def initialization(universe):
# general setting, required for all algo's
universe.algo_name='SMA_RSI2'
universe.start=datetime(2012,1,1)
universe.end =datetime.today()
#universe.symbols = ['AAPL','VOO','SPY','TQQQ','CVTI']
universe.symbols = ['AMZN']
universe.save_data='True'
universe.data_source='web'
universe.account.starting_cash=len(universe.symbols)*10000
# algo dependent setting
# load data
if universe.data_source=='web':
universe.data=load_eod(universe.symbols, universe.start, universe.end,
universe.save_data)
elif universe.data_source=='csv':
universe.data=load_csv(universe.symbols)
if 'TQQQ' in universe.symbols:
universe.data['TQQQ'][:datetime(2014,1,23)]/=2
# compute indicators
indicator={sym:DataFrame(index=universe.data[sym].index) for sym in universe.symbols}
for sym in universe.symbols:
close=universe.data[sym].Close.values
indicator[sym]['SMA10'] =ta.SMA(close, timeperiod=10)
indicator[sym]['SMA200']=ta.SMA(close, timeperiod=200)
indicator[sym]['EMA10'] =ta.EMA(close, timeperiod=10)
indicator[sym]['RSI2'] =ta.RSI(close, timeperiod=2)
indicator[sym]['MOM1'] =ta.MOM(close, timeperiod=1)
universe.indicator=indicator
return universe
def backtest(algo_name=universe.algo_name):
global universe
# import trading algorithm
algo=import_module(algo_name)
# initialize universe
universe=algo.initialization(universe)
universe.account.portfolio_value=universe.account.starting_cash
universe.account.cash=universe.account.starting_cash
# load data if it is not done in algo.initialization
if universe.data=={}:
if universe.data_source=='web':
universe.data=load_eod(universe.symbols, universe.start,
universe.end, universe.save_data)
elif universe.data_source=='csv':
universe.data=load_csv(universe.symbols)
# backtest trading
universe._complete_data=universe.data
date_index=universe.data[universe.symbols[0]].index
date_index=date_index[date_index>=universe.start]
date_index=date_index[date_index<=universe.end]
for dtitr in date_index:
universe.now=dtitr
# use up-to-today data
universe.data={sym:universe._complete_data[sym][:dtitr] \
for sym in universe.symbols}
# apply trade algo
record=algo.trading(universe)
# save recorded data
universe.record=universe.record.append(DataFrame(record),
ignore_index=True)
# update account values with current day close proce
today_data ={sym:universe._complete_data[sym][:dtitr][dtitr:] \
for sym in universe.symbols}
today_close={sym:today_data[sym].Close[0] \
for sym in universe.symbols\
if len(today_data[sym])>0}
universe.account.refresh_portfolio(dtitr,today_close)
# finalize trading
algo.finalize_trading(universe)
print '\nbacktest finished'
