def run( debug_mode, user_config: dict, routes: List[Dict[str, str]], extra_routes: List[Dict[str, str]], start_date: str, finish_date: str, candles: dict = None, chart: bool = False, tradingview: bool = False, full_reports: bool = False, csv: bool = False, json: bool = False ) -> None: if not jh.is_unit_testing(): # at every second, we check to see if it's time to execute stuff status_checker = Timeloop() @status_checker.job(interval=timedelta(seconds=1)) def handle_time(): if process_status() != 'started': raise exceptions.Termination status_checker.start() from jesse.config import config, set_config config['app']['trading_mode'] = 'backtest' # debug flag config['app']['debug_mode'] = debug_mode # inject config if not jh.is_unit_testing(): set_config(user_config) # set routes router.initiate(routes, extra_routes) store.app.set_session_id() register_custom_exception_handler() # clear the screen if not jh.should_execute_silently(): click.clear() # validate routes validate_routes(router) # initiate candle store store.candles.init_storage(5000) # load historical candles if candles is None: candles = load_candles(start_date, finish_date) click.clear() if not jh.should_execute_silently(): sync_publish('general_info', { 'session_id': jh.get_session_id(), 'debug_mode': str(config['app']['debug_mode']), }) # candles info key = f"{config['app']['considering_candles'][0][0]}-{config['app']['considering_candles'][0][1]}" sync_publish('candles_info', stats.candles_info(candles[key]['candles'])) # routes info sync_publish('routes_info', stats.routes(router.routes)) # run backtest simulation simulator(candles, run_silently=jh.should_execute_silently()) # hyperparameters (if any) if not jh.should_execute_silently(): sync_publish('hyperparameters', stats.hyperparameters(router.routes)) if not jh.should_execute_silently(): if store.completed_trades.count > 0: sync_publish('metrics', report.portfolio_metrics()) routes_count = len(router.routes) more = f"-and-{routes_count - 1}-more" if routes_count > 1 else "" study_name = f"{router.routes[0].strategy_name}-{router.routes[0].exchange}-{router.routes[0].symbol}-{router.routes[0].timeframe}{more}-{start_date}-{finish_date}" store_logs(study_name, json, tradingview, csv) if chart: charts.portfolio_vs_asset_returns(study_name) sync_publish('equity_curve', charts.equity_curve()) # QuantStats' report if full_reports: price_data = [] # load close candles for Buy and hold and calculate pct_change for index, c in enumerate(config['app']['considering_candles']): exchange, symbol = c[0], c[1] if exchange in config['app']['trading_exchanges'] and symbol in config['app']['trading_symbols']: # fetch from database candles_tuple = Candle.select( Candle.timestamp, Candle.close ).where( Candle.timestamp.between(jh.date_to_timestamp(start_date), jh.date_to_timestamp(finish_date) - 60000), Candle.exchange == exchange, Candle.symbol == symbol ).order_by(Candle.timestamp.asc()).tuples() candles = np.array(candles_tuple) timestamps = candles[:, 0] price_data.append(candles[:, 1]) price_data = np.transpose(price_data) price_df = pd.DataFrame(price_data, index=pd.to_datetime(timestamps, unit="ms"), dtype=float).resample( 'D').mean() price_pct_change = price_df.pct_change(1).fillna(0) bh_daily_returns_all_routes = price_pct_change.mean(1) quantstats.quantstats_tearsheet(bh_daily_returns_all_routes, study_name) else: sync_publish('equity_curve', None) sync_publish('metrics', None) # close database connection from jesse.services.db import database database.close_connection()
def run(start_date: str, finish_date: str, candles: Dict[str, Dict[str, Union[str, np.ndarray]]] = None, chart: bool = False, tradingview: bool = False, full_reports: bool = False, csv: bool = False, json: bool = False) -> None: # clear the screen if not jh.should_execute_silently(): click.clear() # validate routes validate_routes(router) # initiate candle store store.candles.init_storage(5000) # load historical candles if candles is None: print('loading candles...') candles = load_candles(start_date, finish_date) click.clear() if not jh.should_execute_silently(): # print candles table key = '{}-{}'.format(config['app']['considering_candles'][0][0], config['app']['considering_candles'][0][1]) table.key_value(stats.candles(candles[key]['candles']), 'candles', alignments=('left', 'right')) print('\n') # print routes table table.multi_value(stats.routes(router.routes)) print('\n') # print guidance for debugging candles if jh.is_debuggable('trading_candles') or jh.is_debuggable( 'shorter_period_candles'): print( ' Symbol | timestamp | open | close | high | low | volume' ) # run backtest simulation simulator(candles) if not jh.should_execute_silently(): # print trades metrics if store.completed_trades.count > 0: change = [] # calcualte market change for e in router.routes: if e.strategy is None: return first = Candle.select(Candle.close).where( Candle.timestamp == jh.date_to_timestamp(start_date), Candle.exchange == e.exchange, Candle.symbol == e.symbol).first() last = Candle.select(Candle.close).where( Candle.timestamp == jh.date_to_timestamp(finish_date) - 60000, Candle.exchange == e.exchange, Candle.symbol == e.symbol).first() change.append( ((last.close - first.close) / first.close) * 100.0) data = report.portfolio_metrics() data.append( ['Market Change', str(round(np.average(change), 2)) + "%"]) print('\n') table.key_value(data, 'Metrics', alignments=('left', 'right')) print('\n') # save logs store_logs(json, tradingview, csv) if chart: charts.portfolio_vs_asset_returns() # QuantStats' report if full_reports: quantstats.quantstats_tearsheet() else: print(jh.color('No trades were made.', 'yellow'))
def run(start_date: str, finish_date: str, candles: Dict[str, Dict[str, Union[str, np.ndarray]]] = None, chart: bool = False, tradingview: bool = False, full_reports: bool = False, csv: bool = False, json: bool = False) -> None: # clear the screen if not jh.should_execute_silently(): click.clear() # validate routes validate_routes(router) # initiate candle store store.candles.init_storage(5000) # load historical candles if candles is None: print('loading candles...') candles = load_candles(start_date, finish_date) click.clear() if not jh.should_execute_silently(): # print candles table key = f"{config['app']['considering_candles'][0][0]}-{config['app']['considering_candles'][0][1]}" table.key_value(stats.candles(candles[key]['candles']), 'candles', alignments=('left', 'right')) print('\n') # print routes table table.multi_value(stats.routes(router.routes)) print('\n') # print guidance for debugging candles if jh.is_debuggable('trading_candles') or jh.is_debuggable( 'shorter_period_candles'): print( ' Symbol | timestamp | open | close | high | low | volume' ) # run backtest simulation simulator(candles) if not jh.should_execute_silently(): # print trades metrics if store.completed_trades.count > 0: change = [] # calcualte market change for e in router.routes: if e.strategy is None: return first = Candle.select(Candle.close).where( Candle.timestamp == jh.date_to_timestamp(start_date), Candle.exchange == e.exchange, Candle.symbol == e.symbol).first() last = Candle.select(Candle.close).where( Candle.timestamp == jh.date_to_timestamp(finish_date) - 60000, Candle.exchange == e.exchange, Candle.symbol == e.symbol).first() change.append( ((last.close - first.close) / first.close) * 100.0) data = report.portfolio_metrics() data.append( ['Market Change', f"{str(round(np.average(change), 2))}%"]) print('\n') table.key_value(data, 'Metrics', alignments=('left', 'right')) print('\n') # save logs more = "" routes_count = len(router.routes) if routes_count > 1: more = f"-and-{routes_count-1}-more" study_name = f"{router.routes[0].strategy_name}-{router.routes[0].exchange}-{router.routes[0].symbol}-{router.routes[0].timeframe}{more}-{start_date}-{finish_date}" store_logs(study_name, json, tradingview, csv) if chart: charts.portfolio_vs_asset_returns(study_name) # QuantStats' report if full_reports: price_data = [] # load close candles for Buy and hold and calculate pct_change for index, c in enumerate( config['app']['considering_candles']): exchange, symbol = c[0], c[1] if exchange in config['app'][ 'trading_exchanges'] and symbol in config['app'][ 'trading_symbols']: # fetch from database candles_tuple = Candle.select( Candle.timestamp, Candle.close).where( Candle.timestamp.between( jh.date_to_timestamp(start_date), jh.date_to_timestamp(finish_date) - 60000), Candle.exchange == exchange, Candle.symbol == symbol).order_by( Candle.timestamp.asc()).tuples() candles = np.array(candles_tuple) timestamps = candles[:, 0] price_data.append(candles[:, 1]) price_data = np.transpose(price_data) price_df = pd.DataFrame(price_data, index=pd.to_datetime(timestamps, unit="ms"), dtype=float).resample('D').mean() price_pct_change = price_df.pct_change(1).fillna(0) bh_daily_returns_all_routes = price_pct_change.mean(1) quantstats.quantstats_tearsheet(bh_daily_returns_all_routes, study_name) else: print(jh.color('No trades were made.', 'yellow'))