def main(): import coloredlogs coloredlogs.install(level='DEBUG', fmt='[%(asctime)s] %(levelname)s %(message)s') # Load the yahoo feed from CSV files. feed = yahoofeed.Feed() feed.addBarsFromCSV("aeti", "./tests/data/aeti-2011-yahoofinance.csv") feed.addBarsFromCSV("egan", "./tests/data/egan-2011-yahoofinance.csv") feed.addBarsFromCSV("glng", "./tests/data/glng-2011-yahoofinance.csv") feed.addBarsFromCSV("simo", "./tests/data/simo-2011-yahoofinance.csv") # Evaluate the strategy with the feed's bars. myStrategy = MyStrategy(feed) # Attach returns and sharpe ratio analyzers. retAnalyzer = returns.Returns() myStrategy.attachAnalyzer(retAnalyzer) sharpeRatioAnalyzer = sharpe.SharpeRatio() myStrategy.attachAnalyzer(sharpeRatioAnalyzer) # Run the strategy myStrategy.run() # Print the results. print("Final portfolio value: $%.2f" % myStrategy.getResult()) print("Anual return: %.2f %%" % (retAnalyzer.getCumulativeReturns()[-1] * 100)) print("Average daily return: %.2f %%" % (stats.mean(retAnalyzer.getReturns()) * 100)) print("Std. dev. daily return: %.4f" % (stats.stddev(retAnalyzer.getReturns()))) print("Sharpe ratio: %.2f" % (sharpeRatioAnalyzer.getSharpeRatio(0)))
def testBounded(self): tmpFeed = TemporarySQLiteFeed(SQLiteFeedTestCase.dbName, bar.Frequency.DAY, maxLen=2) with tmpFeed: # Load bars using a Yahoo! feed. yahooFeed = yahoofeed.Feed(maxLen=1) yahooFeed.addBarsFromCSV( "orcl", common.get_data_file_path("orcl-2000-yahoofinance.csv"), marketsession.USEquities.timezone) yahooFeed.addBarsFromCSV( "orcl", common.get_data_file_path("orcl-2001-yahoofinance.csv"), marketsession.USEquities.timezone) # Fill the database using the bars from the Yahoo! feed. sqliteFeed = tmpFeed.getFeed() sqliteFeed.getDatabase().addBarsFromFeed(yahooFeed) # Load the SQLite feed and process all bars. sqliteFeed.loadBars("orcl") for bars in sqliteFeed: pass barDS = sqliteFeed["orcl"] self.assertEqual(len(barDS), 2) self.assertEqual(len(barDS.getDateTimes()), 2) self.assertEqual(len(barDS.getCloseDataSeries()), 2) self.assertEqual(len(barDS.getCloseDataSeries().getDateTimes()), 2) self.assertEqual(len(barDS.getOpenDataSeries()), 2) self.assertEqual(len(barDS.getHighDataSeries()), 2) self.assertEqual(len(barDS.getLowDataSeries()), 2) self.assertEqual(len(barDS.getAdjCloseDataSeries()), 2)
def loadDailyBarFeed(self): barFeed = yahoofeed.Feed() barFeed.addBarsFromCSV( StrategyTestCase.TestInstrument, common.get_data_file_path("orcl-2000-yahoofinance.csv")) return barFeed
def testCumulativeReturn(self): initialCash = 33.06 barFeed = yahoofeed.Feed() barFeed.addBarsFromCSV( AnalyzerTestCase.TestInstrument, common.get_data_file_path("orcl-2001-yahoofinance.csv")) strat = position_test.MyTestStrategy(barFeed, AnalyzerTestCase.TestInstrument, initialCash) strat.addPosEntry(datetime.datetime(2001, 1, 12), strat.enterLong, AnalyzerTestCase.TestInstrument, 1) # 33.06 strat.addPosExitMarket(datetime.datetime(2001, 11, 27)) # 14.32 stratAnalyzer = returns.Returns(maxLen=10) strat.attachAnalyzer(stratAnalyzer) strat.run() self.assertTrue( round(strat.getBroker().getCash(), 2) == round( initialCash + (14.32 - 33.06), 2)) self.assertTrue( round(33.06 * (1 + stratAnalyzer.getCumulativeReturns()[-1]), 2) == 14.32) self.assertEqual(len(stratAnalyzer.getCumulativeReturns()), 10) self.assertEqual(len(stratAnalyzer.getReturns()), 10)
def testFirstBar(self): initialCash = 1000 barFeed = yahoofeed.Feed() barFeed.addBarsFromCSV( AnalyzerTestCase.TestInstrument, common.get_data_file_path("orcl-2001-yahoofinance.csv")) strat = strategy_test.MyTestStrategy(barFeed, initialCash) strat.addOrder(datetime.datetime(2001, 1, 2), strat.getBroker().createMarketOrder, broker.Order.Action.BUY, AnalyzerTestCase.TestInstrument, 1, False) # 2001-01-03 Open: 25.25 Close: 32.00 stratAnalyzer = returns.Returns() strat.attachAnalyzer(stratAnalyzer) strat.run() self.assertEqual(stratAnalyzer.getReturns()[0], 0) self.assertEqual(stratAnalyzer.getReturns()[1], (32.00 - 25.25) / 1000) # Check date times. datetimes = barFeed[AnalyzerTestCase.TestInstrument].getDateTimes() for i in [0, -1]: self.assertEqual(stratAnalyzer.getReturns().getDateTimes()[i], datetimes[i]) self.assertEqual( stratAnalyzer.getCumulativeReturns().getDateTimes()[i], datetimes[i])
def testResampledBarFeed(self): barFeed = yahoofeed.Feed() barFeed.addBarsFromCSV( "spy", common.get_data_file_path("spy-2010-yahoofinance.csv")) barFeed.addBarsFromCSV( "nikkei", common.get_data_file_path("nikkei-2010-yahoofinance.csv")) resampledBarFeed = resampled_bf.ResampledBarFeed( barFeed, bar.Frequency.MONTH) disp = dispatcher.Dispatcher() disp.addSubject(barFeed) disp.addSubject(resampledBarFeed) disp.run() weeklySpyBarDS = resampledBarFeed["spy"] weeklyNikkeiBarDS = resampledBarFeed["nikkei"] # Check first bar self.assertEqual(weeklySpyBarDS[0].getDateTime().date(), datetime.date(2010, 1, 1)) self.assertEqual(weeklyNikkeiBarDS[0].getDateTime().date(), datetime.date(2010, 1, 1)) # Check last bar self.assertEqual(weeklySpyBarDS[-1].getDateTime().date(), datetime.date(2010, 11, 1)) self.assertEqual(weeklyNikkeiBarDS[-1].getDateTime().date(), datetime.date(2010, 11, 1))
def testOneBarReturn(self): initialCash = 1000 barFeed = yahoofeed.Feed() barFeed.setBarFilter( csvfeed.DateRangeFilter(datetime.datetime(2001, 12, 7), datetime.datetime(2001, 12, 7))) barFeed.addBarsFromCSV( AnalyzerTestCase.TestInstrument, common.get_data_file_path("orcl-2001-yahoofinance.csv")) strat = strategy_test.MyTestStrategy(barFeed, initialCash) # 2001-12-07,15.74,15.95,15.55,15.91,42463200,15.56 # Manually place the orders to get them filled on the first (and only) bar. order = strat.getBroker().createMarketOrder( broker.Order.Action.BUY, AnalyzerTestCase.TestInstrument, 1, False) # Open: 15.74 strat.getBroker().submitOrder(order) order = strat.getBroker().createMarketOrder( broker.Order.Action.SELL, AnalyzerTestCase.TestInstrument, 1, True) # Close: 15.91 strat.getBroker().submitOrder(order) stratAnalyzer = returns.Returns() strat.attachAnalyzer(stratAnalyzer) strat.run() self.assertTrue(strat.getBroker().getCash() == initialCash + (15.91 - 15.74)) finalValue = 1000 - 15.74 + 15.91 rets = (finalValue - initialCash) / float(initialCash) self.assertEqual(stratAnalyzer.getReturns()[-1], rets)
def testDownloadAndParseDaily(self): instrument = "orcl" barFeed = yahoofeed.Feed() barFeed.addBarsFromCSV( instrument, common.get_data_file_path("orcl-2000-yahoofinance.csv")) strat = sma_crossover.SMACrossOver(barFeed, instrument, 20) plt = plotter.StrategyPlotter(strat, True, True, True) plt.getInstrumentSubplot(instrument).addDataSeries( "sma", strat.getSMA()) strat.run() with common.TmpDir() as tmpPath: fig, subplots = plt.buildFigureAndSubplots() self.assertIsNotNone(fig) self.assertIsNotNone(subplots) # fig = plt.buildFigure() fig, _ = plt.buildFigureAndSubplots() fig.set_size_inches(10, 8) png = os.path.join(tmpPath, "plotter_test.png") fig.savefig(png)
def testIGE_BrokerWithCommission(self): commision = 0.5 initialCash = 42.09 + commision # This testcase is based on an example from Ernie Chan's book: # 'Quantitative Trading: How to Build Your Own Algorithmic Trading Business' barFeed = yahoofeed.Feed() barFeed.addBarsFromCSV("ige", common.get_data_file_path("sharpe-ratio-test-ige.csv")) strat = strategy_test.MyTestStrategy(barFeed, initialCash) strat.getBroker().setCommission(backtesting.FixedPerTrade(commision)) strat.setUseAdjustedValues(True) strat.setBrokerOrdersGTC(True) stratAnalyzer = sharpe.SharpeRatio() strat.attachAnalyzer(stratAnalyzer) # Disable volume checks to match book results. strat.getBroker().getFillStrategy().setVolumeLimit(None) # Manually place the order to get it filled on the first bar. order = strat.getBroker().createMarketOrder(broker.Order.Action.BUY, "ige", 1, True) # Adj. Close: 42.09 order.setGoodTillCanceled(True) strat.getBroker().submitOrder(order) strat.addOrder(datetime.datetime(2007, 11, 13), strat.getBroker().createMarketOrder, broker.Order.Action.SELL, "ige", 1, True) # Adj. Close: 127.64 strat.run() self.assertTrue(round(strat.getBroker().getCash(), 2) == initialCash + (127.64 - 42.09 - commision*2)) self.assertEqual(strat.orderUpdatedCalls, 6) # The results are slightly different only because I'm taking into account the first bar as well, # and I'm also adding commissions. self.assertEqual(round(stratAnalyzer.getSharpeRatio(0.04, True), 6), 0.776443)
def __test(self, strategyClass, finalValue): feed = yahoofeed.Feed() feed.addBarsFromCSV("orcl", common.get_data_file_path("orcl-2001-yahoofinance.csv")) myStrategy = strategyClass(feed, 10, 25) myStrategy.run() myStrategy.printDebug("Final result:", round(myStrategy.getFinalValue(), 2)) self.assertTrue(round(myStrategy.getFinalValue(), 2) == finalValue)
def testNoEvents(self): feed = yahoofeed.Feed() feed.addBarsFromCSV( "orcl", common.get_data_file_path("orcl-2000-yahoofinance.csv")) predicate = Predicate([]) eventProfiler = eventprofiler.Profiler(predicate, 5, 5) eventProfiler.run(feed, True) self.assertEqual(eventProfiler.getResults().getEventCount(), 0)
def testFailingStrategy(self): barFeed = yahoofeed.Feed() barFeed.addBarsFromCSV( "orcl", common.get_data_file_path("orcl-2000-yahoofinance.csv")) res = local.run(FailingStrategy, barFeed, parameters_generator("orcl", 5, 100), logLevel=logging.DEBUG) self.assertIsNone(res)
def testOneEvent(self): feed = yahoofeed.Feed() feed.addBarsFromCSV( "orcl", common.get_data_file_path("orcl-2000-yahoofinance.csv")) predicate = Predicate([datetime.date(2000, 1, 11)]) eventProfiler = eventprofiler.Profiler(predicate, 5, 5) eventProfiler.run(feed, True) self.assertEqual(eventProfiler.getResults().getEventCount(), 1) self.assertEqual(eventProfiler.getResults().getValues(0)[0], 1.0) self.assertEqual(round(eventProfiler.getResults().getValues(5)[0], 5), round(1.016745541, 5))
def testNoTrades(self): barFeed = yahoofeed.Feed() barFeed.addBarsFromCSV("ige", common.get_data_file_path("sharpe-ratio-test-ige.csv")) strat = strategy_test.MyTestStrategy(barFeed, 1000) stratAnalyzer = sharpe.SharpeRatio() strat.attachAnalyzer(stratAnalyzer) strat.run() self.assertTrue(strat.getBroker().getCash() == 1000) self.assertTrue(stratAnalyzer.getSharpeRatio(0.04, True) == 0) self.assertTrue(stratAnalyzer.getSharpeRatio(0) == 0) self.assertTrue(stratAnalyzer.getSharpeRatio(0, True) == 0)
def testLocal(self): barFeed = yahoofeed.Feed() barFeed.addBarsFromCSV( "orcl", common.get_data_file_path("orcl-2000-yahoofinance.csv")) res = local.run(SMACrossOver, barFeed, parameters_generator("orcl", 5, 100), logLevel=logging.DEBUG) self.assertEqual(round(res.getResult(), 2), 1295462.6) self.assertEqual(res.getParameters()[1], 20)
def main(plot): instruments = ["orcl", ] feed = yahoofeed.Feed() feed.addBarsFromCSV(instruments[0], "./tests/data/orcl-2000.csv") predicate = BuyOnGap(feed) eventProfiler = eventprofiler.Profiler(predicate, 5, 5) eventProfiler.run(feed, True) results = eventProfiler.getResults() print("%d events found" % (results.getEventCount())) if plot: eventprofiler.plot(results)
def main(): # Load the orders file. ordersFile = OrdersFile("./tests/data/orders.csv") print("First date", ordersFile.getFirstDate()) print("Last date", ordersFile.getLastDate()) print("Symbols", ordersFile.getInstruments()) # Load the data from QSTK storage. QS environment variable has to be defined. if os.getenv("QS") is None: raise Exception("QS environment variable not defined") feed = yahoofeed.Feed() feed.setBarFilter( csvfeed.DateRangeFilter(ordersFile.getFirstDate(), ordersFile.getLastDate())) feed.setDailyBarTime( datetime.time(0, 0, 0) ) # This is to match the dates loaded with the ones in the orders file. for symbol in ordersFile.getInstruments(): feed.addBarsFromCSV( symbol, os.path.join(os.getenv("QS"), "QSData", "Yahoo", symbol + ".csv")) # Run the strategy. cash = 1000000 useAdjustedClose = True myStrategy = MyStrategy(feed, cash, ordersFile, useAdjustedClose) # Attach returns and sharpe ratio analyzers. retAnalyzer = returns.Returns() myStrategy.attachAnalyzer(retAnalyzer) sharpeRatioAnalyzer = sharpe.SharpeRatio() myStrategy.attachAnalyzer(sharpeRatioAnalyzer) myStrategy.run() # Print the results. print("Final portfolio value: $%.2f" % myStrategy.getResult()) print("Anual return: %.2f %%" % (retAnalyzer.getCumulativeReturns()[-1] * 100)) print("Average daily return: %.2f %%" % (stats.mean(retAnalyzer.getReturns()) * 100)) print("Std. dev. daily return: %.4f" % (stats.stddev(retAnalyzer.getReturns()))) print("Sharpe ratio: %.2f" % (sharpeRatioAnalyzer.getSharpeRatio(0)))
def testDifferentTimezones(self): # Market times in UTC: # - TSE: 0hs ~ 6hs # - US: 14:30hs ~ 21hs feed = yahoofeed.Feed() for year in [2010, 2011]: feed.addBarsFromCSV( "^n225", common.get_data_file_path("nikkei-%d-yahoofinance.csv" % year), marketsession.TSE.getTimezone()) feed.addBarsFromCSV( "spy", common.get_data_file_path("spy-%d-yahoofinance.csv" % year), marketsession.USEquities.getTimezone()) self.__testDifferentTimezonesImpl(feed)
def testNoTrades(self): barFeed = yahoofeed.Feed() barFeed.addBarsFromCSV( "ige", common.get_data_file_path("sharpe-ratio-test-ige.csv")) barFeed.addBarsFromCSV( "spy", common.get_data_file_path("sharpe-ratio-test-spy.csv")) strat = strategy_test.MyTestStrategy(barFeed, 1000) strat.setBrokerOrdersGTC(True) strat.setUseAdjustedValues(True) stratAnalyzer = drawdown.DrawDown() strat.attachAnalyzer(stratAnalyzer) strat.run() self.assertTrue(strat.getBroker().getCash() == 1000) self.assertEqual(strat.orderUpdatedCalls, 0) self.assertTrue(stratAnalyzer.getMaxDrawDown() == 0) self.assertTrue( stratAnalyzer.getLongestDrawDownDuration() == datetime.timedelta())
def testMultipleInstrumentsInterleaved(self): barFeed = yahoofeed.Feed() barFeed.addBarsFromCSV( "spy", common.get_data_file_path("spy-2010-yahoofinance.csv"), marketsession.NYSE.getTimezone()) barFeed.addBarsFromCSV( "nikkei", common.get_data_file_path("nikkei-2010-yahoofinance.csv"), marketsession.TSE.getTimezone()) strat = strategy_test.MyTestStrategy(barFeed, 1000) stratAnalyzer = returns.Returns() strat.attachAnalyzer(stratAnalyzer) strat.marketOrder("spy", 1) strat.run() # The cumulative return should be the same if we load nikkei or not. self.assertEqual(round(stratAnalyzer.getCumulativeReturns()[-1], 5), 0.01338)
def testGoogle2011(self): initialValue = 1000000 barFeed = yahoofeed.Feed() barFeed.addBarsFromCSV( AnalyzerTestCase.TestInstrument, common.get_data_file_path("goog-2011-yahoofinance.csv")) strat = strategy_test.MyTestStrategy(barFeed, initialValue) order = strat.getBroker().createMarketOrder( broker.Order.Action.BUY, AnalyzerTestCase.TestInstrument, 1654, True) # 2011-01-03 close: 604.35 strat.getBroker().submitOrder(order) stratAnalyzer = returns.Returns() strat.attachAnalyzer(stratAnalyzer) strat.run() finalValue = strat.getBroker().getEquity() self.assertEqual( round(stratAnalyzer.getCumulativeReturns()[-1], 4), round((finalValue - initialValue) / float(initialValue), 4))
def testBaseFeedInterface(self): tmpFeed = TemporarySQLiteFeed(SQLiteFeedTestCase.dbName, bar.Frequency.DAY) with tmpFeed: # Load bars using a Yahoo! feed. yahooFeed = yahoofeed.Feed() yahooFeed.addBarsFromCSV( "orcl", common.get_data_file_path("orcl-2000-yahoofinance.csv"), marketsession.USEquities.timezone) yahooFeed.addBarsFromCSV( "orcl", common.get_data_file_path("orcl-2001-yahoofinance.csv"), marketsession.USEquities.timezone) # Fill the database using the bars from the Yahoo! feed. sqliteFeed = tmpFeed.getFeed() sqliteFeed.getDatabase().addBarsFromFeed(yahooFeed) # Load the SQLite feed and process all bars. sqliteFeed.loadBars("orcl") feed_test.tstBaseFeedInterface(self, sqliteFeed)
def testLoadDailyBars(self): tmpFeed = TemporarySQLiteFeed(SQLiteFeedTestCase.dbName, bar.Frequency.DAY) with tmpFeed: # Load bars using a Yahoo! feed. yahooFeed = yahoofeed.Feed() yahooFeed.addBarsFromCSV( "orcl", common.get_data_file_path("orcl-2000-yahoofinance.csv"), marketsession.USEquities.timezone) yahooFeed.addBarsFromCSV( "orcl", common.get_data_file_path("orcl-2001-yahoofinance.csv"), marketsession.USEquities.timezone) # Fill the database using the bars from the Yahoo! feed. sqliteFeed = tmpFeed.getFeed() sqliteFeed.getDatabase().addBarsFromFeed(yahooFeed) # Load the SQLite feed and process all bars. sqliteFeed.loadBars("orcl") for bars in sqliteFeed: pass # Check that both dataseries have the same bars. yahooDS = yahooFeed["orcl"] sqliteDS = sqliteFeed["orcl"] self.assertEqual(len(yahooDS), len(sqliteDS)) for i in range(len(yahooDS)): self.assertEqual(yahooDS[i].getDateTime(), sqliteDS[i].getDateTime()) self.assertEqual(yahooDS[i].getOpen(), sqliteDS[i].getOpen()) self.assertEqual(yahooDS[i].getHigh(), sqliteDS[i].getHigh()) self.assertEqual(yahooDS[i].getLow(), sqliteDS[i].getLow()) self.assertEqual(yahooDS[i].getClose(), sqliteDS[i].getClose()) self.assertEqual(yahooDS[i].getAdjClose(), sqliteDS[i].getAdjClose())
def testEventsOnBoundary(self): feed = yahoofeed.Feed() feed.addBarsFromCSV( "orcl", common.get_data_file_path("orcl-2000-yahoofinance.csv")) dates = [] dates.append(datetime.date(2000, 1, 3)) dates.append(datetime.date(2000, 1, 4)) dates.append(datetime.date(2000, 1, 5)) dates.append(datetime.date(2000, 1, 6)) dates.append(datetime.date(2000, 1, 7)) dates.append(datetime.date(2000, 1, 10)) dates.append(datetime.date(2000, 12, 22)) dates.append(datetime.date(2000, 12, 26)) dates.append(datetime.date(2000, 12, 27)) dates.append(datetime.date(2000, 12, 28)) dates.append(datetime.date(2000, 12, 29)) predicate = Predicate(dates) eventProfiler = eventprofiler.Profiler(predicate, 5, 5) eventProfiler.run(feed, True) self.assertEqual(eventProfiler.getResults().getEventCount(), 0)
def testTwoBarReturns_OpenClose(self): initialCash = 15.61 barFeed = yahoofeed.Feed() barFeed.setBarFilter( csvfeed.DateRangeFilter(datetime.datetime(2001, 12, 6), datetime.datetime(2001, 12, 7))) barFeed.addBarsFromCSV( AnalyzerTestCase.TestInstrument, common.get_data_file_path("orcl-2001-yahoofinance.csv")) strat = strategy_test.MyTestStrategy(barFeed, initialCash) # 2001-12-06,15.61,16.03,15.50,15.90,66944900,15.55 # 2001-12-07,15.74,15.95,15.55,15.91,42463200,15.56 # Manually place the entry order, to get it filled on the first bar. order = strat.getBroker().createMarketOrder( broker.Order.Action.BUY, AnalyzerTestCase.TestInstrument, 1, False) # Open: 15.61 strat.getBroker().submitOrder(order) strat.addOrder(datetime.datetime(2001, 12, 6), strat.getBroker().createMarketOrder, broker.Order.Action.SELL, AnalyzerTestCase.TestInstrument, 1, True) # Close: 15.91 stratAnalyzer = returns.Returns() strat.attachAnalyzer(stratAnalyzer) strat.run() self.assertTrue(strat.getBroker().getCash() == initialCash + (15.91 - 15.61)) # First day returns: Open vs Close self.assertTrue(stratAnalyzer.getReturns()[0] == (15.90 - 15.61) / 15.61) # Second day returns: Close vs Prev. day's close self.assertTrue(stratAnalyzer.getReturns()[1] == (15.91 - 15.90) / 15.90)
def __testIGE_BrokerImpl(self, quantity): initialCash = 42.09 * quantity # This testcase is based on an example from Ernie Chan's book: # 'Quantitative Trading: How to Build Your Own Algorithmic Trading Business' barFeed = yahoofeed.Feed() barFeed.addBarsFromCSV( "ige", common.get_data_file_path("sharpe-ratio-test-ige.csv")) strat = strategy_test.MyTestStrategy(barFeed, initialCash) strat.setUseAdjustedValues(True) strat.setBrokerOrdersGTC(True) stratAnalyzer = drawdown.DrawDown() strat.attachAnalyzer(stratAnalyzer) # Disable volume checks to match book results. strat.getBroker().getFillStrategy().setVolumeLimit(None) # Manually place the order to get it filled on the first bar. order = strat.getBroker().createMarketOrder(broker.Order.Action.BUY, "ige", quantity, True) # Adj. Close: 42.09 order.setGoodTillCanceled(True) strat.getBroker().submitOrder(order) strat.addOrder(datetime.datetime(2007, 11, 13), strat.getBroker().createMarketOrder, broker.Order.Action.SELL, "ige", quantity, True) # Adj. Close: 127.64 strat.run() self.assertTrue( round(strat.getBroker().getCash(), 2) == initialCash + (127.64 - 42.09) * quantity) self.assertEqual(strat.orderUpdatedCalls, 6) self.assertTrue(round(stratAnalyzer.getMaxDrawDown(), 5) == 0.31178) self.assertTrue( stratAnalyzer.getLongestDrawDownDuration() == datetime.timedelta( days=623))
def __getFeed(self): # Load the feed and process all bars. barFeed = yahoofeed.Feed() barFeed.addBarsFromCSV(VWAPTestCase.Instrument, common.get_data_file_path("orcl-2001-yahoofinance.csv")) return barFeed
# from . import sma_crossover from mooquant.analyzer import drawdown, returns, sharpe, trades from mooquant.barfeed import yahoofeed from samples import sma_crossover if __name__ == '__main__': feed = yahoofeed.Feed() feed.addBarsFromCSV("orcl", "./tests/data/orcl-2000.csv") # Evaluate the strategy with the feed's bars. myStrategy = sma_crossover.SMACrossOver(feed, "orcl", 20) # Attach different analyzers to a strategy before executing it. retAnalyzer = returns.Returns() myStrategy.attachAnalyzer(retAnalyzer) sharpeRatioAnalyzer = sharpe.SharpeRatio() myStrategy.attachAnalyzer(sharpeRatioAnalyzer) drawDownAnalyzer = drawdown.DrawDown() myStrategy.attachAnalyzer(drawDownAnalyzer) tradesAnalyzer = trades.Trades() myStrategy.attachAnalyzer(tradesAnalyzer) # Run the strategy. myStrategy.run() print("Final portfolio value: $%.2f" % myStrategy.getResult()) print("Cumulative returns: %.2f %%" % (retAnalyzer.getCumulativeReturns()[-1] * 100)) print("Sharpe ratio: %.2f" % (sharpeRatioAnalyzer.getSharpeRatio(0.05))) print("Max. drawdown: %.2f %%" % (drawDownAnalyzer.getMaxDrawDown() * 100))