def __init__(self, data):
self.mData = data
self.Capital = 10000
self.commission = 20
self.mNumTrades = 0
self.trades = TradeAnalysis()
class SystemTest:
""" Test environment for trading systems """
def __init__(self, data):
self.mData = data
self.Capital = 10000
self.commission = 20
self.mNumTrades = 0
self.trades = TradeAnalysis()
def Test(self, system):
self.mData.signal.append(0)
for i in range(len(self.mData.adate)):
signal = system.NewBar(self.mData.open[i], \
self.mData.high[i], \
self.mData.low[i], \
self.mData.close[i])
self.mData.signal.append(signal)
last_signal = 0
d = self.mData.adate
c = self.mData.close
o = self.mData.open
s = self.mData.signal
open_pos = 0
for i in range(len(c)):
if s[i]==last_signal:
pass
# do nothing
elif s[i]==1:
self.trades.Buy(d[i], o[i])
last_signal = 1
elif s[i] == -1:
self.trades.Sell(d[i], o[i])
#self.EvalTrade(open_pos, o[i], 1)
#open_pos = o[i]
last_signal = -1
else:
self.EvalTrade(open_pos, o[i], -1)
last_signal = 0
# should handle this case
self.mData.capital.append(self.trades.getCapital())
self.trades.CalcStats()
self.trades.printme()
def EvalTrade(self, open, close, pos):
self.mNumTrades = self.mNumTrades + 1
if self.mNumTrades == 1:
# ignore first trade
return
num = math.floor(self.Capital/open)
#leftover = self.Capital - open*num
self.Capital = self.Capital + pos*(close-open)*num
def __init__(self, data):
self.mData = data
self.Capital = 10000
self.commission = 20
self.mNumTrades = 0
self.trades = TradeAnalysis()
class SystemTest:
""" Test environment for trading systems """
def __init__(self, data):
self.mData = data
self.Capital = 10000
self.commission = 20
self.mNumTrades = 0
self.trades = TradeAnalysis()
def Test(self, system):
self.mData.signal.append(0)
for i in range(len(self.mData.adate)):
signal = system.NewBar(self.mData.open[i], \
self.mData.high[i], \
self.mData.low[i], \
self.mData.close[i])
self.mData.signal.append(signal)
last_signal = 0
d = self.mData.adate
c = self.mData.close
o = self.mData.open
s = self.mData.signal
open_pos = 0
for i in range(len(c)):
if s[i] == last_signal:
pass
# do nothing
elif s[i] == 1:
self.trades.Buy(d[i], o[i])
last_signal = 1
elif s[i] == -1:
self.trades.Sell(d[i], o[i])
#self.EvalTrade(open_pos, o[i], 1)
#open_pos = o[i]
last_signal = -1
else:
self.EvalTrade(open_pos, o[i], -1)
last_signal = 0
# should handle this case
self.mData.capital.append(self.trades.getCapital())
self.trades.CalcStats()
self.trades.printme()
def EvalTrade(self, open, close, pos):
self.mNumTrades = self.mNumTrades + 1
if self.mNumTrades == 1:
# ignore first trade
return
num = math.floor(self.Capital / open)
#leftover = self.Capital - open*num
self.Capital = self.Capital + pos * (close - open) * num
