# -*-mode: python; py-indent-offset: 4; indent-tabs-mode: nil; encoding: utf-8-dos; coding: utf-8 -*-
"""
Give the Symbol Timeframe and Year to backtest
The Timeframe is the period in minutes: e.g. 1 60 240 1440
"""
from __future__ import print_function
import sys, os
import traceback
from PandasMt4 import oPreprocessOhlc
from Omlettes import Omlette
""" Set of data-loading helpers """
# http://nbviewer.ipython.org/github/ematvey/pybacktest/blob/master/examples/tutorial.ipynb
#? is this generic or specific to this chefModule?
#? IOOW does oPyBacktestCook belong here or PybacktestChef.py?
#? I think it belongs as a method to a class instance in PybacktestChef
# replace ChefModule with the instance and make cook a method in it.
# Thing is, I think dApplyRecipe is Chef dependent.
def oPyBacktestCook(dFeeds, oRecipe, oChefModule, oOm, oFd=sys.stdout):
"""
Returns an error message string on failure; a Cooker instance on success.
"""
#? Why is dFeeds unused?
from collections import OrderedDict
dDishes = oRecipe.dApplyRecipe()
rBuy = rCover = dDishes['rBuy']
rSell = rShort = dDishes['rSell']
if not len(rBuy[rBuy == True]):
sMsg = "WARN: NO Buy/Cover signals; quitting!"
sys.stderr.write(sMsg +'\n')
return sMsg
if not len(rSell[rSell == True]):
sMsg = "WARN: NO Short/Sell signals; quitting!"
sys.stderr.write(sMsg +'\n')
return sMsg
oFd.write('INFO: Buy/Cover signals: \n%s\n' % rBuy[rBuy == True])
oFd.write('INFO: Short/Sell signals: \n%s\n' % rSell[rSell == True])
mOhlc = oRecipe.dIngredients['mOhlc']
assert len(mOhlc) == len(rBuy) == len(rSell)
#? is this generic or specific to this chefModule?
#? IOOW does dMakeChefsParams belong in Omlette or PybacktestChef.py?
#? I think it belongs in Omlette and happens to work in PybacktestChef
dDataObj = oOm.dMakeChefsParams(buy=rBuy, sell=rSell, short=rShort, cover=rCover,
ohlc=mOhlc)
#? should we test the dDataObj in oChefModule for validity?
# *dataobj* should be dict-like structure containing signal series.
# *signal_fields* specifies names of signal Series that backtester will
# attempt to extract from dataobj.
# the keys of sSataObj must be in the list and order of signal_fields
dChefParams = OrderedDict(
# derive these from the series
signal_fields=('buy', 'sell', 'short', 'cover'),
open_label='O',
close_label='C',
)
oBt = oChefModule.ChefsOven(mOhlc, dDataObj, name=oOm.oRecipe.sName,
**dChefParams)
#? mOhlc
oOm.vAppendHdf('recipe/dishes/rBuy', rBuy)
oOm.vAppendHdf('recipe/dishes/rSell', rSell)
oOm.vAppendHdf('recipe/dishes/rShort', rShort)
oOm.vAppendHdf('recipe/dishes/rCover', rCover)
# FixMe:
dChefParams['sName'] = oOm.oChefModule.sChef
dChefParams['sUrl'] = 'file://' +oChefModule.__file__
oOm.vSetMetadataHdf('recipe/dishes', dChefParams)
return oBt
def vPlotEquityCurves(oBt, mOhlc, oChefModule,
sPeriod='W',
close_label='C',):
import matplotlib
import matplotlib.pylab as pylab
# FixMe:
matplotlib.rcParams['figure.figsize'] = (10, 5)
# FixMe: derive the period from the sTimeFrame
oChefModule.vPlotEquity(oBt.equity, mOhlc, sTitle="%s\nEquity" % repr(oBt),
sPeriod=sPeriod,
close_label=close_label,
)
pylab.show()
oBt.vPlotTrades()
pylab.legend(loc='lower left')
pylab.show()
## oBt.vPlotTrades(subset=slice(sYear+'-05-01', sYear+'-09-01'))
## pylab.legend(loc='lower left')
## pylab.show()
def oParseOptions(sUsage):
"""
usage: OTBackTest.py [-h] [-P] [-R SRECIPE] [-C SCHEF] [-O SOMELETTE]
[lArgs [lArgs ...]]
give the Symbol Timeframe and Year to backtest The Timeframe is the period in
minutes: e.g. 1 60 240 1440
positional arguments:
lArgs the Symbol Timeframe and Year to backtest (required)
optional arguments:
-h, --help show this help message and exit
-P, --plot_equity plot the equity curves of the servings
-R SRECIPE, --recipe SRECIPE
recipe to backtest
-C SCHEF, --chef SCHEF
recipe to backtest
-O SOMELETTE, --omelette SOMELETTE
store the recipe and servings in an hdf5 store
"""
from argparse import ArgumentParser
oArgParser = ArgumentParser(description=sUsage)
oArgParser.add_argument('-P', '--plot_equity',
dest='bPlotEquity', action='store_true', default=False,
help='plot the equity curves of the servings')
oArgParser.add_argument("-R", "--recipe", action="store",
dest="sRecipe", default="SMARecipe",
help="recipe to backtest")
oArgParser.add_argument("-C", "--chef", action="store",
dest="sChef",
default="PybacktestChef",
help="chef to cook")
oArgParser.add_argument("-O", "--omelette", action="store",
dest="sOmelette", default="",
help="store the recipe and servings in an hdf5 store")
oArgParser.add_argument('lArgs', action="store",
nargs="*",
help="the CsvFile Symbol Timeframe and Year to backtest")
return oArgParser
def oOmain(lArgv):
# FixMe: logging
oFd = sys.stdout
oArgParser = oParseOptions(__doc__.strip())
oOptions = oArgParser.parse_args(lArgv)
lArgs = oOptions.lArgs
assert len(lArgs) == 4, "Give the CsvFile Symbol Timeframe and Year as arguments"
#sDir = '/t/Program Files/HotForex MetaTrader/history/tools.fxdd.com'
# sCsvFile = os.path.join(sDir, sSymbol + sTimeFrame +'-' +sYear +'.csv')
sCsvFile = lArgs[0]
sSymbol = lArgs[1] # 'EURGBP'
sTimeFrame = lArgs[2] # '1440'
sYear = lArgs[3] # '2014'
# if not os.path.isfile(sCsvFile): vResampleFiles(sSymbol, sDir)
assert os.path.isfile(sCsvFile)
oOm = Omlette.Omlette(sHdfStore=oOptions.sOmelette, oFd=oFd)
oRecipe = oOm.oAddRecipe(oOptions.sRecipe)
oChefModule = oOm.oAddChef(oOptions.sChef)
dFeedParams = dict(sTimeFrame=sTimeFrame, sSymbol=sSymbol, sYear=sYear)
dFeed = oOm.dGetFeedFrame(sCsvFile, **dFeedParams)
mFeedOhlc = dFeed['mFeedOhlc']
mFeedOhlc = oPreprocessOhlc(mFeedOhlc)
oFd.write('INFO: Data Open length: %d\n' % len(mFeedOhlc))
# ugly - should be a list of different feed timeframes etc.
dFeeds = dict(mFeedOhlc=mFeedOhlc, dFeedParams=dFeedParams)
# dRecipeParams now comes from the recipe ini file: bUseTalib=oOptions.bUseTalib
dIngredientsParams = dict(dRecipeParams=dict())
oRecipe.dMakeIngredients(dFeeds)
assert oRecipe.dIngredients
oBt = oPyBacktestCook(dFeeds, oRecipe, oChefModule, oOm)
assert oBt is not None
if isinstance(oBt, basestring):
raise RuntimeError(oBt)
# this was the same as: oBt._mSignals = bt.mSignals() or oBt.signals
oBt._mSignals = oRecipe.mSignals(oBt)
oFd.write('INFO: bt.signals found: %d\n' % len(oBt.signals))
oOm.vAppendHdf('recipe/servings/mSignals', oBt.signals)
# this was the same as: oBt._mTrades = oBt.mTrades() or oBt.trades
oBt._mTrades = oRecipe.mTrades(oBt)
oFd.write('INFO: bt.trades found: %d\n' % len(oBt.trades))
oOm.vAppendHdf('recipe/servings/mTrades', oBt.trades)
# this was the same as: oBt._rPositions = oBt.rPositions() or oBt.positions
oBt._rPositions = oRecipe.rPositions(oBt, init_pos=0)
oFd.write('INFO: bt.positions found: %d\n' % len(oBt.positions))
oOm.vAppendHdf('recipe/servings/rPositions', oBt.positions)
# this was the same as: oBt._rEquity = oBt.rEquity() or oBt.equity
oBt._rEquity = oRecipe.rEquity(oBt)
oFd.write('INFO: bt.equity found: %d\n' % len(oBt.equity))
oOm.vAppendHdf('recipe/servings/rEquity', oBt.equity)
# oFd.write('INFO: bt.rTradePrice() found: %d\n' % len(oBt.rTradePrice()))
oFd.write('INFO: bt.trade_price found: %d\n' % len(oBt.trade_price))
oOm.vAppendHdf('recipe/servings/rTradePrice', oBt.trade_price)
oOm.vSetTitleHdf('recipe/servings', oOm.oChefModule.sChef)
#? Leave this as derived or store it? reviews?
oOm.vSetMetadataHdf('recipe/servings', oBt.dSummary())
oFd.write(oBt.sSummary())
oOm.vSetMetadataHdf('recipe', dict(oRecipe.oConfig))
if oOptions.bPlotEquity:
mOhlc = oRecipe.dIngredients['mOhlc']
vPlotEquityCurves(oBt, mOhlc, oOm.oChefModule)
return oOm
def iMain():
iRetval = 0
oOm = None
try:
oOm = oOmain(sys.argv[1:])
except KeyboardInterrupt:
pass
except Exception as e:
sys.stderr.write("ERROR: " +str(e) +"\n" + \
traceback.format_exc(10) +"\n")
sys.stderr.flush()
sys.exc_clear()
iRetval = 1
finally:
if oOm: oOm.vClose()
return iRetval
if __name__ == '__main__':
iMain()
