def generate_strategy_params(self, strategy, optimize=False):
if strategy == bt.strategies.STADTDBreakoutStrategy:
for args in self._generate_STADTDB(optimize=optimize):
yield args
else:
yield AutoOrderedDict()
def create_analysis(self):
# Set up variables..
# Variables hidden from user..
# Depending on the input parameter user provides for 'filter',
# append 'LONG' or 'SHORT' in table heading output to user.
# Helps user identify the types of trades stats calculated on,
# either long, short or all (i.e. both)..
if self.p.filter == 'long':
self._tableLongShort = 'LONG' # Append 'LONG' to table heading..
elif self.p.filter == 'short':
self._tableLongShort = 'SHORT' # Append 'SHORT' to table heading..
elif self.p.filter == 'all':
self._tableLongShort = 'TRADES' # Blank char appended to our table..
else:
raise Exception("Parameter 'filter' must be 'long', 'short', or" +
" 'all' not '%s'." % str(self.p.filter))
self._all_pnl_list=[] # hidden from user - all trades pnl.
self._won_pnl_list=[] # hidden from user - win trades pnl.
self._lost_pnl_list=[] # hidden from user - lost trades pnl.
self._curStreak = None # Current streak type [None, 'Won', 'Lost']
self._wonStreak_list=[] # Store each won streak in list..
self._lostStreak_list=[] # Store each loss streak in list..
# Variables output to user..
o = self.rets = AutoOrderedDict() # Return user object..
# Stats applied to all trades (winners and losers)..
o.all.trades.total = 0
o.all.trades.open = 0
o.all.trades.closed = 0
o.all.pnl.total = None
o.all.pnl.average = None
o.all.streak.zScore = None
o.all.stats.profitFactor = None
o.all.stats.winFactor = None
o.all.stats.winRate = None
o.all.stats.rewardRiskRatio = None
o.all.stats.expectancyPercentEstimated = None
o.all.stats.kellyPercent = None
for each in ['won', 'lost']:
oWL=self.rets[each]
oWL.trades.closed = 0
oWL.trades.percent = None
oWL.pnl.total = None
oWL.pnl.average = None
oWL.pnl.median = None
oWL.pnl.max = None
oWL.streak.current = 0
oWL.streak.max = None
oWL.streak.average = None
oWL.streak.median = None
def create_analysis(self):
#print('C**T TRADE RECORDER')
# Keep dict of trades based on tradeid
# Note: must be a unique tradeid defined for each trade else will
# get overwritten..
self.rets = AutoOrderedDict()
self.rets.openTrades = [] # List of all open trades..
self.rets.closedTrades = [] # List of all closed trades..
# Hidden from user, destroyed at end, useful to track trades..
self._tradeDict = {} # Temp store Trade objects..
def create_analysis(self):
self.rets = AutoOrderedDict() # dict with . notation
self.rets.len = 0
self.rets.drawdown = 0.0
self.rets.moneydown = 0.0
self.rets.max.len = 0.0
self.rets.max.drawdown = 0.0
self.rets.max.moneydown = 0.0
self._maxvalue = float('-inf') # any value will outdo it
def _generate_STADTDB(self, optimize=False):
if optimize:
yield AutoOrderedDict(entry_td_max=-1,
close_td_reversal=False)
for factor in [2.0, 3.0, 4.0]:
for st_period in [3, 7, 21, 50]:
for use_wick in [True, False]:
for entry_td_max in [2, 4, 7]:
for close_td_reversal in [True, False]:
# 3 * 4 * 2 * 3 * 2 = 144
yield AutoOrderedDict(
entry_td_max=entry_td_max,
close_td_reversal=close_td_reversal,
st_factor=factor,
st_period=st_period,
st_use_wick=use_wick,
)
else:
yield AutoOrderedDict(entry_td_max=4,
close_td_reversal=True)
def create_analysis(self):
self.rets = AutoOrderedDict()
self.rets.trades.total = 0
self.rets.trades.positives = 0
self.rets.trades.negatives = 0
self.accumulate = 0
self.accumulate_profit = 0
self.accumulate_loss = 0
self.rets.avg.trade = 0
self.rets.avg.profit_trade = 0
self.rets.avg.loss_trade = 0
self._value = self.strategy.broker.get_cash()
def create_analysis(self):
#self.rets is backtrader analyzer dictionary - need to use to print results. self.rets.total.closed means "total" will print, followed by sub heading "closed"
self.rets = AutoOrderedDict()
self.rets.expectancy_dollars = 0
self.rets.winratio = 0
self.rets.lossratio = 0
self.rets.pnl.gross.total = 0
self.rets.pnl.net.total = 0
self.rets.total.total = 0
self.rets.total.open = 0
self.rets.total.closed = 0
self.rets.won.pnl.average = 0
self.rets.lost.pnl.average = 0
self.rets.won.total = 0
self.rets.lost.total = 0
def create_analysis(self):
# Keep dict of trades based on tradeid.
# Note: must be a unique tradeid defined for each trade else will
# get overwritten.
self.rets = AutoOrderedDict()
self.rets.openTrades = [] # List of all open trades..
self.rets.closedTrades = [] # List of all closed trades..
self.rets.equityCurve = [] # List of dictonary
# Hidden from user, destroyed at end, useful to track trades.
self._tradeDict = {} # Temp store Trade objects..
self._cumulativeEquity = None # Keep track of our equity..
# Check user parameters are valid - if not raise Exception.
if self.p.mode not in ['trades', 'equity', 'trades+equity']:
raise Exception(
"TradeRecorder Analyzer must have parameter " +
"'mode' set to either 'trades', 'equity' or 'trades+equity'." +
f"\nInstead you have set it to '{self.p.mode}'.")
def create_analysis(self):
'''Replace default implementation to instantiate an AutoOrdereDict
rather than an OrderedDict'''
self.rets = AutoOrderedDict()
def create_analysis(self):
self.rets = AutoOrderedDict()
self.rets.total.total = 0
def pack(strategy, **kwargs):
return AutoOrderedDict(strategy=strategy,
params=AutoOrderedDict(**kwargs))
def get_dict(self):
return AutoOrderedDict() if not self.p.useStandardDict else dict()
def start(self):
self.ret = AutoOrderedDict()
self.pnl = list()
self.count = 0
def __init__(self):
self.rets = AutoOrderedDict()
self.info = AutoOrderedDict()
self.info.signals = 0
def start(self):
self.trades = AutoOrderedDict()
def start(self):
self.trades = AutoOrderedDict()
self.trades.total.total = 0
def dict_filter(old_dict, mykeys):
new_dict = AutoOrderedDict({your_key: old_dict[your_key] for your_key in mykeys})
return new_dict
