def run(config, testing, tickers, filename):
# Set up variables needed for backtest
events_queue = queue.Queue()
csv_dir = config.CSV_DATA_DIR
initial_equity = PriceParser.parse(100000.00)
# Use Yahoo Daily Price Handler
start_date = datetime.datetime(2009, 8, 3)
end_date = datetime.datetime(2019, 8, 1)
price_handler = YahooDailyCsvBarPriceHandler(csv_dir,
events_queue,
tickers,
start_date=start_date,
end_date=end_date)
# Use the KalmanPairsTrading Strategy
strategy = KalmanPairsTradingStrategy(tickers, events_queue)
strategy = Strategies(strategy)
# Use the Naive Position Sizer (suggested quantities are followed)
position_sizer = NaivePositionSizer()
# Use an example Risk Manager
risk_manager = ExampleRiskManager()
# Use the default Portfolio Handler
portfolio_handler = PortfolioHandler(initial_equity, events_queue,
price_handler, position_sizer,
risk_manager)
# Use the ExampleCompliance component
compliance = ExampleCompliance(config)
# Use a simulated IB Execution Handler
execution_handler = IBSimulatedExecutionHandler(events_queue,
price_handler, compliance)
# Use the Tearsheet Statistics
title = ["Kalman Filter Pairs Trade on TLT/IEI"]
statistics = TearsheetStatistics(config, portfolio_handler, title)
# Set up the backtest
backtest = TradingSession(config,
strategy,
tickers,
initial_equity,
start_date,
end_date,
events_queue,
price_handler=price_handler,
portfolio_handler=portfolio_handler,
execution_handler=execution_handler,
position_sizer=position_sizer,
risk_manager=risk_manager,
statistics=statistics)
results = backtest.start_trading(testing=testing)
statistics.save(filename)
return results
def run(config, testing, tickers, filename):
# Benchmark ticker
benchmark = 'SP500TR'
# Set up variables needed for backtest
title = [
'Moving Average Crossover Example',
__file__,
','.join(tickers) + ': 100x400'
]
events_queue = queue.Queue()
csv_dir = config.CSV_DATA_DIR
initial_equity = PriceParser.parse(500000.00)
# Use Yahoo Daily Price Handler
price_handler = YahooDailyCsvBarPriceHandler(
csv_dir, events_queue, tickers
)
# Use the MAC Strategy
strategy = MovingAverageCrossStrategy(tickers, events_queue)
# Use an example Position Sizer,
position_sizer = FixedPositionSizer()
# Use an example Risk Manager,
risk_manager = ExampleRiskManager()
# Use the default Portfolio Handler
portfolio_handler = PortfolioHandler(
initial_equity, events_queue, price_handler,
position_sizer, risk_manager
)
# Use the ExampleCompliance component
compliance = ExampleCompliance(config)
# Use a simulated IB Execution Handler
execution_handler = IBSimulatedExecutionHandler(
events_queue, price_handler, compliance
)
# Use the default Statistics
statistics = TearsheetStatistics(
config, portfolio_handler, title, benchmark
)
# Set up the backtest
backtest = Backtest(
price_handler, strategy,
portfolio_handler, execution_handler,
position_sizer, risk_manager,
statistics, initial_equity
)
results = backtest.simulate_trading(testing=testing)
statistics.save(filename)
return results
def run(config, testing, tickers, filename):
# Set up variables needed for backtest
events_queue = queue.Queue()
csv_dir = config.CSV_DATA_DIR
initial_equity = PriceParser.parse(500000.00)
start_date = datetime.datetime(2006, 11, 1)
end_date = datetime.datetime(2016, 10, 12)
# Use Yahoo Daily Price Handler
price_handler = YahooDailyCsvBarPriceHandler(csv_dir,
events_queue,
tickers,
start_date=start_date,
end_date=end_date)
# Use the monthly liquidate and rebalance strategy
strategy = MonthlyLiquidateRebalanceStrategy(tickers, events_queue)
strategy = Strategies(strategy, DisplayStrategy())
# Use the liquidate and rebalance position sizer
# with prespecified ticker weights
ticker_weights = {
"SPY": 0.6,
"AGG": 0.4,
}
position_sizer = LiquidateRebalancePositionSizer(ticker_weights)
# Use an example Risk Manager
risk_manager = ExampleRiskManager()
# Use the default Portfolio Handler
portfolio_handler = PortfolioHandler(initial_equity, events_queue,
price_handler, position_sizer,
risk_manager)
# Use the ExampleCompliance component
compliance = ExampleCompliance(config)
# Use a simulated IB Execution Handler
execution_handler = IBSimulatedExecutionHandler(events_queue,
price_handler, compliance)
# Use the default Statistics
title = ["US Equities/Bonds 60/40 ETF Strategy"]
benchmark = "SPY"
statistics = TearsheetStatistics(config, portfolio_handler, title,
benchmark)
# Set up the backtest
backtest = Backtest(price_handler, strategy, portfolio_handler,
execution_handler, position_sizer, risk_manager,
statistics, initial_equity)
results = backtest.simulate_trading(testing=testing)
statistics.save(filename)
return results
def run(config, testing, tickers, filename):
# Set up variables needed for backtest
events_queue = queue.Queue()
csv_dir = "/path/to/your/csv/data/"
initial_equity = PriceParser.parse(500000.00)
# Use DTN IQFeed Intraday Bar Price Handler
start_date = datetime.datetime(2013, 1, 1)
price_handler = IQFeedIntradayCsvBarPriceHandler(csv_dir,
events_queue,
tickers,
start_date=start_date)
# Use the ML Intraday Prediction Strategy
model_pickle_file = '/path/to/your/ml_model_lda.pkl'
strategy = IntradayMachineLearningPredictionStrategy(tickers,
events_queue,
model_pickle_file,
lags=5)
strategy = Strategies(strategy, DisplayStrategy())
# Use the Naive Position Sizer (suggested quantities are followed)
position_sizer = NaivePositionSizer()
# Use an example Risk Manager
risk_manager = ExampleRiskManager()
# Use the default Portfolio Handler
portfolio_handler = PortfolioHandler(initial_equity, events_queue,
price_handler, position_sizer,
risk_manager)
# Use the ExampleCompliance component
compliance = ExampleCompliance(config)
# Use a simulated IB Execution Handler
execution_handler = IBSimulatedExecutionHandler(events_queue,
price_handler, compliance)
# Use the Tearsheet Statistics
statistics = TearsheetStatistics(
config,
portfolio_handler,
title=["Intraday AREX Machine Learning Prediction Strategy"],
periods=int(252 * 6.5 * 60) # Minutely periods
)
# Set up the backtest
backtest = Backtest(price_handler, strategy, portfolio_handler,
execution_handler, position_sizer, risk_manager,
statistics, initial_equity)
results = backtest.simulate_trading(testing=testing)
statistics.save(filename)
return results
def run(config, testing, tickers, filename):
# Set up variables needed for backtest
events_queue = queue.Queue()
csv_dir = config.CSV_DATA_DIR
initial_equity = PriceParser.parse(500000.00)
# Use Yahoo Daily Price Handler
start_date = datetime.datetime(2013, 7, 1)
end_date = datetime.datetime(2019, 6, 1)
price_handler = YahooDailyCsvBarPriceHandler(csv_dir, events_queue, tickers, start_date=start_date, end_date=end_date)
# Use the Cointegration Bollinger Bands trading strategy
weights = np.array([1.0, -1.213])
lookback = 15
entry_z = 1.5
exit_z = 0.5
base_quantity = 10000
strategy = CointegrationBollingerBandsStrategy(tickers[1:], events_queue, lookback, weights, entry_z, exit_z, base_quantity)
strategy = Strategies(strategy)
# Use the Naive Position Sizer
# where suggested quantities are followed
position_sizer = NaivePositionSizer()
# Use an example Risk Manager
risk_manager = ExampleRiskManager()
# Use the default Portfolio Handler
portfolio_handler = PortfolioHandler(initial_equity, events_queue, price_handler, position_sizer, risk_manager)
# Use the ExampleCompliance component
compliance = ExampleCompliance(config)
# Use a simulated IB Execution Handler
execution_handler = IBSimulatedExecutionHandler(events_queue, price_handler, compliance)
# Use the Tearsheet Statistics
title = ["Aluminum Smelting Strategy - ARNC/UNG"]
statistics = TearsheetStatistics(config, portfolio_handler, title, benchmark=tickers[0])
# Set up the backtest
backtest = TradingSession(config, strategy,
tickers[1:], initial_equity, start_date, end_date,
events_queue, price_handler=price_handler,
portfolio_handler=portfolio_handler,
execution_handler=execution_handler,
position_sizer=position_sizer,
risk_manager=risk_manager,
statistics=statistics, benchmark=tickers[0])
results = backtest.start_trading(testing=testing)
statistics.save(filename)
return results
def run_monthly_rebalance(config, testing, filename, benchmark, ticker_weights,
title_str, start_date, end_date, equity):
config = settings.from_file(config, testing)
tickers = [t for t in ticker_weights.keys()]
# Set up variables needed for backtest
events_queue = queue.Queue()
csv_dir = config.CSV_DATA_DIR
initial_equity = PriceParser.parse(equity)
# Use Yahoo Daily Price Handler
price_handler = YahooDailyCsvBarPriceHandler(csv_dir,
events_queue,
tickers,
start_date=start_date,
end_date=end_date)
# Use the monthly liquidate and rebalance strategy
strategy = MonthlyLiquidateRebalanceStrategy(tickers, events_queue)
#strategy = Strategies(strategy, DisplayStrategy())
# Use the liquidate and rebalance position sizer
# with prespecified ticker weights
position_sizer = LiquidateRebalancePositionSizer(ticker_weights)
# Use an example Risk Manager
risk_manager = ExampleRiskManager()
# Use the default Portfolio Handler
portfolio_handler = PortfolioHandler(initial_equity, events_queue,
price_handler, position_sizer,
risk_manager)
# Use the ExampleCompliance component
compliance = ExampleCompliance(config)
# Use a simulated IB Execution Handler
execution_handler = IBSimulatedExecutionHandler(events_queue,
price_handler, compliance)
# Use the default Statistics
title = [title_str]
statistics = TearsheetStatistics(config, portfolio_handler, title,
benchmark)
# Set up the backtest
backtest = Backtest(price_handler, strategy, portfolio_handler,
execution_handler, position_sizer, risk_manager,
statistics, initial_equity)
results = backtest.simulate_trading(testing=testing)
statistics.save(filename)
return results
def run(config, testing, tickers, filename, start_date, end_date):
# Set up variables needed for backtest
events_queue = queue.Queue()
csv_dir = config.CSV_DATA_DIR
initial_equity = PriceParser.parse(500000.00)
# Use Yahoo Daily Price Handler
price_handler = SqliteDBBarPriceHandler(
csv_dir, events_queue, tickers, start_date, end_date
)
# Use the Buy and Hold Strategy
strategy = CustomStrategy(tickers, events_queue)
strategy = Strategies(strategy, DisplayStrategy())
# Use an example Position Sizer
position_sizer = CustomPositionSizer()
# Use an example Risk Manager
risk_manager = ExampleRiskManager()
# Use the default Portfolio Handler
portfolio_handler = PortfolioHandler(
initial_equity, events_queue, price_handler,
position_sizer, risk_manager
)
# Use the ExampleCompliance component
compliance = ExampleCompliance(config)
# Use a simulated IB Execution Handler
execution_handler = IBSimulatedExecutionHandler(
events_queue, price_handler, compliance
)
# Use the default Statistics
statistics = TearsheetStatistics(
config, portfolio_handler, title=""
)
# Set up the backtest
backtest = Backtest(
price_handler, strategy,
portfolio_handler, execution_handler,
position_sizer, risk_manager,
statistics, initial_equity
)
results = backtest.simulate_trading(testing=testing)
statistics.save(filename)
return results
def run(config, testing, tickers, filename):
# Benchmark ticker
benchmark = 'SP500TR'
# Set up variables needed for backtest
title = [
'Moving Average Crossover Example', __file__,
','.join(tickers) + ': 100x400'
]
events_queue = queue.Queue()
csv_dir = config.CSV_DATA_DIR
initial_equity = PriceParser.parse(500000.00)
# Use Yahoo Daily Price Handler
price_handler = YahooDailyCsvBarPriceHandler(csv_dir, events_queue,
tickers)
# Use the MAC Strategy
strategy = MovingAverageCrossStrategy(tickers, events_queue)
# Use an example Position Sizer,
position_sizer = FixedPositionSizer()
# Use an example Risk Manager,
risk_manager = ExampleRiskManager()
# Use the default Portfolio Handler
portfolio_handler = PortfolioHandler(initial_equity, events_queue,
price_handler, position_sizer,
risk_manager)
# Use the ExampleCompliance component
compliance = ExampleCompliance(config)
# Use a simulated IB Execution Handler
execution_handler = IBSimulatedExecutionHandler(events_queue,
price_handler, compliance)
# Use the default Statistics
statistics = TearsheetStatistics(config, portfolio_handler, title,
benchmark)
# Set up the backtest
backtest = Backtest(price_handler, strategy, portfolio_handler,
execution_handler, position_sizer, risk_manager,
statistics, initial_equity)
results = backtest.simulate_trading(testing=testing)
statistics.save(filename)
return results
def run(config, testing, tickers, filename):
# Set up variables needed for backtest
events_queue = queue.Queue()
csv_dir = config.CSV_DATA_DIR
initial_invst = 1000000.00
initial_equity = PriceParser.parse(initial_invst)
# Use Yahoo Daily Price Handler
price_handler = YahooDailyCsvBarPriceHandler(
csv_dir,
events_queue,
tickers,
)
# Use the KalmanPairsTrading Strategy
strategy = KalmanPairsTradingStrategy(tickers, events_queue, initial_invst)
strategy = Strategies(strategy, DisplayStrategy())
# Use the Naive Position Sizer (suggested quantities are followed)
position_sizer = NaivePositionSizer()
# Use an example Risk Manager
risk_manager = ExampleRiskManager()
# Use the default Portfolio Handler
portfolio_handler = PortfolioHandler(initial_equity, events_queue,
price_handler, position_sizer,
risk_manager)
# Use the ExampleCompliance component
compliance = ExampleCompliance(config)
# Use a simulated IB Execution Handler
execution_handler = IBSimulatedExecutionHandler(events_queue,
price_handler, compliance)
# Use the default Statistics
statistics = TearsheetStatistics(config, portfolio_handler, title="")
# Set up the backtest
backtest = Backtest(price_handler, strategy, portfolio_handler,
execution_handler, position_sizer, risk_manager,
statistics, initial_equity)
results = backtest.simulate_trading(testing=testing)
hist = results['cum_returns']
print('==:++==')
print(hist.to_csv('6pair.csv', header=['date,total asset']))
statistics.save('output')
return results
def run(config, testing, tickers, filename):
# Set up variables needed for backtest
events_queue = queue.Queue()
csv_dir = config.CSV_DATA_DIR
initial_equity = PriceParser.parse(100000.00)
# Use Yahoo Daily Price Handler
price_handler = YahooDailyCsvBarPriceHandler(csv_dir, events_queue, tickers)
# Use the KalmanPairsTrading Strategy
strategy = KalmanPairsTradingStrategy(tickers, events_queue)
strategy = Strategies(strategy, DisplayStrategy())
# Use the Naive Position Sizer (suggested quantities are followed)
position_sizer = NaivePositionSizer()
# Use an example Risk Manager
risk_manager = ExampleRiskManager()
# Use the default Portfolio Handler
portfolio_handler = PortfolioHandler(initial_equity, events_queue, price_handler, position_sizer, risk_manager)
# Use the ExampleCompliance component
compliance = ExampleCompliance(config)
# Use a simulated IB Execution Handler
execution_handler = IBSimulatedExecutionHandler(events_queue, price_handler, compliance)
# Use the default Statistics
statistics = TearsheetStatistics(config, portfolio_handler, title="")
# Set up the backtest
backtest = Backtest(
price_handler,
strategy,
portfolio_handler,
execution_handler,
position_sizer,
risk_manager,
statistics,
initial_equity
)
results = backtest.simulate_trading(testing=testing)
statistics.save(filename)
return results
def run(config, testing, tickers, filename):
# Set up variables needed for backtest
title = ["Intraday AREX Machine Learning Prediction Strategy"]
events_queue = queue.Queue()
csv_dir = "/path/to/your/csv/data/"
initial_equity = 500000.0
# Use DTN IQFeed Intraday Bar Price Handler
start_date = datetime.datetime(2013, 1, 1)
end_date = datetime.datetime(2014, 3, 11)
price_handler = IQFeedIntradayCsvBarPriceHandler(csv_dir,
events_queue,
tickers,
start_date=start_date)
# Use the ML Intraday Prediction Strategy
model_pickle_file = '/path/to/your/ml_model_lda.pkl'
strategy = IntradayMachineLearningPredictionStrategy(tickers,
events_queue,
model_pickle_file,
lags=5)
# Use the Naive Position Sizer where
# suggested quantities are followed
position_sizer = NaivePositionSizer()
# Use an example Risk Manager
risk_manager = ExampleRiskManager()
# Use the default Portfolio Handler
portfolio_handler = PortfolioHandler(PriceParser.parse(initial_equity),
events_queue, price_handler,
position_sizer, risk_manager)
# Use the Tearsheet Statistics
statistics = TearsheetStatistics(
config,
portfolio_handler,
title=title,
periods=int(252 * 6.5 * 60) # Minutely periods
)
# Set up the backtest
backtest = TradingSession(config,
strategy,
tickers,
initial_equity,
start_date,
end_date,
events_queue,
title=title,
portfolio_handler=portfolio_handler,
position_sizer=position_sizer,
price_handler=price_handler,
statistics=statistics)
results = backtest.start_trading(testing=testing)
return results
# Construct benchmark assets (buy & hold SPY)
benchmark_symbols = ['SPY']
benchmark_assets = ['EQ:SPY']
benchmark_universe = StaticUniverse(benchmark_assets)
benchmark_data_source = CSVDailyBarDataSource(
csv_dir, Equity, csv_symbols=benchmark_symbols)
benchmark_data_handler = BacktestDataHandler(
benchmark_universe, data_sources=[benchmark_data_source])
# Construct a benchmark Alpha Model that provides
# 100% static allocation to the SPY ETF, with no rebalance
benchmark_alpha_model = FixedSignalsAlphaModel({'EQ:SPY': 1.0})
benchmark_backtest = BacktestTradingSession(
burn_in_dt,
end_dt,
benchmark_universe,
benchmark_alpha_model,
rebalance='buy_and_hold',
long_only=True,
cash_buffer_percentage=0.01,
data_handler=benchmark_data_handler)
benchmark_backtest.run()
# Performance Output
tearsheet = TearsheetStatistics(
strategy_equity=strategy_backtest.get_equity_curve(),
benchmark_equity=benchmark_backtest.get_equity_curve(),
title='US Sector Momentum - Top 3 Sectors')
tearsheet.plot_results()
def run(config, testing, tickers, filename):
#build_HMM_model()
build_HMM_model2()
title = ["Trend Following Regime Detection without HMM"]
#pickle_path = "hmm_model_spy.pkl"
pickle_path = "hmm_model_spy2.pkl"
#pickle_path = "hmm_model_fx.pkl"
events_queue = queue.Queue()
csv_dir = config.CSV_DATA_DIR
initial_equity = 100000.00
start_date = datetime.datetime(2011, 1, 1)
end_date = datetime.datetime(2018, 3, 31)
# Use the Moving Average Crossover trading strategy
base_quantity = 10000
strategy = MovingAverageCrossStrategy(tickers,
events_queue,
base_quantity,
short_window=10,
long_window=30)
# Use Yahoo Daily Price Handler
price_handler = YahooDailyCsvBarPriceHandler(csv_dir,
events_queue,
tickers,
start_date=start_date,
end_date=end_date,
calc_adj_returns=True)
# Use the Naive Position Sizer
# where suggested quantities are followed
position_sizer = NaivePositionSizer()
# Use an example Risk Manager
#risk_manager = ExampleRiskManager()
# Use regime detection HMM risk manager
hmm_model = pickle.load(open(pickle_path, "rb"))
risk_manager = RegimeHMMRiskManager(hmm_model)
# Use the default Portfolio Handler
portfolio_handler = PortfolioHandler(PriceParser.parse(initial_equity),
events_queue, price_handler,
position_sizer, risk_manager)
# Use the Tearsheet Statistics class
statistics = TearsheetStatistics(
config,
portfolio_handler,
#title,benchmark = "EEM"
title,
benchmark="VWO")
# Set up the backtest
backtest = TradingSession(config,
strategy,
tickers,
initial_equity,
start_date,
end_date,
events_queue,
title=title,
price_handler=price_handler,
position_sizer=position_sizer,
risk_manager=risk_manager,
statistics=statistics,
portfolio_handler=portfolio_handler)
results = backtest.start_trading(testing=testing)
return results
strategy_assets = ['EQ:GLD']
strategy_universe = StaticUniverse(strategy_assets)
# To avoid loading all CSV files in the directory, set the
# data source to load only those provided symbols
csv_dir = os.environ.get('QSTRADER_CSV_DATA_DIR')
data_source = CSVDailyBarDataSource(csv_dir,
Equity,
csv_symbols=strategy_symbols)
data_handler = BacktestDataHandler(strategy_universe,
data_sources=[data_source])
# Construct an Alpha Model that simply provides a fixed
# signal for the single GLD ETF at 100% allocation
# with a backtest that does not rebalance
strategy_alpha_model = FixedSignalsAlphaModel({'EQ:GLD': 1.0})
strategy_backtest = BacktestTradingSession(start_dt,
end_dt,
strategy_universe,
strategy_alpha_model,
rebalance='buy_and_hold',
cash_buffer_percentage=0.01,
data_handler=data_handler)
strategy_backtest.run()
# Performance Output
tearsheet = TearsheetStatistics(
strategy_equity=strategy_backtest.get_equity_curve(),
title='Buy & Hold GLD ETF')
tearsheet.plot_results()
def run(config, testing, tickers, filename):
# Set up variables needed for backtest
pickle_path = "/path/to/your/model/hmm_model_spy.pkl"
events_queue = queue.Queue()
csv_dir = config.CSV_DATA_DIR
initial_equity = PriceParser.parse(500000.00)
# Use Yahoo Daily Price Handler
start_date = datetime.datetime(2005, 1, 1)
end_date = datetime.datetime(2014, 12, 31)
price_handler = YahooDailyCsvBarPriceHandler(csv_dir,
events_queue,
tickers,
start_date=start_date,
end_date=end_date,
calc_adj_returns=True)
# Use the Moving Average Crossover trading strategy
base_quantity = 10000
strategy = MovingAverageCrossStrategy(tickers,
events_queue,
base_quantity,
short_window=10,
long_window=30)
strategy = Strategies(strategy, DisplayStrategy())
# Use the Naive Position Sizer
# where suggested quantities are followed
position_sizer = NaivePositionSizer()
# Use regime detection HMM risk manager
hmm_model = pickle.load(open(pickle_path, "rb"))
risk_manager = RegimeHMMRiskManager(hmm_model)
# Use an example Risk Manager
#risk_manager = ExampleRiskManager()
# Use the default Portfolio Handler
portfolio_handler = PortfolioHandler(initial_equity, events_queue,
price_handler, position_sizer,
risk_manager)
# Use the ExampleCompliance component
compliance = ExampleCompliance(config)
# Use a simulated IB Execution Handler
execution_handler = IBSimulatedExecutionHandler(events_queue,
price_handler, compliance)
# Use the Tearsheet Statistics
title = ["Trend Following Regime Detection with HMM"]
statistics = TearsheetStatistics(config,
portfolio_handler,
title,
benchmark="SPY")
# Set up the backtest
backtest = Backtest(price_handler, strategy, portfolio_handler,
execution_handler, position_sizer, risk_manager,
statistics, initial_equity)
results = backtest.simulate_trading(testing=testing)
statistics.save(filename)
return results
def run(config, testing, tickers, filename):
# Set up variables needed for backtest
events_queue = queue.Queue()
csv_dir = config.CSV_DATA_DIR
initial_equity = PriceParser.parse(500000.00)
# Use Yahoo Daily Price Handler
start_date = datetime.datetime(2012, 10, 15)
end_date = datetime.datetime(2016, 2, 2)
price_handler = YahooDailyCsvBarPriceHandler(
csv_dir, events_queue, tickers,
start_date=start_date, end_date=end_date
)
# Use the Sentdex Sentiment trading strategy
sentiment_handler = SentdexSentimentHandler(
config.CSV_DATA_DIR, "sentdex_sample.csv",
events_queue, tickers=tickers,
start_date=start_date, end_date=end_date
)
base_quantity = 2000
sent_buy = 6
sent_sell = -1
strategy = SentdexSentimentStrategy(
tickers, events_queue,
sent_buy, sent_sell, base_quantity
)
strategy = Strategies(strategy, DisplayStrategy())
# Use the Naive Position Sizer
# where suggested quantities are followed
position_sizer = NaivePositionSizer()
# Use an example Risk Manager
risk_manager = ExampleRiskManager()
# Use the default Portfolio Handler
portfolio_handler = PortfolioHandler(
initial_equity, events_queue, price_handler,
position_sizer, risk_manager
)
# Use the ExampleCompliance component
compliance = ExampleCompliance(config)
# Use a simulated IB Execution Handler
execution_handler = IBSimulatedExecutionHandler(
events_queue, price_handler, compliance
)
# Use the Tearsheet Statistics
title = ["Sentiment Sentdex Strategy"]
statistics = TearsheetStatistics(
config, portfolio_handler, title,
benchmark="SPY"
)
# Set up the backtest
backtest = Backtest(
price_handler, strategy,
portfolio_handler, execution_handler,
position_sizer, risk_manager,
statistics, initial_equity,
sentiment_handler=sentiment_handler
)
results = backtest.simulate_trading(testing=testing)
statistics.save(filename)
return results
initial_cash=5e7,
initial_position=0.4,
cac_stat=True,
daily_start_time='09:30:00',
deal_volume_time=None, # None 表示不平仓
keep_order_time=10,
bid_price_type='spread',
ask_price_type='spread',
bid_volume_type='multiple',
ask_volume_type='multiple',
spread_level=0.01,
min_bid_unit=0.001,
min_ask_unit=0.001,
volume_bid=[50000, 60000, 1500000],
volume_ask=[50000, 60000, 80000])
test.run()
stat = test.broker.get_market_making_statistic()
# Performance Output
tearsheet = TearsheetStatistics(
strategy_equity=test.get_equity_curve(),
# benchmark_equity = benchmark_equity_df,
title='',
periods=test.get_period()
# market_making_stat = stat['result']
)
tearsheet.plot_results()
print('做市义务：')
print(stat['result'])
def run(config, testing, tickers, csv_filepath, pklfile, start_date, end_date,
lags, title, folder_name, model, return_win, percent_factor, salida):
# Set up variables needed for backtest
# title = [
# "Intraday AREX Machine Learning Prediction Strategy"
# ]
events_queue = queue.Queue()
csv_dir = csv_filepath
initial_equity = 30000.0
# Use DTN IQFeed Intraday Bar Price Handler
# start_date = datetime.datetime(2016, 1, 1)
# end_date = datetime.datetime(2014, 3, 11)
# start_date = datetime.datetime(2013, 1, 1)
# end_date = datetime.datetime(2014, 3, 11)
price_handler = IQFeedIntradayCsvBarPriceHandler(csv_dir, events_queue,
tickers, start_date,
end_date)
# Use the ML Intraday Prediction Strategy
model_pickle_file = pklfile
strategy = IntradayMachineLearningPredictionStrategy(
tickers, events_queue, model_pickle_file, lags, model, return_win,
percent_factor, salida)
# Use the Naive Position Sizer where
# suggested quantities are followed
position_sizer = NaivePositionSizer()
# Use an example Risk Manager
risk_manager = ExampleRiskManager()
# Use the default Portfolio Handler
portfolio_handler = PortfolioHandler(PriceParser.parse(initial_equity),
events_queue, price_handler,
position_sizer, risk_manager)
# Use the Tearsheet Statistics
statistics = TearsheetStatistics(
config,
portfolio_handler,
title=title,
periods=int(252 * 6.5 * 60) # Minutely periods
)
# Set up the backtest
compliance = LiveCompliance(config, tickers)
execution_handler = IBSimulatedExecutionHandler(
events_queue=events_queue,
price_handler=price_handler,
compliance=compliance)
backtest = TradingSession(config,
strategy,
tickers,
initial_equity,
start_date,
end_date,
events_queue,
title=title,
portfolio_handler=portfolio_handler,
compliance=compliance,
position_sizer=position_sizer,
execution_handler=execution_handler,
price_handler=price_handler,
statistics=statistics)
results = backtest.start_trading(testing=testing, folder_name=folder_name)
return results
def run(config, testing, tickers, filename):
# Set up variables needed for backtest
events_queue = queue.Queue()
csv_dir = config.CSV_DATA_DIR
initial_equity = PriceParser.parse(500000.00)
start_date = datetime.datetime(2006, 11, 1)
end_date = datetime.datetime(2016, 10, 12)
# Use Yahoo Daily Price Handler
price_handler = YahooDailyCsvBarPriceHandler(
csv_dir, events_queue, tickers,
start_date=start_date, end_date=end_date
)
# Use the monthly liquidate and rebalance strategy
strategy = MonthlyLiquidateRebalanceStrategy(tickers, events_queue)
strategy = Strategies(strategy, DisplayStrategy())
# Use the liquidate and rebalance position sizer
# with prespecified ticker weights
ticker_weights = {
"SPY": 0.6,
"AGG": 0.4,
}
position_sizer = LiquidateRebalancePositionSizer(ticker_weights)
# Use an example Risk Manager
risk_manager = ExampleRiskManager()
# Use the default Portfolio Handler
portfolio_handler = PortfolioHandler(
initial_equity, events_queue, price_handler,
position_sizer, risk_manager
)
# Use the ExampleCompliance component
compliance = ExampleCompliance(config)
# Use a simulated IB Execution Handler
execution_handler = IBSimulatedExecutionHandler(
events_queue, price_handler, compliance
)
# Use the default Statistics
title = ["US Equities/Bonds 60/40 ETF Strategy"]
benchmark = "SPY"
statistics = TearsheetStatistics(
config, portfolio_handler, title, benchmark
)
# Set up the backtest
backtest = Backtest(
price_handler, strategy,
portfolio_handler, execution_handler,
position_sizer, risk_manager,
statistics, initial_equity
)
results = backtest.simulate_trading(testing=testing)
statistics.save(filename)
return results
def cli(start_date, end_date, allocations, strat_title, strat_id, tearsheet):
csv_dir = os.environ.get('QSTRADER_CSV_DATA_DIR', '.')
start_dt = pd.Timestamp('%s 00:00:00' % start_date, tz=pytz.UTC)
if end_date is None:
# Use yesterday's date
yesterday = (datetime.now() - timedelta(1)).strftime('%Y-%m-%d')
end_dt = pd.Timestamp('%s 23:59:00' % yesterday, tz=pytz.UTC)
else:
end_dt = pd.Timestamp('%s 23:59:00' % end_date, tz=pytz.UTC)
alloc_dict = obtain_allocations(allocations)
# Assets and Data Handling
strategy_assets = list(alloc_dict.keys())
strategy_symbols = [
symbol.replace('EQ:', '') for symbol in strategy_assets
]
strategy_universe = StaticUniverse(strategy_assets)
strategy_data_source = CSVDailyBarDataSource(csv_dir,
Equity,
csv_symbols=strategy_symbols)
strategy_data_handler = BacktestDataHandler(
strategy_universe, data_sources=[strategy_data_source])
strategy_assets = alloc_dict.keys()
strategy_alpha_model = FixedSignalsAlphaModel(alloc_dict)
strategy_backtest = BacktestTradingSession(
start_dt,
end_dt,
strategy_universe,
strategy_alpha_model,
rebalance='end_of_month',
account_name=strat_title,
portfolio_id='STATIC001',
portfolio_name=strat_title,
long_only=True,
cash_buffer_percentage=0.01,
data_handler=strategy_data_handler)
strategy_backtest.run()
# Benchmark: 60/40 US Equities/Bonds
benchmark_symbols = ['SPY', 'AGG']
benchmark_assets = ['EQ:SPY', 'EQ:AGG']
benchmark_universe = StaticUniverse(benchmark_assets)
benchmark_data_source = CSVDailyBarDataSource(
csv_dir, Equity, csv_symbols=benchmark_symbols)
benchmark_data_handler = BacktestDataHandler(
benchmark_universe, data_sources=[benchmark_data_source])
benchmark_signal_weights = {'EQ:SPY': 0.6, 'EQ:AGG': 0.4}
benchmark_title = '60/40 US Equities/Bonds'
benchmark_alpha_model = FixedSignalsAlphaModel(benchmark_signal_weights)
benchmark_backtest = BacktestTradingSession(
start_dt,
end_dt,
benchmark_universe,
benchmark_alpha_model,
rebalance='end_of_month',
account_name='60/40 US Equities/Bonds',
portfolio_id='6040EQBD',
portfolio_name=benchmark_title,
long_only=True,
cash_buffer_percentage=0.01,
data_handler=benchmark_data_handler)
benchmark_backtest.run()
output_filename = ('%s_monthly.json' % strat_id).replace('-', '_')
stats = JSONStatistics(
equity_curve=strategy_backtest.get_equity_curve(),
target_allocations=strategy_backtest.get_target_allocations(),
strategy_id=strat_id,
strategy_name=strat_title,
benchmark_curve=benchmark_backtest.get_equity_curve(),
benchmark_id='6040-us-equitiesbonds',
benchmark_name=benchmark_title,
output_filename=output_filename)
stats.to_file()
if tearsheet:
tearsheet = TearsheetStatistics(
strategy_equity=strategy_backtest.get_equity_curve(),
benchmark_equity=benchmark_backtest.get_equity_curve(),
title=strat_title)
tearsheet.plot_results()
# Construct benchmark assets (buy & hold SPY)
benchmark_symbols = ['SPY']
benchmark_assets = ['EQ:SPY']
benchmark_universe = StaticUniverse(benchmark_assets)
benchmark_data_source = CSVDailyBarDataSource(
csv_dir, Equity, csv_symbols=benchmark_symbols)
benchmark_data_handler = BacktestDataHandler(
benchmark_universe, data_sources=[benchmark_data_source])
# Construct a benchmark Alpha Model that provides
# 100% static allocation to the SPY ETF, with no rebalance
benchmark_alpha_model = FixedSignalsAlphaModel({'EQ:SPY': 1.0})
benchmark_backtest = BacktestTradingSession(
start_dt,
end_dt,
benchmark_universe,
benchmark_alpha_model,
rebalance='buy_and_hold',
long_only=True,
cash_buffer_percentage=0.01,
data_handler=benchmark_data_handler)
benchmark_backtest.run()
# Performance Output
tearsheet = TearsheetStatistics(
strategy_equity=strategy_backtest.get_equity_curve(),
benchmark_equity=benchmark_backtest.get_equity_curve(),
title='Long/Short Leveraged Treasury Bond ETFs')
tearsheet.plot_results()
cash_buffer_percentage=0.01,
data_handler=data_handler
)
strategy_backtest.run()
# Construct benchmark assets (buy & hold SPY)
benchmark_assets = ['EQ:SPY']
benchmark_universe = StaticUniverse(benchmark_assets)
# Construct a benchmark Alpha Model that provides
# 100% static allocation to the SPY ETF, with no rebalance
benchmark_alpha_model = FixedSignalsAlphaModel({'EQ:SPY': 1.0})
benchmark_backtest = BacktestTradingSession(
start_dt,
end_dt,
benchmark_universe,
benchmark_alpha_model,
rebalance='buy_and_hold',
cash_buffer_percentage=0.01,
data_handler=data_handler
)
benchmark_backtest.run()
# Performance Output
tearsheet = TearsheetStatistics(
strategy_equity=strategy_backtest.get_equity_curve(),
benchmark_equity=benchmark_backtest.get_equity_curve(),
title='60/40 US Equities/Bonds'
)
tearsheet.plot_results()
def run(config, testing, tickers, cliente, strat_set):
events_queue = queue.Queue()
initial_equity = 30000.0
end_session_time = datetime(2018, 2, 23, 16, 1, 00)
if end_session_time < datetime.now():
print("########################################")
print(" Yoe, Increase \"end_section time\" please")
print("########################################")
exit()
start_date = None
end_date = None
#
# Defining up to 3 contracts in case Mean Reversing Strategies were used in the future
#
contract_1 = Contract()
contract_1.symbol = tickers[0]
contract_1.secType = "STK"
contract_1.currency = "USD"
contract_1.exchange = "SMART"
contract_1.primaryExchange = "ISLAND"
contract_2 = Contract()
if len(tickers) > 1:
contract_2.symbol = tickers[1]
contract_2.secType = "STK"
contract_2.currency = "USD"
contract_2.exchange = "SMART"
contract_2.primaryExchange = "ISLAND"
contract_3 = Contract()
if len(tickers) > 2:
contract_3.symbol = tickers[2]
contract_3.secType = "STK"
contract_3.currency = "USD"
contract_3.exchange = "SMART"
contract_3.primaryExchange = "ISLAND"
contract = [contract_1, contract_2, contract_3]
#
# Defining the Conection to TWS ######################################################
#
current_directory = os.getcwd()
app = conexion(tickers=tickers,
port=7497,
cliente=cliente,
currentDir=current_directory) # devuelto en: currentTime
#
# Checking open positions on the market ############################################
#
app.reqAccountUpdates(True, "DU931045")
tiempo = datetime.now()
continua = False
while not continua:
open_position = app.open_position
if open_position[0] != None or datetime.now() > tiempo + timedelta(
seconds=3):
continua = True
time.sleep(0.5)
if open_position[0] == tickers[0]:
print(" *******************************************************")
print("")
print(" There is an open possition for %s, please check in the " %
tickers[0])
print(" market whether it is convenient to proced automatically")
print("")
print(" *******************************************************")
app.reqAccountUpdates(False, "DU931045")
#
# Requesting real time data from the Market ##########################################
#
reqId = [None for i in range(len(tickers))]
for i in range(len(tickers)):
reqId[i] = app.nuevoId()
app.reqMarketDataType(1)
app.reqMktData(reqId[i],
contract[i],
genericTickList='',
snapshot=False,
regulatorySnapshot=False,
mktDataOptions=[])
print("request Id: ", reqId[i])
#
# Defining modules ###################################################################
#
price_handler = IBAPI_yoe(events_queue,
init_tickers=tickers,
app=app,
reqId=reqId)
# start_date = datetime.datetime(2015, 1, 1)
# end_date = datetime.datetime(2016, 9, 30)
# price_handler = IQFeedIntradayCsvBarPriceHandler(
# csv_dir, events_queue, tickers, start_date=start_date
# )
contract_dict = {
contract_1.symbol: contract_1,
contract_2.symbol: contract_2,
contract_3.symbol: contract_3
}
LiveCompl = LiveCompliance(config, tickers)
# Use the ML Intraday Prediction Strategy
model_pickle_file = current_directory + "/" + tickers[0] + "_Full_time.pkl"
strategy = IntradayMachineLearningPredictionStrategy(
tickers, events_queue, model_pickle_file, strat_set, open_position)
execution_handler = IB_execution_yoe(events_queue,
price_handler,
compliance=LiveCompl,
app=app,
contract_dict=contract_dict,
currentDir=current_directory,
Id=reqId,
strategy=strategy)
# Use the Naive Position Sizer where
# suggested quantities are followed
position_sizer = NaivePositionSizer()
# Use an example Risk Manager
risk_manager = ExampleRiskManager()
# Use the default Portfolio Handler
portfolio_handler = PortfolioHandler(PriceParser.parse(initial_equity),
events_queue, price_handler,
position_sizer, risk_manager)
title = [tickers[0] + "Machine Learning_Long_lags3"]
# Use the Tearsheet Statistics
statistics = TearsheetStatistics(
config,
portfolio_handler,
title=title,
periods=int(252 * 6.5 * 60) # Minutely periods
)
# Set up the backtest
backtest = TradingSession(config,
strategy,
tickers,
initial_equity,
start_date,
end_date,
events_queue,
session_type="live",
end_session_time=end_session_time,
price_handler=price_handler,
portfolio_handler=portfolio_handler,
compliance=None,
position_sizer=position_sizer,
execution_handler=execution_handler,
risk_manager=None,
statistics=statistics,
sentiment_handler=None,
title=None,
benchmark=None)
results = backtest.start_trading(testing=testing)
return results
for i in range(len(tickers)):
app.cancelMktData(i)
app.disconnect()
app.f.close()