def main():
data_handler = DataHandler(symbols, qcodes, date_start, date_end, frequency, datas)
datas_symbols = data_handler.generate_data()
#prices = datas_symbols['Close'].iloc[:,0]
prices = datas_symbols[trade_time]
plot_time_series(prices)
plot_scatter(prices)
plot_residuals(prices)
print cadf(prices)
def main():
data_handler = DataHandler(symbols, qcodes, date_start, date_end,
frequency, datas)
datas_symbols = data_handler.generate_data()
#prices = datas_symbols['Close'].iloc[:,0]
prices = datas_symbols[trade_time]
plot_time_series(prices)
plot_scatter(prices)
plot_residuals(prices)
print cadf(prices)
def main():
data_handler = DataHandler(symbols, qcodes, date_start, date_end,
frequency, datas)
datas_symbols = data_handler.generate_data()
if len(symbols) == 1:
prices = datas_symbols[trade_time].iloc[:,0]
else:
prices = datas_symbols[trade_time]
#plot_time_series(prices)
#___ Single asset ___#
#print adf(prices)
#print hurst(prices, True)
#___ Multiple assets ___#
#plot_scatter(prices)
plot_residuals(prices)
#print cadf(prices)
print halflife(residuals(prices))
def main():
data_handler = DataHandler(symbols, qcodes, date_start, date_end,
frequency, datas)
datas_symbols = data_handler.generate_data()
if len(symbols) == 1:
prices = datas_symbols[trade_time].iloc[:, 0]
else:
prices = datas_symbols[trade_time]
#plot_time_series(prices)
#___ Single asset ___#
#print adf(prices)
#print hurst(prices, True)
#___ Multiple assets ___#
#plot_scatter(prices)
plot_residuals(prices)
#print cadf(prices)
print halflife(residuals(prices))
class Backtest(object):
def __init__(self, strategy, portfolio, analyser, **kwargs):
self.strategy = strategy
self.portfolio = portfolio
self.analyser = [analyser] if type(analyser) != list else analyser
self.backtest_modules = [self, self.strategy, self.portfolio]
self.backtest_modules.extend(self.analyser)
self.symbols = None
self.qcodes = None
self.date_start = None
self.date_end = None
self.frequency = None
self.datas = None
self.trade_time = None
self.benchmark = None
self.benchmark_qcode = None
for module in self.backtest_modules:
module.__dict__.update(kwargs)
#self.__dict__.update(kwargs)
self.validate_input()
self.data_handler = DataHandler(self.symbols, self.qcodes, self.date_start, self.date_end, self.frequency, self.datas)
self.benchmark_handler = DataHandler([self.benchmark], [self.benchmark_qcode], self.date_start, self.date_end, self.frequency, self.datas)
def validate_input(self):
if self.symbols is None:
raise ValueError, "Need to choose symbols to trade"
if self.benchmark is None:
print "No benchmark specified. Default is SPY"
self.benchmark = 'SPY'
self.benchmark_qcode = 'GOOG/NYSE_SPY'
if not os.path.exists(self.options.outdir):
os.mkdir(self.options.outdir)
def run(self):
print "\n\nHandling data"
datas_symbols = self.data_handler.generate_data()
datas_benchmark = self.benchmark_handler.generate_data()
for module in self.backtest_modules:
module.datas_symbols = datas_symbols
module.datas_benchmark = datas_benchmark
module.prices = datas_symbols[self.trade_time]
module.prices_bm = datas_benchmark[self.trade_time]
print "\n\nGenerating signals"
self.strategy.begin()
self.strategy.generate_signals()
for module in self.backtest_modules:
module.__dict__.update(self.strategy.__dict__)
print "\n\nBacktesting portfolio"
self.portfolio.begin()
self.portfolio.generate_returns()
for module in self.backtest_modules:
module.__dict__.update(self.portfolio.__dict__)
print "\n\nAnalysing results"
for analyser in self.analyser:
analyser.begin()
analyser.generate_analysis()
class Backtest(object):
def __init__(self, strategy, portfolio, analyser, **kwargs):
self.strategy = strategy
self.portfolio = portfolio
self.analyser = [analyser] if type(analyser) != list else analyser
self.backtest_modules = [self, self.strategy, self.portfolio]
self.backtest_modules.extend(self.analyser)
self.symbols = None
self.qcodes = None
self.date_start = None
self.date_end = None
self.frequency = None
self.datas = None
self.trade_time = None
self.benchmark = None
self.benchmark_qcode = None
for module in self.backtest_modules:
module.__dict__.update(kwargs)
#self.__dict__.update(kwargs)
self.validate_input()
self.create_outdir()
self.data_handler = DataHandler(self.symbols, self.qcodes,
self.date_start, self.date_end,
self.frequency, self.datas)
self.benchmark_handler = DataHandler([self.benchmark],
[self.benchmark_qcode],
self.date_start, self.date_end,
self.frequency, self.datas)
def validate_input(self):
if self.symbols is None:
raise ValueError, "Need to choose symbols to trade"
if self.benchmark is None:
print "No benchmark specified. Default is SPY"
self.benchmark = 'SPY'
self.benchmark_qcode = 'GOOG/NYSE_SPY'
def create_outdir(self):
outdir = self.options.outdir
if self.options.save:
date = time.strftime("%Y_%m_%d")
outdirbase = os.path.join(self.options.outdir, date)
revision = 1
while os.path.exists(outdir):
outdir = outdirbase + "_" + str(revision)
revision += 1
if not os.path.exists(outdir):
os.makedirs(outdir)
for module in self.backtest_modules:
module.outdir = outdir
def run(self):
print "\n\nHandling data"
datas_symbols = self.data_handler.generate_data()
datas_benchmark = self.benchmark_handler.generate_data()
for module in self.backtest_modules:
module.datas_symbols = datas_symbols
module.datas_benchmark = datas_benchmark
module.prices = datas_symbols[self.trade_time]
module.prices_bm = datas_benchmark[self.trade_time]
print "\n\nGenerating signals"
self.strategy.begin()
self.strategy.generate_signals()
for module in self.backtest_modules:
module.__dict__.update(self.strategy.__dict__)
print "\n\nBacktesting portfolio"
self.portfolio.begin()
self.portfolio.generate_returns()
for module in self.backtest_modules:
module.__dict__.update(self.portfolio.__dict__)
print "\n\nAnalysing results"
for analyser in self.analyser:
analyser.begin()
analyser.generate_analysis()
