# Backtest with hist from local files https://youtu.be/UR_7_F8wPL0
# Speed up backtest by designating spot times https://youtu.be/bVE59nZ02ig
# Convert hist data format https://youtu.be/hYL6SYgy7wE
fileName = 'demo_buy_low_sell_high.py'
accountCode = 'dummyAccountCode' # IBridgePy needs a dummyAccountCode to simulate transactions when dataProviderName = 'LOCAL_FILE'
dataProviderName = 'LOCAL_FILE' # RANDOM, IB, LOCAL_FILE, TD, ROBINHOOD, IBRIDGEPY
# "histIngestionPlan" is a reserved word in IBridgePy to store the historical data ingestion plan that describes what historical data
# are needed during backtesting and IBridgePy backtester will fetch these data before backtesting to speed up the whole backtesting process.
# "histIngestionPlan" is not required for backtesting but it will make backtest much faster.
# "histIngestionPlan" is an instance of HistIngestionPlan.
histIngestionPlan = HistIngestionPlan()
histIngestionPlan.add(
Plan(security=symbol('SPY'),
barSize='1 min',
fileName='STK,SPY,USD_1 min_40 D.csv')
) # "histIngestionPlan.add" is used to add more Ingestion Plans
histIngestionPlan.add(
Plan(security=symbol('SPY'),
barSize='1 day',
fileName='STK,SPY,USD_1 day_55 D.csv')
) # "histIngestionPlan.add" is used to add more Ingestion Plans
# In CUSTOM mode, user can specify each spot time to backtest with any data provider.
# customSpotTimeList is an IBridgePy reserved key word. Its type is List.
# User can append each spot time into customSpotTimeList to backtest at these spot times.
timeGeneratorType = 'CUSTOM'
customSpotTimeList = []
import pandas as pd
# The goal is to backtest from 2020-10-30 to 2020-12-24 and only allow the datetime of 15:59:00 Eastern go through the to-be-tested strategy
####
# The backtesting time period is defined by two variables: endTime and startTime, default timezone = 'US/Eastern'
####
# As a demo, endTime is Dec 24th 2020 because the ingested historical data ends on that date.
# IBridgePy automatically sets endTime.second to 0 because the default mode of IBridgePy backtester is designed to
# backtest strategies minutely and the second must be zero.
endTime = dt.datetime(2020, 12, 24)
# As a demo, startTime is 50 days ago from the current time.
startTime = endTime - dt.timedelta(days=50)
# "histIngestionPlan" is a reserved word in IBridgePy to store the historical data ingestion plan that describes what historical data
# are needed during backtesting and IBridgePy backtester will fetch these data before backtesting to speed up the whole backtesting process.
# "histIngestionPlan" is not required for backtesting but it will make backtest much faster.
# "histIngestionPlan" is an instance of HistIngestionPlan.
histIngestionPlan = HistIngestionPlan()
# dataSourceName='simulatedByDailyBars' means to simulate minute bar data by daily bar data when it is needed.
# The default is to use "close" price of the daily bar to simulate minute price. It can be configured in settings.py --> PROJECT --> useColumnNameWhenSimulatedByDailyBar
histIngestionPlan.add(
Plan(security=symbol('SPY'),
barSize='1 min',
dataSourceName='simulatedByDailyBars')
) # "histIngestionPlan.add" is used to add more Ingestion Plans
histIngestionPlan.add(
Plan(security=symbol('SPY'), barSize='1 day', fileName='SPY_1day_55D.csv')
) # "histIngestionPlan.add" is used to add more Ingestion Plans
test_me(fileName, globals())
# Backtest with hist ingestion https://youtu.be/XnpxAVU4ogY
# Backtest with hist from local files https://youtu.be/UR_7_F8wPL0
# Speed up backtest by designating spot times https://youtu.be/bVE59nZ02ig
# Convert hist data format https://youtu.be/hYL6SYgy7wE
# Backtest using IBridgePy data center https://youtu.be/0FPgtmUpTI0
fileName = 'demo_buy_low_sell_high.py'
accountCode = 'dummyAccountCode' # IBridgePy needs a dummyAccountCode to simulate transactions when dataProviderName = 'LOCAL_FILE'
dataProviderName = 'LOCAL_FILE' # RANDOM, IB, LOCAL_FILE, TD, ROBINHOOD, IBRIDGEPY
# "histIngestionPlan" is a reserved word in IBridgePy to store the historical data ingestion plan that describes what historical data
# are needed during backtesting and IBridgePy backtester will fetch these data before backtesting to speed up the whole backtesting process.
# "histIngestionPlan" is not required for backtesting but it will make backtest much faster.
# "histIngestionPlan" is an instance of HistIngestionPlan.
histIngestionPlan = HistIngestionPlan()
histIngestionPlan.add(Plan(security=symbol('SPY'), barSize='1 min', fileName='SPY_1min_40D.csv')) # "histIngestionPlan.add" is used to add more Ingestion Plans
histIngestionPlan.add(Plan(security=symbol('SPY'), barSize='1 day', fileName='SPY_1day_55D.csv')) # "histIngestionPlan.add" is used to add more Ingestion Plans
# In CUSTOM mode, user can specify each spot time to backtest with any data provider.
# customSpotTimeList is an IBridgePy reserved key word. Its type is List.
# User can append each spot time into customSpotTimeList to backtest at these spot times.
timeGeneratorType = 'CUSTOM'
customSpotTimeList = []
# The goal is to backtest from 2020-10-30 to 2020-12-24 and only allow the datetime of 15:59:00 Eastern go through the to-be-tested strategy
# because "demo_close_price_reversion.py" only makes trading decisions at 15:59:00 Eastern on every trading day.
# pd.date_range is used to create a list of dates that have hour=0 and minute=0.
dateRange = pd.date_range(dt.datetime(2020, 10, 30), dt.datetime(2020, 12, 24), freq='1D', tz=pytz.timezone('US/Eastern'))
for aDate in dateRange:
a = aDate.replace(hour=15, minute=59) # datetime(2020, 10, 30, 0, 0) --> datetime(2020, 10, 30, 15, 59)
customSpotTimeList.append(a)
fileName = 'demo_buy_low_sell_high.py'
accountCode = 'DU1868499' # IB accountCode is needed to retrieve historical data from IB server.
dataProviderName = 'IB' # RANDOM, IB, LOCAL_FILE, TD, ROBINHOOD, IBRIDGEPY
####
# The backtesting time period is defined by two variables: endTime and startTime, default timezone = 'US/Eastern'
####
# As a demo, endTime is the current time.
# IBridgePy automatically sets endTime.second to 0 because the default mode of IBridgePy backtester is designed to
# backtest strategies minutely and the second must be zero.
endTime = dt.datetime.now()
# As a demo, startTime is 50 days ago from the current time.
startTime = endTime - dt.timedelta(days=50)
# "histIngestionPlan" is a reserved word in IBridgePy to store the historical data ingestion plan that describes what historical data
# are needed during backtesting and IBridgePy backtester will fetch these data before backtesting to speed up the whole backtesting process.
# "histIngestionPlan" is not required for backtesting but it will make backtest much faster.
# "histIngestionPlan" is an instance of HistIngestionPlan.
histIngestionPlan = HistIngestionPlan()
histIngestionPlan.add(
Plan(security=symbol('SPY'), barSize='1 min', goBack='40 D')
) # "histIngestionPlan.add" is used to add more Ingestion Plans
histIngestionPlan.add(
Plan(security=symbol('SPY'), barSize='1 day', goBack='55 D')
) # "histIngestionPlan.add" is used to add more Ingestion Plans
test_me(fileName, globals())
####
# The backtesting time period is defined by two variables: endTime and startTime, default timezone = 'US/Eastern'
####
# As a demo, endTime is Dec 24th 2020 because the ingested historical data ends on that date.
# Set second to 0 because the default mode of IBridgePy backtester is designed to backtest strategies minutely and the second must be zero.
endTime = dt.datetime(2020, 12, 24).replace(second=0)
# As a demo, startTime is 50 days ago from the current time.
startTime = endTime - dt.timedelta(days=50)
# "histIngestionPlan" is a reserved word in IBridgePy to store the historical data ingestion plan that describes what historical data
# are needed during backtesting and IBridgePy backtester will fetch these data before backtesting to speed up the whole backtesting process.
# "histIngestionPlan" is not required for backtesting but it will make backtest much faster.
# "histIngestionPlan" is an instance of HistIngestionPlan.
histIngestionPlan = HistIngestionPlan()
# dataSourceName='simulatedByDailyBars' means to simulate minute bar data by daily bar data when it is needed.
# The default is to use "close" price of the daily bar to simulate minute price. It can be configured in settings.py --> PROJECT --> useColumnNameWhenSimulatedByDailyBar
histIngestionPlan.add(
Plan(security=symbol('SPY'),
barSize='1 min',
dataSourceName='simulatedByDailyBars')
) # "histIngestionPlan.add" is used to add more Ingestion Plans
histIngestionPlan.add(
Plan(security=symbol('SPY'),
barSize='1 day',
fileName='STK,SPY,USD_1 day_55 D_indexOfDatetime.csv')
) # "histIngestionPlan.add" is used to add more Ingestion Plans
test_me(fileName, globals())
####
# The backtesting time period is defined by two variables: endTime and startTime, default timezone = 'US/Eastern'
####
# As a demo, endTime is Dec 24th 2020 because the ingested historical data ends on that date.
# IBridgePy automatically sets endTime.second to 0 because the default mode of IBridgePy backtester is designed to
# backtest strategies minutely and the second must be zero.
endTime = dt.datetime(2020, 12, 24)
# As a demo, startTime is 50 days ago from the current time.
startTime = endTime - dt.timedelta(days=50)
# "histIngestionPlan" is a reserved word in IBridgePy to store the historical data ingestion plan that describes what historical data
# are needed during backtesting and IBridgePy backtester will fetch these data before backtesting to speed up the whole backtesting process.
# "histIngestionPlan" is not required for backtesting but it will make backtest much faster.
# "histIngestionPlan" is an instance of HistIngestionPlan.
histIngestionPlan = HistIngestionPlan()
# Default folder to load hist files is ibridgepyRoot/Input
# User can designate the loading folder by "histIngestionPlan = HistIngestionPlan(defaultFolderName=xxx)"
# "histIngestionPlan.add" is used to add more Ingestion Plans
# The full path of the file is ibridgepyRoot/Input/SPY_1min_40D.csv
histIngestionPlan.add(
Plan(security=symbol('SPY'), barSize='1 min', fileName='SPY_1min_40D.csv'))
histIngestionPlan.add(
Plan(security=symbol('SPY'), barSize='1 day',
fileName='SPY_1day_55D.csv')) # Add more plans as needed.
test_me(fileName, globals())
accountCode = 'dummyAccountCode' # IBridgePy needs a dummyAccountCode to simulate transactions when dataProviderName = 'LOCAL_FILE'
dataProviderName = 'LOCAL_FILE' # RANDOM, IB, LOCAL_FILE, TD, ROBINHOOD, IBRIDGEPY
####
# The backtesting time period is defined by two variables: endTime and startTime, default timezone = 'US/Eastern'
####
# As a demo, endTime is Dec 24th 2020 because the ingested historical data ends on that date.
# Set second to 0 because the default mode of IBridgePy backtester is designed to backtest strategies minutely and the second must be zero.
endTime = dt.datetime(2020, 12, 24).replace(second=0)
# As a demo, startTime is 50 days ago from the current time.
startTime = endTime - dt.timedelta(days=50)
# "histIngestionPlan" is a reserved word in IBridgePy to store the historical data ingestion plan that describes what historical data
# are needed during backtesting and IBridgePy backtester will fetch these data before backtesting to speed up the whole backtesting process.
# "histIngestionPlan" is not required for backtesting but it will make backtest much faster.
# "histIngestionPlan" is an instance of HistIngestionPlan.
histIngestionPlan = HistIngestionPlan()
histIngestionPlan.add(
Plan(security=symbol('SPY'),
barSize='1 min',
fileName='STK,SPY,USD_1 min_40 D_indexOfDatetime.csv')
) # "histIngestionPlan.add" is used to add more Ingestion Plans
histIngestionPlan.add(
Plan(security=symbol('SPY'),
barSize='1 day',
fileName='STK,SPY,USD_1 day_55 D_indexOfDatetime.csv')
) # "histIngestionPlan.add" is used to add more Ingestion Plans
test_me(fileName, globals())