def run(self): self.ts = pf.fetch_timeseries(self.symbol) self.ts = pf.select_tradeperiod(self.ts, self.start, self.end, use_adj=True) # Add technical indicator: 200 sma regime filter self.ts['regime'] = \ pf.CROSSOVER(self.ts, timeperiod_fast=1, timeperiod_slow=200) # Add technical indicator: instrument risk, i.e. annual std self.ts['vola'] = \ pf.VOLATILITY(self.ts, lookback=20, time_frame='yearly') # Add technical indicator: X day sma sma = SMA(self.ts, timeperiod=self.sma) self.ts['sma'] = sma # Add technical indicator: X day high, and X day low period_high = pd.Series(self.ts.close).rolling(self.period).max() period_low = pd.Series(self.ts.close).rolling(self.period).min() self.ts['period_high'] = period_high self.ts['period_low'] = period_low self.ts, self.start = pf.finalize_timeseries(self.ts, self.start) self.tlog = pf.TradeLog(self.symbol) self.dbal = pf.DailyBal() self._algo()
def run(self): # Fetch and select timeseries. self.ts = pf.fetch_timeseries(self.symbol, use_cache=self.options['use_cache']) self.ts = pf.select_tradeperiod(self.ts, self.start, self.end, use_adj=self.options['use_adj']) # Add technical indicator: 200 day sma regime filter. self.ts['regime'] = pf.CROSSOVER(self.ts, timeperiod_fast=1, timeperiod_slow=200) # Add technical indicators: X day high, and X day low. self.ts['period_high'] = pd.Series(self.ts.close).rolling( self.options['period']).max() self.ts['period_low'] = pd.Series(self.ts.close).rolling( self.options['period']).min() # Finalize timeseries. self.ts, self.start = pf.finalize_timeseries(self.ts, self.start) # Create tlog and dbal objects. self.tlog = pf.TradeLog(self.symbol) self.dbal = pf.DailyBal() # Run algo, get logs, and get stats. self._algo() self._get_logs() self._get_stats()
def run(self): self.ts = pf.fetch_timeseries(self.symbol, use_cache=self.options['use_cache']) self.ts = pf.select_tradeperiod(self.ts, self.start, self.end, self.options['use_adj']) # Add calendar columns self.ts = pf.calendar(self.ts) # Add momentum indicator for 3...18 months lookbacks = range(3, 18 + 1) for lookback in lookbacks: self.ts['mom' + str(lookback)] = pf.MOMENTUM(self.ts, lookback=lookback, time_frame='monthly', price='close', prevday=False) self.ts, self.start = pf.finalize_timeseries(self.ts, self.start) self.tlog = pf.TradeLog(self.symbol) self.dbal = pf.DailyBal() self._algo() self._get_logs() self._get_stats()
def run(self): self._ts = pf.fetch_timeseries(self._symbol) self._ts = pf.select_tradeperiod(self._ts, self._start, self._end, use_adj=True) # Add technical indicator: 200 day sma sma200 = SMA(self._ts, timeperiod=200) self._ts['sma200'] = sma200 # Add technical indicator: X day sma sma = SMA(self._ts, timeperiod=self._sma) self._ts['sma'] = sma # Add technical indicator: X day high, and X day low period_high = pd.Series(self._ts.close).rolling(self._period).max() period_low = pd.Series(self._ts.close).rolling(self._period).min() self._ts['period_high'] = period_high self._ts['period_low'] = period_low self._ts, self._start = pf.finalize_timeseries(self._ts, self._start) self._tlog = pf.TradeLog() self._dbal = pf.DailyBal() self._algo()
def run(self): self.ts = pf.fetch_timeseries(self.symbol) self.ts = pf.select_tradeperiod(self.ts, self.start, self.end, use_adj=self.use_adj) self.ts, _ = pf.finalize_timeseries(self.ts, self.start) self.tlog = pf.TradeLog(self.symbol) self.dbal = pf.DailyBal() self._algo()
def run(self): self._ts = pf.fetch_timeseries(self._symbol) self._ts = pf.select_tradeperiod(self._ts, self._start, self._end, use_adj=self._use_adj, pad=False) self._ts, _ = pf.finalize_timeseries(self._ts, self._start) self._tlog = pf.TradeLog() self._dbal = pf.DailyBal() self._algo()
def run(self): self._ts = pf.fetch_timeseries(self._symbol) self._ts = pf.select_tradeperiod(self._ts, self._start, self._end, self._use_adj) # Add technical indicator: day sma sma = SMA(self._ts, timeperiod=self._sma_period) self._ts['sma'] = sma self._ts, self._start = pf.finalize_timeseries(self._ts, self._start) self._tlog = pf.TradeLog() self._dbal = pf.DailyBal() self._algo()
def run(self): self.ts = pf.fetch_timeseries(self.symbol) self.ts = pf.select_tradeperiod(self.ts, self.start, self.end, self.use_adj) # Add technical indicator: day sma regime filter self.ts['regime'] = \ pf.CROSSOVER(self.ts, timeperiod_fast=1, timeperiod_slow=self.sma_period, band=self.percent_band) self.ts, self.start = pf.finalize_timeseries(self.ts, self.start) self.tlog = pf.TradeLog(self.symbol) self.dbal = pf.DailyBal() self._algo()
def run(self): self.ts = pf.fetch_timeseries(self.symbol) self.ts = pf.select_tradeperiod(self.ts, self.start, self.end) # add regime filter self.ts['regime'] = \ pf.CROSSOVER(self.ts, timeperiod_fast=self.timeperiod_fast, timeperiod_slow=self.timeperiod_slow, band=self.percent_band) self.ts, self.start = pf.finalize_timeseries(self.ts, self.start) self.tlog = pf.TradeLog(self.symbol) self.dbal = pf.DailyBal() self._algo()
def run(self): self.ts = pf.fetch_timeseries(self.symbol) self.ts = pf.select_tradeperiod(self.ts, self.start, self.end) # add regime filter self.ts['regime'] = \ pf.CROSSOVER(self.ts, timeperiod_fast=self.timeperiod_fast, timeperiod_slow=self.timeperiod_slow, band=self.percent_band) # Add technical indicator: volatility self.ts['vola'] = pf.VOLATILITY(self.ts) self.ts, self.start = pf.finalize_timeseries(self.ts, self.start) self.tlog = pf.TradeLog(self.symbol) self.dbal = pf.DailyBal() self._algo()
def run(self): # Fetch and selct timeseries self.ts = pf.fetch_timeseries(self.symbol, use_cache=self.options['use_cache']) self.ts = pf.select_tradeperiod(self.ts, self.start, self.end, self.options['use_adj']) # Add technical indicator: day sma regime filter. self.ts['regime'] = \ pf.CROSSOVER(self.ts, timeperiod_fast=50, timeperiod_slow=200) # Finalize timeseries self.ts, self.start = pf.finalize_timeseries(self.ts, self.start) self.tlog = pf.TradeLog(self.symbol) self.dbal = pf.DailyBal() self._algo() self._get_logs() self._get_stats()
def run(self): self._ts = pf.fetch_timeseries(self._symbol) self._ts = pf.select_tradeperiod(self._ts, self._start, self._end, self._use_adj) # Add technical indicator: day sma sma = SMA(self._ts, timeperiod=self._sma_period) self._ts['sma'] = sma # add S&P500 200 sma regime filter ts = pf.fetch_timeseries('^GSPC') ts = pf.select_tradeperiod(ts, self._start, self._end, False) self._ts['regime'] = \ pf.CROSSOVER(ts, timeperiod_fast=1, timeperiod_slow=200) self._ts, self._start = pf.finalize_timeseries(self._ts, self._start) self._tlog = pf.TradeLog() self._dbal = pf.DailyBal() self._algo()
def run(self): """ Run the backtest. Don't adjust the start day because that may cause it not to match the start date of the strategy you are benchmarking against. Instead, you should pass in the start date calculated for the strategy. """ self.ts = pf.fetch_timeseries(self.symbol) self.ts = pf.select_tradeperiod(self.ts, self.start, self.end, use_adj=self.use_adj) self.ts, _ = pf.finalize_timeseries(self.ts, self.start) self.tlog = pf.TradeLog(self.symbol) self.dbal = pf.DailyBal() self._algo() self._get_logs() self._get_stats()
def run(self): self.ts = pf.fetch_timeseries(self.symbol) self.ts = pf.select_tradeperiod(self.ts, self.start, self.end, use_adj=False) # Add technical indicator: 200 sma regime filter self.ts['regime'] = \ pf.CROSSOVER(self.ts, timeperiod_fast=1, timeperiod_slow=200) # Add technical indicator: X day high, and X day low period_high = pd.Series(self.ts.close).rolling(self.period).max() period_low = pd.Series(self.ts.close).rolling(self.period).min() self.ts['period_high'] = period_high self.ts['period_low'] = period_low self.ts, self.start = pf.finalize_timeseries(self.ts, self.start) self.tlog = pf.TradeLog(self.symbol) self.dbal = pf.DailyBal() self._algo()
def run(self): self.ts = pf.fetch_timeseries(self.symbol, use_cache=self.options['use_cache']) self.ts = pf.select_tradeperiod(self.ts, self.start, self.end, self.options['use_adj']) # Add technical indicator: day sma self.ts['sma'] = SMA(self.ts, timeperiod=self.options['sma_period']) # add S&P500 200 sma regime filter ts = pf.fetch_timeseries('^GSPC') ts = pf.select_tradeperiod(ts, self.start, self.end, use_adj=False) self.ts['regime'] = \ pf.CROSSOVER(ts, timeperiod_fast=1, timeperiod_slow=200) self.ts, self.start = pf.finalize_timeseries(self.ts, self.start) self.tlog = pf.TradeLog(self.symbol) self.dbal = pf.DailyBal() self._algo() self._get_logs() self._get_stats()
def finalize_timeseries(self, ts, start): """ finalize timeseries """ return pf.finalize_timeseries(ts, start)