def main():
import coloredlogs
coloredlogs.install(level='DEBUG',
fmt='[%(asctime)s] %(levelname)s %(message)s')
# Load the yahoo feed from CSV files.
feed = yahoofeed.Feed()
feed.addBarsFromCSV("aeti", "./tests/data/aeti-2011-yahoofinance.csv")
feed.addBarsFromCSV("egan", "./tests/data/egan-2011-yahoofinance.csv")
feed.addBarsFromCSV("glng", "./tests/data/glng-2011-yahoofinance.csv")
feed.addBarsFromCSV("simo", "./tests/data/simo-2011-yahoofinance.csv")
# Evaluate the strategy with the feed's bars.
myStrategy = MyStrategy(feed)
# Attach returns and sharpe ratio analyzers.
retAnalyzer = returns.Returns()
myStrategy.attachAnalyzer(retAnalyzer)
sharpeRatioAnalyzer = sharpe.SharpeRatio()
myStrategy.attachAnalyzer(sharpeRatioAnalyzer)
# Run the strategy
myStrategy.run()
# Print the results.
print("Final portfolio value: $%.2f" % myStrategy.getResult())
print("Anual return: %.2f %%" %
(retAnalyzer.getCumulativeReturns()[-1] * 100))
print("Average daily return: %.2f %%" %
(stats.mean(retAnalyzer.getReturns()) * 100))
print("Std. dev. daily return: %.4f" %
(stats.stddev(retAnalyzer.getReturns())))
print("Sharpe ratio: %.2f" % (sharpeRatioAnalyzer.getSharpeRatio(0)))
def testBounded(self):
tmpFeed = TemporarySQLiteFeed(SQLiteFeedTestCase.dbName,
bar.Frequency.DAY,
maxLen=2)
with tmpFeed:
# Load bars using a Yahoo! feed.
yahooFeed = yahoofeed.Feed(maxLen=1)
yahooFeed.addBarsFromCSV(
"orcl",
common.get_data_file_path("orcl-2000-yahoofinance.csv"),
marketsession.USEquities.timezone)
yahooFeed.addBarsFromCSV(
"orcl",
common.get_data_file_path("orcl-2001-yahoofinance.csv"),
marketsession.USEquities.timezone)
# Fill the database using the bars from the Yahoo! feed.
sqliteFeed = tmpFeed.getFeed()
sqliteFeed.getDatabase().addBarsFromFeed(yahooFeed)
# Load the SQLite feed and process all bars.
sqliteFeed.loadBars("orcl")
for bars in sqliteFeed:
pass
barDS = sqliteFeed["orcl"]
self.assertEqual(len(barDS), 2)
self.assertEqual(len(barDS.getDateTimes()), 2)
self.assertEqual(len(barDS.getCloseDataSeries()), 2)
self.assertEqual(len(barDS.getCloseDataSeries().getDateTimes()), 2)
self.assertEqual(len(barDS.getOpenDataSeries()), 2)
self.assertEqual(len(barDS.getHighDataSeries()), 2)
self.assertEqual(len(barDS.getLowDataSeries()), 2)
self.assertEqual(len(barDS.getAdjCloseDataSeries()), 2)
def loadDailyBarFeed(self):
barFeed = yahoofeed.Feed()
barFeed.addBarsFromCSV(
StrategyTestCase.TestInstrument,
common.get_data_file_path("orcl-2000-yahoofinance.csv"))
return barFeed
def testCumulativeReturn(self):
initialCash = 33.06
barFeed = yahoofeed.Feed()
barFeed.addBarsFromCSV(
AnalyzerTestCase.TestInstrument,
common.get_data_file_path("orcl-2001-yahoofinance.csv"))
strat = position_test.MyTestStrategy(barFeed,
AnalyzerTestCase.TestInstrument,
initialCash)
strat.addPosEntry(datetime.datetime(2001, 1, 12), strat.enterLong,
AnalyzerTestCase.TestInstrument, 1) # 33.06
strat.addPosExitMarket(datetime.datetime(2001, 11, 27)) # 14.32
stratAnalyzer = returns.Returns(maxLen=10)
strat.attachAnalyzer(stratAnalyzer)
strat.run()
self.assertTrue(
round(strat.getBroker().getCash(), 2) == round(
initialCash + (14.32 - 33.06), 2))
self.assertTrue(
round(33.06 *
(1 + stratAnalyzer.getCumulativeReturns()[-1]), 2) == 14.32)
self.assertEqual(len(stratAnalyzer.getCumulativeReturns()), 10)
self.assertEqual(len(stratAnalyzer.getReturns()), 10)
def testFirstBar(self):
initialCash = 1000
barFeed = yahoofeed.Feed()
barFeed.addBarsFromCSV(
AnalyzerTestCase.TestInstrument,
common.get_data_file_path("orcl-2001-yahoofinance.csv"))
strat = strategy_test.MyTestStrategy(barFeed, initialCash)
strat.addOrder(datetime.datetime(2001, 1, 2),
strat.getBroker().createMarketOrder,
broker.Order.Action.BUY,
AnalyzerTestCase.TestInstrument, 1,
False) # 2001-01-03 Open: 25.25 Close: 32.00
stratAnalyzer = returns.Returns()
strat.attachAnalyzer(stratAnalyzer)
strat.run()
self.assertEqual(stratAnalyzer.getReturns()[0], 0)
self.assertEqual(stratAnalyzer.getReturns()[1], (32.00 - 25.25) / 1000)
# Check date times.
datetimes = barFeed[AnalyzerTestCase.TestInstrument].getDateTimes()
for i in [0, -1]:
self.assertEqual(stratAnalyzer.getReturns().getDateTimes()[i],
datetimes[i])
self.assertEqual(
stratAnalyzer.getCumulativeReturns().getDateTimes()[i],
datetimes[i])
def testResampledBarFeed(self):
barFeed = yahoofeed.Feed()
barFeed.addBarsFromCSV(
"spy", common.get_data_file_path("spy-2010-yahoofinance.csv"))
barFeed.addBarsFromCSV(
"nikkei",
common.get_data_file_path("nikkei-2010-yahoofinance.csv"))
resampledBarFeed = resampled_bf.ResampledBarFeed(
barFeed, bar.Frequency.MONTH)
disp = dispatcher.Dispatcher()
disp.addSubject(barFeed)
disp.addSubject(resampledBarFeed)
disp.run()
weeklySpyBarDS = resampledBarFeed["spy"]
weeklyNikkeiBarDS = resampledBarFeed["nikkei"]
# Check first bar
self.assertEqual(weeklySpyBarDS[0].getDateTime().date(),
datetime.date(2010, 1, 1))
self.assertEqual(weeklyNikkeiBarDS[0].getDateTime().date(),
datetime.date(2010, 1, 1))
# Check last bar
self.assertEqual(weeklySpyBarDS[-1].getDateTime().date(),
datetime.date(2010, 11, 1))
self.assertEqual(weeklyNikkeiBarDS[-1].getDateTime().date(),
datetime.date(2010, 11, 1))
def testOneBarReturn(self):
initialCash = 1000
barFeed = yahoofeed.Feed()
barFeed.setBarFilter(
csvfeed.DateRangeFilter(datetime.datetime(2001, 12, 7),
datetime.datetime(2001, 12, 7)))
barFeed.addBarsFromCSV(
AnalyzerTestCase.TestInstrument,
common.get_data_file_path("orcl-2001-yahoofinance.csv"))
strat = strategy_test.MyTestStrategy(barFeed, initialCash)
# 2001-12-07,15.74,15.95,15.55,15.91,42463200,15.56
# Manually place the orders to get them filled on the first (and only) bar.
order = strat.getBroker().createMarketOrder(
broker.Order.Action.BUY, AnalyzerTestCase.TestInstrument, 1,
False) # Open: 15.74
strat.getBroker().submitOrder(order)
order = strat.getBroker().createMarketOrder(
broker.Order.Action.SELL, AnalyzerTestCase.TestInstrument, 1,
True) # Close: 15.91
strat.getBroker().submitOrder(order)
stratAnalyzer = returns.Returns()
strat.attachAnalyzer(stratAnalyzer)
strat.run()
self.assertTrue(strat.getBroker().getCash() == initialCash +
(15.91 - 15.74))
finalValue = 1000 - 15.74 + 15.91
rets = (finalValue - initialCash) / float(initialCash)
self.assertEqual(stratAnalyzer.getReturns()[-1], rets)
def testDownloadAndParseDaily(self):
instrument = "orcl"
barFeed = yahoofeed.Feed()
barFeed.addBarsFromCSV(
instrument,
common.get_data_file_path("orcl-2000-yahoofinance.csv"))
strat = sma_crossover.SMACrossOver(barFeed, instrument, 20)
plt = plotter.StrategyPlotter(strat, True, True, True)
plt.getInstrumentSubplot(instrument).addDataSeries(
"sma", strat.getSMA())
strat.run()
with common.TmpDir() as tmpPath:
fig, subplots = plt.buildFigureAndSubplots()
self.assertIsNotNone(fig)
self.assertIsNotNone(subplots)
# fig = plt.buildFigure()
fig, _ = plt.buildFigureAndSubplots()
fig.set_size_inches(10, 8)
png = os.path.join(tmpPath, "plotter_test.png")
fig.savefig(png)
def testIGE_BrokerWithCommission(self):
commision = 0.5
initialCash = 42.09 + commision
# This testcase is based on an example from Ernie Chan's book:
# 'Quantitative Trading: How to Build Your Own Algorithmic Trading Business'
barFeed = yahoofeed.Feed()
barFeed.addBarsFromCSV("ige", common.get_data_file_path("sharpe-ratio-test-ige.csv"))
strat = strategy_test.MyTestStrategy(barFeed, initialCash)
strat.getBroker().setCommission(backtesting.FixedPerTrade(commision))
strat.setUseAdjustedValues(True)
strat.setBrokerOrdersGTC(True)
stratAnalyzer = sharpe.SharpeRatio()
strat.attachAnalyzer(stratAnalyzer)
# Disable volume checks to match book results.
strat.getBroker().getFillStrategy().setVolumeLimit(None)
# Manually place the order to get it filled on the first bar.
order = strat.getBroker().createMarketOrder(broker.Order.Action.BUY, "ige", 1, True) # Adj. Close: 42.09
order.setGoodTillCanceled(True)
strat.getBroker().submitOrder(order)
strat.addOrder(datetime.datetime(2007, 11, 13), strat.getBroker().createMarketOrder, broker.Order.Action.SELL, "ige", 1, True) # Adj. Close: 127.64
strat.run()
self.assertTrue(round(strat.getBroker().getCash(), 2) == initialCash + (127.64 - 42.09 - commision*2))
self.assertEqual(strat.orderUpdatedCalls, 6)
# The results are slightly different only because I'm taking into account the first bar as well,
# and I'm also adding commissions.
self.assertEqual(round(stratAnalyzer.getSharpeRatio(0.04, True), 6), 0.776443)
def __test(self, strategyClass, finalValue):
feed = yahoofeed.Feed()
feed.addBarsFromCSV("orcl", common.get_data_file_path("orcl-2001-yahoofinance.csv"))
myStrategy = strategyClass(feed, 10, 25)
myStrategy.run()
myStrategy.printDebug("Final result:", round(myStrategy.getFinalValue(), 2))
self.assertTrue(round(myStrategy.getFinalValue(), 2) == finalValue)
def testNoEvents(self):
feed = yahoofeed.Feed()
feed.addBarsFromCSV(
"orcl", common.get_data_file_path("orcl-2000-yahoofinance.csv"))
predicate = Predicate([])
eventProfiler = eventprofiler.Profiler(predicate, 5, 5)
eventProfiler.run(feed, True)
self.assertEqual(eventProfiler.getResults().getEventCount(), 0)
def testFailingStrategy(self):
barFeed = yahoofeed.Feed()
barFeed.addBarsFromCSV(
"orcl", common.get_data_file_path("orcl-2000-yahoofinance.csv"))
res = local.run(FailingStrategy,
barFeed,
parameters_generator("orcl", 5, 100),
logLevel=logging.DEBUG)
self.assertIsNone(res)
def testOneEvent(self):
feed = yahoofeed.Feed()
feed.addBarsFromCSV(
"orcl", common.get_data_file_path("orcl-2000-yahoofinance.csv"))
predicate = Predicate([datetime.date(2000, 1, 11)])
eventProfiler = eventprofiler.Profiler(predicate, 5, 5)
eventProfiler.run(feed, True)
self.assertEqual(eventProfiler.getResults().getEventCount(), 1)
self.assertEqual(eventProfiler.getResults().getValues(0)[0], 1.0)
self.assertEqual(round(eventProfiler.getResults().getValues(5)[0], 5),
round(1.016745541, 5))
def testNoTrades(self):
barFeed = yahoofeed.Feed()
barFeed.addBarsFromCSV("ige", common.get_data_file_path("sharpe-ratio-test-ige.csv"))
strat = strategy_test.MyTestStrategy(barFeed, 1000)
stratAnalyzer = sharpe.SharpeRatio()
strat.attachAnalyzer(stratAnalyzer)
strat.run()
self.assertTrue(strat.getBroker().getCash() == 1000)
self.assertTrue(stratAnalyzer.getSharpeRatio(0.04, True) == 0)
self.assertTrue(stratAnalyzer.getSharpeRatio(0) == 0)
self.assertTrue(stratAnalyzer.getSharpeRatio(0, True) == 0)
def testLocal(self):
barFeed = yahoofeed.Feed()
barFeed.addBarsFromCSV(
"orcl", common.get_data_file_path("orcl-2000-yahoofinance.csv"))
res = local.run(SMACrossOver,
barFeed,
parameters_generator("orcl", 5, 100),
logLevel=logging.DEBUG)
self.assertEqual(round(res.getResult(), 2), 1295462.6)
self.assertEqual(res.getParameters()[1], 20)
def main(plot):
instruments = ["orcl", ]
feed = yahoofeed.Feed()
feed.addBarsFromCSV(instruments[0], "./tests/data/orcl-2000.csv")
predicate = BuyOnGap(feed)
eventProfiler = eventprofiler.Profiler(predicate, 5, 5)
eventProfiler.run(feed, True)
results = eventProfiler.getResults()
print("%d events found" % (results.getEventCount()))
if plot:
eventprofiler.plot(results)
def main():
# Load the orders file.
ordersFile = OrdersFile("./tests/data/orders.csv")
print("First date", ordersFile.getFirstDate())
print("Last date", ordersFile.getLastDate())
print("Symbols", ordersFile.getInstruments())
# Load the data from QSTK storage. QS environment variable has to be defined.
if os.getenv("QS") is None:
raise Exception("QS environment variable not defined")
feed = yahoofeed.Feed()
feed.setBarFilter(
csvfeed.DateRangeFilter(ordersFile.getFirstDate(),
ordersFile.getLastDate()))
feed.setDailyBarTime(
datetime.time(0, 0, 0)
) # This is to match the dates loaded with the ones in the orders file.
for symbol in ordersFile.getInstruments():
feed.addBarsFromCSV(
symbol,
os.path.join(os.getenv("QS"), "QSData", "Yahoo", symbol + ".csv"))
# Run the strategy.
cash = 1000000
useAdjustedClose = True
myStrategy = MyStrategy(feed, cash, ordersFile, useAdjustedClose)
# Attach returns and sharpe ratio analyzers.
retAnalyzer = returns.Returns()
myStrategy.attachAnalyzer(retAnalyzer)
sharpeRatioAnalyzer = sharpe.SharpeRatio()
myStrategy.attachAnalyzer(sharpeRatioAnalyzer)
myStrategy.run()
# Print the results.
print("Final portfolio value: $%.2f" % myStrategy.getResult())
print("Anual return: %.2f %%" %
(retAnalyzer.getCumulativeReturns()[-1] * 100))
print("Average daily return: %.2f %%" %
(stats.mean(retAnalyzer.getReturns()) * 100))
print("Std. dev. daily return: %.4f" %
(stats.stddev(retAnalyzer.getReturns())))
print("Sharpe ratio: %.2f" % (sharpeRatioAnalyzer.getSharpeRatio(0)))
def testDifferentTimezones(self):
# Market times in UTC:
# - TSE: 0hs ~ 6hs
# - US: 14:30hs ~ 21hs
feed = yahoofeed.Feed()
for year in [2010, 2011]:
feed.addBarsFromCSV(
"^n225",
common.get_data_file_path("nikkei-%d-yahoofinance.csv" % year),
marketsession.TSE.getTimezone())
feed.addBarsFromCSV(
"spy",
common.get_data_file_path("spy-%d-yahoofinance.csv" % year),
marketsession.USEquities.getTimezone())
self.__testDifferentTimezonesImpl(feed)
def testNoTrades(self):
barFeed = yahoofeed.Feed()
barFeed.addBarsFromCSV(
"ige", common.get_data_file_path("sharpe-ratio-test-ige.csv"))
barFeed.addBarsFromCSV(
"spy", common.get_data_file_path("sharpe-ratio-test-spy.csv"))
strat = strategy_test.MyTestStrategy(barFeed, 1000)
strat.setBrokerOrdersGTC(True)
strat.setUseAdjustedValues(True)
stratAnalyzer = drawdown.DrawDown()
strat.attachAnalyzer(stratAnalyzer)
strat.run()
self.assertTrue(strat.getBroker().getCash() == 1000)
self.assertEqual(strat.orderUpdatedCalls, 0)
self.assertTrue(stratAnalyzer.getMaxDrawDown() == 0)
self.assertTrue(
stratAnalyzer.getLongestDrawDownDuration() == datetime.timedelta())
def testMultipleInstrumentsInterleaved(self):
barFeed = yahoofeed.Feed()
barFeed.addBarsFromCSV(
"spy", common.get_data_file_path("spy-2010-yahoofinance.csv"),
marketsession.NYSE.getTimezone())
barFeed.addBarsFromCSV(
"nikkei",
common.get_data_file_path("nikkei-2010-yahoofinance.csv"),
marketsession.TSE.getTimezone())
strat = strategy_test.MyTestStrategy(barFeed, 1000)
stratAnalyzer = returns.Returns()
strat.attachAnalyzer(stratAnalyzer)
strat.marketOrder("spy", 1)
strat.run()
# The cumulative return should be the same if we load nikkei or not.
self.assertEqual(round(stratAnalyzer.getCumulativeReturns()[-1], 5),
0.01338)
def testGoogle2011(self):
initialValue = 1000000
barFeed = yahoofeed.Feed()
barFeed.addBarsFromCSV(
AnalyzerTestCase.TestInstrument,
common.get_data_file_path("goog-2011-yahoofinance.csv"))
strat = strategy_test.MyTestStrategy(barFeed, initialValue)
order = strat.getBroker().createMarketOrder(
broker.Order.Action.BUY, AnalyzerTestCase.TestInstrument, 1654,
True) # 2011-01-03 close: 604.35
strat.getBroker().submitOrder(order)
stratAnalyzer = returns.Returns()
strat.attachAnalyzer(stratAnalyzer)
strat.run()
finalValue = strat.getBroker().getEquity()
self.assertEqual(
round(stratAnalyzer.getCumulativeReturns()[-1], 4),
round((finalValue - initialValue) / float(initialValue), 4))
def testBaseFeedInterface(self):
tmpFeed = TemporarySQLiteFeed(SQLiteFeedTestCase.dbName,
bar.Frequency.DAY)
with tmpFeed:
# Load bars using a Yahoo! feed.
yahooFeed = yahoofeed.Feed()
yahooFeed.addBarsFromCSV(
"orcl",
common.get_data_file_path("orcl-2000-yahoofinance.csv"),
marketsession.USEquities.timezone)
yahooFeed.addBarsFromCSV(
"orcl",
common.get_data_file_path("orcl-2001-yahoofinance.csv"),
marketsession.USEquities.timezone)
# Fill the database using the bars from the Yahoo! feed.
sqliteFeed = tmpFeed.getFeed()
sqliteFeed.getDatabase().addBarsFromFeed(yahooFeed)
# Load the SQLite feed and process all bars.
sqliteFeed.loadBars("orcl")
feed_test.tstBaseFeedInterface(self, sqliteFeed)
def testLoadDailyBars(self):
tmpFeed = TemporarySQLiteFeed(SQLiteFeedTestCase.dbName,
bar.Frequency.DAY)
with tmpFeed:
# Load bars using a Yahoo! feed.
yahooFeed = yahoofeed.Feed()
yahooFeed.addBarsFromCSV(
"orcl",
common.get_data_file_path("orcl-2000-yahoofinance.csv"),
marketsession.USEquities.timezone)
yahooFeed.addBarsFromCSV(
"orcl",
common.get_data_file_path("orcl-2001-yahoofinance.csv"),
marketsession.USEquities.timezone)
# Fill the database using the bars from the Yahoo! feed.
sqliteFeed = tmpFeed.getFeed()
sqliteFeed.getDatabase().addBarsFromFeed(yahooFeed)
# Load the SQLite feed and process all bars.
sqliteFeed.loadBars("orcl")
for bars in sqliteFeed:
pass
# Check that both dataseries have the same bars.
yahooDS = yahooFeed["orcl"]
sqliteDS = sqliteFeed["orcl"]
self.assertEqual(len(yahooDS), len(sqliteDS))
for i in range(len(yahooDS)):
self.assertEqual(yahooDS[i].getDateTime(),
sqliteDS[i].getDateTime())
self.assertEqual(yahooDS[i].getOpen(), sqliteDS[i].getOpen())
self.assertEqual(yahooDS[i].getHigh(), sqliteDS[i].getHigh())
self.assertEqual(yahooDS[i].getLow(), sqliteDS[i].getLow())
self.assertEqual(yahooDS[i].getClose(), sqliteDS[i].getClose())
self.assertEqual(yahooDS[i].getAdjClose(),
sqliteDS[i].getAdjClose())
def testEventsOnBoundary(self):
feed = yahoofeed.Feed()
feed.addBarsFromCSV(
"orcl", common.get_data_file_path("orcl-2000-yahoofinance.csv"))
dates = []
dates.append(datetime.date(2000, 1, 3))
dates.append(datetime.date(2000, 1, 4))
dates.append(datetime.date(2000, 1, 5))
dates.append(datetime.date(2000, 1, 6))
dates.append(datetime.date(2000, 1, 7))
dates.append(datetime.date(2000, 1, 10))
dates.append(datetime.date(2000, 12, 22))
dates.append(datetime.date(2000, 12, 26))
dates.append(datetime.date(2000, 12, 27))
dates.append(datetime.date(2000, 12, 28))
dates.append(datetime.date(2000, 12, 29))
predicate = Predicate(dates)
eventProfiler = eventprofiler.Profiler(predicate, 5, 5)
eventProfiler.run(feed, True)
self.assertEqual(eventProfiler.getResults().getEventCount(), 0)
def testTwoBarReturns_OpenClose(self):
initialCash = 15.61
barFeed = yahoofeed.Feed()
barFeed.setBarFilter(
csvfeed.DateRangeFilter(datetime.datetime(2001, 12, 6),
datetime.datetime(2001, 12, 7)))
barFeed.addBarsFromCSV(
AnalyzerTestCase.TestInstrument,
common.get_data_file_path("orcl-2001-yahoofinance.csv"))
strat = strategy_test.MyTestStrategy(barFeed, initialCash)
# 2001-12-06,15.61,16.03,15.50,15.90,66944900,15.55
# 2001-12-07,15.74,15.95,15.55,15.91,42463200,15.56
# Manually place the entry order, to get it filled on the first bar.
order = strat.getBroker().createMarketOrder(
broker.Order.Action.BUY, AnalyzerTestCase.TestInstrument, 1,
False) # Open: 15.61
strat.getBroker().submitOrder(order)
strat.addOrder(datetime.datetime(2001, 12, 6),
strat.getBroker().createMarketOrder,
broker.Order.Action.SELL,
AnalyzerTestCase.TestInstrument, 1,
True) # Close: 15.91
stratAnalyzer = returns.Returns()
strat.attachAnalyzer(stratAnalyzer)
strat.run()
self.assertTrue(strat.getBroker().getCash() == initialCash +
(15.91 - 15.61))
# First day returns: Open vs Close
self.assertTrue(stratAnalyzer.getReturns()[0] == (15.90 - 15.61) /
15.61)
# Second day returns: Close vs Prev. day's close
self.assertTrue(stratAnalyzer.getReturns()[1] == (15.91 - 15.90) /
15.90)
def __testIGE_BrokerImpl(self, quantity):
initialCash = 42.09 * quantity
# This testcase is based on an example from Ernie Chan's book:
# 'Quantitative Trading: How to Build Your Own Algorithmic Trading Business'
barFeed = yahoofeed.Feed()
barFeed.addBarsFromCSV(
"ige", common.get_data_file_path("sharpe-ratio-test-ige.csv"))
strat = strategy_test.MyTestStrategy(barFeed, initialCash)
strat.setUseAdjustedValues(True)
strat.setBrokerOrdersGTC(True)
stratAnalyzer = drawdown.DrawDown()
strat.attachAnalyzer(stratAnalyzer)
# Disable volume checks to match book results.
strat.getBroker().getFillStrategy().setVolumeLimit(None)
# Manually place the order to get it filled on the first bar.
order = strat.getBroker().createMarketOrder(broker.Order.Action.BUY,
"ige", quantity,
True) # Adj. Close: 42.09
order.setGoodTillCanceled(True)
strat.getBroker().submitOrder(order)
strat.addOrder(datetime.datetime(2007, 11, 13),
strat.getBroker().createMarketOrder,
broker.Order.Action.SELL, "ige", quantity,
True) # Adj. Close: 127.64
strat.run()
self.assertTrue(
round(strat.getBroker().getCash(), 2) == initialCash +
(127.64 - 42.09) * quantity)
self.assertEqual(strat.orderUpdatedCalls, 6)
self.assertTrue(round(stratAnalyzer.getMaxDrawDown(), 5) == 0.31178)
self.assertTrue(
stratAnalyzer.getLongestDrawDownDuration() == datetime.timedelta(
days=623))
def __getFeed(self):
# Load the feed and process all bars.
barFeed = yahoofeed.Feed()
barFeed.addBarsFromCSV(VWAPTestCase.Instrument, common.get_data_file_path("orcl-2001-yahoofinance.csv"))
return barFeed
# from . import sma_crossover
from mooquant.analyzer import drawdown, returns, sharpe, trades
from mooquant.barfeed import yahoofeed
from samples import sma_crossover
if __name__ == '__main__':
feed = yahoofeed.Feed()
feed.addBarsFromCSV("orcl", "./tests/data/orcl-2000.csv")
# Evaluate the strategy with the feed's bars.
myStrategy = sma_crossover.SMACrossOver(feed, "orcl", 20)
# Attach different analyzers to a strategy before executing it.
retAnalyzer = returns.Returns()
myStrategy.attachAnalyzer(retAnalyzer)
sharpeRatioAnalyzer = sharpe.SharpeRatio()
myStrategy.attachAnalyzer(sharpeRatioAnalyzer)
drawDownAnalyzer = drawdown.DrawDown()
myStrategy.attachAnalyzer(drawDownAnalyzer)
tradesAnalyzer = trades.Trades()
myStrategy.attachAnalyzer(tradesAnalyzer)
# Run the strategy.
myStrategy.run()
print("Final portfolio value: $%.2f" % myStrategy.getResult())
print("Cumulative returns: %.2f %%" %
(retAnalyzer.getCumulativeReturns()[-1] * 100))
print("Sharpe ratio: %.2f" % (sharpeRatioAnalyzer.getSharpeRatio(0.05)))
print("Max. drawdown: %.2f %%" % (drawDownAnalyzer.getMaxDrawDown() * 100))
