def get_computed_strategy(self, backtest_settings):
'''
return a time series (net asset value)
@param backtest_settings: a backtest settings
@return: the computed strategy
@raise ServiceError:
'''
# initialize strategy
strategy = Strategy(backtest_settings['name'])
# set dates
strategy.first_date = datetime.strptime(backtest_settings['first_date'].value, '%Y%m%dT%H:%M:%S').date()
strategy.last_date = datetime.strptime(backtest_settings['last_date'].value, '%Y%m%dT%H:%M:%S').date()
# set portfolio, first cash flow and currency
strategy.portfolio = Portfolio(backtest_settings['currency'])
initial_cash_flow = CashFlow(strategy.first_date,
backtest_settings['amount'],
backtest_settings['currency'])
strategy.portfolio.add_transaction(initial_cash_flow)
# set rolling
strategy.rolling = backtest_settings['rolling']
# add instruments
instruments_cache = {}
for ticker in backtest_settings['tickers']:
first_data_date = strategy.calendar_util.get_n_previous_business_date(strategy.first_date,
backtest_settings['needed_depth'])
instrument = self.instrument_service.get_by_ticker(ticker, first_data_date, strategy.last_date)
financial_instrument = self.get_financial_instrument(instrument)
strategy.add_instrument(financial_instrument)
# store in cache
instruments_cache[ticker] = financial_instrument
# add quantity computers
computers_cache = {}
for computer_type in backtest_settings['quantity_computers']:
quantity_computer = self.get_quantity_computer(computer_type, strategy)
strategy.add_quantity_computer(quantity_computer)
# store in cache
computers_cache[computer_type] = quantity_computer
# add indicators
indicators_cache = {}
for indicator_setting in backtest_settings['indicator_settings']:
financial_instrument = instruments_cache[indicator_setting['ticker']]
indicator = self.get_indicator(indicator_setting, backtest_settings, financial_instrument)
indicator.calendar_util = strategy.calendar_util
strategy.add_indicator(indicator)
# store in cache
indicators_cache[indicator.id] = indicator
# add trading blocks
blocks_cache = {}
for trading_block_setting in backtest_settings['trading_block_settings']:
block = TradingBlock(trading_block_setting['name'])
block.order_type = trading_block_setting['order_type']
block.instrument = instruments_cache[trading_block_setting['ticker']]
# store in cache
blocks_cache[block.id] = block
strategy.add_trading_block(block)
# add condition bundle
for condition_bundle_setting in backtest_settings['condition_bundle_settings']:
current_block = blocks_cache[condition_bundle_setting['trading_block_name']]
current_indicator = indicators_cache[condition_bundle_setting['indicator_name'] + current_block.instrument.ticker]
strategy.add_condition_bundle_to_trading_block(current_block,
condition_bundle_setting['regime_type'],
current_indicator)
# add quantity computer to blocks
for quantity_setting in backtest_settings['quantity_settings']:
current_block = blocks_cache[quantity_setting['trading_block_name']]
allocation = quantity_setting['allocation']
current_computer = computers_cache[quantity_setting['quantity_computer_type']]
strategy.add_quantity_computer_to_trading_block(current_block, current_computer, allocation)
try:
strategy.compute()
except Exception, e:
raise ServerError(e.message)
