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bktest_aberration.py
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bktest_aberration.py
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import misc
import agent
import data_handler as dh
import pandas as pd
import numpy as np
import strategy as strat
import datetime
import backtest
def aberration( asset, start_date, end_date, freqs, windows, config):
nearby = config['nearby']
rollrule = config['rollrule']
file_prefix = config['file_prefix'] + '_' + asset + '_'
df = misc.nearby(asset, nearby, start_date, end_date, rollrule, 'm', need_shift=True)
output = {}
for ix, freq in enumerate(freqs):
xdf = dh.conv_ohlc_freq(df, freq):
for iy, win in enumerate(windows):
idx = ix*10+iy
config['win'] = win
(res, closed_trades, ts) = aberration_sim( xdf, mdf, , config)
output[idx] = res
print 'saving results for scen = %s' % str(idx)
all_trades = {}
for i, tradepos in enumerate(closed_trades):
all_trades[i] = strat.tradepos2dict(tradepos)
fname = file_prefix + str(idx) + '_trades.csv'
trades = pd.DataFrame.from_dict(all_trades).T
trades.to_csv(fname)
fname = file_prefix + str(idx) + '_dailydata.csv'
ts.to_csv(fname)
fname = file_prefix + 'stats.csv'
res = pd.DataFrame.from_dict(output)
res.to_csv(fname)
return
def aberration_sim( xdf, mdf, config):
marginrate = config['marginrate']
offset = config['offset']
win = config['win']
start_equity = config['capital']
tcost = config['trans_cost']
unit = config['unit']
df['ma'] = dh.MA(df, win).shift(1)
std = dh.STDDEV(df, win).shift(1)
df['upbnd'] = df['ma'] + std
df['lowbnd'] = df['ma'] - std
ll = df.shape[0]
df['pos'] = pd.Series([0]*ll, index = mdf.index)
df['cost'] = pd.Series([0]*ll, index = mdf.index)
curr_pos = []
closed_trades = []
start_d = df.index[0].date()
end_d = df.index[-1].date()
tradeid = 0
for idx, dd in enumerate(df.index):
mslice = df.ix[dd]
min_id = agent.get_min_id(dd)
d = dd.date()
if len(curr_pos) == 0:
pos = 0
else:
pos = curr_pos[0].pos
df.ix[dd, 'pos'] = pos
if np.isnan(mslice.ma):
continue
if (min_id >=2054):
if (pos!=0) and (d == end_d):
curr_pos[0].close(mslice.close - misc.sign(pos) * offset , dd)
tradeid += 1
curr_pos[0].exit_tradeid = tradeid
closed_trades.append(curr_pos[0])
curr_pos = []
mdf.ix[dd, 'cost'] -= abs(pos) * (offset + mslice.close*tcost)
continue
else:
if ((mslice.close >= mslice.ma) and (pos<0 )) or (mslice.close <= mslice.ma) and (pos>0 ) :
curr_pos[0].close(mslice.close+offset, dd)
tradeid += 1
curr_pos[0].exit_tradeid = tradeid
closed_trades.append(curr_pos[0])
curr_pos = []
mdf.ix[dd, 'cost'] -= abs(pos) * (offset + mslice.close*tcost)
pos = 0
pos = (mslice.close>=mslice.upbnd) * unit -(mslice.close<=mslice.lowbnd) * unit
if abs(pos)>0:
target = min(mslice.close>=mslice.upbnd) * mslice.upbnd +(mslice.close<=mslice.lowbnd) * mslice.lowbnd
new_pos = strat.TradePos([mslice.contract], [1], pos, target, mslice.upbnd+mslice.lowbnd-target)
tradeid += 1
new_pos.entry_tradeid = tradeid
new_pos.open(mslice.close + misc.sign(pos)*offset, dd)
curr_pos.append(new_pos)
mdf.ix[dd, 'cost'] -= abs(pos) * (offset + mslice.close*tcost)
mdf.ix[dd, 'pos'] = pos
(res_pnl, ts) = backtest.get_pnl_stats( df, start_equity, marginrate, 'm')
res_trade = backtest.get_trade_stats( closed_trades )
res = dict( res_pnl.items() + res_trade.items())
return (res, closed_trades, ts)
def run_sim(asset, start_date, end_date):
config = {'nearby':1,
'rollrule':'-40b',
'marginrate':(0.05, 0.05),
'capital': 10000,
'offset': 0,
'trans_cost': 0.0,
'scaler': (2.0, 2.0),
'unit': 1,
'file_prefix': 'C:\\dev\\src\\ktlib\\pythonctp\\pyctp\\results\\Aberration_'}
#commod_list1= ['m','y','a','p','v','l','ru','rb','au','cu','al','zn','ag','i','j','jm'] #
#start_dates1 = [datetime.date(2010,9,1)] * 9 + [datetime.date(2010,10,1)] * 3 + \
# [datetime.date(2012,7,1), datetime.date(2014,1,2), datetime.date(2011,6,1),datetime.date(2013,5,1)]
#commod_list2 = ['ME', 'CF', 'TA', 'PM', 'RM', 'SR', 'FG', 'OI', 'RI', 'TC', 'WH']
#start_dates2 = [datetime.date(2012, 2,1)] + [ datetime.date(2012, 6, 1)] * 2 + [datetime.date(2012, 10, 1)] + \
# [datetime.date(2013, 2, 1)] * 3 + [datetime.date(2013,6,1)] * 2 + [datetime.date(2013, 10, 1), datetime.date(2014,2,1)]
#commod_list = commod_list1+commod_list2
#start_dates = start_dates1 + start_dates2
#for asset, sdate in zip(commod_list, start_dates):
if asset in ['cu', 'al', 'zn']:
config['nearby'] = 3
config['rollrule'] = '-1b'
elif asset in ['IF']:
config['rollrule'] = '-1b'
freqs = ['5Min', '15Min', '30Min', '60Min', 'D']
windows = [35]
aberration( asset, start_date, end_date, freqs, windows, config)
if __name__=="__main__":
args = sys.argv[1:]
if len(args) < 3:
end_d = datetime.date(2014,11,30)
else:
end_d = datetime.datetime.strptime(args[2], '%Y%m%d').date()
if len(args) < 2:
start_d = datetime.date(2014,1,2)
else:
start_d = datetime.datetime.strptime(args[1], '%Y%m%d').date()
if len(args) < 1:
asset = 'm'
else:
asset = args[0]
run_sim(asset, start_d, end_d)