def back_test(pair, date, param):
tracker = TradeAnalysis(Contract(pair[0]))
algo = { 'class': ConstantAlgo }
algo['param'] = {'x': pair[0],
'y': pair[1],
'a': 1,
'b': 0,
'rolling': param[0],
'bollinger': param[1],
'const': param[2],
'block': 100,
'tracker': tracker
}
settings = { 'date': date,
'path': DATA_PATH,
'tickset': 'top',
'algo': algo,
'singletick': True}
runner = PairRunner(settings)
runner.run()
account = runner.account
history = account.history.to_dataframe(account.items)
score = float(history[['pnl']].iloc[-1])
order_win = tracker.order_winning_ratio()
order_profit = tracker.analyze_all_profit()[0]
num_rounds = tracker.analyze_all_profit()[2]
return score, order_win, order_profit, num_rounds, runner
def back_test(pair, date, param):
tracker = TradeAnalysis(Contract(pair[0]))
algo = {'class': ConstantAlgo}
algo['param'] = {
'x': pair[0],
'y': pair[1],
'a': 1,
'b': 0,
'rolling': param[0],
'bollinger': param[1],
'const': param[2],
'block': 100,
'tracker': tracker
}
settings = {
'date': date,
'path': DATA_PATH,
'tickset': 'top',
'algo': algo,
'singletick': True
}
runner = PairRunner(settings)
runner.run()
account = runner.account
history = account.history.to_dataframe(account.items)
score = float(history[['pnl']].iloc[-1])
order_win = tracker.order_winning_ratio()
order_profit = tracker.analyze_all_profit()[0]
num_rounds = tracker.analyze_all_profit()[2]
return score, order_win, order_profit, num_rounds, runner
def param_updated(self):
# make sure parent updates its param
super(StopWinAlgo, self).param_updated()
# algo settings
self.if_ema = self.param['if_ema'] # if false, use sma
self.if_stop_win = self.param['if_stop_win'] #if false, don't stop win
self.if_consider_spread = self.param['if_consider_spread'] #if false, don't consider spread and fee
# create rolling
self.long_roll = SimpleMoving(size=self.param['rolling'])
self.short_roll = SimpleMoving(size=self.param['rolling'])
self.long_autoreg = Autoregressive(alpha = self.param['alpha'])
self.short_autoreg = Autoregressive(alpha = self.param['alpha'])
self.spreadx_roll = SimpleMoving(size = self.param['rolling'])
self.spready_roll = SimpleMoving(size = self.param['rolling'])
self.bollinger = self.param['bollinger']
self.block = self.param['block']
self.stop_win = self.param['stop_win']
#other params
self.last_long_res = -999
self.last_short_res = -999
#records
self.records = {'timestamp': [], 'longs': [], 'shorts': [],
'long_mean': [], 'short_mean': [],
'long_sd': [], 'short_sd':[]}
#tracker
self.tracker = TradeAnalysis(self.pair.x)
def param_updated(self):
# make sure parent updates its param
super(SMAAlgo, self).param_updated()
# create rolling
self.long_roll = SimpleMoving(size=self.param['rolling'])
self.short_roll = SimpleMoving(size=self.param['rolling'])
self.spreadx_roll = SimpleMoving(size = self.param['rolling'])
self.spready_roll = SimpleMoving(size = self.param['rolling'])
#params
self.bollinger = self.param['bollinger']
self.block = self.param['block']
self.stop_win = self.param['stop_win']
#other params
self.last_long_res = -999
self.last_short_res = -999
#records
self.records = {'timestamp': [], 'longs': [], 'shorts': [],
'long_mean': [], 'short_mean': [],
'long_sd': [], 'short_sd':[]}
self.max_profit = 0
#tracker
self.tracker = TradeAnalysis(self.pair.x)
def param_updated(self):
# make sure parent updates its param
super(StopWinAlgo, self).param_updated()
# algo settings
self.if_ema = self.param['if_ema'] # if false, use sma
self.if_stop_win = self.param['if_stop_win'] #if false, don't stop win
self.if_consider_spread = self.param['if_consider_spread'] #if false, don't consider spread and fee
# create rolling
self.long_roll = SimpleMoving(size=self.param['rolling'])
self.short_roll = SimpleMoving(size=self.param['rolling'])
self.long_autoreg = Autoregressive(alpha = self.param['alpha'])
self.short_autoreg = Autoregressive(alpha = self.param['alpha'])
self.spreadx_roll = SimpleMoving(size = self.param['rolling'])
self.spready_roll = SimpleMoving(size = self.param['rolling'])
self.bollinger = self.param['bollinger']
self.block = self.param['block']
self.stop_win = self.param['stop_win']
#other params
self.last_long_res = -999
self.last_short_res = -999
#records
self.records = {'timestamp': [], 'longs': [], 'shorts': [],
'long_mean': [], 'short_mean': [],
'long_sd': [], 'short_sd':[]}
#tracker
self.tracker = TradeAnalysis(self.pair.x)
def get_tracker(date_list, product):
pair = 0
for date in date_list:
pair = get_best_pair(date,market, product)
if type(pair) != tuple:
continue
else:
break
return TradeAnalysis(Contract(pair[0]))
def back_test(pair, date, param):
tracker = TradeAnalysis(Contract(pair[0]))
algo = {"class": OUAlgo}
algo["param"] = {
"x": pair[0],
"y": pair[1],
"a": 1,
"b": 0,
"rolling": param[0],
"bollinger": param[1],
"block": 100,
"tracker": tracker,
}
settings = {"date": date, "path": DATA_PATH, "tickset": "top", "algo": algo, "singletick": True}
runner = PairRunner(settings)
runner.run()
account = runner.account
history = account.history.to_dataframe(account.items)
score = float(history[["pnl"]].iloc[-1])
order_win = tracker.order_winning_ratio()
order_profit = tracker.analyze_all_profit()[0]
num_rounds = tracker.analyze_all_profit()[2]
return score, order_win, order_profit, num_rounds
def param_updated(self):
# make sure parent updates its param
super(StopWinAlgo, self).param_updated()
# algo settings
self.if_ema = self.param["if_ema"] # if false, use sma
self.if_stop_win = self.param["if_stop_win"] # if false, don't stop win
self.if_consider_spread = self.param["if_consider_spread"] # if false, don't consider spread and fee
# create rolling
self.long_roll = SimpleMoving(size=self.param["rolling"])
self.short_roll = SimpleMoving(size=self.param["rolling"])
self.long_autoreg = Autoregressive(alpha=self.param["alpha"])
self.short_autoreg = Autoregressive(alpha=self.param["alpha"])
self.spreadx_roll = SimpleMoving(size=self.param["rolling"])
self.spready_roll = SimpleMoving(size=self.param["rolling"])
self.bollinger = self.param["bollinger"]
self.block = self.param["block"]
self.stop_win = self.param["stop_win"]
# other params
self.last_long_res = -999
self.last_short_res = -999
# records
self.records = {
"timestamp": [],
"longs": [],
"shorts": [],
"long_mean": [],
"short_mean": [],
"long_sd": [],
"short_sd": [],
}
# tracker
self.tracker = TradeAnalysis(self.pair.x)
class StopWinAlgo(PairAlgoWrapper):
# called when algo param is set
def param_updated(self):
# make sure parent updates its param
super(StopWinAlgo, self).param_updated()
# algo settings
self.if_ema = self.param['if_ema'] # if false, use sma
self.if_stop_win = self.param['if_stop_win'] #if false, don't stop win
self.if_consider_spread = self.param[
'if_consider_spread'] #if false, don't consider spread and fee
# create rolling
self.long_roll = SimpleMoving(size=self.param['rolling'])
self.short_roll = SimpleMoving(size=self.param['rolling'])
self.long_autoreg = Autoregressive(alpha=self.param['alpha'])
self.short_autoreg = Autoregressive(alpha=self.param['alpha'])
self.spreadx_roll = SimpleMoving(size=self.param['rolling'])
self.spready_roll = SimpleMoving(size=self.param['rolling'])
self.bollinger = self.param['bollinger']
self.block = self.param['block']
self.stop_win = self.param['stop_win']
#other params
self.last_long_res = -999
self.last_short_res = -999
#records
self.records = {
'timestamp': [],
'longs': [],
'shorts': [],
'long_mean': [],
'short_mean': [],
'long_sd': [],
'short_sd': []
}
#tracker
self.tracker = TradeAnalysis(self.pair.x)
# what to do on every tick
def on_tick(self, multiple, contract, info):
self.tracker.tick_pass_by() # tell the tracker that one tick passed by
# skip if price_table doesnt have both
if len(self.price_table.table) < 2:
return
# get residuals and position
long_res = self.pair.get_long_residual()
short_res = self.pair.get_short_residual()
pos = self.position_y()
## only do this when plotting is neede
#update record
# if self.if_ema:
# self._update_record(long_res, self.autoreg.mean, self.long_roll.sd,\
# short_res, self.autoreg.mean, self.short_roll.sd)
# else:
# self._update_record(long_res, self.long_roll.mean, self.long_roll.sd,\
# short_res, self.short_roll.mean, self.short_roll.sd)
#calculate profit for this round
profit = 0
if pos == -1:
profit = long_res + self.last_short_res
elif pos == 1:
profit = short_res + self.last_long_res
#two spread
spreadx = self.spreadx_roll.mean
spready = self.spready_roll.mean
avg_spread = (spreadx + spready) / 2
#fee
fee = self.pair.get_fee()
# stop short position
if self.if_stop_win:
if pos == -1:
if (profit >= max(1, self.stop_win * self.long_roll.sd) and self.if_consider_spread == False) \
or (profit >= max(1, self.stop_win * self.long_roll.sd, fee) and self.if_consider_spread == True):
self.long_y(y_qty=1)
self.last_long_res = long_res
self.tracker.close_with_stop(profit)
return
# stop long position
if pos == 1:
if (profit >= max(1, self.stop_win * self.long_roll.sd) and self.if_consider_spread == False) \
or (profit >= max(1, self.stop_win * self.long_roll.sd, fee) and self.if_consider_spread == True):
self.short_y(y_qty=1)
self.last_short_res = short_res
self.tracker.close_with_stop(profit)
return
# open or close position
# action only when unblocked: bock size < rolling queue size
if self.long_roll.queue.qsize() > self.block:
# long when test long_res > mean+bollinger*sd
if (long_res > self.long_autoreg.mean + self.bollinger * self.long_roll.sd \
and self.if_ema == True and self.if_consider_spread == False) \
or (self.long_roll.test_sigma(long_res, self.bollinger) \
and self.if_ema == False and self.if_consider_spread == False) \
or (long_res - self.long_autoreg.mean > max(fee + avg_spread, self.bollinger * self.long_roll.sd) \
and self.if_ema == True and self.if_consider_spread == True) \
or (self.long_roll.test_sigma(long_res, self.bollinger) \
and long_res - self.long_roll.mean > fee + avg_spread \
and self.if_ema == False and self.if_consider_spread == True): \
# only long when position is 0 or -1
if pos <= 0:
self.long_y(y_qty=1)
self.last_long_res = long_res
#tell the tracker
if pos == 0:
self.tracker.open_position()
else:
self.tracker.close_with_exit(profit)
return
# short when test short_res > mean+bollinger*sd
elif (short_res > self.short_autoreg.mean + self.bollinger * self.short_roll.sd \
and self.if_ema == True and self.if_consider_spread == False) \
or (self.short_roll.test_sigma(short_res, self.bollinger) \
and self.if_ema == False and self.if_consider_spread == False) \
or (short_res - self.short_autoreg.mean > max(fee + avg_spread, self.bollinger * self.short_roll.sd) \
and self.if_ema == True and self.if_consider_spread == True) \
or (self.short_roll.test_sigma(short_res, self.bollinger) \
and short_res - self.short_roll.mean > fee + avg_spread \
and self.if_ema == False and self.if_consider_spread == True): \
# only short when position is 0 or 1
if pos >= 0:
self.short_y(y_qty=1)
self.last_short_res = short_res
#tell the tracker
if pos == 0:
self.tracker.open_position()
else:
self.tracker.close_with_exit(profit)
return
else:
pass
# update rolling
self.long_roll.add(long_res)
self.short_roll.add(short_res)
self.long_autoreg.add(long_res)
self.short_autoreg.add(short_res)
self.spreadx_roll.add(self.pair.get_spread_x())
self.spready_roll.add(self.pair.get_spread_y())
def on_daystart(self, date, info_x, info_y):
# recreate rolling at each day start
self.long_roll = SimpleMoving(size=self.param['rolling'])
self.short_roll = SimpleMoving(size=self.param['rolling'])
self.long_autoreg = Autoregressive(alpha=self.param['alpha'])
self.short_autoreg = Autoregressive(alpha=self.param['alpha'])
self.spreadx_roll = SimpleMoving(size=self.param['rolling'])
self.spready_roll = SimpleMoving(size=self.param['rolling'])
def on_dayend(self, date, info_x, info_y):
#force close on day end
pos = self.position_y()
# stop short position
if pos == -1:
self.long_y(y_qty=1)
return
# stop long position
if pos == 1:
self.short_y(y_qty=1)
return
def _update_record(self, long_res, long_mean, long_std, short_res,
short_mean, short_std):
self.records['timestamp'].append(Clock.timestamp)
self.records['longs'].append(long_res)
self.records['shorts'].append(short_res)
self.records['long_mean'].append(long_mean)
self.records['short_mean'].append(short_mean)
self.records['long_sd'].append(long_std)
self.records['short_sd'].append(short_std)
class StopWinAlgo(PairAlgoWrapper):
# called when algo param is set
def param_updated(self):
# make sure parent updates its param
super(StopWinAlgo, self).param_updated()
# algo settings
self.if_ema = self.param["if_ema"] # if false, use sma
self.if_stop_win = self.param["if_stop_win"] # if false, don't stop win
self.if_consider_spread = self.param["if_consider_spread"] # if false, don't consider spread and fee
# create rolling
self.long_roll = SimpleMoving(size=self.param["rolling"])
self.short_roll = SimpleMoving(size=self.param["rolling"])
self.long_autoreg = Autoregressive(alpha=self.param["alpha"])
self.short_autoreg = Autoregressive(alpha=self.param["alpha"])
self.spreadx_roll = SimpleMoving(size=self.param["rolling"])
self.spready_roll = SimpleMoving(size=self.param["rolling"])
self.bollinger = self.param["bollinger"]
self.block = self.param["block"]
self.stop_win = self.param["stop_win"]
# other params
self.last_long_res = -999
self.last_short_res = -999
# records
self.records = {
"timestamp": [],
"longs": [],
"shorts": [],
"long_mean": [],
"short_mean": [],
"long_sd": [],
"short_sd": [],
}
# tracker
self.tracker = TradeAnalysis(self.pair.x)
# what to do on every tick
def on_tick(self, multiple, contract, info):
self.tracker.tick_pass_by() # tell the tracker that one tick passed by
# skip if price_table doesnt have both
if len(self.price_table.table) < 2:
return
# get residuals and position
long_res = self.pair.get_long_residual()
short_res = self.pair.get_short_residual()
pos = self.position_y()
## only do this when plotting is neede
# update record
# if self.if_ema:
# self._update_record(long_res, self.autoreg.mean, self.long_roll.sd,\
# short_res, self.autoreg.mean, self.short_roll.sd)
# else:
# self._update_record(long_res, self.long_roll.mean, self.long_roll.sd,\
# short_res, self.short_roll.mean, self.short_roll.sd)
# calculate profit for this round
profit = 0
if pos == -1:
profit = long_res + self.last_short_res
elif pos == 1:
profit = short_res + self.last_long_res
# two spread
spreadx = self.spreadx_roll.mean
spready = self.spready_roll.mean
avg_spread = (spreadx + spready) / 2
# fee
fee = self.pair.get_fee()
# stop short position
if self.if_stop_win:
if pos == -1:
if (profit >= max(1, self.stop_win * self.long_roll.sd) and self.if_consider_spread == False) or (
profit >= max(1, self.stop_win * self.long_roll.sd, fee) and self.if_consider_spread == True
):
self.long_y(y_qty=1)
self.last_long_res = long_res
self.tracker.close_with_stop(profit)
return
# stop long position
if pos == 1:
if (profit >= max(1, self.stop_win * self.long_roll.sd) and self.if_consider_spread == False) or (
profit >= max(1, self.stop_win * self.long_roll.sd, fee) and self.if_consider_spread == True
):
self.short_y(y_qty=1)
self.last_short_res = short_res
self.tracker.close_with_stop(profit)
return
# open or close position
# action only when unblocked: bock size < rolling queue size
if self.long_roll.queue.qsize() > self.block:
# long when test long_res > mean+bollinger*sd
if (
(
long_res > self.long_autoreg.mean + self.bollinger * self.long_roll.sd
and self.if_ema == True
and self.if_consider_spread == False
)
or (
self.long_roll.test_sigma(long_res, self.bollinger)
and self.if_ema == False
and self.if_consider_spread == False
)
or (
long_res - self.long_autoreg.mean > max(fee + avg_spread, self.bollinger * self.long_roll.sd)
and self.if_ema == True
and self.if_consider_spread == True
)
or (
self.long_roll.test_sigma(long_res, self.bollinger)
and long_res - self.long_roll.mean > fee + avg_spread
and self.if_ema == False
and self.if_consider_spread == True
)
):
# only long when position is 0 or -1
if pos <= 0:
self.long_y(y_qty=1)
self.last_long_res = long_res
# tell the tracker
if pos == 0:
self.tracker.open_position()
else:
self.tracker.close_with_exit(profit)
return
# short when test short_res > mean+bollinger*sd
elif (
(
short_res > self.short_autoreg.mean + self.bollinger * self.short_roll.sd
and self.if_ema == True
and self.if_consider_spread == False
)
or (
self.short_roll.test_sigma(short_res, self.bollinger)
and self.if_ema == False
and self.if_consider_spread == False
)
or (
short_res - self.short_autoreg.mean > max(fee + avg_spread, self.bollinger * self.short_roll.sd)
and self.if_ema == True
and self.if_consider_spread == True
)
or (
self.short_roll.test_sigma(short_res, self.bollinger)
and short_res - self.short_roll.mean > fee + avg_spread
and self.if_ema == False
and self.if_consider_spread == True
)
):
# only short when position is 0 or 1
if pos >= 0:
self.short_y(y_qty=1)
self.last_short_res = short_res
# tell the tracker
if pos == 0:
self.tracker.open_position()
else:
self.tracker.close_with_exit(profit)
return
else:
pass
# update rolling
self.long_roll.add(long_res)
self.short_roll.add(short_res)
self.long_autoreg.add(long_res)
self.short_autoreg.add(short_res)
self.spreadx_roll.add(self.pair.get_spread_x())
self.spready_roll.add(self.pair.get_spread_y())
def on_daystart(self, date, info_x, info_y):
# recreate rolling at each day start
self.long_roll = SimpleMoving(size=self.param["rolling"])
self.short_roll = SimpleMoving(size=self.param["rolling"])
self.long_autoreg = Autoregressive(alpha=self.param["alpha"])
self.short_autoreg = Autoregressive(alpha=self.param["alpha"])
self.spreadx_roll = SimpleMoving(size=self.param["rolling"])
self.spready_roll = SimpleMoving(size=self.param["rolling"])
def on_dayend(self, date, info_x, info_y):
# force close on day end
pos = self.position_y()
# stop short position
if pos == -1:
self.long_y(y_qty=1)
return
# stop long position
if pos == 1:
self.short_y(y_qty=1)
return
def _update_record(self, long_res, long_mean, long_std, short_res, short_mean, short_std):
self.records["timestamp"].append(Clock.timestamp)
self.records["longs"].append(long_res)
self.records["shorts"].append(short_res)
self.records["long_mean"].append(long_mean)
self.records["short_mean"].append(short_mean)
self.records["long_sd"].append(long_std)
self.records["short_sd"].append(short_std)
class SMAAlgo(PairAlgoWrapper):
# called when algo param is set
def param_updated(self):
# make sure parent updates its param
super(SMAAlgo, self).param_updated()
# create rolling
self.long_roll = SimpleMoving(size=self.param['rolling'])
self.short_roll = SimpleMoving(size=self.param['rolling'])
self.spreadx_roll = SimpleMoving(size = self.param['rolling'])
self.spready_roll = SimpleMoving(size = self.param['rolling'])
#params
self.bollinger = self.param['bollinger']
self.block = self.param['block']
self.stop_win = self.param['stop_win']
#other params
self.last_long_res = -999
self.last_short_res = -999
#records
self.records = {'timestamp': [], 'longs': [], 'shorts': [],
'long_mean': [], 'short_mean': [],
'long_sd': [], 'short_sd':[]}
self.max_profit = 0
#tracker
self.tracker = TradeAnalysis(self.pair.x)
def on_tick(self, multiple, contract, info):
self.tracker.tick_pass_by()
# skip if price_table doesnt have both, TODO fix this bug internally
if len(self.price_table.table) < 2:
return
# get residuals and position
long_res = self.pair.get_long_residual()
short_res = self.pair.get_short_residual()
pos = self.position_y()
#two spread
spreadx = self.spreadx_roll.mean
spready = self.spready_roll.mean
avg_spread = (spreadx + spready)/2
#fee
fee = self.pair.get_fee()
#update record
# self._update_record(long_res, self.long_roll.mean, self.long_roll.sd,\
# short_res, self.short_roll.mean, self.short_roll.sd)
#calculate profit
profit = 0
if pos == -1:
profit = long_res + self.last_short_res
elif pos == 1:
profit = short_res + self.last_long_res
#trailing stop win
if profit > self.max_profit and profit > 0:
self.max_profit = profit
else:
# stop short position
if pos == -1:
if self.max_profit - profit > max(1,self.stop_win * self.long_roll.sd) and profit > 0:
self.long_y(y_qty = 1)
self.last_long_res = long_res
self.tracker.close_with_stop(profit - fee)
return
# stop long position
if pos == 1:
if self.max_profit - profit > max(1,self.stop_win * self.short_roll.sd) and profit > 0:
self.short_y(y_qty = 1)
self.last_short_res = short_res
self.tracker.close_with_stop(profit - fee)
return
# action only when unblocked: bock size < rolling queue size
if self.long_roll.queue.qsize() > self.block:
# long when test long_res > mean+bollinger*sd
if self.long_roll.test_sigma(long_res, self.bollinger) \
and long_res > self.long_roll.mean + avg_spread + fee/2:
# only long when position is 0 or -1
if pos <= 0:
self.long_y(y_qty=1)
self.last_long_res = long_res
self.max_profit = 0
#tell the tracker
if pos == 0:
self.tracker.open_position()
else:
self.tracker.close_with_exit(profit - fee)
return
# short when test short_res > mean+bollinger*sd
elif self.short_roll.test_sigma(short_res, self.bollinger) \
and short_res > self.short_roll.mean + avg_spread + fee/2:
# only short when position is 0 or 1
if pos >= 0:
self.short_y(y_qty=1)
self.last_short_res = short_res
self.max_profit = 0
#tell the tracker
if pos == 0:
self.tracker.open_position()
else:
self.tracker.close_with_exit(profit - fee)
return
else:
pass
# update rolling
self.long_roll.add(long_res)
self.short_roll.add(short_res)
self.spreadx_roll.add(self.pair.get_spread_x())
self.spready_roll.add(self.pair.get_spread_y())
def on_daystart(self, date, info_x, info_y):
# recreate rolling at each day start
self.long_roll = SimpleMoving(size=self.param['rolling'])
self.short_roll = SimpleMoving(size=self.param['rolling'])
self.spreadx_roll = SimpleMoving(size = self.param['rolling'])
self.spready_roll = SimpleMoving(size = self.param['rolling'])
def on_dayend(self, date, info_x, info_y):
pos = self.position_y()
# stop short position
if pos == -1:
self.long_y(y_qty = 1)
return
# stop long position
if pos == 1:
self.short_y(y_qty = 1)
return
def _update_record(self, long_res, long_mean, long_std, short_res, short_mean, short_std):
self.records['timestamp'].append(Clock.timestamp)
self.records['longs'].append(long_res)
self.records['shorts'].append(short_res)
self.records['long_mean'].append(long_mean)
self.records['short_mean'].append(short_mean)
self.records['long_sd'].append(long_std)
self.records['short_sd'].append(short_std)