def __init__(self, barFeed, cash=1000000):
broker_ = BacktestingFuturesBroker(cash, barFeed)
Strategy.__init__(self, barFeed, cash, broker_)
self._position = None
self._started = False
self._db = InstrumentDb.Instance()
self._riskfactor = 0.002
def __init__(self,
sectorMap,
modelType=None,
cash=1000000,
tradeStart=None,
compounding=True,
positionsFile=None,
equityFile=None,
returnsFile=None,
summaryFile=None,
parms=None):
self._runGroups = {}
self._startingCash = cash
self._db = InstrumentDb.Instance()
self._feed = MultiFeed()
self._broker = BacktestingFuturesBroker(
cash, self._feed, commission=FuturesCommission(2.50))
show = True
for sec in sectorMap:
for sym in sectorMap[sec]:
self._feed.register_feed(Feed(self._db.get(sym)))
# if desired can instantiate a strategy per symbol - may actually
# want to think about this as a default behavior. The only thing
# impacted is reporting of sector results
# strategySymbols = { sym }
# rgkey = '%s-%s' % (sec, sym)
strategySymbols = sectorMap[sec]
rgkey = sec
if not modelType:
modelType = 'breakout'
strategy = StrategyFactory.create(modelType,
self._feed,
symbols=strategySymbols,
broker=self._broker,
cash=cash,
compounding=compounding,
parms=parms)
self._runGroups[rgkey] = InstrumentedStrategy(strategy)
if show:
show = False
strategy.showParms()
self._trading = False
self._posfile = self.__openFileorNull(positionsFile)
self._equityfile = self.__openFileorNull(equityFile)
self._returnsfile = self.__openFileorNull(returnsFile)
self._summaryfile = self.__openFileorNull(summaryFile)
self._dd = DrawDown()
self._dd.attached(self)
self._positionAlerts = []
def testMarketOrder(self):
self._placed_markorder = False
mf = MultiFeed()
mf.register_feed(Feed(InstrumentDb.Instance().get('AC')))
self._broker = BacktestingFuturesBroker(1000000, mf)
mf.subscribe(self.on_bars_1)
self._broker.getOrderUpdatedEvent().subscribe(self.on_order_update_1)
mf.start()
self.assertEqual(self._broker.getCash(), 1000015.0)
self.assertEqual(self._broker.calc_margin(), 160000.0)
def testShortEntry(self):
self._placed_markorder = False
mf = MultiFeed()
mf.register_feed(Feed(InstrumentDb.Instance().get('CT')))
self._broker = BacktestingFuturesBroker(1000000, mf)
mf.subscribe(self.on_bars_3)
self._broker.getOrderUpdatedEvent().subscribe(self.on_order_update_3)
mf.start()
self.assertAlmostEqual(self._broker.getCash(), 1119750.0, places=2)
self.assertEqual(self._broker.calc_margin(), 800000.0)
def testMarketOrderMarginCall(self):
self._placed_markorder = False
mf = MultiFeed()
mf.register_feed(Feed(InstrumentDb.Instance().get('CT')))
self._broker = BacktestingFuturesBroker(1000000, mf)
mf.subscribe(self.on_bars_2)
self._broker.getOrderUpdatedEvent().subscribe(self.on_order_update_2)
with self.assertRaisesRegexp(Exception, "Margin Call"):
mf.start()
self.assertAlmostEqual(self._broker.getCash(), 214000.0, places=2)
self.assertEqual(self._broker.calc_margin(), 800000.0)
def __init__(self, barFeed, symbols = None, broker = None, cash = 1000000,\
compounding = True, parms = None):
self._parms = self.defaultParms()
if parms:
self._parms.update(parms)
if broker is None:
broker = BacktestingFuturesBroker(
cash, barFeed, commission=FuturesCommission(2.50))
Strategy.__init__(self, barFeed, cash, broker)
if symbols is None:
self._symbols = barFeed.symbols()
else:
self._symbols = symbols
self._barFeed = barFeed
self._longpositions = {}
self._shortpositions = {}
self._started = {}
for sym in self._symbols:
feed = self._barFeed.get_feed(sym)
self._started[sym] = False
feed.insert(ATR(name='atr', period=self._parms['atrPeriod']))
self._db = InstrumentDb.Instance()
self._riskfactor = self._parms['riskFactor']
self._tradeHigh = {}
self._tradeLow = {}
self.prep_bar_feed()
self._startingCash = cash
self._compounding = compounding
self._stop = self._parms['stop']
self._limit = self._parms['limit']
self._intraday = self._parms['intradayStop']
self._dynamic = self._parms['dynamicStop']
