def _issue_trade_analysis_sheet(self):
"""
Create TradeAnalysisSheet and write all the Trades into an Excel file.
Issues a report with R multiply if initial risk is specified, otherwise returns of trades are expressed in %
"""
if self._monitor_settings.issue_trade_analysis_sheet:
trades_generator = TradesGenerator()
portfolio_eod_series = self.backtest_result.portfolio.portfolio_eod_series()
closed_positions = self.backtest_result.portfolio.closed_positions()
trades_list = trades_generator.create_trades_from_backtest_positions(closed_positions, portfolio_eod_series)
if len(trades_list) > 0:
contract_ticker_mapper = self.backtest_result.portfolio.contract_ticker_mapper
nr_of_assets_traded = len(
set(contract_ticker_mapper.contract_to_ticker(t.contract, False) for t in trades_list)
)
start_date = self.backtest_result.start_date if self.backtest_result.start_date is not None \
else portfolio_eod_series.index[0]
end_date = self.backtest_result.end_date if self.backtest_result.end_date is not None \
else datetime.now()
trades_analysis_sheet = TradeAnalysisSheet(self._settings, self._pdf_exporter,
nr_of_assets_traded=nr_of_assets_traded,
trades=trades_list,
start_date=start_date,
end_date=end_date,
initial_risk=self._signals_register.get_initial_risk(),
title="Trades analysis sheet")
trades_analysis_sheet.build_document()
trades_analysis_sheet.save(self._report_dir)
else:
self.logger.info("No trades generated throughout the backtest - "
"Trade analysis sheet will not be generated.")
def get_trade_rets_values(ts: BacktestTradingSession,
model: AlphaModel) -> List[float]:
model_tickers_dict = {model: [BloombergTicker('SVXY US Equity')]}
AlphaModelStrategy(ts, model_tickers_dict, use_stop_losses=True)
ts.use_data_preloading([BloombergTicker('SVXY US Equity')])
ts.start_trading()
trades_generator = TradesGenerator()
trades = trades_generator.create_trades_from_backtest_positions(
ts.portfolio.closed_positions())
returns_of_trades = [t.pnl for t in trades]
return returns_of_trades
class TestTrades(unittest.TestCase):
@classmethod
def setUpClass(cls):
cls.contract = Contract('AAPL US Equity',
security_type='STK',
exchange='SIM_EXCHANGE')
cls.start_time = str_to_date('2019-01-01')
cls.time = str_to_date('2020-01-01')
def setUp(self):
self.portfolio = Portfolio(Mock(), 100000, Mock(), Mock())
self.trades_generator = TradesGenerator()
def test_long_trade(self):
transactions = [
Transaction(self.start_time, self.contract, 5, 10.0, 3.0),
Transaction(self.time, self.contract, 5, 11.0, 4.0),
Transaction(self.time, self.contract, -1, 13.0, 5.0),
Transaction(self.time, self.contract, 1, 14.0, 5.0),
Transaction(self.time, self.contract, -4, 15.0, 2.0),
Transaction(self.time, self.contract, -6, 16.0, 1.0),
]
for t in transactions:
self.portfolio.transact_transaction(t)
# The position should be closed after executing all transactions
self.assertCountEqual(self.portfolio.open_positions_dict, {})
all_closed_positions_for_contract = [
p for p in self.portfolio.closed_positions()
if p.contract() == self.contract
]
self.assertEqual(len(all_closed_positions_for_contract), 1)
position = all_closed_positions_for_contract[
0] # type: BacktestPosition
trade_1 = self.trades_generator.create_trades_from_backtest_positions(
position)
trade_2 = self.trades_generator.create_trades_from_transactions(
transactions)[0]
commission = sum(t.commission for t in transactions)
self.assertEqual(trade_1, trade_2)
self.assertEqual(trade_1.commission, commission)
self.assertEqual(trade_1.pnl, 50.0 - commission)
self.assertEqual(trade_1.direction, 1.0)
self.assertEqual(trade_1.start_time, self.start_time)
self.assertEqual(trade_1.end_time, self.time)
def test_short_trade(self):
transactions = [
Transaction(self.start_time, self.contract, -5, 10.0, 3.0),
Transaction(self.time, self.contract, 1, 11.0, 4.0),
Transaction(self.time, self.contract, -9, 10.0, 5.0),
Transaction(self.time, self.contract, 4, 14.0, 5.0),
Transaction(self.time, self.contract, 8, 10.0, 2.0),
Transaction(self.time, self.contract, 1, 9.0, 1.0),
]
for t in transactions:
self.portfolio.transact_transaction(t)
# The position should be closed after executing all transactions
self.assertCountEqual(self.portfolio.open_positions_dict, {})
all_closed_positions_for_contract = [
p for p in self.portfolio.closed_positions()
if p.contract() == self.contract
]
self.assertEqual(len(all_closed_positions_for_contract), 1)
position = all_closed_positions_for_contract[0]
trade_1 = self.trades_generator.create_trades_from_backtest_positions(
position)
trade_2 = self.trades_generator.create_trades_from_transactions(
transactions)[0]
commission = sum(t.commission for t in transactions)
self.assertEqual(trade_1, trade_2)
self.assertEqual(trade_1.commission, commission)
self.assertEqual(trade_1.pnl, -16.0 - commission)
self.assertEqual(trade_1.direction, -1.0)
self.assertEqual(trade_1.start_time, self.start_time)
self.assertEqual(trade_1.end_time, self.time)