def submit_backtest(strategy_name,
initial_funds=1000,
initial_balance=0,
fill_prob=0.5,
fee=0.0025,
data_fnm='data/coinbaseUSD.npz',
history_fnm=None,
data_name='data',
datapart='val',
train_prop=0.8,
val_prop=0.1,
verbose=1,
print_freq=10000,
name=None,
longname=None):
if backtests.count({'name': name}) > 0:
raise Exception('Backtest with that common name already added')
max_id_test = backtests.find_one({}, sort=[('id', pymongo.DESCENDING)])
if max_id_test is None:
max_id = -1
else:
max_id = max_id_test['id']
curr_id = max_id + 1
if name is None:
name = '{}_backtest_{}'.format(strategy_name, curr_id)
if longname is None:
longname = name
if history_fnm is None:
history_fnm = '{}_history.npz'.format(name)
strategy_fnm = strategies.find_one({'name': strategy_name})['fnm']
strategy_id = strategies.find_one({'name': strategy_name})['id']
strategy_mod = SourceFileLoader('strategy', strategy_fnm).load_module()
strategy = strategy_mod.strategy
backtest(strategy, initial_funds, initial_balance, fill_prob, fee, None,
data_fnm, history_fnm, data_name, datapart, None, train_prop,
val_prop, verbose, print_freq)
backtests.insert({
'name': name,
'longname': longname,
'id': curr_id,
'fnm': abspath(history_fnm),
'strategy_id': strategy_id
})
print('Backtest submitted with name {} and id {}'.format(name, curr_id))
from cointk.backtest import backtest
from cointk.strategies import RandomStrategy
import random
random.seed(1)
strategy_random = RandomStrategy()
backtest(strategy_random,
data_fnm='data/coinbaseUSD.npz',
plot_fnm='plots/SimpleRandom-full.html')
from cointk.prescient_sim import compute_prescient
from cointk.strategies.prescient import QtyIndependent
from cointk.backtest import backtest
strategy = QtyIndependent()
compute_prescient(
strategy, history_fnm='prescient_histories/qty_independent.npz')
backtest(strategy, datapart='train', verbose=1)
from cointk.prescient_sim import compute_prescient
from cointk.strategies.prescient import QtySemidependent
from cointk.backtest import backtest
strategy = QtySemidependent()
compute_prescient(strategy,
history_fnm='prescient_histories/qty_independent.npz')
backtest(strategy, datapart='train')
from cointk.backtest import backtest from cointk.strategies import NaiveStrategy strategy = NaiveStrategy(n_prices=1000, threshold=0.8) backtest(strategy)
from cointk.backtest import backtest
from cointk.strategies import EMAPriceCrossover
strategy = EMAPriceCrossover(ma_length=10000, qty=-1, decision='increasing',
verbose=1)
backtest(strategy, plot_fnm='plots/EMA-full.html')
from cointk.backtest import backtest
from cointk.strategies import EMAPriceCrossover
import random
random.seed(1)
strategy = EMAPriceCrossover(ma_length=10000, qty=-1, trend_threshold=2, decision_logic='order_once',
verbose=1)
backtest(strategy, plot_fnm='plots/EMA-full.html', datapart='train', plot_args={'initial_funds': 1000})
from cointk.backtest import backtest
from cointk.strategies import OldNaiveStrategy
import random
random.seed(1)
strategy = OldNaiveStrategy(n_prices=100, threshold=0.8)
# Use the 100k test dataset
backtest(strategy,
data_fnm='data/coinbaseUSD_100k_sample.npz',
plot_name='plots/Naive-test-100k-threshhold-0.8.html',
verbose=1)