def main(plot):
instrument = "bitmex_LTCZ18"
initialCash = 1000
vwapWindowSize = 100
buyThreshold = 0.02
sellThreshold = 0.01
# barFeed = csvfeed.GenericBarFeed(bar.Frequency.MINUTE*30)
# barFeed.addBarsFromCSV(instrument, "30min-bitstampUSD.csv")
feed = Feed(Frequency.SECOND)
feed.loadBars('bitmex_LTCZ18', test_back=True)
brk = broker.BacktestingBroker(initialCash, feed)
strat = VWAPMomentum(feed, brk, instrument, vwapWindowSize, buyThreshold,
sellThreshold)
if plot:
plt = plotter.StrategyPlotter(strat)
plt.getInstrumentSubplot(instrument).addDataSeries(
"VWAP", strat.getVWAP())
strat.run()
if plot:
plt.plot()
def testMinTrade(self):
class TestStrategy(strategy.BaseStrategy):
def __init__(self, feed, brk):
strategy.BaseStrategy.__init__(self, feed, brk)
self.pos = None
def onBars(self, bars):
if not self.pos:
self.pos = self.enterLongLimit("BTC", 4.99, 1, True)
barFeed = btcbarfeed.CSVTradeFeed()
barFeed.addBarsFromCSV(tc_common.get_data_file_path("bitstampUSD.csv"))
brk = broker.BacktestingBroker(100, barFeed)
strat = TestStrategy(barFeed, brk)
with self.assertRaisesRegexp(Exception, "Trade must be >= 5"):
strat.run()
def __init__(self, feed, *params):
actions, initialCash, ncoins, history, simnum = params
policy = QLearningDecisionPolicy(actions, history + 2, simnum)
brk = broker.BacktestingBroker(initialCash, feed)
strategy.BacktestingStrategy.__init__(self, feed, brk)
self.__instrument = "BTC"
self.__prices = feed[self.__instrument].getCloseDataSeries()
self.__position = None
self.__posSize = 0.05
self.__RLinitialCash = initialCash
self.__RLncoins = ncoins
self.__RLpolicy = policy
self.__RLhistory = history
def testMinTrade(self):
class TestStrategy(strategy.BaseStrategy):
def __init__(self, feed, brk):
strategy.BaseStrategy.__init__(self, feed, brk)
self.pos = None
def onBars(self, bars):
if not self.pos:
self.pos = self.enterLongLimit(INSTRUMENT, 4.99, 1, True)
barFeed = btcbarfeed.CSVTradeFeed()
barFeed.addBarsFromCSV(tc_common.get_data_file_path("bitstampUSD.csv"),
instrument=INSTRUMENT)
brk = broker.BacktestingBroker({PRICE_CURRENCY: 100}, barFeed)
strat = TestStrategy(barFeed, brk)
with self.assertRaisesRegexp(Exception, "USD amount must be >= 25"):
strat.run()
def testBitcoinChartsFeed(self):
class TestStrategy(strategy.BaseStrategy):
def __init__(self, feed, brk):
strategy.BaseStrategy.__init__(self, feed, brk)
self.pos = None
def onBars(self, bars):
if not self.pos:
self.pos = self.enterLongLimit("BTC", 5.83, 1, True)
barFeed = btcbarfeed.CSVTradeFeed()
barFeed.addBarsFromCSV(tc_common.get_data_file_path("bitstampUSD.csv"))
brk = broker.BacktestingBroker(100, barFeed)
strat = TestStrategy(barFeed, brk)
strat.run()
self.assertEquals(strat.pos.getShares(), 1)
self.assertEquals(strat.pos.entryActive(), False)
self.assertEquals(strat.pos.isOpen(), True)
self.assertEquals(strat.pos.getEntryOrder().getAvgFillPrice(), 5.83)
def main(plot):
instrument = "BTC"
initialCash = 100
vwapWindowSize = 400
buyThreshold = 0.05
sellThreshold = 0.01
barFeed = csvfeed.GenericBarFeed(bar.Frequency.MINUTE*30)
barFeed.addBarsFromCSV(instrument, "30min-bitstampUSD.csv")
brk = broker.BacktestingBroker(initialCash, barFeed)
strat = VWAPMomentum(barFeed, brk, instrument, vwapWindowSize, buyThreshold, sellThreshold)
if plot:
plt = plotter.StrategyPlotter(strat)
plt.getInstrumentSubplot(instrument).addDataSeries("VWAP", strat.getVWAP())
strat.run()
if plot:
plt.plot()
def testBitcoinChartsFeed(self):
class TestStrategy(strategy.BaseStrategy):
def __init__(self, feed, brk):
strategy.BaseStrategy.__init__(self, feed, brk)
self.pos = None
def onBars(self, bars):
if not self.pos:
self.pos = self.enterLongLimit(INSTRUMENT, 5.83, 5, True)
barFeed = btcbarfeed.CSVTradeFeed()
barFeed.addBarsFromCSV(tc_common.get_data_file_path("bitstampUSD.csv"),
instrument=INSTRUMENT)
brk = broker.BacktestingBroker({PRICE_CURRENCY: 100}, barFeed)
strat = TestStrategy(barFeed, brk)
strat.run()
self.assertEqual(strat.pos.getShares(), 5)
self.assertEqual(strat.pos.entryActive(), False)
self.assertEqual(strat.pos.isOpen(), True)
self.assertEqual(strat.pos.getEntryOrder().getAvgFillPrice(),
round((3 * 5.83 + 2 * 5.76) / 5.0, 2))
def main(plot):
priceCurrency = "USD"
instrument = "BTC/USD"
vwapWindowSize = 100
buyThreshold = 0.02
sellThreshold = 0.01
barFeed = csvfeed.GenericBarFeed(bar.Frequency.MINUTE * 30)
barFeed.addBarsFromCSV(instrument, "30min-bitstampUSD.csv")
brk = broker.BacktestingBroker({priceCurrency: 1000}, barFeed)
strat = VWAPMomentum(barFeed, brk, instrument, vwapWindowSize,
buyThreshold, sellThreshold)
if plot:
from pyalgotrade import plotter
plt = plotter.StrategyPlotter(strat)
plt.getInstrumentSubplot(instrument).addDataSeries(
"VWAP", strat.getVWAP())
strat.run()
if plot:
plt.plot()
