print " *** BACKTEST *** "
#CONVERT DATA TO PICKLE
#backTest = Backtest("historical/EUR_USD_Week3.csv",backtestSettings,leverage,closeDictionary,backtestSettings['positions'])
#output = backTest.resample("1Min")
#exit()
#GROUP RESAMPLE TO PICKLE
#groupResample(2015, 1, 6, "1H", "EUR_USD")
#exit()
# READ PICKLE INTO DATAFRAME (prices)
#backtest = Backtest("historical/EUR_USD_Week3.csv_1Min-OHLC.pkl",backtestSettings,leverage,closeDictionary,backtestSettings['positions'])
backtest = Backtest("historical/EUR_USD_2015_1_through_12.pkl",
backtestSettings, leverage, backtestPositions)
#backtest = Backtest("historical/EUR_USD_2015_1_through_12.pkl",backtestSettings,leverage,closeDictionary,backtestSettings['positions'])
prices = backtest.readPickle()
# INSTANTIATE STRATEGY
strategy = Strategy(backtestPositions, priceQueue, backtestSettings,
strategySettings)
# LOOP THROUGH PRICES
i = 0 # for displaying trades in a scatterplot
for index, row in prices:
# SKIP ERRORS IN PICKLE
if np.isnan(row['Buy']) or np.isnan(row['Sell']):
continue
# 0.A: ADD CURRENT PRICE TO QUEUE
priceQueue = strategy.doQueue(
if backtestIndicator and not liveIndicator: # conduct backtest
print " *** BACKTEST *** "
#CONVERT DATA TO PICKLE
#backTest = Backtest("historical/EUR_USD_Week3.csv",backtestSettings,leverage,closeDictionary,backtestSettings['positions'])
#output = backTest.resample("1Min")
#exit()
#GROUP RESAMPLE TO PICKLE
#groupResample(2015, 1, 6, "1H", "EUR_USD")
#exit()
# READ PICKLE INTO DATAFRAME (prices)
#backtest = Backtest("historical/EUR_USD_Week3.csv_1Min-OHLC.pkl",backtestSettings,leverage,closeDictionary,backtestSettings['positions'])
backtest = Backtest("historical/EUR_USD_2015_1_through_12.pkl",backtestSettings,leverage,backtestPositions)
#backtest = Backtest("historical/EUR_USD_2015_1_through_12.pkl",backtestSettings,leverage,closeDictionary,backtestSettings['positions'])
prices = backtest.readPickle()
# INSTANTIATE STRATEGY
strategy = Strategy(backtestPositions, priceQueue, backtestSettings, strategySettings)
# LOOP THROUGH PRICES
i = 0 # for displaying trades in a scatterplot
for index, row in prices:
# SKIP ERRORS IN PICKLE
if np.isnan(row['Buy']) or np.isnan(row['Sell']):
continue
# 0.A: ADD CURRENT PRICE TO QUEUE
priceQueue = strategy.doQueue(priceQueue,strategySettings["queuePeriod"],row) # add current price to queue, along with stats
longQueue = strategy.doQueue(longQueue,strategySettings["longQueuePeriod"],row) # add current price to queue, along with stats
