def run_strategy(data_provider: DataProvider) -> Tuple[float, str]:
""" Returns the strategy end result and checksum of the preloaded data. """
start_date = str_to_date("2017-01-01")
end_date = str_to_date("2018-01-01")
settings = get_test_settings()
session_builder = BacktestTradingSessionBuilder(data_provider, settings,
PDFExporter(settings),
ExcelExporter(settings))
session_builder.set_backtest_name('SPY w. stop ' +
str(SpxWithStopLoss.percentage))
session_builder.set_initial_cash(1000000)
session_builder.set_frequency(Frequency.DAILY)
session_builder.set_commission_model(IBCommissionModel)
session_builder.set_data_provider(data_provider)
session_builder.set_monitor_settings(BacktestMonitorSettings.no_stats())
ts = session_builder.build(start_date, end_date)
ts.use_data_preloading(SpxWithStopLoss.ticker, RelativeDelta(days=40))
SpxWithStopLoss(ts)
ts.start_trading()
data_checksum = ts.get_preloaded_data_checksum()
actual_end_value = ts.portfolio.portfolio_eod_series()[-1]
return actual_end_value, data_checksum
def setUp(self):
dates = DatetimeIndex(start='2014-01-01', freq='d', periods=10)
returns = np.arange(0, 1, 0.1)
self.test_series = QFSeries(index=dates, data=returns)
reversed_returns = returns[::-1]
self.test_series_reversed = QFSeries(index=dates,
data=reversed_returns)
self.test_data_frame = concat(
[self.test_series, self.test_series_reversed],
axis=1,
join='inner')
settings = get_test_settings()
self.xl_exporter = ExcelExporter(settings=settings)
def run_strategy(data_provider: DataProvider) -> Tuple[float, str]:
""" Returns the strategy end result and checksum of the preloaded data. """
model_tickers = [BloombergFutureTicker("Corn", "C {} Comdty", 1, 10, 1)]
start_date = str_to_date('2003-05-30')
end_date = str_to_date('2009-01-01')
initial_risk = 0.006
# ----- build trading session ----- #
settings = get_test_settings()
session_builder = BacktestTradingSessionBuilder(data_provider, settings,
PDFExporter(settings),
ExcelExporter(settings))
session_builder.set_backtest_name('Simple Futures Strategy')
session_builder.set_position_sizer(InitialRiskPositionSizer,
initial_risk=initial_risk)
session_builder.set_frequency(Frequency.DAILY)
session_builder.set_data_provider(data_provider)
session_builder.set_monitor_settings(BacktestMonitorSettings.no_stats())
ts = session_builder.build(start_date, end_date)
# ----- build models ----- #
model = SimpleFuturesModel(fast_time_period=50,
slow_time_period=100,
risk_estimation_factor=3,
data_provider=ts.data_handler)
model_tickers_dict = {model: model_tickers}
# ----- start trading ----- #
strategy = AlphaModelStrategy(ts,
model_tickers_dict,
use_stop_losses=False)
OnBeforeMarketOpenSignalGeneration(strategy)
ts.use_data_preloading(model_tickers)
ts.start_trading()
data_checksum = ts.get_preloaded_data_checksum()
actual_end_value = ts.portfolio.portfolio_eod_series()[-1]
return actual_end_value, data_checksum
class TestExcelExport(TestCaseWithFileOutput):
_tmp_dir = join(dirname(__file__), 'tmp')
_templates_dir = join(dirname(__file__), 'dummies')
comparator = ExcelFilesComparator()
def setUp(self):
dates = DatetimeIndex(start='2014-01-01', freq='d', periods=10)
returns = np.arange(0, 1, 0.1)
self.test_series = QFSeries(index=dates, data=returns)
reversed_returns = returns[::-1]
self.test_series_reversed = QFSeries(index=dates,
data=reversed_returns)
self.test_data_frame = concat(
[self.test_series, self.test_series_reversed],
axis=1,
join='inner')
settings = get_test_settings()
self.xl_exporter = ExcelExporter(settings=settings)
def tearDown(self):
self.clear_tmp_dir()
def tmp_dir(self):
return self._tmp_dir
def templates_dir(self):
return self._templates_dir
def test_exporting_series_to_the_new_file(self):
new_file_path = self.tmp_file_path(SINGLE_SHEET_ONE_SERIES)
expected_file_path = self.template_file_path(SINGLE_SHEET_ONE_SERIES)
self.xl_exporter.export_container(self.test_series, new_file_path)
self.comparator.assert_the_same(expected_file_path, new_file_path)
def test_exporting_series_to_the_existing_file(self):
"""
Take a workbook with one worksheet and later add a new series to this worksheet without removing the other data
within the worksheet.
"""
file_to_modify_path = self.copy_template_to_tmp(
SINGLE_SHEET_ONE_SERIES)
expected_file_path = self.template_file_path(SINGLE_SHEET_TWO_SERIES)
self.xl_exporter.export_container(self.test_series_reversed,
file_to_modify_path,
starting_cell='C1')
self.comparator.assert_the_same(expected_file_path,
file_to_modify_path)
def test_exporting_series_to_the_new_worksheet(self):
"""
Take the existing workbook, add a new worksheet and save there some data.
"""
file_to_modify_path = self.copy_template_to_tmp(
SINGLE_SHEET_ONE_SERIES)
expected_file_path = self.template_file_path(TWO_SHEETS_TWO_SERIES)
self.xl_exporter.export_container(self.test_series_reversed,
file_to_modify_path,
sheet_name='Sheet2')
self.comparator.assert_the_same(expected_file_path,
file_to_modify_path)
def test_exporting_series_to_the_existing_worksheet(self):
file_to_modify_path = self.copy_template_to_tmp(TWO_SHEETS_TWO_SERIES)
expected_file_path = self.template_file_path(TWO_SHEETS_THREE_SERIES)
self.xl_exporter.export_container(self.test_series,
file_to_modify_path,
sheet_name='Sheet2',
starting_cell='C1')
self.comparator.assert_the_same(expected_file_path,
file_to_modify_path)
def test_exporting_dataframe(self):
new_file_path = self.tmp_file_path(SINGLE_SHEET_ONE_DATA_FRAME)
expected_file_path = self.template_file_path(
SINGLE_SHEET_ONE_DATA_FRAME)
self.xl_exporter.export_container(self.test_data_frame, new_file_path)
self.comparator.assert_the_same(expected_file_path, new_file_path)
def test_exporting_dataframe_custom_index(self):
new_file_path = self.tmp_file_path(
SINGLE_SHEET_CUSTOM_INDEX_DATA_FRAME)
expected_file_path = self.template_file_path(
SINGLE_SHEET_CUSTOM_INDEX_DATA_FRAME)
df = QFDataFrame(
{
"Test": [1, 2, 3, 4, 5],
"Test2": [10, 20, 30, 40, 50]
}, ["A", "B", "C", "D", "E"])
self.xl_exporter.export_container(df,
new_file_path,
starting_cell='A10',
include_column_names=True)
self.comparator.assert_the_same(expected_file_path, new_file_path)
def test_exporting_single_cells(self):
new_file_path = self.tmp_file_path(SINGLE_CELLS)
expected_file_path = self.template_file_path(SINGLE_CELLS)
self.xl_exporter.write_cell(new_file_path, "A1", "Testing")
self.xl_exporter.write_cell(new_file_path, "D6", 123456)
self.xl_exporter.write_cell(new_file_path, "G12", 3.1423456)
self.comparator.assert_the_same(expected_file_path, new_file_path)