class StrategyTuner():
def __init__(self,
raw_data: pd.DataFrame,
strategy_creator,
fields_to_tune: tuple,
need_recompute_ti=False):
self.data = raw_data
self.strategy_creator = strategy_creator
self.fields_to_tune = fields_to_tune
self.need_recompute_ti = need_recompute_ti
self.strategy = None
self.backtest = None
self.report = None
self.timer = Timer()
self.initialize()
def initialize(self):
self.update_strategy_param()
self.initialize_backtest()
self.report = StrategyTunerReport(self.strategy, self.strategy_creator)
def initialize_backtest(self):
self.backtest = Backtest(self.data, [self.strategy])
self.backtest.initialize()
self.backtest.data_preprocess()
self.backtest.compute_technical_indicator()
def simulate(self, param_values: list):
self.update_strategy_param(param_values)
param_config = self.strategy_creator.__dict__
if self.report.param_already_exists(param_config):
logging.warn(
f'[StrategyTuner] Skipping this param because it is already simulated: {param_config}'
)
return
self.backtest.strategies = [self.strategy]
self.backtest.initialize()
if self.need_recompute_ti:
self.initialize_backtest()
self.backtest.back_test()
self.backtest.gen_report(only='general_report')
self.record_simulation()
def record_simulation(self):
self.report.write(backtest_result=dict(
self.backtest.report.general_report.df.iloc[0]),
param_config=self.strategy_creator.__dict__)
def update_strategy_param(self, param_values=None):
if not param_values:
for field in self.fields_to_tune:
self.strategy_creator.__dict__[field.name] = field.low_bound
else:
for i in range(len(self.fields_to_tune)):
field = self.fields_to_tune[i]
self.strategy_creator.__dict__[field.name] = field.values[
param_values[i]] # TO DO: param_values list
self.strategy = self.strategy_creator.create()
# recursion
def do_step(self, counters, lengths, level):
if level == len(counters):
self.simulate(param_values=counters)
msg = self.write_step_msg(counters)
self.timer.time(msg)
else:
counters[level] = 0
while True:
if counters[level] >= lengths[level]:
break
# do something
self.do_step(counters, lengths, level + 1)
counters[level] += 1
def write_step_msg(self, param_values: list):
d = dict()
for i in range(len(self.fields_to_tune)):
field = self.fields_to_tune[i]
d[field.name] = field.values[param_values[i]]
return str(d)
def run(self):
counters = [0] * len(self.fields_to_tune)
lengths = [len(field.values) for field in self.fields_to_tune]
self.do_step(counters, lengths, 0)
