def run_sim(start_date, end_date, daily_close):
commod_list1 = [
'm', 'y', 'l', 'ru', 'rb', 'p', 'cu', 'al', 'v', 'a', 'au', 'zn', 'ag',
'i', 'j', 'jm'
] #
start_dates1 = [datetime.date(2010,10,1)] * 12 + \
[datetime.date(2012,7,1), datetime.date(2013,11,26), datetime.date(2011,6,1),datetime.date(2013,5,1)]
commod_list2 = [
'ME', 'CF', 'TA', 'PM', 'RM', 'SR', 'FG', 'OI', 'RI', 'TC', 'WH', 'IF'
]
start_dates2 = [datetime.date(2012, 2,1)] + [ datetime.date(2012, 6, 1)] * 2 + [datetime.date(2012, 10, 1)] + \
[datetime.date(2013, 2, 1)] * 3 + [datetime.date(2013,6,1)] * 2 + \
[datetime.date(2013, 10, 1), datetime.date(2014,2,1), datetime.date(2010,6,1)]
commod_list = commod_list1 + commod_list2
start_dates = start_dates1 + start_dates2
#sim_list = ['m', 'y', 'l', 'ru', 'rb', 'TA', 'SR', 'CF','ME', 'RM', 'ag', 'au', 'cu', 'al', 'zn']
sim_list = ['m', 'y', 'l', 'ru', 'rb', 'TA', 'SR', 'RM', 'cu']
sdate_list = []
for c, d in zip(commod_list, start_dates):
if c in sim_list:
sdate_list.append(d)
test_folder = backtest.get_bktest_folder()
file_prefix = test_folder + 'ChanBreak_'
config = {
'capital': 10000,
'offset': 0,
'trans_cost': 0.0,
'unit': 1,
'scaler': (0.5, 2),
'channel_func': [dh.DONCH_H, dh.DONCH_L],
'daily_close': daily_close,
'file_prefix': file_prefix
}
freqs = [
3,
5,
]
windows = [20, 40, 60, 120, 270]
for asset, sdate in zip(sim_list, sdate_list):
config['marginrate'] = (backtest.sim_margin_dict[asset],
backtest.sim_margin_dict[asset])
config['rollrule'] = '-50b'
config['nearby'] = 1
config['start_min'] = 1600
config['exit_min'] = 2055
config['no_trade_set'] = range(300, 302) + range(1500, 1502) + range(
2058, 2100)
if asset in ['cu', 'al', 'zn']:
config['nearby'] = 3
config['rollrule'] = '-1b'
elif asset in ['IF', 'IH', 'IC']:
config['rollrule'] = '-2b'
config['no_trade_set'] = range(1515, 1520) + range(2110, 2115)
elif asset in ['au', 'ag']:
config['rollrule'] = '-25b'
elif asset in ['TF', 'T']:
config['rollrule'] = '-20b'
config['no_trade_set'] = range(1515, 1520) + range(2110, 2115)
chanbreak(asset, start_date, end_date, freqs, windows, config)
def run_sim(start_date, end_date, daily_close = False):
sim_list = [ 'IF']
test_folder = backtest.get_bktest_folder()
file_prefix = test_folder + 'Abberration_'
if daily_close:
file_prefix = file_prefix + 'daily_'
config = {'capital': 10000,
'offset': 0,
'trans_cost': 0.0,
'unit': 1,
'scaler': (2.0, 2.0),
'file_prefix': file_prefix}
freqs = ['5Min', '15Min', '30Min', '60Min', 'D']
windows = [35]
for asset in sim_list:
sdate = backtest.sim_start_dict[asset]
config['marginrate'] = ( backtest.sim_margin_dict[asset], backtest.sim_margin_dict[asset])
config['rollrule'] = '-50b'
config['nearby'] = 1
config['start_min'] = 1505
config['exit_min'] = 2055
if asset in ['cu', 'al', 'zn']:
config['nearby'] = 3
config['rollrule'] = '-1b'
elif asset in ['IF']:
config['start_min'] = 1520
config['exit_min'] = 2110
config['rollrule'] = '-1b'
aberration( asset, max(start_date, sdate), end_date, freqs, windows, config)
def run_sim(start_date, end_date, daily_close = True):
sim_list = [ 'rb','ru','TA','SR','CF','ag','au','cu','i','al','j','zn', 'a', 'jd']
test_folder = backtest.get_bktest_folder()
file_prefix = test_folder + 'RBreaker_'
if daily_close:
file_prefix = file_prefix + 'daily_'
config = {'capital': 10000,
'offset': 0,
'trans_cost': 0.0,
'close_daily': daily_close,
'unit': 1,
'min_rng': 0.015,
'file_prefix': file_prefix}
scenarios = [(0.25, 0.05, 0.15), (0.30, 0.06, 0.20), (0.35, 0.08, 0.25), (0.4, 0.1, 0.3)]
freqs = ['1min', '3min', '5min']
for asset in sim_list:
sdate = backtest.sim_start_dict[asset]
config['marginrate'] = ( backtest.sim_margin_dict[asset], backtest.sim_margin_dict[asset])
config['rollrule'] = '-50b'
config['nearby'] = 1
config['start_min'] = 1505
config['exit_min'] = 2055
if asset in ['cu', 'al', 'zn']:
config['nearby'] = 3
config['rollrule'] = '-1b'
elif asset in ['IF']:
config['start_min'] = 1520
config['exit_min'] = 2110
config['rollrule'] = '-1b'
r_breaker( asset, max(sdate, start_date), end_date, scenarios, freqs, config)
return
def run_sim(start_date, end_date, daily_close=False):
sim_list = ['IF']
test_folder = backtest.get_bktest_folder()
file_prefix = test_folder + 'Abberration_'
if daily_close:
file_prefix = file_prefix + 'daily_'
config = {
'capital': 10000,
'offset': 0,
'trans_cost': 0.0,
'unit': 1,
'scaler': (2.0, 2.0),
'file_prefix': file_prefix
}
freqs = ['5Min', '15Min', '30Min', '60Min', 'D']
windows = [35]
for asset in sim_list:
sdate = backtest.sim_start_dict[asset]
config['marginrate'] = (backtest.sim_margin_dict[asset],
backtest.sim_margin_dict[asset])
config['rollrule'] = '-50b'
config['nearby'] = 1
config['start_min'] = 1505
config['exit_min'] = 2055
if asset in ['cu', 'al', 'zn']:
config['nearby'] = 3
config['rollrule'] = '-1b'
elif asset in ['IF']:
config['start_min'] = 1520
config['exit_min'] = 2110
config['rollrule'] = '-1b'
aberration(asset, max(start_date, sdate), end_date, freqs, windows,
config)
def run_sim(start_date, end_date):
#sim_list = [ 'm', 'y', 'l', 'p', 'rb', 'TA', 'SR', 'RM', 'cu', 'i', 'a', 'ag']
sim_list = [ 'rb', 'p', 'IF' ]
test_folder = backtest.get_bktest_folder()
file_prefix = test_folder + 'ChanBreaktest_'
config = {'capital': 10000,
'offset': 0,
'trans_cost': 0.0,
'unit': 1,
'scaler': (0.5),
'channel_func': [dh.DONCH_H, dh.DONCH_L],
'pos_class': strat.ParSARTradePos,
'pos_args': {'af': 0.02, 'incr': 0.02, 'cap': 0.2},
'file_prefix': file_prefix}
freqs = [3, 5, 15]
windows = [[20,10], [20,5], [40,20], [40,10], [60,30], [60, 15]]
for asset in sim_list:
sdate = backtest.sim_start_dict[asset]
config['marginrate'] = ( backtest.sim_margin_dict[asset], backtest.sim_margin_dict[asset])
config['rollrule'] = '-50b'
config['nearby'] = 1
config['start_min'] = 1600
config['exit_min'] = 2044
if asset in ['cu', 'al', 'zn']:
config['nearby'] = 3
config['rollrule'] = '-1b'
elif asset in ['IF']:
config['start_min'] = 1520
config['exit_min'] = 2059
config['rollrule'] = '-1b'
chanbreak( asset, max(start_date, sdate), end_date, freqs, windows, config)
def run_sim(start_date, end_date, daily_close = False):
commod_list1 = ['m','y','l','ru','rb','p','cu','al','v','a','au','zn','ag','i','j','jm'] #
start_dates1 = [datetime.date(2010,10,1)] * 12 + \
[datetime.date(2012,7,1), datetime.date(2013,11,26), datetime.date(2011,6,1),datetime.date(2013,5,1)]
commod_list2 = ['ME', 'CF', 'TA', 'PM', 'RM', 'SR', 'FG', 'OI', 'RI', 'TC', 'WH','pp', 'IF', 'MA', 'TF','IH', 'IC']
start_dates2 = [datetime.date(2012, 2,1)] + [ datetime.date(2012, 6, 1)] * 2 + [datetime.date(2012, 10, 1)] + \
[datetime.date(2013, 2, 1)] * 3 + [datetime.date(2013,6,1)] * 2 + \
[datetime.date(2013, 10, 1), datetime.date(2014,2,1), datetime.date(2014,4,1), datetime.date(2010,7,1)] + \
[datetime.date(2015,1,3), datetime.date(2014,4,1), datetime.date(2015,5,1), datetime.date(2015,5,1)]
commod_list = commod_list1 + commod_list2
start_dates = start_dates1 + start_dates2
sim_list = [ 'm','y', 'p', 'RM', 'a', 'ru', 'rb', 'ag', 'TA', 'MA', 'SR', 'CF', 'i', 'j', 'au', 'cu']
sdate_list = []
for c, d in zip(commod_list, start_dates):
if c in sim_list:
sdate_list.append(d)
test_folder = backtest.get_bktest_folder()
file_prefix = test_folder + 'test/DTMA10_split_'
if daily_close:
file_prefix = file_prefix + 'daily_'
#file_prefix = file_prefix + '_'
config = {'capital': 10000,
'offset': 0,
'MA_fast': 10,
'MA_slow': 20,
'trans_cost': 0.0,
'close_daily': daily_close,
'unit': 1,
'stoploss': 0.0,
'min_range': 0.004,
'file_prefix': file_prefix}
scenarios = [ (0.5, 0, 0.5, 0.5), (0.6, 0, 0.5, 0.5), (0.7, 0, 0.5, 0.5), (0.8, 0, 0.5, 0.5), \
(0.9, 0, 0.5, 0.5), (1.0, 0, 0.5, 0.5), \
(0.5, 1, 0.5, 0.5), (0.6, 1, 0.5, 0.5), (0.7, 1, 0.5, 0.5), (0.8, 1, 0.5, 0.5), \
(0.9, 1, 0.5, 0.5), (1.0, 1, 0.5, 0.5), \
(0.4, 2, 0.5, 0.5), (0.5, 2, 0.5, 0.5), (0.6, 2, 0.5, 0.5), (0.7, 2, 0.5, 0.5), (0.8, 2, 0.5, 0.5), \
(0.25, 4, 0.5,0.5), (0.3, 4, 0.5, 0.5), (0.35,4, 0.5, 0.5), (0.4, 4,0.5, 0.5), (0.45,4, 0.5, 0.5),\
(0.15, 8, 0.5, 0.5),(0.2, 8, 0.5, 0.5),(0.25, 8, 0.5, 0.5), (0.3, 8, 0.5, 0.5),\
]
for asset, sdate in zip(sim_list, sdate_list):
config['marginrate'] = ( backtest.sim_margin_dict[asset], backtest.sim_margin_dict[asset])
config['nearby'] = 1
config['rollrule'] = '-50b'
config['exit_min'] = 2112
if asset in ['cu', 'al', 'zn']:
config['nearby'] = 3
config['rollrule'] = '-1b'
elif asset in ['IF', 'IH', 'IC']:
config['rollrule'] = '-2b'
elif asset in ['au', 'ag']:
config['rollrule'] = '-25b'
elif asset in ['TF', 'T']:
config['rollrule'] = '-20b'
dual_thrust( asset, max(sdate, start_date), end_date, scenarios, config)
return
def run_sim(start_date, end_date):
commod_list1 = [
'm', 'y', 'l', 'ru', 'rb', 'p', 'cu', 'al', 'v', 'a', 'au', 'zn', 'ag',
'i', 'j', 'jm'
] #
start_dates1 = [datetime.date(2010,10,1)] * 12 + \
[datetime.date(2012,7,1), datetime.date(2013,11,26), datetime.date(2011,6,1),datetime.date(2013,5,1)]
commod_list2 = [
'ME', 'CF', 'TA', 'PM', 'RM', 'SR', 'FG', 'OI', 'RI', 'TC', 'WH', 'IF'
]
start_dates2 = [datetime.date(2012, 2,1)] + [ datetime.date(2012, 6, 1)] * 2 + [datetime.date(2012, 10, 1)] + \
[datetime.date(2013, 2, 1)] * 3 + [datetime.date(2013,6,1)] * 2 + \
[datetime.date(2013, 10, 1), datetime.date(2014,2,1), datetime.date(2010,6,1)]
commod_list = commod_list1 + commod_list2
start_dates = start_dates1 + start_dates2
#sim_list = ['m', 'y', 'l', 'ru', 'rb', 'TA', 'SR', 'CF','ME', 'RM', 'ag', 'au', 'cu', 'al', 'zn']
sim_list = [
'm', 'y', 'l', 'TA', 'cu', 'ag', 'au', 'i', 'j', 'jm'
] #[ 'IF','ru', 'rb', 'a', 'j', 'p','pp','zn', 'al', 'SR', 'ME', 'CF', 'RM']
sdate_list = []
for c, d in zip(commod_list, start_dates):
if c in sim_list:
sdate_list.append(d)
test_folder = backtest.get_bktest_folder()
file_prefix = test_folder + 'FisherSwing_'
#if daily_close:
# file_prefix = file_prefix + 'daily_'
config = {
'capital': 10000,
'offset': 0,
'trans_cost': 0.0,
'unit': 1,
'scaler': (2.0, 2.0),
'file_prefix': file_prefix
}
freqs = ['5Min', '15Min', '30Min', '60Min', '120Min']
windows = [[30, 20, 6], [20, 15, 6]]
for asset, sdate in zip(sim_list, sdate_list):
config['marginrate'] = (backtest.sim_margin_dict[asset],
backtest.sim_margin_dict[asset])
config['rollrule'] = '-50b'
config['nearby'] = 1
config['start_min'] = 1505
config['exit_min'] = 2055
if asset in ['cu', 'al', 'zn']:
config['nearby'] = 3
config['rollrule'] = '-1b'
elif asset in ['IF']:
config['start_min'] = 1520
config['exit_min'] = 2110
config['rollrule'] = '-1b'
fisher_swing(asset, max(start_date, sdate), end_date, freqs, windows,
config)
def run_sim(start_date, end_date, daily_close = False):
commod_list1 = ['m','y','l','ru','rb','p','cu','al','v','a','au','zn','ag','i','j','jm'] #
start_dates1 = [datetime.date(2010,10,1)] * 12 + \
[datetime.date(2012,7,1), datetime.date(2013,11,26), datetime.date(2011,6,1),datetime.date(2013,5,1)]
commod_list2 = ['ME', 'CF', 'TA', 'PM', 'RM', 'SR', 'FG', 'OI', 'RI', 'TC', 'WH','pp', 'IF', 'MA', 'TF','IH', 'IC']
start_dates2 = [datetime.date(2012, 2,1)] + [ datetime.date(2012, 6, 1)] * 2 + [datetime.date(2012, 10, 1)] + \
[datetime.date(2013, 2, 1)] * 3 + [datetime.date(2013,6,1)] * 2 + \
[datetime.date(2013, 10, 1), datetime.date(2014,2,1), datetime.date(2014,4,1), datetime.date(2010,7,1)] + \
[datetime.date(2015,1,3), datetime.date(2014,4,1), datetime.date(2015,5,1), datetime.date(2015,5,1)]
commod_list = commod_list1 + commod_list2
start_dates = start_dates1 + start_dates2
sim_list = ['m', 'RM', 'y', 'p', 'a', 'l', 'pp', 'TA', 'SR', 'rb', 'TF', 'i']
sdate_list = []
for c, d in zip(commod_list, start_dates):
if c in sim_list:
sdate_list.append(d)
test_folder = backtest.get_bktest_folder()
file_prefix = test_folder + 'test/DT_nontrade_'
if daily_close:
file_prefix = file_prefix + 'daily_'
#file_prefix = file_prefix + '_'
config = {'capital': 10000,
'offset': 0,
'trans_cost': 0.0,
'close_daily': daily_close,
'unit': 1,
'stoploss': 0.0,
'min_range': 0.00,
'file_prefix': file_prefix}
scenarios = [ (0.6, 0, 0.5), (0.7, 0, 0.5), (0.8, 0, 0.5), (0.9, 0, 0.5), (1.0, 0, 0.5), (1.1, 0, 0.5), (1.2, 0, 0.5),\
(0.6, 1, 0.0), (0.7, 1, 0.0), (0.8, 1, 0.0), (0.9, 1, 0.0), (1.0, 1, 0.0), (1.1, 1, 0.0), (1.2, 1, 0.0),\
(0.25, 2, 0), (0.3, 2, 0), (0.35, 2, 0), (0.4, 2, 0), (0.45, 2, 0), (0.5, 2, 0), (0.6, 2, 0), \
(0.2, 4, 0), (0.25,4, 0), (0.3, 4, 0), (0.35,4, 0), (0.4, 4, 0) ]
for asset, sdate in zip(sim_list, sdate_list):
config['marginrate'] = ( backtest.sim_margin_dict[asset], backtest.sim_margin_dict[asset])
config['nearby'] = 1
config['rollrule'] = '-50b'
config['exit_min'] = 2055
config['no_trade_set'] = range(300, 301) + range(1500, 1501) + range(2058, 2100)
if asset in ['cu', 'al', 'zn']:
config['nearby'] = 3
config['rollrule'] = '-1b'
elif asset in ['IF', 'IH', 'IC']:
config['rollrule'] = '-2b'
config['no_trade_set'] = range(1515, 1520) + range(2110, 2115)
elif asset in ['au', 'ag']:
config['rollrule'] = '-25b'
elif asset in ['TF', 'T']:
config['rollrule'] = '-20b'
config['no_trade_set'] = range(1515, 1520) + range(2110, 2115)
dual_thrust( asset, max(sdate, start_date), end_date, scenarios, config)
return
def run_sim(start_date, end_date, trail_loss = False):
test_folder = backtest.get_bktest_folder() + 'test/'
postfix = '_'
if trail_loss:
postfix = 'Trail_'
file_prefix = test_folder + 'Turtle' + postfix
config = {'capital': 10000,
'offset': 0,
'trans_cost': 0.0,
'max_loss': 2,
'max_pos': 4,
'unit': 1,
'trail_loss': trail_loss,
'file_prefix': file_prefix}
commod_list1 = ['m','y','l','ru','rb','p','cu','al','v','a','au','zn','ag','i','j','jm','bu', 'sn', 'ni'] #
start_dates1 = [datetime.date(2010,10,1)] * 12 + \
[datetime.date(2012,7,1), datetime.date(2013,11,26), \
datetime.date(2011,6,1),datetime.date(2013,5,1), \
datetime.date(2013,11,20), datetime.date(2014, 3, 27), datetime.date(2014, 3, 27)]
commod_list2 = ['ME', 'CF', 'TA', 'PM', 'RM', 'SR', 'FG', 'OI', 'RI', 'TC', 'WH','pp', 'IF']
start_dates2 = [datetime.date(2012, 2,1)] + [ datetime.date(2012, 6, 1)] * 2 + [datetime.date(2012, 10, 1)] + \
[datetime.date(2013, 2, 1)] * 3 + [datetime.date(2013,6,1)] * 2 + \
[datetime.date(2013, 10, 1), datetime.date(2014,2,1), datetime.date(2014,4,1), datetime.date(2010,7,1)]
commod_list = commod_list1+commod_list2
start_dates = start_dates1 + start_dates2
sim_list = ['m', 'y', 'ru', 'TA', 'ag', 'SR','FG', 'jd', 'CF', 'TC', 'RM', 'IF', 'cu', 'zn', 'al']
sdate_list = []
for c, d in zip(commod_list, start_dates):
if c in sim_list:
sdate_list.append(d)
systems = [(20, 10, 1, 2, 4), (20, 5, 1, 2, 4), (15, 5, 1, 2, 4), (10, 5, 1, 2, 4), \
(20, 10, 1, 2, 3), (20, 5, 1, 2, 3), (15, 5, 1, 2, 3), (10, 5, 1, 2, 3), \
(20, 10, 1, 2, 2), (20, 5, 1, 2, 2), (15, 5, 1, 2, 2), (10, 5, 1, 2, 2), \
(20, 10, 1, 2, 1), (20, 5, 1, 2, 1), (15, 5, 1, 2, 1), (10, 5, 1, 2, 1), \
(20, 10, 1, 1, 2), (20, 5, 1, 1, 2), (15, 5, 1, 1, 2), (10, 5, 1, 1, 2), \
(20, 10, 1, 1, 1), (20, 5, 1, 1, 1), (15, 5, 1, 1, 1), (10, 5, 1, 1, 1) ]
for asset, sdate in zip(sim_list, sdate_list):
config['marginrate'] = ( backtest.sim_margin_dict[asset], backtest.sim_margin_dict[asset])
config['nearby'] = 1
config['rollrule'] = '-50b'
if asset in ['cu', 'al', 'zn']:
config['nearby'] = 3
config['rollrule'] = '-1b'
elif asset in ['IF']:
config['rollrule'] = '-1b'
elif asset in ['au', 'ag']:
config['rollrule'] = '-25b'
turtle( asset, max(sdate, start_date), end_date, systems, config)
return
def run_sim(start_date, end_date, daily_close):
commod_list1 = ['m','y','l','ru','rb','p','cu','al','v','a','au','zn','ag','i','j','jm'] #
start_dates1 = [datetime.date(2010,10,1)] * 12 + \
[datetime.date(2012,7,1), datetime.date(2013,11,26), datetime.date(2011,6,1),datetime.date(2013,5,1)]
commod_list2 = ['ME', 'CF', 'TA', 'PM', 'RM', 'SR', 'FG', 'OI', 'RI', 'TC', 'WH', 'IF']
start_dates2 = [datetime.date(2012, 2,1)] + [ datetime.date(2012, 6, 1)] * 2 + [datetime.date(2012, 10, 1)] + \
[datetime.date(2013, 2, 1)] * 3 + [datetime.date(2013,6,1)] * 2 + \
[datetime.date(2013, 10, 1), datetime.date(2014,2,1), datetime.date(2010,6,1)]
commod_list = commod_list1 + commod_list2
start_dates = start_dates1 + start_dates2
#sim_list = ['m', 'y', 'l', 'ru', 'rb', 'TA', 'SR', 'CF','ME', 'RM', 'ag', 'au', 'cu', 'al', 'zn']
sim_list = [ 'm', 'y', 'l', 'ru', 'rb', 'TA', 'SR', 'RM', 'cu']
sdate_list = []
for c, d in zip(commod_list, start_dates):
if c in sim_list:
sdate_list.append(d)
test_folder = backtest.get_bktest_folder()
file_prefix = test_folder + 'ChanBreak_'
config = {'capital': 10000,
'offset': 0,
'trans_cost': 0.0,
'unit': 1,
'scaler': (0.5, 2),
'channel_func': [dh.DONCH_H, dh.DONCH_L],
'daily_close': daily_close,
'file_prefix': file_prefix}
freqs = [3, 5, ]
windows = [20, 40, 60, 120, 270]
for asset, sdate in zip(sim_list, sdate_list):
config['marginrate'] = ( backtest.sim_margin_dict[asset], backtest.sim_margin_dict[asset])
config['rollrule'] = '-50b'
config['nearby'] = 1
config['start_min'] = 1600
config['exit_min'] = 2055
config['no_trade_set'] = range(300, 302) + range(1500, 1502) + range(2058, 2100)
if asset in ['cu', 'al', 'zn']:
config['nearby'] = 3
config['rollrule'] = '-1b'
elif asset in ['IF', 'IH', 'IC']:
config['rollrule'] = '-2b'
config['no_trade_set'] = range(1515, 1520) + range(2110, 2115)
elif asset in ['au', 'ag']:
config['rollrule'] = '-25b'
elif asset in ['TF', 'T']:
config['rollrule'] = '-20b'
config['no_trade_set'] = range(1515, 1520) + range(2110, 2115)
chanbreak( asset, start_date, end_date, freqs, windows, config)
def run_sim(start_date, end_date, daily_close = True):
commod_list1 = ['m','y','l','ru','rb','p','cu','al','v','a','au','zn','ag','i','j','jm'] #
start_dates1 = [datetime.date(2010,10,1)] * 12 + \
[datetime.date(2012,7,1), datetime.date(2013,11,26), datetime.date(2011,6,1),datetime.date(2013,5,1)]
commod_list2 = ['ME', 'CF', 'TA', 'PM', 'RM', 'SR', 'FG', 'OI', 'RI', 'TC', 'WH', 'IF']
start_dates2 = [datetime.date(2012, 2,1)] + [ datetime.date(2012, 6, 1)] * 2 + [datetime.date(2012, 10, 1)] + \
[datetime.date(2013, 2, 1)] * 3 + [datetime.date(2013,6,1)] * 2 + \
[datetime.date(2013, 10, 1), datetime.date(2014,2,1), datetime.date(2010,6,1)]
commod_list = commod_list1 + commod_list2
start_dates = start_dates1 + start_dates2
#sim_list = ['m', 'y', 'l', 'ru', 'rb', 'TA', 'SR', 'CF','ME', 'RM', 'ag', 'au', 'cu', 'al', 'zn']
sim_list = [ 'rb','ru','TA','SR','CF','ag','au','cu','i','al','j','zn', 'a', 'jd']
sdate_list = []
for c, d in zip(commod_list, start_dates):
if c in sim_list:
sdate_list.append(d)
test_folder = backtest.get_bktest_folder()
file_prefix = test_folder + 'RBreaker_'
if daily_close:
file_prefix = file_prefix + 'daily_'
config = {'capital': 10000,
'offset': 0,
'trans_cost': 0.0,
'close_daily': daily_close,
'unit': 1,
'min_rng': 0.015,
'file_prefix': file_prefix}
scenarios = [(0.25, 0.05, 0.15), (0.30, 0.06, 0.20), (0.35, 0.08, 0.25), (0.4, 0.1, 0.3)]
freqs = ['1min', '3min', '5min']
for asset, sdate in zip(sim_list, sdate_list):
config['marginrate'] = ( backtest.sim_margin_dict[asset], backtest.sim_margin_dict[asset])
config['rollrule'] = '-50b'
config['nearby'] = 1
config['start_min'] = 1505
config['exit_min'] = 2055
if asset in ['cu', 'al', 'zn']:
config['nearby'] = 3
config['rollrule'] = '-1b'
elif asset in ['IF']:
config['start_min'] = 1520
config['exit_min'] = 2110
config['rollrule'] = '-1b'
r_breaker( asset, max(sdate, start_date), end_date, scenarios, freqs, config)
return
def run_sim(start_date, end_date):
sim_list = [
"m",
"y",
"l",
"TA",
"cu",
"ag",
"au",
"i",
"j",
"jm",
] # [ 'IF','ru', 'rb', 'a', 'j', 'p','pp','zn', 'al', 'SR', 'ME', 'CF', 'RM']
test_folder = backtest.get_bktest_folder()
file_prefix = test_folder + "FisherSwing_"
# if daily_close:
# file_prefix = file_prefix + 'daily_'
config = {
"capital": 10000,
"offset": 0,
"trans_cost": 0.0,
"unit": 1,
"scaler": (2.0, 2.0),
"file_prefix": file_prefix,
}
freqs = ["5Min", "15Min", "30Min", "60Min", "120Min"]
windows = [[30, 20, 6], [20, 15, 6]]
for asset in sim_list:
sdate = backtest.sim_start_dict[asset]
config["marginrate"] = (backtest.sim_margin_dict[asset], backtest.sim_margin_dict[asset])
config["rollrule"] = "-50b"
config["nearby"] = 1
config["start_min"] = 1505
config["exit_min"] = 2055
if asset in ["cu", "al", "zn"]:
config["nearby"] = 3
config["rollrule"] = "-1b"
elif asset in ["IF"]:
config["start_min"] = 1520
config["exit_min"] = 2110
config["rollrule"] = "-1b"
fisher_swing(asset, max(start_date, sdate), end_date, freqs, windows, config)
def run_sim(start_date, end_date):
commod_list1 = ['m','y','l','ru','rb','p','cu','al','v','a','au','zn','ag','i','j','jm'] #
start_dates1 = [datetime.date(2010,10,1)] * 12 + \
[datetime.date(2012,7,1), datetime.date(2013,11,26), datetime.date(2011,6,1),datetime.date(2013,5,1)]
commod_list2 = ['ME', 'CF', 'TA', 'PM', 'RM', 'SR', 'FG', 'OI', 'RI', 'TC', 'WH', 'IF']
start_dates2 = [datetime.date(2012, 2,1)] + [ datetime.date(2012, 6, 1)] * 2 + [datetime.date(2012, 10, 1)] + \
[datetime.date(2013, 2, 1)] * 3 + [datetime.date(2013,6,1)] * 2 + \
[datetime.date(2013, 10, 1), datetime.date(2014,2,1), datetime.date(2010,6,1)]
commod_list = commod_list1 + commod_list2
start_dates = start_dates1 + start_dates2
#sim_list = ['m', 'y', 'l', 'ru', 'rb', 'TA', 'SR', 'CF','ME', 'RM', 'ag', 'au', 'cu', 'al', 'zn']
sim_list = ['m', 'y', 'l', 'TA', 'cu', 'ag', 'au', 'i', 'j', 'jm'] #[ 'IF','ru', 'rb', 'a', 'j', 'p','pp','zn', 'al', 'SR', 'ME', 'CF', 'RM']
sdate_list = []
for c, d in zip(commod_list, start_dates):
if c in sim_list:
sdate_list.append(d)
test_folder = backtest.get_bktest_folder()
file_prefix = test_folder + 'FisherSwing_'
#if daily_close:
# file_prefix = file_prefix + 'daily_'
config = {'capital': 10000,
'offset': 0,
'trans_cost': 0.0,
'unit': 1,
'scaler': (2.0, 2.0),
'file_prefix': file_prefix}
freqs = ['5Min', '15Min', '30Min', '60Min','120Min']
windows = [[30, 20, 6], [20, 15, 6]]
for asset, sdate in zip(sim_list, sdate_list):
config['marginrate'] = ( backtest.sim_margin_dict[asset], backtest.sim_margin_dict[asset])
config['rollrule'] = '-50b'
config['nearby'] = 1
config['start_min'] = 1505
config['exit_min'] = 2055
if asset in ['cu', 'al', 'zn']:
config['nearby'] = 3
config['rollrule'] = '-1b'
elif asset in ['IF']:
config['start_min'] = 1520
config['exit_min'] = 2110
config['rollrule'] = '-1b'
fisher_swing( asset, max(start_date, sdate), end_date, freqs, windows, config)
def run_sim(start_date, end_date, daily_close = False):
sim_list = [ 'cs', 'TF', 'i', 'rb', 'SR', 'OI', 'MA', 'l', 'v', 'TA', 'a', 'm', 'p', 'y', 'pp', 'ru']
test_folder = backtest.get_bktest_folder()
file_prefix = test_folder + 'test/DTwEP_'
if daily_close:
file_prefix = file_prefix + 'daily_'
#file_prefix = file_prefix + '_'
config = {'capital': 10000,
'offset': 0,
'trans_cost': 0.0,
'close_daily': daily_close,
'unit': 1,
'stoploss': 0.0,
'min_range': 0.00,
'EP': True,
'file_prefix': file_prefix}
scenarios = [ (0.6, 0, 0.5), (0.7, 0, 0.5), (0.8, 0, 0.5), (0.9, 0, 0.5), (1.0, 0, 0.5), (1.1, 0, 0.5), (1.2, 0, 0.5),\
(0.6, 1, 0.0), (0.7, 1, 0.0), (0.8, 1, 0.0), (0.9, 1, 0.0), (1.0, 1, 0.0), (1.1, 1, 0.0), (1.2, 1, 0.0),\
(0.25, 2, 0), (0.3, 2, 0), (0.35, 2, 0), (0.4, 2, 0), (0.45, 2, 0), (0.5, 2, 0), (0.6, 2, 0), \
(0.2, 4, 0), (0.25,4, 0), (0.3, 4, 0), (0.35,4, 0), (0.4, 4, 0) ]
for asset in sim_list:
sdate = backtest.sim_start_dict[asset]
config['marginrate'] = ( backtest.sim_margin_dict[asset], backtest.sim_margin_dict[asset])
config['nearby'] = 1
config['rollrule'] = '-50b'
config['exit_min'] = 2055
config['no_trade_set'] = range(300, 301) + range(1500, 1501) + range(2059, 2100)
if asset in ['cu', 'al', 'zn']:
config['nearby'] = 3
config['rollrule'] = '-1b'
elif asset in ['IF', 'IH', 'IC']:
config['rollrule'] = '-2b'
config['no_trade_set'] = range(1515, 1520) + range(2110, 2115)
elif asset in ['au', 'ag']:
config['rollrule'] = '-25b'
elif asset in ['TF', 'T']:
config['rollrule'] = '-20b'
config['no_trade_set'] = range(1515, 1520) + range(2110, 2115)
dual_thrust( asset, max(sdate, start_date), end_date, scenarios, config)
return
def run_sim(start_date, end_date, daily_close=True):
sim_list = [
'rb', 'ru', 'TA', 'SR', 'CF', 'ag', 'au', 'cu', 'i', 'al', 'j', 'zn',
'a', 'jd'
]
test_folder = backtest.get_bktest_folder()
file_prefix = test_folder + 'RBreaker_'
if daily_close:
file_prefix = file_prefix + 'daily_'
config = {
'capital': 10000,
'offset': 0,
'trans_cost': 0.0,
'close_daily': daily_close,
'unit': 1,
'min_rng': 0.015,
'file_prefix': file_prefix
}
scenarios = [(0.25, 0.05, 0.15), (0.30, 0.06, 0.20), (0.35, 0.08, 0.25),
(0.4, 0.1, 0.3)]
freqs = ['1min', '3min', '5min']
for asset in sim_list:
sdate = backtest.sim_start_dict[asset]
config['marginrate'] = (backtest.sim_margin_dict[asset],
backtest.sim_margin_dict[asset])
config['rollrule'] = '-50b'
config['nearby'] = 1
config['start_min'] = 1505
config['exit_min'] = 2055
if asset in ['cu', 'al', 'zn']:
config['nearby'] = 3
config['rollrule'] = '-1b'
elif asset in ['IF']:
config['start_min'] = 1520
config['exit_min'] = 2110
config['rollrule'] = '-1b'
r_breaker(asset, max(sdate, start_date), end_date, scenarios, freqs,
config)
return
def run_sim(start_date, end_date, daily_close = False):
sim_list = ['v','FG', 'CF']
test_folder = backtest.get_bktest_folder()
file_prefix = test_folder + 'DT_MA10_'
if daily_close:
file_prefix = file_prefix + 'daily_'
#file_prefix = file_prefix + '_'
config = {'capital': 10000,
'offset': 0,
'MA_fast': 10,
'MA_slow': 20,
'trans_cost': 0.0,
'close_daily': daily_close,
'unit': 1,
'stoploss': 0.0,
'min_range': 0.01,
'file_prefix': file_prefix}
scenarios = [ (0.3, 2, 0.5, 0.5), (0.35, 2, 0.5, 0.5), (0.4, 2, 0.5, 0.5), (0.45, 2, 0.5, 0.5), (0.5, 2, 0.5, 0.5), (0.6, 2, 0.5, 0.5),\
(0.2, 3, 0.5, 0.5),(0.25, 3, 0.5, 0.5), (0.3, 3, 0.5, 0.5), (0.35, 3, 0.5, 0.5), (0.4, 3, 0.5, 0.5), \
(0.2, 4, 0.5, 0.5), (0.25, 4, 0.5, 0.5), (0.3, 4, 0.5, 0.5), (0.35, 4, 0.5, 0.5), (0.4, 4, 0.5, 0.5)]
for asset in sim_list:
sdate = backtest.sim_start_dict[asset]
config['marginrate'] = ( backtest.sim_margin_dict[asset], backtest.sim_margin_dict[asset])
config['nearby'] = 1
config['rollrule'] = '-50b'
config['exit_min'] = 2112
if asset in ['cu', 'al', 'zn']:
config['nearby'] = 3
config['rollrule'] = '-1b'
elif asset in ['IF', 'IH', 'IC']:
config['rollrule'] = '-2b'
elif asset in ['au', 'ag']:
config['rollrule'] = '-25b'
elif asset in ['TF', 'T']:
config['rollrule'] = '-20b'
dual_thrust( asset, max(sdate, start_date), end_date, scenarios, config)
return
def run_sim(start_date, end_date):
sim_list = [
'm', 'y', 'l', 'TA', 'cu', 'ag', 'au', 'i', 'j', 'jm'
] #[ 'IF','ru', 'rb', 'a', 'j', 'p','pp','zn', 'al', 'SR', 'ME', 'CF', 'RM']
test_folder = backtest.get_bktest_folder()
file_prefix = test_folder + 'FisherSwing_'
#if daily_close:
# file_prefix = file_prefix + 'daily_'
config = {
'capital': 10000,
'offset': 0,
'trans_cost': 0.0,
'unit': 1,
'scaler': (2.0, 2.0),
'file_prefix': file_prefix
}
freqs = ['5Min', '15Min', '30Min', '60Min', '120Min']
windows = [[30, 20, 6], [20, 15, 6]]
for asset in sim_list:
sdate = backtest.sim_start_dict[asset]
config['marginrate'] = (backtest.sim_margin_dict[asset],
backtest.sim_margin_dict[asset])
config['rollrule'] = '-50b'
config['nearby'] = 1
config['start_min'] = 1505
config['exit_min'] = 2055
if asset in ['cu', 'al', 'zn']:
config['nearby'] = 3
config['rollrule'] = '-1b'
elif asset in ['IF']:
config['start_min'] = 1520
config['exit_min'] = 2110
config['rollrule'] = '-1b'
fisher_swing(asset, max(start_date, sdate), end_date, freqs, windows,
config)
def run_sim(start_date, end_date, daily_close=False):
commod_list1 = ["m", "y", "l", "ru", "rb", "p", "cu", "al", "v", "a", "au", "zn", "ag", "i", "j", "jm"] #
start_dates1 = [datetime.date(2010, 10, 1)] * 12 + [
datetime.date(2012, 7, 1),
datetime.date(2013, 11, 26),
datetime.date(2011, 6, 1),
datetime.date(2013, 5, 1),
]
commod_list2 = [
"ME",
"CF",
"TA",
"PM",
"RM",
"SR",
"FG",
"OI",
"RI",
"TC",
"WH",
"pp",
"IF",
"MA",
"TF",
"IH",
"IC",
]
start_dates2 = (
[datetime.date(2012, 2, 1)]
+ [datetime.date(2012, 6, 1)] * 2
+ [datetime.date(2012, 10, 1)]
+ [datetime.date(2013, 2, 1)] * 3
+ [datetime.date(2013, 6, 1)] * 2
+ [datetime.date(2013, 10, 1), datetime.date(2014, 2, 1), datetime.date(2014, 4, 1), datetime.date(2010, 7, 1)]
+ [datetime.date(2015, 1, 3), datetime.date(2014, 4, 1), datetime.date(2015, 5, 1), datetime.date(2015, 5, 1)]
)
commod_list = commod_list1 + commod_list2
start_dates = start_dates1 + start_dates2
sim_list = ["m", "y", "p", "RM", "a", "rb", "ag", "TA", "MA", "SR", "i"]
sdate_list = []
for c, d in zip(commod_list, start_dates):
if c in sim_list:
sdate_list.append(d)
test_folder = backtest.get_bktest_folder()
file_prefix = test_folder + "test2/DTsplit_"
if daily_close:
file_prefix = file_prefix + "daily_"
# file_prefix = file_prefix + '_'
config = {
"capital": 10000,
"offset": 0,
"MA_fast": 10,
"MA_slow": 20,
"trans_cost": 0.0,
"close_daily": daily_close,
"unit": 1,
"stoploss": 0.0,
"min_range": 0.004,
"file_prefix": file_prefix,
}
scenarios = [
(0.6, 0, 0.5, 0.0),
(0.7, 0, 0.5, 0.0),
(0.8, 0, 0.5, 0.0),
(0.9, 0, 0.5, 0.0),
(1.0, 0, 0.5, 0.0),
(1.1, 0, 0.5, 0.0),
(1.2, 0, 0.5, 0.0),
(0.6, 1, 0.5, 0.0),
(0.7, 1, 0.5, 0.0),
(0.8, 1, 0.5, 0.0),
(0.9, 1, 0.5, 0.0),
(1.0, 1, 0.5, 0.0),
(1.1, 1, 0.5, 0.0),
(1.2, 1, 0.5, 0.0),
(0.5, 2, 0.5, 0.0),
(0.6, 2, 0.5, 0.0),
(0.7, 2, 0.5, 0.0),
(0.8, 2, 0.5, 0.0),
(0.9, 2, 0.5, 0.0),
(1.0, 2, 0.5, 0.0),
(1.1, 2, 0.5, 0.0),
(0.2, 4, 0.5, 0.0),
(0.25, 4, 0.5, 0.0),
(0.3, 4, 0.5, 0.0),
(0.35, 4, 0.5, 0.0),
(0.4, 4, 0.5, 0.0),
(0.45, 4, 0.5, 0.0),
(0.5, 4, 0.5, 0.0),
]
for asset, sdate in zip(sim_list, sdate_list):
config["marginrate"] = (backtest.sim_margin_dict[asset], backtest.sim_margin_dict[asset])
config["nearby"] = 1
config["rollrule"] = "-50b"
config["exit_min"] = 2112
if asset in ["cu", "al", "zn"]:
config["nearby"] = 3
config["rollrule"] = "-1b"
elif asset in ["IF", "IH", "IC"]:
config["rollrule"] = "-2b"
elif asset in ["au", "ag"]:
config["rollrule"] = "-25b"
elif asset in ["TF", "T"]:
config["rollrule"] = "-20b"
dual_thrust(asset, max(sdate, start_date), end_date, scenarios, config)
return
