_string,
include_underlying)
compute_stats.compute_stats(strategy_name, underlying, risk_capital)
strategy_name = 'netzero_' + underlying.replace(
'^', '').lower() + '_' + frequency_string
if quantity is not None:
strategy_name += "_q" + str(quantity)
backtest_strategies.backtest(netzero.netzero(), underlying, strategy_name,
risk_capital, quantity, start, end,
netzero.parameters, frequency_string,
include_underlying)
compute_stats.compute_stats(strategy_name, underlying, risk_capital)
print()
print("--- %s seconds ---" % (time.time() - start_time))
from datetime import datetime
start_time = time.time()
printalot = True
start = datetime(2006, 11, 1).date()
# start = datetime(2010, 6, 1).date() # vxx options since: 2010-05-28
# start = datetime(2017, 1, 1).date()
end = datetime(2019, 7, 31).date()
# end = datetime.now().date()
connector = postgresql_connector.MyDB()
strategy = netzero.netzero(connector, "netzero", "^RUT", 0, 0, None, None,
None, None, None, None, None, None, None, None,
None, None, None, None, None)
backtest_strategies.backtest(strategy, "netzero", 100000, printalot, start,
end, netzero.parameters)
strategy = the_bull.bull(connector, "the_bull", "^RUT", 0, 0, None, None, None,
None, None, None, None, None, None, None, None, None,
None, None, None)
backtest_strategies.backtest(strategy, "the_bull", 100000, printalot, start,
end, the_bull.parameters)
strategy = bf70.bf70(connector, "bf70", "^RUT", 5, 5, None, None, None, None,
None, None, None, None, None, None, None, None, None,
None, None)
backtest_strategies.backtest(strategy, "bf70", 100000, printalot, start, end,
bf70.parameters)