def __init__(self,
startingBalance: float,
data: list,
strategies: list,
strategyInterval: Union[str, None] = None,
symbol: str = None,
marginEnabled: bool = True,
startDate: datetime = None,
endDate: datetime = None,
precision: int = 4,
outputTrades: bool = True):
super().__init__(symbol=symbol,
precision=precision,
startingBalance=startingBalance)
self.commissionsPaid = 0
self.marginEnabled = marginEnabled
self.outputTrades: bool = outputTrades # Boolean that'll determine whether trades are outputted to file or not.
convert_all_dates_to_datetime(data)
self.data = data
self.check_data()
self.interval = self.get_interval()
self.intervalMinutes = get_interval_minutes(self.interval)
self.profit = 0
self.startTime = None
self.endTime = None
self.inLongPosition = False
self.inShortPosition = False
self.currentPeriod = None
self.minPeriod = 0
self.pastActivity = [
] # We'll add previous data here when hovering through graph in GUI.
if len(strategyInterval.split()) == 1:
strategyInterval = convert_small_interval(strategyInterval)
self.strategyInterval = self.interval if strategyInterval is None else strategyInterval
self.strategyIntervalMinutes = get_interval_minutes(
self.strategyInterval)
self.intervalGapMinutes = self.strategyIntervalMinutes - self.intervalMinutes
self.intervalGapMultiplier = self.strategyIntervalMinutes // self.intervalMinutes
if self.intervalMinutes > self.strategyIntervalMinutes:
raise RuntimeError(
"Your strategy interval can't be smaller than the data interval."
)
self.ema_dict = {}
self.rsi_dictionary = {}
set_up_strategies(self, strategies)
self.startDateIndex = self.get_start_index(startDate)
self.endDateIndex = self.get_end_index(endDate)
def __init__(self,
startingBalance: float,
data: list,
strategies: list,
strategyInterval: Union[str, None] = None,
symbol: str = None,
marginEnabled: bool = True,
startDate: datetime = None,
endDate: datetime = None,
drawdownPercentage: int = 100,
precision: int = 4,
outputTrades: bool = True,
logger: Logger = None):
super().__init__(symbol=symbol,
precision=precision,
startingBalance=startingBalance,
marginEnabled=marginEnabled)
convert_all_dates_to_datetime(data)
self.data = data
self.check_data()
self.outputTrades: bool = outputTrades # Boolean that'll determine whether trades are outputted to file or not.
self.interval = self.get_interval()
self.intervalMinutes = get_interval_minutes(self.interval)
self.pastActivity = [
] # We'll add previous data here when hovering through graph in GUI.
self.drawdownPercentageDecimal = drawdownPercentage / 100 # Percentage of loss at which bot exits backtest.
self.optimizerRows = []
self.logger = logger
if len(strategyInterval.split()) == 1:
strategyInterval = convert_small_interval(strategyInterval)
self.allStrategies = get_strategies_dictionary(
Strategy.__subclasses__())
self.strategyInterval = self.interval if strategyInterval is None else strategyInterval
self.strategyIntervalMinutes = get_interval_minutes(
self.strategyInterval)
self.intervalGapMinutes = self.strategyIntervalMinutes - self.intervalMinutes
self.intervalGapMultiplier = self.strategyIntervalMinutes // self.intervalMinutes
if self.intervalMinutes > self.strategyIntervalMinutes:
raise RuntimeError(
f"Your strategy interval ({self.strategyIntervalMinutes} minute(s)) can't be smaller "
f"than the data interval ({self.intervalMinutes} minute(s)).")
self.ema_dict = {}
self.rsi_dictionary = {}
self.setup_strategies(strategies)
self.startDateIndex = self.get_start_index(startDate)
self.endDateIndex = self.get_end_index(endDate)
def load_interval_combo_boxes(config_obj):
"""
This function currently only handles combo boxes for backtester/optimizer interval logic. It'll update the
strategy interval combo-box depending on what the data interval combo-box has as its current value.
:param config_obj: Configuration QDialog object (from configuration.py)
"""
intervals = helpers.get_interval_strings(startingIndex=0)
config_obj.intervalComboBox.addItems(intervals)
config_obj.simulationIntervalComboBox.addItems(intervals)
config_obj.backtestStrategyIntervalCombobox.addItems(intervals)
config_obj.backtestIntervalComboBox.addItems(intervals)
config_obj.backtestIntervalComboBox.currentTextChanged.connect(lambda: reset_strategy_interval_comboBox(
strategy_combobox=config_obj.backtestStrategyIntervalCombobox,
interval_combobox=config_obj.backtestIntervalComboBox
))
config_obj.optimizerStrategyIntervalCombobox.addItems(intervals)
config_obj.optimizerIntervalComboBox.addItems(intervals)
config_obj.optimizerStrategyIntervalEndCombobox.addItems(intervals)
config_obj.optimizerIntervalComboBox.currentTextChanged.connect(lambda: reset_strategy_interval_comboBox(
strategy_combobox=config_obj.optimizerStrategyIntervalCombobox,
interval_combobox=config_obj.optimizerIntervalComboBox
))
config_obj.optimizerStrategyIntervalCombobox.currentTextChanged.connect(lambda: reset_strategy_interval_comboBox(
strategy_combobox=config_obj.optimizerStrategyIntervalEndCombobox,
interval_combobox=config_obj.optimizerStrategyIntervalCombobox,
start_index=config_obj.optimizerIntervalComboBox.currentIndex(),
divisor=helpers.get_interval_minutes(config_obj.optimizerIntervalComboBox.currentText())
))
def get_starting_timestamp(self, multiplier: int = 1) -> int:
current_timestamp = self.get_current_timestamp() * 1000
period_minutes = get_interval_minutes(self.long_interval)
period_microseconds = period_minutes * 60 * 1000 * (
self.periods + 1) # Using +1 for safety.
return int(current_timestamp - period_microseconds * multiplier)
def get_starting_timestamp(self, multiplier: int = 1) -> int:
"""
Get starting timestamp for the snooping.
:param multiplier: Multiplier to use for the starting timestamp. The bigger, the further back the timestamp.
:return: Starting timestamp in an integer format.
"""
current_timestamp = self.get_current_timestamp() * 1000
period_minutes = get_interval_minutes(self.long_interval)
period_microseconds = period_minutes * 60 * 1000 * (
self.periods + 1) # Using +1 for safety.
return int(current_timestamp - period_microseconds * multiplier)
def reset_strategy_interval_comboBox(strategy_combobox: QComboBox,
interval_combobox: QComboBox,
start_index: int = 0,
filter_intervals: bool = True,
divisor: int = None):
"""
This function will reset the strategy combobox based on what interval is picked in the interval combobox.
:param strategy_combobox: Combobox to modify based on the interval combobox.
:param interval_combobox: Interval combobox that will trigger this function.
:param start_index: Optional start index to start from when getting interval strings.
:param filter_intervals: Boolean on whether to filter tickers or not.
:param divisor: Divisor to use for filtering intervals. If none is provided, it will use data interval minutes.
"""
dataInterval = interval_combobox.currentText()
if not dataInterval:
return # Means text is empty, so just return.
dataIntervalMinutes = get_interval_minutes(dataInterval)
dataIndex = interval_combobox.currentIndex()
strategyInterval = strategy_combobox.currentText()
intervals = get_interval_strings(startingIndex=start_index + dataIndex)
if filter_intervals:
divisor = divisor if divisor is not None else dataIntervalMinutes
intervals = [
interval for interval in intervals
if get_interval_minutes(interval) % divisor == 0
]
strategy_combobox.clear()
strategy_combobox.addItems(intervals)
previousStrategyIntervalIndex = strategy_combobox.findText(
strategyInterval)
if previousStrategyIntervalIndex != -1:
strategy_combobox.setCurrentIndex(previousStrategyIntervalIndex)
def change_strategy_interval(self, interval: str):
"""
Changes strategy interval to the one provided.
:param interval: Interval to update strategy interval with.
"""
if len(interval.split()) == 1:
interval = convert_small_interval(interval)
self.strategyInterval = self.interval if interval is None else interval
self.strategyIntervalMinutes = get_interval_minutes(
self.strategyInterval)
self.intervalGapMinutes = self.strategyIntervalMinutes - self.intervalMinutes
self.intervalGapMultiplier = self.strategyIntervalMinutes // self.intervalMinutes
if self.intervalMinutes > self.strategyIntervalMinutes:
raise RuntimeError(
"Your strategy interval can't be smaller than the data interval."
)