def test_decimals(self):
# Long with decimals
a = Account(2)
a.EnterPosition('Long', 1, 0.00000001)
self.assertEqual(a.TotalValue(0.00000002), 3)
a.ClosePosition(a.Positions[0], 1, 0.00000002)
self.assertEqual(a.BuyingPower, 3)
#Short with decimals
a = Account(2)
a.EnterPosition('Short', 1, 0.00000002)
self.assertEqual(a.TotalValue(0.00000001), 2.5)
a.ClosePosition(a.Positions[0], 1, 0.00000001)
self.assertEqual(a.BuyingPower, 2.5)
def test_both(self):
a = Account(1000)
a.EnterPosition('Long', 200, 20)
a.EnterPosition('Short', 250, 25)
self.assertEqual(a.BuyingPower, 550)
self.assertEqual(a.TotalValue(25), 1050)
Long = a.Positions[0]
Short = a.Positions[1]
a.ClosePosition(Long, 0.5, 40)
a.ClosePosition(Short, 0.5, 12.5)
self.assertEqual(a.BuyingPower, 937.5)
self.assertEqual(a.TotalValue(12.5), 1187.5)
a.ClosePosition(Long, 1.0, 50)
a.ClosePosition(Short, 1.0, 50)
self.assertEqual(a.BuyingPower, 1187.5)
self.assertEqual(a.TotalValue(100), 1187.5)
def test_long(self):
a = Account(1000)
# Win on a long
a.EnterPosition('Long', 500, 10)
a.EnterPosition('Long', 500, 10)
self.assertEqual(a.BuyingPower, 0)
self.assertEqual(a.TotalValue(10), 1000)
L0 = a.Positions[0]
L1 = a.Positions[1]
a.ClosePosition(L0, 0.5, 20)
a.ClosePosition(L1, 0.5, 20)
self.assertEqual(a.BuyingPower, 1000)
self.assertEqual(a.TotalValue(20), 2000)
a.ClosePosition(L0, 0.5, 40)
a.ClosePosition(L1, 0.5, 40)
self.assertEqual(a.BuyingPower, 2000)
self.assertEqual(a.TotalValue(40), 3000)
# Lose on a long
a.EnterPosition('Long', 1000, 50)
L2 = a.Positions[2]
a.ClosePosition(L2, 0.5, 25)
self.assertEqual(a.BuyingPower, 1250)
self.assertEqual(a.TotalValue(25), 2125)
def test_short(self):
a = Account(1000)
# Win on a short
a.EnterPosition('Short', 500, 10)
a.EnterPosition('Short', 500, 10)
self.assertEqual(a.BuyingPower, 0)
self.assertEqual(a.TotalValue(10), 1000)
S0 = a.Positions[0]
S1 = a.Positions[1]
a.ClosePosition(S0, 0.5, 5)
a.ClosePosition(S1, 0.5, 5)
self.assertEqual(a.BuyingPower, 750)
self.assertEqual(a.TotalValue(5), 1500)
a.ClosePosition(S0, 0.5, 2.5)
a.ClosePosition(S1, 0.5, 2.5)
self.assertEqual(a.BuyingPower, 1187.5)
self.assertEqual(a.TotalValue(2.5), 1625)
# Lose on a short
a.EnterPosition('Short', 1000, 2)
S2 = a.Positions[2]
a.ClosePosition(S2, 0.5, 4)
self.assertEqual(a.BuyingPower, 187.5)
self.assertEqual(a.TotalValue(4), 587.5)
class Run():
def __init__(self, Data):
self.Data = Data
self.Data['date'] = pd.to_datetime(self.Data['date'])
def Start(self, InitialCapital, Logic, Lookback=1, Start=False, End=False):
# Initialize account
self.Account = Account(InitialCapital)
# Adjust custom timeframe
if not (Start): Start = self.Data['date'].iloc[0]
if not (End): End = self.Data['date'].iloc[-1]
self.Start, self.End = Start, End
self.Timeframe = self.Data.loc[(self.Data['date'] >= Start)
& (self.Data['date'] <= End)]
# Enter backtest ---------------------------------------------
for Index, Today in self.Timeframe.iterrows():
Days = [self.Data.loc[Index]]
for Day in range(Lookback):
try:
Days.insert(1, self.Data.loc[Index - Day - 1])
except KeyError:
pass
try:
Days.insert(1, self.Data.loc[Index + 1])
except KeyError:
pass
# Update account variables
self.Account.Date = Today['date']
self.Account.Equity.append(self.Account.TotalValue(Today['open']))
# Execute trading logic
Logic(self.Account, Period(Days))
# Cleanup empty positions
self.Account.PurgePositions()
# ------------------------------------------------------------
def Results(self):
print("-------------- Results ----------------\n")
print("Period : %s...%s" % (self.Start, self.End))
BeginPrice = self.Timeframe.iloc[0]['open']
FinalPrice = self.Timeframe.iloc[-1]['close']
percentchange = PercentChange(BeginPrice, FinalPrice)
print("Buy and Hold : %s%%" % round(percentchange * 100, 2))
print("Net Profit : %s " %
round(Profit(self.Account.InitialCapital, percentchange), 2))
percentchange = PercentChange(self.Account.InitialCapital,
self.Account.TotalValue(FinalPrice))
print("Strategy : %s%%" % round(percentchange * 100, 2))
print("Net Profit : %s " %
round(Profit(self.Account.InitialCapital, percentchange), 2))
print("\n---------------------------------------")
def AdvancedResults(self):
print("-----------Advanced Results------------\n")
Longs = len([T for T in self.Account.OpenedTrades if T.Type == 'Long'])
Sells = len([T for T in self.Account.ClosedTrades if T.Type == 'Long'])
Shorts = len(
[T for T in self.Account.OpenedTrades if T.Type == 'Short'])
Covers = len(
[T for T in self.Account.ClosedTrades if T.Type == 'Short'])
print("Longs : %s" % Longs)
print("Sells : %s" % Sells)
print("Shorts : %s" % Shorts)
print("Covers : %s" % Covers)
print("--------------------")
print("Total Trades : %s" % (Longs + Sells + Shorts + Covers))
LongPerformances = [
PercentChange(T.Entry, T.Exit) for T in self.Account.ClosedTrades
if T.Type == 'Long'
]
ShortPerformances = [
-1 * PercentChange(T.Entry, T.Exit)
for T in self.Account.ClosedTrades if T.Type == 'Short'
]
print("\nLong/Short Performance\n----------------------------")
print("Long (Worst) : %s%%" %
round(min(LongPerformances) * 100, 2))
print("Long (Average) : %s%%" % round(
(sum(LongPerformances) / len(LongPerformances)) * 100, 2))
print("Long (Best) : %s%%\n" %
round(max(LongPerformances) * 100, 2))
print("Short (Worst) : %s%%" %
round(min(ShortPerformances) * 100, 2))
print("Short (Average) : %s%%" % round(
(sum(ShortPerformances) / len(ShortPerformances)) * 100, 2))
print("Short (Best) : %s%%" %
round(max(ShortPerformances) * 100, 2))
Gains = [T for T in LongPerformances + ShortPerformances if T > 0]
Losses = [T for T in LongPerformances + ShortPerformances if T < 0]
print("\nGains/Losses\n-----------------------------")
print("Gain (Largest) : %s%%" % round(max(Gains) * 100, 2))
print("Gain (Average) : %s%%" % round(
(sum(Gains) / len(Gains)) * 100, 2))
print("Gain (Smallest) : %s%%" % round(min(Gains) * 100, 2))
print("Total Gains : %s\n" % (len(Gains)))
print("Loss (Smallest) : %s%%" % round(max(Losses) * 100, 2))
print("Loss (Average) : %s%%" % round(
(sum(Losses) / len(Losses)) * 100, 2))
print("Loss (Largest) : %s%%" % round(min(Losses) * 100, 2))
print("Total Losses : %s" % (len(Losses)))
print("\n---------------------------------------")
def Chart(self, ShowTrades=False):
output_file("chart.html", title="Equity Curve")
p = figure(x_axis_type="datetime", title="Equity Curve")
p.legend.location = "top_left"
p.grid.grid_line_alpha = 0.3
p.xaxis.axis_label = 'Date'
p.yaxis.axis_label = 'Equity'
Shares = self.Account.InitialCapital / self.Timeframe.iloc[0]['open']
BaseEquity = [Price * Shares for Price in self.Timeframe['open']]
p.line(self.Timeframe['date'],
BaseEquity,
color='#CAD8DE',
legend='Buy and Hold')
p.line(self.Timeframe['date'],
self.Account.Equity,
color='#49516F',
legend='Strategy')
if ShowTrades:
for Trade in self.Account.OpenedTrades:
x = time.mktime(Trade.Date.timetuple()) * 1000
y = self.Account.Equity[np.where(
self.Timeframe['date'] == Trade.Date.strftime("%Y-%m-%d"))
[0][0]]
if Trade.Type == 'Long':
p.circle(x, y, size=6, color='green', alpha=0.5)
elif Trade.Type == 'Short':
p.circle(x, y, size=6, color='red', alpha=0.5)
for Trade in self.Account.ClosedTrades:
print(Trade.Type)
x = time.mktime(Trade.Date.timetuple()) * 1000
y = self.Account.Equity[np.where(
self.Timeframe['date'] == Trade.Date.strftime("%Y-%m-%d"))
[0][0]]
if Trade.Type == 'Long':
p.circle(x, y, size=6, color='blue', alpha=0.5)
elif Trade.Type == 'Short':
p.circle(x, y, size=6, color='orange', alpha=0.5)
show(p)
