def run_hedgeit(self):
manifest = 'data/future.csv'
sectormap = json.load(open('examples/clenow-best40.json'))
feedStart = datetime.datetime(1999,1,1)
tradeStart = datetime.datetime(2000,1,1)
tradeEnd = datetime.datetime(2013,12,31)
InstrumentDb.Instance().load(manifest)
plog = 'positions.csv'
elog = 'equity.csv'
rlog = 'returns.csv'
slog = 'summary.csv'
parms = { 'riskFactor' : 0.004 }
ctrl = Controller(sectormap,
modelType = 'breakout',
cash = 250000,
tradeStart = tradeStart,
compounding = False,
positionsFile = plog,
equityFile = elog,
returnsFile = rlog,
summaryFile = slog,
parms = parms
)
ctrl.run(feedStart, tradeStart, tradeEnd)
ctrl.writeAllTrades('trades.csv')
ctrl.writeTSSBTrades('tssb')
ctrl.writePositionAlerts('alerts.csv')
self._alerts = sorted(ctrl.get_position_alerts(), key=lambda x: x.datetime, reverse=True)
Log.info('There are %d position updates' % (len(self._alerts)))
def main(argv=None):
try:
opts, args = getopt.getopt(sys.argv[1:], "hc:p:t:g", ["tssb=","dump="])
except getopt.GetoptError as err:
# print help information and exit:
print str(err) # will print something like "option -a not recognized"
usage()
sys.exit(2)
cash = 1000000
type_ = 'breakout'
compounding = True
tssb = None
parms = None
dump = None
for o, a in opts:
if o == "-c":
cash = float(a)
Log.info('Setting initial cash position to: %0.2f' % cash)
elif o == "-p":
parms = parseParmString(a)
Log.info('Using model parms: %s' % parms)
elif o == "-t":
type_ = a
Log.info('Using model %s' % type_)
elif o == "-g":
compounding = False
Log.info('Compounding disabled')
elif o == "--tssb":
tssb = a
Log.info('Writing tssb files with base %s' % tssb)
elif o == "--dump":
dump = a
Log.info('Will output data feed to %s.csv' % dump)
else:
usage()
return
if len(args) != 5:
Log.error('Not enough arguments to backtest!')
usage()
sys.exit(1)
manifest = args[0]
sectormap = json.load(open(args[1]))
feedStart = datetime.strptime(args[2], '%Y-%m-%d')
tradeStart = datetime.strptime(args[3], '%Y-%m-%d')
tradeEnd = datetime.strptime(args[4], '%Y-%m-%d')
InstrumentDb.Instance().load(manifest)
plog = 'positions.csv'
elog = 'equity.csv'
rlog = 'returns.csv'
slog = 'summary.csv'
ctrl = Controller(sectormap,
modelType = type_,
cash = cash,
tradeStart = tradeStart,
compounding = compounding,
positionsFile = plog,
equityFile = elog,
returnsFile = rlog,
summaryFile = slog,
parms = parms
)
ctrl.run(feedStart, tradeStart, tradeEnd)
if dump:
ctrl.dumpFeed(dump)
tlog = 'trades.csv'
ctrl.writeAllTrades(tlog)
if tssb:
ctrl.writeTSSBTrades(tssb)
alog = 'alerts.csv'
ctrl.writePositionAlerts(alog)
Log.info('Net return : %0.1f%%' % (ctrl.net_return() * 100.0))
Log.info('Max drawdown : -%0.1f%%' % (ctrl.drawdown().getMaxDrawDown() * 100.0))
def main(argv=None):
try:
opts, args = getopt.getopt(sys.argv[1:], "hc:p:t:g",
["tssb=", "dump="])
except getopt.GetoptError as err:
# print help information and exit:
print str(err) # will print something like "option -a not recognized"
usage()
sys.exit(2)
cash = 1000000
type_ = 'breakout'
compounding = True
tssb = None
parms = None
dump = None
for o, a in opts:
if o == "-c":
cash = float(a)
Log.info('Setting initial cash position to: %0.2f' % cash)
elif o == "-p":
parms = parseParmString(a)
Log.info('Using model parms: %s' % parms)
elif o == "-t":
type_ = a
Log.info('Using model %s' % type_)
elif o == "-g":
compounding = False
Log.info('Compounding disabled')
elif o == "--tssb":
tssb = a
Log.info('Writing tssb files with base %s' % tssb)
elif o == "--dump":
dump = a
Log.info('Will output data feed to %s.csv' % dump)
else:
usage()
return
if len(args) != 5:
Log.error('Not enough arguments to backtest!')
usage()
sys.exit(1)
manifest = args[0]
sectormap = json.load(open(args[1]))
feedStart = datetime.strptime(args[2], '%Y-%m-%d')
tradeStart = datetime.strptime(args[3], '%Y-%m-%d')
tradeEnd = datetime.strptime(args[4], '%Y-%m-%d')
InstrumentDb.Instance().load(manifest)
plog = 'positions.csv'
elog = 'equity.csv'
rlog = 'returns.csv'
slog = 'summary.csv'
ctrl = Controller(sectormap,
modelType=type_,
cash=cash,
tradeStart=tradeStart,
compounding=compounding,
positionsFile=plog,
equityFile=elog,
returnsFile=rlog,
summaryFile=slog,
parms=parms)
ctrl.run(feedStart, tradeStart, tradeEnd)
if dump:
ctrl.dumpFeed(dump)
tlog = 'trades.csv'
ctrl.writeAllTrades(tlog)
if tssb:
ctrl.writeTSSBTrades(tssb)
alog = 'alerts.csv'
ctrl.writePositionAlerts(alog)
Log.info('Net return : %0.1f%%' % (ctrl.net_return() * 100.0))
Log.info('Max drawdown : -%0.1f%%' %
(ctrl.drawdown().getMaxDrawDown() * 100.0))