/
fad.py
342 lines (267 loc) · 11 KB
/
fad.py
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from __future__ import with_statement
import numpy as np
import sys
# plotting import for candlestick
import matplotlib.finance as mplfin
import matplotlib.pyplot as plt
# backtesting imports
from util.statemachine import StateMachine
from util.transitions import Transitions
from util.backtest import Backtest
from util.setup_backtest import *
import cProfile
import pstats
from PyQt4 import QtCore
from PyQt4 import QtGui
from futures_algo_dev import Ui_MainWindow
class DesignerMainWindow(QtGui.QMainWindow, Ui_MainWindow):
def __init__(self, parent=None):
super(DesignerMainWindow, self).__init__(parent)
self.setupUi(self)
self.text = open('util/setup_backtest.py', 'r').read()
self.textEdit_setup_backtest.setText(self.text)
self.tabWidget.setTabEnabled(1, False)
QtCore.QObject.connect(self.checkBox_log_intrabar_data,
QtCore.SIGNAL("stateChanged(int)"),
self.log_intrabar_data_callback)
QtCore.QObject.connect(self.checkBox_write_trade_data,
QtCore.SIGNAL("stateChanged(int)"),
self.write_trade_data_callback)
QtCore.QObject.connect(self.checkBox_write_bar_data,
QtCore.SIGNAL("stateChanged(int)"),
self.write_bar_data_callback)
QtCore.QObject.connect(self.pushButton_run_backtest,
QtCore.SIGNAL("clicked()"),
self.run_backtest_callback)
QtCore.QObject.connect(self.horizontalScrollBar_range_bar,
QtCore.SIGNAL("valueChanged(int)"),
self.scroll_bars_callback)
QtCore.QObject.connect(self.horizontalSlider_bar_zoom,
QtCore.SIGNAL("valueChanged(int)"),
self.zoom_bars_callback)
QtCore.QObject.connect(self.pushButton_save_setup,
QtCore.SIGNAL("clicked()"),
self.save_setup_callback)
QtCore.QObject.connect(self.textEdit_setup_backtest,
QtCore.SIGNAL("textChanged()"),
self.check_file_changed_callback)
QtCore.QObject.connect(self.pushButton_revert_setup,
QtCore.SIGNAL("clicked()"),
self.revert_setup_callback)
self.bt = Backtest(self)
self.min_bar_lookback = 50
self.bar_len = 0
self.zoom = 0
self.bars_in_view = 50
def write_bar_data_callback(self):
self.bt.write_bar_data = self.checkBox_write_bar_data.isChecked()
if self.bt.write_bar_data:
fname = QtGui.QFileDialog.getSaveFileName(None,
"Save file...",
self.bt.bar_data_root,
filter="CSV Files (*.csv)")
if fname:
self.bt.bar_data_root = str(fname)
if self.bt.bar_data_root.split(".")[-1] != "csv":
self.bt.bar_data_root += ".csv"
print "Path to csv for range bars: {}".format(self.bt.bar_data_root)
def write_trade_data_callback(self):
self.bt.write_trade_data = self.checkBox_write_trade_data.isChecked()
if self.bt.write_trade_data:
fname = QtGui.QFileDialog.getSaveFileName(None,
"Save file...",
self.bt.trade_data_root,
filter="CSV Files (*.csv)")
if fname:
self.bt.trade_data_root = str(fname)
if self.bt.trade_data_root.split(".")[-1] != "csv":
self.bt.trade_data_root += ".csv"
print "Path to csv for trades: {}".format(self.bt.trade_data_root)
def log_intrabar_data_callback(self):
# setting true can significantly slowdown backtesting
self.bt.log_intrabar_data = self.checkBox_log_intrabar_data.isChecked()
def revert_setup_callback(self):
curr_text = str(self.textEdit_setup_backtest.toPlainText())
if curr_text != self.text:
self.textEdit_setup_backtest.setText(self.text)
self.label_setup_backtest.setText("setup_backtest.py")
def save_setup_callback(self):
curr_text = str(self.textEdit_setup_backtest.toPlainText())
if curr_text != self.text:
open('util/setup_backtest.py', 'w').write(curr_text)
self.label_setup_backtest.setText("setup_backtest.py")
self.text = curr_text
def check_file_changed_callback(self):
curr_text = str(self.textEdit_setup_backtest.toPlainText())
if curr_text == self.text:
self.label_setup_backtest.setText("setup_backtest.py")
else:
self.label_setup_backtest.setText("setup_backtest.py*")
def zoom_bars_callback(self):
val = self.horizontalSlider_bar_zoom.value()
self.zoom = val / 10.0
bar_start = self.horizontalScrollBar_range_bar.maximum() - self.horizontalScrollBar_range_bar.value()
self.bars_in_view = int(round(self.min_bar_lookback * 2 ** self.zoom))
self.horizontalScrollBar_range_bar.setMaximum(
self.bar_len - self.bars_in_view)
self.horizontalScrollBar_range_bar.setPageStep(self.bars_in_view)
self.horizontalScrollBar_range_bar.setValue(
self.horizontalScrollBar_range_bar.maximum() - bar_start)
self.scroll_bars()
def scroll_bars_callback(self):
bar_start = self.horizontalScrollBar_range_bar.maximum() - self.horizontalScrollBar_range_bar.value()
self.plot_bars(bar_start=bar_start)
def run_backtest_callback(self):
m = StateMachine()
t = Transitions() # next state functions for state machine
m.add_state("initialize", t.initialize_transitions)
m.add_state("load_daily_data", t.load_daily_data_transitions)
m.add_state("check_orders", t.check_orders_transitions)
m.add_state("update_range_bar", t.update_range_bar_transitions)
m.add_state("compute_indicators", t.compute_indicators_transitions)
m.add_state("check_strategy", t.check_strategy_transitions)
m.add_state("check_range_bar_finished",
t.check_range_bar_finished_transitions)
m.add_state("show_results", t.write_results_transitions)
m.add_state("finished", None, end_state=1)
m.set_start("initialize")
self.bt.instr_name = str(self.comboBox_instrument.currentText())
self.bt.RANGE = int(self.spinBox_range.value())
self.bt.init_day = str(self.dateEdit_start_date.date().toString(
"yyyy-MM-dd")) + " 17:00:00"
self.bt.final_day = str(
self.dateEdit_end_date.date().toString("yyyy-MM-dd")) + " 16:59:59"
#self.bt.log_intrabar_data = self.checkBox_log_intrabar_data.isChecked() # setting true can significantly slowdown backtesting
#self.bt.write_trade_data = self.checkBox_write_trade_data.isChecked()
#self.bt.trade_data_root = '/home/aouyang1/Dropbox/Futures Trading/FT_QUICKY_v3/BASE (copy)'
#self.bt.write_bar_data = self.checkBox_write_bar_data.isChecked()
#self.bt.bar_data_root = '/home/aouyang1/Dropbox/Futures Trading/Backtester/FT_QUICKY_GC_BASE'
cProfile.runctx('m.run(self.bt)', globals(), locals(),
'backtest_profile')
self.bar_len = self.bt.range_bar.cnt
self.tabWidget.setTabEnabled(1, True)
print " "
p = pstats.Stats('backtest_profile')
p.strip_dirs().sort_stats('cumulative').print_stats('transitions')
self.horizontalScrollBar_range_bar.setMaximum(
self.bar_len - self.bars_in_view)
self.horizontalScrollBar_range_bar.setPageStep(self.bars_in_view)
self.horizontalScrollBar_range_bar.setValue(
self.bar_len - self.bars_in_view)
self.plot_bars()
def plot_bars(self, bar_start=0):
self.mpl.canvas.ax.clear()
self.mpl.canvas.ax2.clear()
bar_end = min(bar_start + self.bars_in_view, self.bar_len)
# plot range bars
opens = self.bt.range_bar.Open[bar_start:bar_end]
closes = self.bt.range_bar.Close[bar_start:bar_end]
highs = self.bt.range_bar.High[bar_start:bar_end]
lows = self.bt.range_bar.Low[bar_start:bar_end]
dates = self.bt.range_bar.CloseTime[bar_start:bar_end]
opens.reverse()
closes.reverse()
highs.reverse()
lows.reverse()
dates.reverse()
mplfin.candlestick2(self.mpl.canvas.ax, opens=opens,
closes=closes,
highs=highs,
lows=lows,
width=0.75,
colorup=u'g')
# plot indicators
tableau20 = [(31, 119, 180), (174, 199, 232), (255, 127, 14), (255, 187, 120),
(44, 160, 44), (152, 223, 138), (214, 39, 40), (255, 152, 150),
(148, 103, 189), (197, 176, 213), (140, 86, 75), (196, 156, 148),
(227, 119, 194), (247, 182, 210), (127, 127, 127), (199, 199, 199),
(188, 189, 34), (219, 219, 141), (23, 190, 207), (158, 218, 229)]
# Scale the RGB values to the [0, 1] range, which is the format matplotlib accepts.
for i in range(len(tableau20)):
r, g, b = tableau20[i]
tableau20[i] = (r / 255., g / 255., b / 255.)
first_strat = self.bt.strategies[self.bt.strategies.keys()[0]]
for ind, name in enumerate(first_strat.indicators):
indicator_val = first_strat.indicators[name].val[bar_start:bar_end]
indicator_val.reverse()
self.mpl.canvas.ax2.bar(range(self.bars_in_view),
indicator_val,
width=0.50,
color=tableau20[(ind*5)%len(tableau20)])
# plots trades from all strategies onto candlesticks
strat_name = self.bt.strategies.keys()
strat_name.sort()
for s in strat_name:
strat = self.bt.strategies[s]
entry_bar = strat.trades.entry_bar
exit_bar = strat.trades.exit_bar
entry_price = strat.trades.entry_price
exit_price = strat.trades.exit_price
market_pos = strat.trades.market_pos
# use binary search for first trade and last trade index
trade_start = self.nearest_idx_gte(entry_bar,
self.bt.range_bar.cnt - bar_end - 1)
trade_end = self.nearest_idx_gte(exit_bar,
self.bt.range_bar.cnt - bar_start - 1)
if trade_start and not trade_end:
trade_end = trade_start + 1
for idx in range(trade_start, trade_end):
bar_x = [entry_bar[idx] - (self.bt.range_bar.cnt - bar_start) + self.bars_in_view,
exit_bar[idx] - (self.bt.range_bar.cnt - bar_start) + self.bars_in_view]
bar_y = [entry_price[idx], exit_price[idx]]
if market_pos[idx] == "LONG":
self.mpl.canvas.ax.plot(bar_x, bar_y, color='g',
linestyle='--',
linewidth=2.0)
else:
self.mpl.canvas.ax.plot(bar_x, bar_y, color='r',
linestyle='--',
linewidth=2.0)
self.mpl.canvas.ax.get_yaxis().grid(True)
self.mpl.canvas.ax.get_yaxis().get_major_formatter().set_useOffset(
False)
increment = 10
xidx = np.arange(0, self.bars_in_view, increment) + round(
increment / 2) + bar_start % increment
self.mpl.canvas.ax.set_xticks(xidx)
time_list = [dates[int(idx)].time() for idx in xidx if
idx < self.bars_in_view]
date_list = [dates[int(idx)].date() for idx in xidx if
idx < self.bars_in_view]
self.label_view_date.setText(str(dates[-1].date()) + " " + str(dates[-1].time()) + " ")
self.mpl.canvas.ax.set_xticklabels(time_list)
self.mpl.canvas.ax.get_xaxis().grid(True)
self.mpl.canvas.ax.set_xlim(xmin=-1, xmax=self.bars_in_view)
self.mpl.canvas.ax2.get_yaxis().grid(True)
self.mpl.canvas.ax2.get_yaxis().get_major_formatter().set_useOffset(
False)
self.mpl.canvas.ax2.get_xaxis().grid(True)
self.mpl.canvas.draw()
def nearest_idx_gte(self, a, val):
"""
:param a: list of sorted floats
:param val: value to find in a
:return: index in 'a' where the value is greater than or equal
to val
"""
if not a:
return
start = 0
end = len(a)-1
while end - start > 1:
midpoint = (end-start)/2 + start
if a[midpoint] == val:
return midpoint
elif a[midpoint] < val:
start = midpoint
else:
end = midpoint
if a[end] < val:
return
else:
return end
if __name__ == "__main__":
app = QtGui.QApplication(sys.argv)
dmw = DesignerMainWindow()
dmw.show()
sys.exit(app.exec_())