class CryptoBacktest:
"""
Attributes:
data: the full dataframe to backtest
strategies: list of `Strategy` instances to test
broker: `Broker` instance to trade on the data
"""
def __init__(self, data):
"""
TODO: Abstract this from USD and BTC specific accounts
:param data: dataframe to run backtest on
"""
self.data = data
self.strategies = []
usd_account = Account('USD', 1000)
btc_account = Account('BTC', 0, 'Close')
self.broker = Broker(data, [usd_account, btc_account])
def add_strategy(self, strategy):
"""
:param strategy: strategy to add to the backtest
"""
strategy.add_broker(self.broker)
strategy.add_data(self.data)
strategy.initialize()
self.strategies.append(strategy)
def run(self):
"""
"""
logger.info('Running strategies...')
# Run strategies on data
for index, row in self.data.iterrows():
self.broker.handle_data(index)
for strategy in self.strategies:
strategy.handle_data_wrapper(index)
logger.info('Calculating metrics...')
self.broker.calculate_metrics()
def plot(self):
"""
TODO: Share X axis with Candlesticks and account data
"""
account_subplots = self.broker.accounts_df.shape[1]
data_subplots = 2
total_rows = account_subplots + data_subplots
data_ratio = total_rows * 5 / 8
volume_ratio = total_rows / 8
account_ratio = total_rows / (4 * account_subplots)
height_ratios = [data_ratio, volume_ratio] + [account_ratio] * account_subplots
fig, axes = plt.subplots(
nrows=total_rows,
#sharex=True,
gridspec_kw = {'height_ratios': height_ratios}
)
candlestick_ohlc(axes[0], list(zip(
self.data.index.astype(np.int64) // 10**9,
self.data['Open'].values,
self.data['High'].values,
self.data['Low'].values,
self.data['Close'].values,
)), width=32, colorup='g')
axes[0].xaxis.set_major_locator(MinuteLocator())
axes[0].xaxis.set_major_formatter(DateFormatter('%Y-%m-%d %H:%i'))
try:
self.data['Volume'].plot(ax=axes[1], legend=True)
except KeyError:
pass
self.broker.plot(axes, data_subplots)
plt.show()
