def __init__(self, config_file=None, *args, **kwargs):
"""
Init the paramter.
:param config_file:
:param args:
:param kwargs:
:return:
"""
self.logger = kwargs.get('log')
self._buy_record_list = []
self._sell_record_list = []
with codecs.open(config_file, encoding='utf-8') as f:
config = yaml.load(f)
if config is None:
raise ValueError("Need config file")
with codecs.open(config_file, encoding='utf-8') as f:
config = yaml.load(f)
self._cash = config['cash']
self._base_cash = self._cash
self._begin_date = config['begin']
self._end_date = config['end']
#Trade period config
if "trade_period" in config:
self._trade_peroid_set = True
self._trade_peroid_begin = config["trade_period"]["begin"]
self._trade_peroid_end = config["trade_period"]["end"]
else:
self._trade_peroid_set = False
# Compare with
self._benchmark_name = config['benchmark']
self._benchmark_data = None
# Use database to store data.
database_config = config['database']
if database_config['name'] == 'mysql':
self._database = MySQLUtils(database_config['user'],
str(database_config['passwd']),
database_config['database'],
database_config['source'])
elif database_config['name'] == 'rds':
self._database = RDSDB(self.logger)
else:
raise ValueError("Do not support data source")
if isinstance(config['test_list'], list):
self._backtest_list = config['test_list']
else:
self._backtest_list = self._database.get_all_stock()
self._qury_type = config['query_type']
self._need_data_length = config['need_data_length']
self._summary = {}
self._strategy = None
# Use to save the everydays return and loss
self.asset_dict = {}
self.asset_daliy = []
self._analysis = None
self._trade_strategy = None
self._date_type = config['date_type']
self._tax = config["tax"]
self._market = Market()
self._account = Account(self._cash, self._database)
self._tax_processor = TaxProcessor()
self._tax_processor.init_from_config(config)
def __init__(self, config_file=None, *args, **kwargs):
"""
Init the paramter.
:param config_file:
:param args:
:param kwargs:
:return:
"""
self.logger = kwargs.get('log')
self._buy_record_list = []
self._sell_record_list = []
with codecs.open(config_file, encoding='utf-8') as f:
config = yaml.load(f)
if config is None:
raise ValueError("Need config file")
with codecs.open(config_file, encoding='utf-8') as f:
config = yaml.load(f)
self._cash = config['cash']
self._base_cash = self._cash
self._begin_date = config['begin']
self._end_date = config['end']
#Trade period config
if "trade_period" in config:
self._trade_peroid_set = True
self._trade_peroid_begin = config["trade_period"]["begin"]
self._trade_peroid_end = config["trade_period"]["end"]
else:
self._trade_peroid_set = False
# Compare with
self._benchmark_name = config['benchmark']
self._benchmark_data = None
# Use database to store data.
database_config = config['database']
if database_config['name'] == 'mysql':
self._database = MySQLUtils(database_config['user'],
str(database_config['passwd']),
database_config['database'],
database_config['source'])
elif database_config['name'] == 'rds':
self._database = RDSDB(self.logger)
else:
raise ValueError("Do not support data source")
if isinstance(config['test_list'], list):
self._backtest_list = config['test_list']
else:
self._backtest_list = self._database.get_all_stock()
self._qury_type = config['query_type']
self._need_data_length = config['need_data_length']
self._summary = {}
self._strategy = None
# Use to save the everydays return and loss
self.asset_dict = {}
self.asset_daliy = []
self._analysis = None
self._trade_strategy = None
self._date_type = config['date_type']
self._tax = config["tax"]
self._market = Market()
self._account = Account(self._cash, self._database)
self._tax_processor = TaxProcessor()
self._tax_processor.init_from_config(config)
class BackTestBase(object):
'''
Get a strategy, test if this strategy work in some perodic.
'''
def __init__(self, config_file=None, *args, **kwargs):
"""
Init the paramter.
:param config_file:
:param args:
:param kwargs:
:return:
"""
self.logger = kwargs.get('log')
self._buy_record_list = []
self._sell_record_list = []
with codecs.open(config_file, encoding='utf-8') as f:
config = yaml.load(f)
if config is None:
raise ValueError("Need config file")
with codecs.open(config_file, encoding='utf-8') as f:
config = yaml.load(f)
self._cash = config['cash']
self._base_cash = self._cash
self._begin_date = config['begin']
self._end_date = config['end']
#Trade period config
if "trade_period" in config:
self._trade_peroid_set = True
self._trade_peroid_begin = config["trade_period"]["begin"]
self._trade_peroid_end = config["trade_period"]["end"]
else:
self._trade_peroid_set = False
# Compare with
self._benchmark_name = config['benchmark']
self._benchmark_data = None
# Use database to store data.
database_config = config['database']
if database_config['name'] == 'mysql':
self._database = MySQLUtils(database_config['user'],
str(database_config['passwd']),
database_config['database'],
database_config['source'])
elif database_config['name'] == 'rds':
self._database = RDSDB(self.logger)
else:
raise ValueError("Do not support data source")
if isinstance(config['test_list'], list):
self._backtest_list = config['test_list']
else:
self._backtest_list = self._database.get_all_stock()
self._qury_type = config['query_type']
self._need_data_length = config['need_data_length']
self._summary = {}
self._strategy = None
# Use to save the everydays return and loss
self.asset_dict = {}
self.asset_daliy = []
self._analysis = None
self._trade_strategy = None
self._date_type = config['date_type']
self._tax = config["tax"]
self._market = Market()
self._account = Account(self._cash, self._database)
self._tax_processor = TaxProcessor()
self._tax_processor.init_from_config(config)
def init(self, strategy=None, trade_strategy=None, analysis=None):
"""
Init the strategy , trade_strategy and analysis function.
:param strategy: Chceck if buy or is sell.
:param trade_strategy: Buy or sell.
:param analysis: Analysis the result.
:return:
"""
self._strategy = strategy
self._analysis = analysis
self._trade_strategy = trade_strategy
def set_strategy(self, strategy):
self._strategy = strategy
def test_strategy(self):
"""
This is the main function of the backtest.
Is used to start the backtest.
:return:
"""
if self._strategy is None:
raise ValueError("Do not have a strategy")
for stock in self._backtest_list:
self._strategy.init(self._cash)
self._account.reset(self._cash, self._database)
work_days = self._database.get_work_days(stock,
begin=self._begin_date,
end=self._end_date)
asset_array = []
for day in work_days:
self.test_low_freq(stock, day)
self._account.get_cash()
asset_array.append(self._account.get_cash())
# TODO: Add more detail about the transaction.
data = pd.DataFrame(data=asset_array, index=work_days)
if self._analysis is not None:
self._analysis(data)
print data
# data.plot()
# plt.show()
# context = Context()
# context.db = self._database
# context.date = day
# context.account = self._account
# if isinstance(day, int) or isinstance(day, str):
# day = datetime.strptime(str(day), self._date_type)
# if self._need_data_length.endswith('days'):
# data_len = int(self._need_data_length.split('days')[0])
# begin = datetime.strftime(day-timedelta(data_len-1),
# self._date_type)
# end = datetime.strftime(day+timedelta(1), self._date_type)
# else:
# raise ValueError("Do not supoort data length")
# m_type = M_TYOE[self._qury_type]
# stock_data = self._database.get_array(stock, begin=begin,
# end=end, m=m_type)
# self._test_strategy(stock, stock_data=stock_data)
# self._strategy.get_asset(stock, stock_data[-1])
# self._account.after_market()
# # print 'This is stock data', stock_data
# # print stock_data
# # print 'This is date index', date_index
# date_index = [datetime.strptime(str(x), self._date_type) for x
# in work_days]
# result = pd.DataFrame(data=self._strategy.asset_daliy,
# index=date_index,
# columns=["return"])
# self._summary[stock] = self._strategy.summary()
# max_withdraw = self.get_max_withdraw(stock, begin=self._begin_date,
# end=self._end_date)
# self.asset_dict.update({stock:
# {
# str(stock) + "_return": result,
# "return": result,
# "max_withdraw": max_withdraw
# }
# })
# self.summary()
def summary(self):
"""
This function is used to summary the result.
If you want calculate some other indicator, you can add them here.
:return:
"""
if self._analysis is not None:
self._analysis(self.asset_dict)
# for x in self.asset_dict:
# self.get_benchmark()
# asset_return = (self.asset_dict[x] - self._base_fund) / self._base_fund
# asset_return = asset_return.add_prefix(str(x) + "_")
# print asset_return
# result = pd.merge(asset_return, self._benchmark_data,
# left_index=True, right_index=True, how="inner")
# max_return = self.get_max_return(x, begin=self._begin_date, end=self._end_date)
# print max_return
# # print result
# # if self._analysis is not None:
# # self._analysis(result)
# # result.plot()
# # plt.show()
def get_benchmark(self):
"""
Get the benchmark. Used to compare with strategy.
"""
benchmark_data = self._database.get_array(self._benchmark_name,
self._begin_date,
self._end_date,
m=1440)
date_index = np.array([x.split(' ')[0] for x in benchmark_data[1:, 0]])
benchmark_data = benchmark_data[:, 4]
change_rate = (benchmark_data[1:] -
benchmark_data[0]) / benchmark_data[0]
self._benchmark_data = pd.DataFrame(data=change_rate,
index=date_index,
columns=["benchmark"])
print self._benchmark_data
def get_max_withdraw(self, stock, begin=None, end=None):
"""
Calculate the max return.
"""
day_data = self._database.get_array(stock,
begin=begin,
end=end,
m=1440)
day_data = day_data[:, 4]
max_loc = np.argmax(day_data)
after_data = day_data[max_loc:]
min_loc = np.argmin(after_data)
min_price = after_data[min_loc]
max_return = (day_data[max_loc] - min_price) / day_data[min_loc] * 100
return max_return
def test_low_freq(self, name, date):
"""
In this method test the low frequency
:param name:
:param date:
:return:
"""
# logger.info(date)
# logger.info("test in low frequence")
self._database.set_end_date(date)
# Every time transform the date to the algorithm.
# Algorithm get the data it self, but we should make
# sure so not get future data.
context = Context()
context.account = self._account
context.date = date
context.db = self._database
context.asset_code = name
context.market = self._market
context.tax_processor = self._tax_processor
order = self._strategy.if_buy(context)
# print "this is the cash this account have: ", self._account.cash
if order is not None:
logger.info("generate buy order:" + str(order))
self._account.buy(order, self._market)
order = self._strategy.if_sell(context)
# print 'sell order: ', order
if order is not None:
logger.info("generate sell order" + str(order))
self._account.sell(order, self._market)
self._account.after_market(date)
return_rate = self._account.get_return(date)
if return_rate is not None:
for name in return_rate:
print name, ": ", return_rate[name].return_rate
def test_high_freq(self):
pass
def _init_assert(self):
"""
Init the asset.
"""
self._cash = self._base_fund
self._strategy.init(self._cash)
def _test_strategy(self, stock, stock_data):
"""
Test strategy.
:param stock:
:param stock_data:
:return:
"""
# print 'This is the stock_data', stock_data
buy_detail = self._strategy.if_buy(stock_data, name=stock)
if buy_detail is not None:
result = self._strategy.buy_strategy(name=stock,
price=buy_detail[0],
date=buy_detail[1],
tax=self._tax,
buy=True)
if result:
return
sell_detail = self._strategy.if_sell(stock_data, name=stock)
if sell_detail is not None:
self._strategy.sell_strategy(name=stock,
price=sell_detail[0],
date=sell_detail[1],
tax=self._tax,
sell=True)
class BackTestBase(object):
'''
Get a strategy, test if this strategy work in some perodic.
'''
def __init__(self, config_file=None, *args, **kwargs):
"""
Init the paramter.
:param config_file:
:param args:
:param kwargs:
:return:
"""
self.logger = kwargs.get('log')
self._buy_record_list = []
self._sell_record_list = []
with codecs.open(config_file, encoding='utf-8') as f:
config = yaml.load(f)
if config is None:
raise ValueError("Need config file")
with codecs.open(config_file, encoding='utf-8') as f:
config = yaml.load(f)
self._cash = config['cash']
self._base_cash = self._cash
self._begin_date = config['begin']
self._end_date = config['end']
#Trade period config
if "trade_period" in config:
self._trade_peroid_set = True
self._trade_peroid_begin = config["trade_period"]["begin"]
self._trade_peroid_end = config["trade_period"]["end"]
else:
self._trade_peroid_set = False
# Compare with
self._benchmark_name = config['benchmark']
self._benchmark_data = None
# Use database to store data.
database_config = config['database']
if database_config['name'] == 'mysql':
self._database = MySQLUtils(database_config['user'],
str(database_config['passwd']),
database_config['database'],
database_config['source'])
elif database_config['name'] == 'rds':
self._database = RDSDB(self.logger)
else:
raise ValueError("Do not support data source")
if isinstance(config['test_list'], list):
self._backtest_list = config['test_list']
else:
self._backtest_list = self._database.get_all_stock()
self._qury_type = config['query_type']
self._need_data_length = config['need_data_length']
self._summary = {}
self._strategy = None
# Use to save the everydays return and loss
self.asset_dict = {}
self.asset_daliy = []
self._analysis = None
self._trade_strategy = None
self._date_type = config['date_type']
self._tax = config["tax"]
self._market = Market()
self._account = Account(self._cash, self._database)
self._tax_processor = TaxProcessor()
self._tax_processor.init_from_config(config)
def init(self, strategy=None, trade_strategy=None, analysis=None):
"""
Init the strategy , trade_strategy and analysis function.
:param strategy: Chceck if buy or is sell.
:param trade_strategy: Buy or sell.
:param analysis: Analysis the result.
:return:
"""
self._strategy = strategy
self._analysis = analysis
self._trade_strategy = trade_strategy
def set_strategy(self, strategy):
self._strategy = strategy
def test_strategy(self):
"""
This is the main function of the backtest.
Is used to start the backtest.
:return:
"""
if self._strategy is None:
raise ValueError("Do not have a strategy")
for stock in self._backtest_list:
self._strategy.init(self._cash)
self._account.reset(self._cash, self._database)
work_days = self._database.get_work_days(stock,
begin=self._begin_date,
end=self._end_date)
asset_array = []
for day in work_days:
self.test_low_freq(stock, day)
self._account.get_cash()
asset_array.append(self._account.get_cash())
# TODO: Add more detail about the transaction.
data = pd.DataFrame(data=asset_array, index=work_days)
if self._analysis is not None:
self._analysis(data)
print data
# data.plot()
# plt.show()
# context = Context()
# context.db = self._database
# context.date = day
# context.account = self._account
# if isinstance(day, int) or isinstance(day, str):
# day = datetime.strptime(str(day), self._date_type)
# if self._need_data_length.endswith('days'):
# data_len = int(self._need_data_length.split('days')[0])
# begin = datetime.strftime(day-timedelta(data_len-1),
# self._date_type)
# end = datetime.strftime(day+timedelta(1), self._date_type)
# else:
# raise ValueError("Do not supoort data length")
# m_type = M_TYOE[self._qury_type]
# stock_data = self._database.get_array(stock, begin=begin,
# end=end, m=m_type)
# self._test_strategy(stock, stock_data=stock_data)
# self._strategy.get_asset(stock, stock_data[-1])
# self._account.after_market()
# # print 'This is stock data', stock_data
# # print stock_data
# # print 'This is date index', date_index
# date_index = [datetime.strptime(str(x), self._date_type) for x
# in work_days]
# result = pd.DataFrame(data=self._strategy.asset_daliy,
# index=date_index,
# columns=["return"])
# self._summary[stock] = self._strategy.summary()
# max_withdraw = self.get_max_withdraw(stock, begin=self._begin_date,
# end=self._end_date)
# self.asset_dict.update({stock:
# {
# str(stock) + "_return": result,
# "return": result,
# "max_withdraw": max_withdraw
# }
# })
# self.summary()
def summary(self):
"""
This function is used to summary the result.
If you want calculate some other indicator, you can add them here.
:return:
"""
if self._analysis is not None:
self._analysis(self.asset_dict)
# for x in self.asset_dict:
# self.get_benchmark()
# asset_return = (self.asset_dict[x] - self._base_fund) / self._base_fund
# asset_return = asset_return.add_prefix(str(x) + "_")
# print asset_return
# result = pd.merge(asset_return, self._benchmark_data,
# left_index=True, right_index=True, how="inner")
# max_return = self.get_max_return(x, begin=self._begin_date, end=self._end_date)
# print max_return
# # print result
# # if self._analysis is not None:
# # self._analysis(result)
# # result.plot()
# # plt.show()
def get_benchmark(self):
"""
Get the benchmark. Used to compare with strategy.
"""
benchmark_data = self._database.get_array(self._benchmark_name,
self._begin_date,
self._end_date,
m=1440)
date_index = np.array([x.split(' ')[0] for x in benchmark_data[1:, 0]])
benchmark_data = benchmark_data[:, 4]
change_rate = (benchmark_data[1:] - benchmark_data[0]) / benchmark_data[
0]
self._benchmark_data = pd.DataFrame(data=change_rate, index=date_index,
columns=["benchmark"])
print self._benchmark_data
def get_max_withdraw(self, stock, begin=None, end=None):
"""
Calculate the max return.
"""
day_data = self._database.get_array(stock, begin=begin, end=end, m=1440)
day_data = day_data[:, 4]
max_loc = np.argmax(day_data)
after_data = day_data[max_loc:]
min_loc = np.argmin(after_data)
min_price = after_data[min_loc]
max_return = (day_data[max_loc] - min_price)/day_data[min_loc] * 100
return max_return
def test_low_freq(self, name, date):
"""
In this method test the low frequency
:param name:
:param date:
:return:
"""
# logger.info(date)
# logger.info("test in low frequence")
self._database.set_end_date(date)
# Every time transform the date to the algorithm.
# Algorithm get the data it self, but we should make
# sure so not get future data.
context = Context()
context.account = self._account
context.date = date
context.db = self._database
context.asset_code = name
context.market = self._market
context.tax_processor = self._tax_processor
order = self._strategy.if_buy(context)
# print "this is the cash this account have: ", self._account.cash
if order is not None:
logger.info("generate buy order:"+str(order))
self._account.buy(order, self._market)
order = self._strategy.if_sell(context)
# print 'sell order: ', order
if order is not None:
logger.info("generate sell order"+str(order))
self._account.sell(order, self._market)
self._account.after_market(date)
return_rate = self._account.get_return(date)
if return_rate is not None:
for name in return_rate:
print name, ": ", return_rate[name].return_rate
def test_high_freq(self):
pass
def _init_assert(self):
"""
Init the asset.
"""
self._cash = self._base_fund
self._strategy.init(self._cash)
def _test_strategy(self, stock, stock_data):
"""
Test strategy.
:param stock:
:param stock_data:
:return:
"""
# print 'This is the stock_data', stock_data
buy_detail = self._strategy.if_buy(stock_data, name=stock)
if buy_detail is not None:
result = self._strategy.buy_strategy(name=stock,
price=buy_detail[0],
date=buy_detail[1],
tax=self._tax,
buy=True)
if result:
return
sell_detail = self._strategy.if_sell(stock_data, name=stock)
if sell_detail is not None:
self._strategy.sell_strategy(name=stock,
price=sell_detail[0],
date=sell_detail[1],
tax=self._tax,
sell=True)