def test_retrace_strategy(strategy_params, run_id):
latch = DataLatch(3)
s1_order_q = DQueue()
s1_fill_q = DQueue()
strat_name = 'test_%04d' % run_id
## NOTE strategy_params is a dict that the strategy
## uses to initialize itself.
strategy = RetraceStrategy(strat_name, strategy_params=strategy_params)
strategy.bar_interval = 1
strategy.IN_fills = s1_fill_q
strategy.OUT_orders = s1_order_q
strategy.latch = latch
porto_name = 'retrace_%d' % run_id
portfolio = Portfolio(porto_name, None)
portfolio.latch = latch
portfolio.add(strategy)
exchange = Exchange()
exchange.IN_orders = portfolio.OUT_orders
exchange.OUT_fills = portfolio.IN_fills
exchange.latch = latch
exchange.start()
portfolio.start()
strategy.start()
simData = DataFeedDaily('daily.SPY.csv')
for market_data in simData:
latch.trap(market_data)
## ORDER MATTERS!
## this allows submit-fill loop to happen in a single on_data() event
strategy.on_data(market_data)
portfolio.on_data(market_data)
exchange.on_data(market_data)
## do any final processing
#strategy.flush()
exchange.shutdown()
portfolio.shutdown()
strategy.shutdown()
exchange.join()
portfolio.join()
strategy.join()
return portfolio.stats()
def test_exchange():
latch = DataLatch(1)
## exchange queues
order_q = DQueue()
fill_q = DQueue()
exchange = Exchange()
exchange.latch = latch
## bind exchange and portfolio together
tester = Tester()
exchange.IN_orders = order_q
exchange.OUT_fills = fill_q
tester.IN_queue = fill_q
exchange.start()
tester.start()
o1 = Order('test', 'AAPL', Order.BUY, 100, Order.MARKET, None, None)
o1.stamp_time(parse_date("20140311"))
order_q.put(o1)
o2 = Order('test', 'AAPL', Order.BUY, 200, Order.MARKET, None, None)
o2.stamp_time(parse_date("20140816"))
order_q.put(o2)
o3 = Order('test', 'AAPL', Order.SELL, 300, Order.MARKET, None, None)
o3.stamp_time(parse_date("20140101"))
order_q.put(o3)
simData = DataFeedDaily('AAPL.csv')
for market_data in simData:
latch.trap(market_data)
exchange.on_data(market_data)
exchange.shutdown()
tester.shutdown()
exchange.join()
tester.join()
from RetraceStrategy import RetraceStrategy
from DataFeed import DataFeedDaily
from Optimizer import Optimizer
if __name__ == '__main__':
optimizer = Optimizer()
optimizer.strategy_class = RetraceStrategy
# optimizer.data_feed = DataFeedDaily('daily.SPY.csv')
optimizer.data_feed = DataFeedDaily('SPY.csv')
## set population size
optimizer.size = 40
optimizer.max_generations = 50
optimizer.outfile = 'optimize_retrace3.xls'
optimizer.reset_on_EOD = True
## parameter space to search over
## strategy_params for RetraceStrategy = dict(average,momentum,duration)
## momentum = entry momentum crossover
## average = moving average filter
## duration = trade holding period
param_list = [
dict(name='momentum', min_val=30, max_val=50, steps=16, converter=int),
dict(name='average', min_val=70, max_val=120, steps=32, converter=int),
dict(name='duration', min_val=10, max_val=20, steps=8, converter=int)
]
for p in param_list:
optimizer.add_parameter(p)
from Treadmill import Treadmill
from RetraceStrategy import RetraceStrategy
from DataFeed import DataFeedDaily
t = Treadmill()
t.strategy_class = RetraceStrategy
t.strategy_params = dict(average=141,momentum=21,duration=15)
t.data_feed = DataFeedDaily('daily.SPY.csv')
t.run()
from RetraceStrategy import RetraceStrategy
from DataFeed import DataFeedDaily
from Optimizer import Optimizer
if __name__ == '__main__':
optimizer = Optimizer()
optimizer.strategy_class = RetraceStrategy
# optimizer.data_feed = DataFeedDaily('daily.SPY.csv')
optimizer.data_feed = DataFeedDaily('mini_data.csv')
## set population size
optimizer.size = 40
optimizer.max_generations = 50
optimizer.outfile = 'retrace_mini_opz.xls'
optimizer.reset_on_EOD = True
## parameter space to search over
## strategy_params for RetraceStrategy = dict(average,momentum,duration)
## momentum = entry momentum crossover
## average = moving average filter
## duration = trade holding period
param_list = [dict(name='momentum',min_val=10,max_val=100,steps=32,converter=int),
dict(name='average',min_val=20,max_val=200,steps=32,converter=int),
dict(name='duration',min_val=10,max_val=50,steps=16,converter=int) ]
for p in param_list: