def back_test(pair, date, param):
algo = {'class': StopWinAlgo}
algo['param'] = {
'x': pair[0],
'y': pair[1],
'a': 1,
'b': 0,
'rolling': param[0],
'alpha': -1,
'bollinger': param[1],
'stop_win': param[2],
'block': 100,
'bucket_size': 500,
'if_stop_win': True,
'if_ema': False,
'if_consider_spread': True,
}
settings = {
'date': date,
'path': DATA_PATH,
'tickset': 'top',
'algo': algo
}
runner = PairRunner(settings)
runner.run()
return runner
def back_test(pair, date, param):
tracker = TradeAnalysis(Contract(pair[0]))
algo = {'class': ConstantAlgo}
algo['param'] = {
'x': pair[0],
'y': pair[1],
'a': 1,
'b': 0,
'rolling': param[0],
'bollinger': param[1],
'const': param[2],
'block': 100,
'tracker': tracker
}
settings = {
'date': date,
'path': DATA_PATH,
'tickset': 'top',
'algo': algo,
'singletick': True
}
runner = PairRunner(settings)
runner.run()
account = runner.account
history = account.history.to_dataframe(account.items)
score = float(history[['pnl']].iloc[-1])
order_win = tracker.order_winning_ratio()
order_profit = tracker.analyze_all_profit()[0]
num_rounds = tracker.analyze_all_profit()[2]
return score, order_win, order_profit, num_rounds, runner
def back_test(pair, date, param):
algo = { 'class': StopWinAlgo }
algo['param'] = {'x': pair[0],
'y': pair[1],
'a': 1,
'b': 0,
'rolling': param[0],
'alpha': -1,
'bollinger': param[1],
'stop_win': param[2],
'block': 100,
'if_stop_win': True,
'if_ema': False,
'if_consider_spread': True,
}
settings = { 'date': date,
'path': DATA_PATH,
'tickset': 'top',
'algo': algo}
runner = PairRunner(settings)
runner.run()
account = runner.account
history = account.history.to_dataframe(account.items)
score = float(history[['pnl']].iloc[-1])
return score
def back_test(pair, date):
algo = { 'class': TestAlgo }
algo['param'] = {'x': pair[0],
'y': pair[1],
'a': 1,
'b': 0,
'rolling': 1000,
'sd_coef': 2,
'block': 100,
}
settings = { 'date': date,
'path': DATA_PATH,
'tickset': 'top',
'algo': algo}
runner = PairRunner(settings)
runner.run()
account = runner.account
return account
def back_test(pair, date, param, tracker):
algo = { 'class': StopWinSpreadGuardAlgo }
algo['param'] = {'x': pair[0],
'y': pair[1],
'a': 1,
'b': 0,
'rolling': param[0],
'bollinger': param[1],
'stop_win': param[2],
'block': 100,
'tracker': tracker}
settings = { 'date': date,
'path': DATA_PATH,
'tickset': 'top',
'algo': algo,
'singletick': True}
runner = PairRunner(settings)
runner.run()
return runner, algo
def run_based_on_pre(date_list):
temp = best_param(date_list[:-1])
algo = { 'class': TestAlgo }
algo['param'] = {'x': pair[0],
'y': pair[1],
'a': 1,
'b': 0,
'rolling': float(temp.rolling),
'sd_coef': float(temp.sd_coef),
'block': 100}
settings = { 'date': date_list[-1],
'path': DATA_PATH,
'tickset': 'top',
'algo': algo}
runner = PairRunner(settings)
runner.run()
account = runner.account
orders = account.orders.to_dataframe()
history = account.history.to_dataframe(account.items)
return float(history.pnl.tail(1)), len(orders)
def back_test(pair, date, param):
algo = { 'class': TestAlgo }
algo['param'] = {'x': pair[0],
'y': pair[1],
'a': 1,
'b': 0,
'rolling': param[0],
'sd_coef': param[1],
'block': 100,
}
settings = { 'date': date,
'path': DATA_PATH,
'tickset': 'top',
'algo': algo}
runner = PairRunner(settings)
runner.run()
account = runner.account
history = account.history.to_dataframe(account.items)
orders = account.orders.to_dataframe()
pnl = np.asarray(history.pnl)[-1]
return pnl, len(orders)
def best_param(date_list):
score = []
num_trades = []
algo = { 'class': TestAlgo }
algo['param'] = {'x': pair[0],
'y': pair[1],
'a': 1,
'b': 0,
'rolling': 2000,
'sd_coef': 2,
'block': 100}
settings = { 'date': date_list,
'path': DATA_PATH,
'tickset': 'top',
'algo': algo}
runner = PairRunner(settings)
num_cores = 32
results = Parallel(n_jobs=num_cores)(delayed(run_simulation)(p, runner) for p in pars)
result = pd.DataFrame({ "rolling": [p[0] for p in pars],
"sd_coef": [p[1] for p in pars],
"PNL": [i for i, v in results],
"num_trades": [v for i, v in results]})
index = np.asarray(result.PNL).argmax()
return result[index:index+1]
'y': pair[1],
'a': 1,
'b': 0,
'rolling': 4000,
'sd_coef': 3,
'block': 100,
'stop_win': 200,
}
settings = {
'date': date_list,
'path': DATA_PATH,
'tickset': 'top',
'algo': algo
}
runner = PairRunner(settings)
price_diff = get_price_diff(pair)
price_diff_std = np.nanstd(price_diff)
rolling_list = range(1000, 10000, 2000)
sd_coef_list = np.arange(2, 8)
stop_win_list = price_diff_std * np.arange(0.5, 3.5, 0.5)
final_profit = []
for r in rolling_list:
for sd in sd_coef_list:
for sw in stop_win_list:
start_time = time.time()
runner.run(algo_param={
'rolling': r,
'sd_coef': sd,
'stop_win': sw
})
