def create_strategy(args):
strategy = strategy_builder(args)
return strategy
ticks = ES_ticks(datetime(2003, 8, 8))
signals_params = [
('short_tops', 3, 'HH', 'low', 5, 6),
('long_tops', 2, 'LL', 'high', None, None),
('short_tops', 2, 'HH', 'low', 5, 8),
('long_tops', 4, 'LL', 'HH', None, None),
('short_tops', 10, 'high', 'low', 2, 3),
('long_tops', 2, 'HL', 'high', 4, 2),
('short_tops', 5, 'high', 'HL', 7, 4),
('long_tops', 10, 'HL', 'HH', 3, 8),
('long_tops', 10, 'low', 'high', 6, 3),
('long_tops', 4, 'low', 'high', 6, 8)
]
strategy = strategy_builder(signals_params)
def run_prof():
t1 = time.time()
for tick in ticks:
t.ticks.append(tick)
for signal in strategy:
processed_signal = signal.check_entry(t)
t2 = time.time()
print "run_prof() took %s seconds to complete" % str(t2 - t1)
return t
if __name__ == '__main__':
t = run_prof()
start = datetime(2004, 1, 1)
end = datetime(2007, 1, 1)
ticks = None
print "picking random weekday..."
while not ticks:
weekday = random_weekday(start, end)
print "random weekday: %s" % str(weekday)
ticks = ES_ticks(weekday)
if not ticks: print "no ticks found for: %s, trying again..." % str(weekday)
print "tick data loaded..."
tt0 = time.time()
for id, map in strategy_map.items():
t = Ticker(increment=0.25, commission=0.1)
strategy = strategy_builder(map['params'])
t0 = time.time()
simulation = SimulationRunner(t, ticks, strategy)
orders = simulation.run()
t1 = time.time()
map['orders'] = orders
map['simulation_time'] = t1 - t0
print "tested strategy: %s" % id
tt1 = time.time()
print "running %s simulations took %s seconds" % (nr_of_strategies,
repr(tt1 - tt0))
reduced_map = {}
for id, map in strategy_map.items():
orders = map['orders']
deltas = [details['delta'] for details in orders.values()
