def testCliDonchianAlgorithm2014(self):
api = PytradeApi(dbfilepah=self.db)
api.reinitializeUser(username=self.username, cash=self.initialCash)
tradingAlgorithmGenerator = lambda feed, broker: DonchianTradingAlgorithm(feed, broker, 9, 26, 0.05)
feed = DynamicFeed(self.db, self.codes, maxLen=self.maxLen)
days = feed.getAllDays()
for i in range(len(days)):
day = days[i]
cli = PytradeCli(dbfilepah=self.db, date=day, maxlen=self.maxLen, codes=self.codes, tradingAlgorithmGenerator=tradingAlgorithmGenerator)
orders = cli.executeAnalysis()
if i == (len(days) - 1):
continue
nextDay = days[i+1]
for order in orders:
open = cli.getLastValuesForInstrument(order.getInstrument(), nextDay)[1]
if not cli.confirmOrder(orderId=order.getId(), quantity=order.getQuantity(), price=open, commission=10,
date=nextDay):
cli.cancelOrder(order.getId())
cli.save()
maxlen=(datetime.datetime.now() - datetime.datetime(2014, 12, 1)).days
cli = PytradeCli(dbfilepah=self.db, maxlen=maxlen)
self.assertEqual(cli.getAccountInfo()[1], 36922.16)
def testCliDonchianAlgorithmWithSpecificDates(self):
api = PytradeApi(dbfilepah=self.db)
api.reinitializeUser(username=self.username, cash=self.initialCash)
tradingAlgorithmGenerator = lambda feed, broker: DonchianTradingAlgorithm(feed, broker, 9, 26, 0.05)
utc = pytz.utc
specificdays = [
utc.localize(datetime.datetime(2014, 2, 7)),
utc.localize(datetime.datetime(2014, 2, 11)),
utc.localize(datetime.datetime(2014, 9, 18)),
utc.localize(datetime.datetime(2014, 10, 23)),
utc.localize(datetime.datetime(2014, 10, 28)),
utc.localize(datetime.datetime(2014, 12, 29))]
feed = DynamicFeed(self.db, self.codes, maxLen=self.maxLen)
alldays = feed.getAllDays()
for day in specificdays:
cli = PytradeCli(dbfilepah=self.db, date=day, maxlen=self.maxLen, codes=self.codes,
tradingAlgorithmGenerator=tradingAlgorithmGenerator)
orders = cli.executeAnalysis()
nextDay = alldays[alldays.index(day) + 1]
for order in orders:
open = cli.getLastValuesForInstrument(order.getInstrument(), nextDay)[1]
if not cli.confirmOrder(orderId=order.getId(), quantity=order.getQuantity(), price=open, commission=10,
date=nextDay):
cli.cancelOrder(order.getId())
cli.save()
maxlen = (datetime.datetime.now() - datetime.datetime(2014, 12, 1)).days
cli = PytradeCli(dbfilepah=self.db, maxlen=maxlen)
self.assertEqual(cli.getAccountInfo()[1], 36922.16)
def testApiDonchianAlgorithm2014WithSQLiteDataProvider(self):
feed = DynamicFeed(self.db, self.codes, maxLen=self.maxLen)
days = feed.getAllDays()
api = PytradeApi(dbfilepah=self.db)
api.reinitializeUser(username=self.username, cash=self.initialCash)
tradingAlgorithmGenerator = lambda feed, broker: DonchianTradingAlgorithm(feed, broker, self.donchianEntry, self.donchianExit, self.riskFactor)
for i in range(len(days)):
day = days[i]
api = PytradeApi(dbfilepah=self.db, username=self.username, tradingAlgorithmGenerator=tradingAlgorithmGenerator, codes=None, date=day, maxlen=self.maxLen, debugmode=False)
api.executeAnalysis()
api.persistData()
if i == (len(days) - 1):
continue
day = days[i + 1]
api = PytradeApi(dbfilepah=self.db, username=self.username, tradingAlgorithmGenerator=tradingAlgorithmGenerator, codes=None, date=day, maxlen=self.maxLen, debugmode=False)
for order in api.getActiveMarketOrders() + api.getStopOrdersToConfirm():
bar = api.getCurrentBarForInstrument(order.getInstrument())
if bar is None:
continue
if not api.confirmOrder(order, bar.getDateTime(), order.getQuantity(), bar.getOpen(), 10):
api.cancelOrder(order)
api.persistData()
self.assertEqual(api.getEquity(), 36922.16)
def __init__(self,
dbfilepah="/var/pytrade/sqlitedb",
googleFinanceDir="/var/pytrade/googlefinance",
date=datetime.now(),
maxlen=90,
codes=None,
tradingAlgorithmGenerator=None):
if codes is None:
codes = [
"ABEV3", "BBAS3", "BBDC3", "BBDC4", "BBSE3", "BRAP4", "BRFS3",
"BRKM5", "BRML3", "BVMF3", "CCRO3", "CIEL3", "CMIG4", "CPFE3",
"CPLE6", "CSAN3", "CSNA3", "CTIP3", "CYRE3", "ECOR3", "EGIE3",
"EMBR3", "ENBR3", "EQTL3", "ESTC3", "FIBR3", "GGBR4", "GOAU4",
"HYPE3", "ITSA4", "ITUB4", "JBSS3", "KLBN11", "KROT3", "LAME4",
"LREN3", "MRFG3", "MRVE3", "MULT3", "NATU3", "PCAR4", "PETR3",
"PETR4", "QUAL3", "RADL3", "RENT3", "RUMO3", "SANB11", "SBSP3",
"SMLE3", "SUZB5", "TIMP3", "UGPA3", "USIM5", "VALE3", "VALE5",
"VIVT4", "WEGE3"
]
if tradingAlgorithmGenerator is None:
tradingAlgorithmGenerator = lambda feed, broker: DonchianTradingAlgorithm(
feed, broker, 9, 26, 0.05)
self.__date = date
self.__username = '******'
self.__api = PytradeApi(
dbfilepah=dbfilepah,
googleFinanceDir=googleFinanceDir,
username=self.__username,
tradingAlgorithmGenerator=tradingAlgorithmGenerator,
codes=codes,
date=self.__date,
maxlen=maxlen,
debugmode=False)
def testBacktestingDonchianAlgorithm2014(self):
backtest = GoogleFinanceBacktest(instruments=self.codes, initialCash=self.initialCash, year=2014, debugMode=False,
csvStorage=self.csvStorage)
backtest.attachAlgorithm(DonchianTradingAlgorithm(backtest.getFeed(), backtest.getBroker(), self.donchianEntry, self.donchianExit, self.riskFactor))
backtest.run()
self.assertEqual(backtest.getBroker().getEquity(), 36922.16)
def __init__(self, feed, entrySize, exitSize, riskFactor):
broker = backtesting.Broker(10000, feed, backtesting.FixedPerTrade(10))
super(DonchianStrategyOptimizer,
self).__init__(feed=feed,
broker=broker,
tradingAlgorithm=DonchianTradingAlgorithm(
feed, broker, entrySize, exitSize,
riskFactor),
debugMode=False)
def runDonchianAlgorithm(self, broker, feed, donchianEntry, donchianExit, riskFactor):
strategy = TradingSystem(feed, broker, debugMode=False)
strategy.setAlgorithm(DonchianTradingAlgorithm(feed, broker, donchianEntry, donchianExit, riskFactor))
feed.dispatchWithoutIncrementingDate()
feed.nextEvent()
for order in broker.getActiveMarketOrders() + broker.getStopOrdersToConfirm():
bar = broker.getCurrentBarForInstrument(order.getInstrument())
if bar is None:
continue
if not broker.confirmOrder(order, bar):
broker.cancelOrder(order)
def testApiDonchianAlgorithmWithSpecificDatesAndSQLiteDataProvider(self):
utc = pytz.utc
specificdays = [
utc.localize(datetime.datetime(2014, 2, 7)),
utc.localize(datetime.datetime(2014, 2, 11)),
utc.localize(datetime.datetime(2014, 9, 18)),
utc.localize(datetime.datetime(2014, 10, 23)),
utc.localize(datetime.datetime(2014, 10, 28)),
utc.localize(datetime.datetime(2014, 12, 29))]
feed = DynamicFeed(self.db, self.codes, maxLen=self.maxLen)
alldays = feed.getAllDays()
api = PytradeApi(dbfilepah=self.db)
api.reinitializeUser(username=self.username, cash=self.initialCash)
tradingAlgorithmGenerator = lambda feed, broker: DonchianTradingAlgorithm(feed, broker, self.donchianEntry,
self.donchianExit, self.riskFactor)
for day in specificdays:
api = PytradeApi(dbfilepah=self.db, username=self.username, tradingAlgorithmGenerator=tradingAlgorithmGenerator, codes=None, date=day,
maxlen=self.maxLen, debugmode=False)
api.executeAnalysis()
api.persistData()
index = alldays.index(day)
day = alldays[index+1]
api = PytradeApi(dbfilepah=self.db, username=self.username, tradingAlgorithmGenerator=tradingAlgorithmGenerator, codes=None, date=day,
maxlen=self.maxLen, debugmode=False)
for order in api.getActiveMarketOrders() + api.getStopOrdersToConfirm():
bar = api.getCurrentBarForInstrument(order.getInstrument())
if bar is None:
continue
if not api.confirmOrder(order, bar.getDateTime(), order.getQuantity(), bar.getOpen(), 10):
api.cancelOrder(order)
api.persistData()
self.assertEqual(api.getEquity(), 36922.16)
# row["Volume"] == "-"
# instruments = ["PETR4", "PETR3"]
# googleFeed = googlefinance.build_feed(codes, 2014, 2014, storage="./googlefinance", skipErrors=True,
# rowFilter=rowFilter)
db = "./sqliteddb"
# feed = DynamicFeed (db, codes, maxLen=10)
# feed.getDatabase().addBarsFromFeed(googleFeed)
################################################################################################
maxLen=int(26*1.4)
feed = DynamicFeed(db, codes, maxLen=maxLen)
days = feed.getAllDays()
username="******"
api = pytradeapi.PytradeApi(dbfilepah=db)
api.reinitializeUser(username=username, cash=10000)
tradingAlgorithmGenerator = lambda feed, broker: DonchianTradingAlgorithm(feed, broker, 9, 26, 0.05)
# utc = pytz.utc
# days = [
# utc.localize(datetime.datetime(2014, 2, 7)),
# utc.localize(datetime.datetime(2014, 2, 11))]
for i in range(len(days)):
day = days[i]
api = pytradeapi.PytradeApi(dbfilepah=db, username=username, tradingAlgorithmGenerator=tradingAlgorithmGenerator, codes=None, date=day, maxlen=maxLen, debugmode=False)
api.executeAnalysis()
api.persistData()
if i == (len(days)-1):
continue