def run(self):
self.ts = pf.fetch_timeseries(self.symbol)
self.ts = pf.select_tradeperiod(self.ts, self.start, self.end, use_adj=True)
# Add technical indicator: 200 sma regime filter
self.ts['regime'] = \
pf.CROSSOVER(self.ts, timeperiod_fast=1, timeperiod_slow=200)
# Add technical indicator: instrument risk, i.e. annual std
self.ts['vola'] = \
pf.VOLATILITY(self.ts, lookback=20, time_frame='yearly')
# Add technical indicator: X day sma
sma = SMA(self.ts, timeperiod=self.sma)
self.ts['sma'] = sma
# Add technical indicator: X day high, and X day low
period_high = pd.Series(self.ts.close).rolling(self.period).max()
period_low = pd.Series(self.ts.close).rolling(self.period).min()
self.ts['period_high'] = period_high
self.ts['period_low'] = period_low
self.ts, self.start = pf.finalize_timeseries(self.ts, self.start)
self.tlog = pf.TradeLog(self.symbol)
self.dbal = pf.DailyBal()
self._algo()
def run(self):
# Fetch and select timeseries.
self.ts = pf.fetch_timeseries(self.symbol,
use_cache=self.options['use_cache'])
self.ts = pf.select_tradeperiod(self.ts,
self.start,
self.end,
use_adj=self.options['use_adj'])
# Add technical indicator: 200 day sma regime filter.
self.ts['regime'] = pf.CROSSOVER(self.ts,
timeperiod_fast=1,
timeperiod_slow=200)
# Add technical indicators: X day high, and X day low.
self.ts['period_high'] = pd.Series(self.ts.close).rolling(
self.options['period']).max()
self.ts['period_low'] = pd.Series(self.ts.close).rolling(
self.options['period']).min()
# Finalize timeseries.
self.ts, self.start = pf.finalize_timeseries(self.ts, self.start)
# Create tlog and dbal objects.
self.tlog = pf.TradeLog(self.symbol)
self.dbal = pf.DailyBal()
# Run algo, get logs, and get stats.
self._algo()
self._get_logs()
self._get_stats()
def run(self):
self.ts = pf.fetch_timeseries(self.symbol,
use_cache=self.options['use_cache'])
self.ts = pf.select_tradeperiod(self.ts, self.start, self.end,
self.options['use_adj'])
# Add calendar columns
self.ts = pf.calendar(self.ts)
# Add momentum indicator for 3...18 months
lookbacks = range(3, 18 + 1)
for lookback in lookbacks:
self.ts['mom' + str(lookback)] = pf.MOMENTUM(self.ts,
lookback=lookback,
time_frame='monthly',
price='close',
prevday=False)
self.ts, self.start = pf.finalize_timeseries(self.ts, self.start)
self.tlog = pf.TradeLog(self.symbol)
self.dbal = pf.DailyBal()
self._algo()
self._get_logs()
self._get_stats()
def run(self):
self._ts = pf.fetch_timeseries(self._symbol)
self._ts = pf.select_tradeperiod(self._ts, self._start,
self._end, use_adj=True)
# Add technical indicator: 200 day sma
sma200 = SMA(self._ts, timeperiod=200)
self._ts['sma200'] = sma200
# Add technical indicator: X day sma
sma = SMA(self._ts, timeperiod=self._sma)
self._ts['sma'] = sma
# Add technical indicator: X day high, and X day low
period_high = pd.Series(self._ts.close).rolling(self._period).max()
period_low = pd.Series(self._ts.close).rolling(self._period).min()
self._ts['period_high'] = period_high
self._ts['period_low'] = period_low
self._ts, self._start = pf.finalize_timeseries(self._ts, self._start)
self._tlog = pf.TradeLog()
self._dbal = pf.DailyBal()
self._algo()
def run(self):
self.ts = pf.fetch_timeseries(self.symbol)
self.ts = pf.select_tradeperiod(self.ts,
self.start,
self.end,
use_adj=self.use_adj)
self.ts, _ = pf.finalize_timeseries(self.ts, self.start)
self.tlog = pf.TradeLog(self.symbol)
self.dbal = pf.DailyBal()
self._algo()
def run(self):
self._ts = pf.fetch_timeseries(self._symbol)
self._ts = pf.select_tradeperiod(self._ts,
self._start,
self._end,
use_adj=self._use_adj,
pad=False)
self._ts, _ = pf.finalize_timeseries(self._ts, self._start)
self._tlog = pf.TradeLog()
self._dbal = pf.DailyBal()
self._algo()
def run(self):
self._ts = pf.fetch_timeseries(self._symbol)
self._ts = pf.select_tradeperiod(self._ts, self._start, self._end,
self._use_adj)
# Add technical indicator: day sma
sma = SMA(self._ts, timeperiod=self._sma_period)
self._ts['sma'] = sma
self._ts, self._start = pf.finalize_timeseries(self._ts, self._start)
self._tlog = pf.TradeLog()
self._dbal = pf.DailyBal()
self._algo()
def run(self):
self.ts = pf.fetch_timeseries(self.symbol)
self.ts = pf.select_tradeperiod(self.ts, self.start,
self.end, self.use_adj)
# Add technical indicator: day sma regime filter
self.ts['regime'] = \
pf.CROSSOVER(self.ts, timeperiod_fast=1, timeperiod_slow=self.sma_period,
band=self.percent_band)
self.ts, self.start = pf.finalize_timeseries(self.ts, self.start)
self.tlog = pf.TradeLog(self.symbol)
self.dbal = pf.DailyBal()
self._algo()
def run(self):
self.ts = pf.fetch_timeseries(self.symbol)
self.ts = pf.select_tradeperiod(self.ts, self.start, self.end)
# add regime filter
self.ts['regime'] = \
pf.CROSSOVER(self.ts,
timeperiod_fast=self.timeperiod_fast,
timeperiod_slow=self.timeperiod_slow,
band=self.percent_band)
self.ts, self.start = pf.finalize_timeseries(self.ts, self.start)
self.tlog = pf.TradeLog(self.symbol)
self.dbal = pf.DailyBal()
self._algo()
def run(self):
self.ts = pf.fetch_timeseries(self.symbol)
self.ts = pf.select_tradeperiod(self.ts, self.start, self.end)
# add regime filter
self.ts['regime'] = \
pf.CROSSOVER(self.ts,
timeperiod_fast=self.timeperiod_fast,
timeperiod_slow=self.timeperiod_slow,
band=self.percent_band)
# Add technical indicator: volatility
self.ts['vola'] = pf.VOLATILITY(self.ts)
self.ts, self.start = pf.finalize_timeseries(self.ts, self.start)
self.tlog = pf.TradeLog(self.symbol)
self.dbal = pf.DailyBal()
self._algo()
def run(self):
# Fetch and selct timeseries
self.ts = pf.fetch_timeseries(self.symbol,
use_cache=self.options['use_cache'])
self.ts = pf.select_tradeperiod(self.ts, self.start, self.end,
self.options['use_adj'])
# Add technical indicator: day sma regime filter.
self.ts['regime'] = \
pf.CROSSOVER(self.ts, timeperiod_fast=50, timeperiod_slow=200)
# Finalize timeseries
self.ts, self.start = pf.finalize_timeseries(self.ts, self.start)
self.tlog = pf.TradeLog(self.symbol)
self.dbal = pf.DailyBal()
self._algo()
self._get_logs()
self._get_stats()
def run(self):
self._ts = pf.fetch_timeseries(self._symbol)
self._ts = pf.select_tradeperiod(self._ts, self._start, self._end,
self._use_adj)
# Add technical indicator: day sma
sma = SMA(self._ts, timeperiod=self._sma_period)
self._ts['sma'] = sma
# add S&P500 200 sma regime filter
ts = pf.fetch_timeseries('^GSPC')
ts = pf.select_tradeperiod(ts, self._start, self._end, False)
self._ts['regime'] = \
pf.CROSSOVER(ts, timeperiod_fast=1, timeperiod_slow=200)
self._ts, self._start = pf.finalize_timeseries(self._ts, self._start)
self._tlog = pf.TradeLog()
self._dbal = pf.DailyBal()
self._algo()
def run(self):
"""
Run the backtest.
Don't adjust the start day because that may cause it not
to match the start date of the strategy you are benchmarking
against. Instead, you should pass in the start date calculated
for the strategy.
"""
self.ts = pf.fetch_timeseries(self.symbol)
self.ts = pf.select_tradeperiod(self.ts,
self.start,
self.end,
use_adj=self.use_adj)
self.ts, _ = pf.finalize_timeseries(self.ts, self.start)
self.tlog = pf.TradeLog(self.symbol)
self.dbal = pf.DailyBal()
self._algo()
self._get_logs()
self._get_stats()
def run(self):
self.ts = pf.fetch_timeseries(self.symbol)
self.ts = pf.select_tradeperiod(self.ts,
self.start,
self.end,
use_adj=False)
# Add technical indicator: 200 sma regime filter
self.ts['regime'] = \
pf.CROSSOVER(self.ts, timeperiod_fast=1, timeperiod_slow=200)
# Add technical indicator: X day high, and X day low
period_high = pd.Series(self.ts.close).rolling(self.period).max()
period_low = pd.Series(self.ts.close).rolling(self.period).min()
self.ts['period_high'] = period_high
self.ts['period_low'] = period_low
self.ts, self.start = pf.finalize_timeseries(self.ts, self.start)
self.tlog = pf.TradeLog(self.symbol)
self.dbal = pf.DailyBal()
self._algo()
def run(self):
self.ts = pf.fetch_timeseries(self.symbol,
use_cache=self.options['use_cache'])
self.ts = pf.select_tradeperiod(self.ts, self.start, self.end,
self.options['use_adj'])
# Add technical indicator: day sma
self.ts['sma'] = SMA(self.ts, timeperiod=self.options['sma_period'])
# add S&P500 200 sma regime filter
ts = pf.fetch_timeseries('^GSPC')
ts = pf.select_tradeperiod(ts, self.start, self.end, use_adj=False)
self.ts['regime'] = \
pf.CROSSOVER(ts, timeperiod_fast=1, timeperiod_slow=200)
self.ts, self.start = pf.finalize_timeseries(self.ts, self.start)
self.tlog = pf.TradeLog(self.symbol)
self.dbal = pf.DailyBal()
self._algo()
self._get_logs()
self._get_stats()
def finalize_timeseries(self, ts, start):
""" finalize timeseries """
return pf.finalize_timeseries(ts, start)
