def setUpClass(cls):
cls.events = Queue()
cls.execution = IBExecutionHandler(cls.events, CONFIG)
cls.future = FuturesContract('GC', exp_year=2016, exp_month=6)
cls.stock = Stock('AAPL')
while cls.execution.next_valid_order_id is -1:
time.sleep(.1)
def add_stocks(self, code_list):
"""보유주식에 포함시킨다.
:param code:
:return:
"""
for code in code_list:
self.보유주식[code] = Stock.get_instance(code)
def update_sell(self, stock: Stock, price_per_stock: int, amount: int, reason: str):
"""특정 주식을 매도했을때, 계좌정보를 업데이트
:param code:
:param amount:
:return:
"""
# stock 객체 업데이트
stock.trading_reason = reason
stock.update_sell(price_per_stock, amount)
if cfg_mgr.debug_mode():
pass
# self.print_attr('SELL', stock.stock_name, stock.code, reason)
# pdb.set_trace()
# 계좌 정보 업데이트
self.예수금 += stock.매매금액
self.총평가금액 += stock.평가금액변동
self.총매입금액 += stock.매입금액변동
self.총최대매입금액 = max(self.총매입금액, self.총최대매입금액)
self.추정자산 = self.예수금 + self.총평가금액 # 현금(예수금) + 주식(총평가금액)
self.총누적손익 += stock.실현손익
self.총평가손익 = float(self.총평가금액 - self.총매입금액) # 보유한 주식의가치로 얻은 손익
self.총손익 = self.총평가손익 + self.총누적손익 # 개념상 손익 (현금의 손익 + 가치의 손익)
try:
self.총수익률 = self.총평가손익 / self.총매입금액 * 100 # 보유한 주식에 대한 총 수익률
except ZeroDivisionError as e:
self.총수익률 = 0.0
self.총누적수익률 = float(self.총누적손익) / self.총최대매입금액 * 100 # 실현한 수익에 대한 총 수익률
self.sell_transaction(stock)
if stock.보유수량 == 0:
del self.보유주식[stock.code]
else:
self.보유주식[stock.code] = stock
try:
if cfg_mgr.debug_mode():
self.print_attr('SELL', stock.stock_name, stock.code, reason)
# pdb.set_trace()
except Exception:
pdb.set_trace()
print("Exception")
return ""
def setUpClass(cls):
cls.events = Queue()
cls.start_date = dt.datetime(year=2015, month=12, day=1)
cls.end_date = dt.datetime(year=2015, month=12, day=31)
cls.products = [Stock('MSFT')]
cls.data = StockBacktestDataHandler(cls.events, cls.products, cls.start_date, cls.end_date)
cls.execution = StockBacktestExecutionHandler(cls.events)
cls.strategy = BuyStrategy(cls.events, cls.data, cls.products)
cls.backtest = StockBacktest(cls.events, cls.strategy, cls.data, cls.execution, cls.start_date, cls.end_date)
def update_buy(self, stock: Stock, price_per_stock: int, amount: int, reason: str):
"""특정 주식을 매수했을때, 계좌정보를 업데이트
:param code:
:param price_per_stock:
:param amount:
:return:
"""
# stock 객체 업데이트
stock.trading_reason = reason
stock.update_buy(price_per_stock, amount)
if cfg_mgr.debug_mode():
pass
# self.print_attr('BUY', stock.stock_name, stock.code, reason) # need to move to util/common pkg
# pdb.set_trace()
# 계좌 정보 업데이트
self.예수금 -= stock.매매금액
self.총평가금액 += stock.평가금액변동
self.총매입금액 += stock.매입금액변동
self.총최대매입금액 = max(self.총매입금액, self.총최대매입금액)
self.추정자산 = self.예수금 + self.총평가금액 # 현금(예수금) + 주식(총평가금액)
# self.총누적손익 += self.총누적손익 --> 변동없음
self.총평가손익 = float(self.총평가금액 - self.총매입금액) # 보유한 주식의가치로 얻은 손익
self.총손익 = self.총평가손익 + self.총누적손익 # 개념상 손익 (현금의 손익 + 가치의 손익)
self.총수익률 = self.총평가손익 / self.총매입금액 * 100 # 보유한 주식에 대한 총 수익률
self.총누적수익률 = float(self.총누적손익) / self.총최대매입금액 * 100 # 실현한 수익에 대한 총 수익률
# 보유주식에 포함
self.보유주식[stock.code] = stock
self.buy_transaction(stock)
try:
if cfg_mgr.debug_mode():
self.print_attr('BUY', stock.stock_name, stock.code, reason) # need to move to util/common pkg
# pdb.set_trace()
except Exception:
# pdb.set_trace()
print("Exception")
def get_stock_list(self, date):
"""특정일에 조건검색식으로부터 검출된 모든 stock list 를 반환
:param date:
:return:
"""
code_list = self.detected_code_list(date)
stock_list = [
Stock.get_instance(code) for code in code_list
if code not in self.disable_code_list
]
return stock_list
def get_stock_list_at_timestamp(self, timestamp):
"""특정시간(timestamp)에 조건검색식으로부터 검출된 stock list를 반환
:param timestamp:
:return:
"""
ret = []
for code, time_series in self.condi_hist.items():
if code in self.disable_code_list:
continue
if timestamp in time_series:
ret.append(Stock.get_instance(code))
return ret
def test_stock(self):
stock = Stock('AAPL')
self.assertEqual('AAPL', stock.symbol)
self.assertEqual('Apple Inc.', stock.name)
self.assertEqual('Consumer Goods', stock.sector)
import pandas as pd
import datetime as dt
from Queue import Queue
from trading.stock import Stock
from stock_backtest.data_handler import StockBacktestDataHandler
from stock_backtest.execution_handler import StockBacktestExecutionHandler
from stock_backtest.backtest import StockBacktest
from strategies.buy_strategy_stock import BuyStrategy
events = Queue()
products = [Stock('MSFT'), Stock('ORCL')]
symbols = [product.symbol for product in products]
start_date = dt.datetime(year=2012, month=1, day=1)
end_date = dt.datetime(year=2016, month=1, day=10)
data = StockBacktestDataHandler(events, products, start_date, end_date)
execution = StockBacktestExecutionHandler(events)
strategy = BuyStrategy(events, data, products, initial_cash=100000)
backtest = StockBacktest(events, strategy, data, execution, start_date, end_date)
backtest.run()
print strategy.time_series.head(5)
print strategy.positions_series.head(5)
print strategy.transactions_series.head(5)
print strategy.returns_series.head(5)