def test_backtest_analyze():
ta = ana.AlphaAnalyzer()
dv = DataView()
dv.load_dataview(folder_path=dataview_dir_path)
ta.initialize(dataview=dv, file_folder=backtest_result_dir_path)
print "process trades..."
ta.process_trades()
print "get daily stats..."
ta.get_daily()
print "calc strategy return..."
ta.get_returns(consider_commission=True)
# position change info is huge!
# print "get position change..."
# ta.get_pos_change_info()
selected_sec = list(ta.universe)[:2]
if len(selected_sec) > 0:
print "Plot single securities PnL"
for symbol in selected_sec:
df_daily = ta.daily.get(symbol, None)
if df_daily is not None:
ana.plot_trades(df_daily, symbol=symbol, save_folder=backtest_result_dir_path)
print "Plot strategy PnL..."
ta.plot_pnl(backtest_result_dir_path)
print "generate report..."
static_folder = fileio.join_relative_path("trade/analyze/static")
ta.gen_report(source_dir=static_folder, template_fn='report_template.html',
out_folder=backtest_result_dir_path,
selected=selected_sec)
def test_backtest_analyze():
ta = ana.AlphaAnalyzer()
dv = DataView()
dv.load_dataview(folder_path=dataview_dir_path)
ta.initialize(dataview=dv, file_folder=backtest_result_dir_path)
ta.do_analyze(result_dir=backtest_result_dir_path, selected_sec=list(ta.universe)[:3])
def test_backtest_analyze():
ta = ana.AlphaAnalyzer()
data_service = RemoteDataService()
out_folder = fileio.join_relative_path("../output")
ta.initialize(data_service, out_folder)
print "process trades..."
ta.process_trades()
print "get daily stats..."
ta.get_daily()
print "calc strategy return..."
ta.get_returns()
# position change info is huge!
# print "get position change..."
# ta.get_pos_change_info()
selected_sec = list(ta.universe)[:3]
if len(selected_sec) > 0:
print "Plot single securities PnL"
for symbol in selected_sec:
df_daily = ta.daily.get(symbol, None)
if df_daily is not None:
ana.plot_trades(df_daily,
symbol=symbol,
save_folder=out_folder)
print "Plot strategy PnL..."
ta.plot_pnl(out_folder)
print "generate report..."
static_folder = fileio.join_relative_path("trade/analyze/static")
ta.gen_report(source_dir=static_folder,
template_fn='report_template.html',
out_folder=out_folder,
selected=selected_sec)