示例#1
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def create_strategy(args):
    strategy = strategy_builder(args)
    return strategy
示例#2
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ticks = ES_ticks(datetime(2003, 8, 8))

signals_params = [
    ('short_tops', 3, 'HH', 'low', 5, 6), 
    ('long_tops', 2, 'LL', 'high', None, None), 
    ('short_tops', 2, 'HH', 'low', 5, 8), 
    ('long_tops', 4, 'LL', 'HH', None, None), 
    ('short_tops', 10, 'high', 'low', 2, 3), 
    ('long_tops', 2, 'HL', 'high', 4, 2), 
    ('short_tops', 5, 'high', 'HL', 7, 4), 
    ('long_tops', 10, 'HL', 'HH', 3, 8), 
    ('long_tops', 10, 'low', 'high', 6, 3), 
    ('long_tops', 4, 'low', 'high', 6, 8)
]

strategy = strategy_builder(signals_params)

def run_prof():
    t1 = time.time()
    for tick in ticks:
        t.ticks.append(tick)
        for signal in strategy:
            processed_signal = signal.check_entry(t)
    t2 = time.time()
    print "run_prof() took %s seconds to complete" % str(t2 - t1)
    return t

if __name__ == '__main__':
    t = run_prof()

示例#3
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 start = datetime(2004, 1, 1)
 end   = datetime(2007, 1, 1)
 
 ticks = None
 print "picking random weekday..."
 while not ticks:
     weekday = random_weekday(start, end)
     print "random weekday: %s" % str(weekday)
     ticks = ES_ticks(weekday)
     if not ticks: print "no ticks found for: %s, trying again..." % str(weekday)
 print "tick data loaded..."
 
 tt0 = time.time()
 for id, map in strategy_map.items():
     t = Ticker(increment=0.25, commission=0.1)
     strategy = strategy_builder(map['params'])
     t0 = time.time()
     simulation = SimulationRunner(t, ticks, strategy)
     orders = simulation.run()
     t1 = time.time()
     map['orders'] = orders
     map['simulation_time'] = t1 - t0
     print "tested strategy: %s" % id
 tt1 = time.time()
 print "running %s simulations took %s seconds" % (nr_of_strategies, 
                                                   repr(tt1 - tt0))
 
 reduced_map = {}
 for id, map in strategy_map.items():
     orders = map['orders']
     deltas = [details['delta'] for details in orders.values()