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bktest_dtsplit_psar.py
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bktest_dtsplit_psar.py
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import sys
import json
import misc
import data_handler as dh
import pandas as pd
import numpy as np
import strategy as strat
import datetime
import backtest
from base import *
def dual_thrust_sim( mdf, config):
close_daily = config['close_daily']
marginrate = config['marginrate']
offset = config['offset']
k = config['param'][0]
win = config['param'][1]
multiplier = config['param'][2]
f = config['param'][3]
pos_update = config['pos_update']
pos_class = config['pos_class']
pos_args = config['pos_args']
proc_func = config['proc_func']
proc_args = config['proc_args']
start_equity = config['capital']
chan_func = config['chan_func']
chan_high = eval(chan_func['high']['func'])
chan_low = eval(chan_func['low']['func'])
tcost = config['trans_cost']
unit = config['unit']
SL = config['stoploss']
min_rng = config['min_range']
chan = config['chan']
use_chan = config['use_chan']
no_trade_set = config['no_trade_set']
ll = mdf.shape[0]
xdf = proc_func(mdf, **proc_args)
if win == -1:
tr= pd.concat([xdf.high - xdf.low, abs(xdf.close - xdf.close.shift(1))],
join='outer', axis=1).max(axis=1)
elif win == 0:
tr = pd.concat([(pd.rolling_max(xdf.high, 2) - pd.rolling_min(xdf.close, 2))*multiplier,
(pd.rolling_max(xdf.close, 2) - pd.rolling_min(xdf.low, 2))*multiplier,
xdf.high - xdf.close,
xdf.close - xdf.low],
join='outer', axis=1).max(axis=1)
else:
tr= pd.concat([pd.rolling_max(xdf.high, win) - pd.rolling_min(xdf.close, win),
pd.rolling_max(xdf.close, win) - pd.rolling_min(xdf.low, win)],
join='outer', axis=1).max(axis=1)
xdf['TR'] = tr
xdf['chan_h'] = chan_high(xdf['high'], chan, **chan_func['high']['args'])
xdf['chan_l'] = chan_low(xdf['low'], chan, **chan_func['low']['args'])
xdf['MA'] = pd.rolling_mean(xdf.close, chan)
xdata = pd.concat([xdf['TR'].shift(1), xdf['MA'].shift(1),
xdf['chan_h'].shift(1), xdf['chan_l'].shift(1),
xdf['open'], xdf['date_idx']], axis=1, keys=['TR','MA', 'chanH', 'chanL', 'dopen', 'date']).fillna(0)
mdf = mdf.join(xdata, how = 'left').fillna(method='ffill')
mdf['pos'] = pd.Series([0]*ll, index = mdf.index)
mdf['cost'] = pd.Series([0]*ll, index = mdf.index)
curr_pos = []
closed_trades = []
end_d = mdf.index[-1].date
#prev_d = start_d - datetime.timedelta(days=1)
tradeid = 0
xslice = BaseObject(open = 0, close = 0, high = 1000000, low = 0, pid = -1)
need_update = False
for dd in mdf.index:
mslice = mdf.ix[dd]
min_id = mslice.min_id
min_cnt = (min_id-300)/100 * 60 + min_id % 100 + 1
if len(curr_pos) == 0:
pos = 0
else:
pos = curr_pos[0].pos
mdf.ix[dd, 'pos'] = pos
if (mslice.TR == 0) or (mslice.MA == 0):
continue
d_open = mslice.dopen
rng = max(min_rng * d_open, k * mslice.TR)
if (d_open <= 0):
continue
buytrig = d_open + rng
selltrig = d_open - rng
if 'reset_margin' in pos_args:
pos_args['reset_margin'] = mslice.TR * SL
if mslice.MA > mslice.close:
buytrig += f * rng
elif mslice.MA < mslice.close:
selltrig -= f * rng
if (min_id >= config['exit_min']) and (close_daily or (mslice.date == end_d)):
if (pos != 0):
curr_pos[0].close(mslice.close - misc.sign(pos) * offset , dd)
tradeid += 1
curr_pos[0].exit_tradeid = tradeid
closed_trades.append(curr_pos[0])
curr_pos = []
mdf.ix[dd, 'cost'] -= abs(pos) * (offset + mslice.close*tcost)
pos = 0
elif min_id not in no_trade_set:
if (pos!=0):
exit_flag = False
if (curr_pos[0].check_exit( mslice.close, 0 )):
curr_pos[0].close(mslice.close-offset*misc.sign(pos), dd)
tradeid += 1
curr_pos[0].exit_tradeid = tradeid
closed_trades.append(curr_pos[0])
curr_pos = []
mdf.ix[dd, 'cost'] -= abs(pos) * (offset + mslice.close*tcost)
pos = 0
elif pos_update and need_update:
curr_pos[0].update_bar(xslice)
if (mslice.high >= buytrig) and (pos ==0 ):
if (use_chan == False) or (mslice.high > mslice.chanH):
new_pos = pos_class([mslice.contract], [1], unit, mslice.close + offset, selltrig, **pos_args)
#print mslice.close, mslice.TR, buytrig, selltrig
tradeid += 1
new_pos.entry_tradeid = tradeid
new_pos.open(mslice.close + offset, dd)
curr_pos.append(new_pos)
pos = unit
mdf.ix[dd, 'cost'] -= abs(pos) * (offset + mslice.close*tcost)
elif (mslice.low <= selltrig) and (pos ==0 ):
if (use_chan == False) or (mslice.low < mslice.chanL):
new_pos = pos_class([mslice.contract], [1], -unit, mslice.close - offset, buytrig, **pos_args)
#print mslice.close, mslice.TR, buytrig, selltrig
tradeid += 1
new_pos.entry_tradeid = tradeid
new_pos.open(mslice.close - offset, dd)
curr_pos.append(new_pos)
pos = -unit
mdf.ix[dd, 'cost'] -= abs(pos) * (offset + mslice.close*tcost)
mdf.ix[dd, 'pos'] = pos
if xslice.pid != min_cnt / config['pos_freq']:
if xslice.pid >= 0:
need_update = True
xslice.open = mslice.open
xslice.high = mslice.high
xslice.low = mslice.low
xslice.close = mslice.close
xslice.pid = mslice.min_id / config['pos_freq']
else:
xslice.high = max(xslice.high, mslice.high)
xslice.low = min(xslice.low, mslice.low)
xslice.close = mslice.close
(res_pnl, ts) = backtest.get_pnl_stats( mdf, start_equity, marginrate, 'm')
res_trade = backtest.get_trade_stats( closed_trades )
res = dict( res_pnl.items() + res_trade.items())
return (res, closed_trades, ts)
def gen_config_file(filename):
sim_config = {}
sim_config['sim_func'] = 'bktest_dtsplit_psar.dual_thrust_sim'
sim_config['scen_keys'] = ['param']
sim_config['sim_name'] = 'DTsplit'
sim_config['products'] = ['m', 'RM', 'y', 'p', 'a', 'rb', 'SR', 'TA', 'MA', 'i', 'ru', 'j', 'jm', 'ag', 'cu', 'au' ]
sim_config['start_date'] = '20141101'
sim_config['end_date'] = '20151118'
sim_config['param'] = [
(0.5, 0, 0.5, 0.0), (0.6, 0, 0.5, 0.0), (0.7, 0, 0.5, 0.0), (0.8, 0, 0.5, 0.0), \
(0.9, 0, 0.5, 0.0), (1.0, 0, 0.5, 0.0), (1.1, 0, 0.5, 0.0), \
(0.5, 1, 0.5, 0.0), (0.6, 1, 0.5, 0.0), (0.7, 1, 0.5, 0.0), (0.8, 1, 0.5, 0.0), \
(0.9, 1, 0.5, 0.0), (1.0, 1, 0.5, 0.0), (1.1, 1, 0.5, 0.0), \
(0.2, 2, 0.5, 0.0), (0.25,2, 0.5, 0.0), (0.3, 2, 0.5, 0.0), (0.35, 2, 0.5, 0.0),\
(0.4, 2, 0.5, 0.0), (0.45, 2, 0.5, 0.0),(0.5, 2, 0.5, 0.0), \
#(0.2, 4, 0.5, 0.0), (0.25, 4, 0.5, 0.0),(0.3, 4, 0.5, 0.0), (0.35, 4, 0.5, 0.0),\
#(0.4, 4, 0.5, 0.0), (0.45, 4, 0.5, 0.0),(0.5, 4, 0.5, 0.0),\
]
sim_config['pos_class'] = 'strat.ParSARTradePos'
sim_config['proc_func'] = 'dh.day_split'
sim_config['offset'] = 1
chan_func = {'high': {'func': 'pd.rolling_max', 'args':{}},
'low': {'func': 'pd.rolling_min', 'args':{}},
}
config = {'capital': 10000,
'chan': 10,
'use_chan': False,
'trans_cost': 0.0,
'close_daily': False,
'unit': 1,
'stoploss': 0.0,
'min_range': 0.003,
'proc_args': {'minlist':[1500]},
'pos_args': { 'af': 0.02, 'incr': 0.02, 'cap': 0.2},
'pos_update': True,
'chan_func': chan_func,
'pos_freq':60,
}
sim_config['config'] = config
with open(filename, 'w') as outfile:
json.dump(sim_config, outfile)
return sim_config
if __name__=="__main__":
args = sys.argv[1:]
if len(args) < 1:
print "need to input a file name for config file"
else:
gen_config_file(args[0])
pass