def back_test(pair, date, param):
tracker = TradeAnalysis(Contract(pair[0]))
algo = {'class': ConstantAlgo}
algo['param'] = {
'x': pair[0],
'y': pair[1],
'a': 1,
'b': 0,
'rolling': param[0],
'bollinger': param[1],
'const': param[2],
'block': 100,
'tracker': tracker
}
settings = {
'date': date,
'path': DATA_PATH,
'tickset': 'top',
'algo': algo,
'singletick': True
}
runner = PairRunner(settings)
runner.run()
account = runner.account
history = account.history.to_dataframe(account.items)
score = float(history[['pnl']].iloc[-1])
order_win = tracker.order_winning_ratio()
order_profit = tracker.analyze_all_profit()[0]
num_rounds = tracker.analyze_all_profit()[2]
return score, order_win, order_profit, num_rounds, runner
def back_test(pair, date, param):
tracker = TradeAnalysis(Contract(pair[0]))
algo = { 'class': ConstantAlgo }
algo['param'] = {'x': pair[0],
'y': pair[1],
'a': 1,
'b': 0,
'rolling': param[0],
'bollinger': param[1],
'const': param[2],
'block': 100,
'tracker': tracker
}
settings = { 'date': date,
'path': DATA_PATH,
'tickset': 'top',
'algo': algo,
'singletick': True}
runner = PairRunner(settings)
runner.run()
account = runner.account
history = account.history.to_dataframe(account.items)
score = float(history[['pnl']].iloc[-1])
order_win = tracker.order_winning_ratio()
order_profit = tracker.analyze_all_profit()[0]
num_rounds = tracker.analyze_all_profit()[2]
return score, order_win, order_profit, num_rounds, runner
def back_test(pair, date, param):
tracker = TradeAnalysis(Contract(pair[0]))
algo = {"class": OUAlgo}
algo["param"] = {
"x": pair[0],
"y": pair[1],
"a": 1,
"b": 0,
"rolling": param[0],
"bollinger": param[1],
"block": 100,
"tracker": tracker,
}
settings = {"date": date, "path": DATA_PATH, "tickset": "top", "algo": algo, "singletick": True}
runner = PairRunner(settings)
runner.run()
account = runner.account
history = account.history.to_dataframe(account.items)
score = float(history[["pnl"]].iloc[-1])
order_win = tracker.order_winning_ratio()
order_profit = tracker.analyze_all_profit()[0]
num_rounds = tracker.analyze_all_profit()[2]
return score, order_win, order_profit, num_rounds
