commit

Author: kloudtrader-github

back.py

@@ -6,7 +6,7 @@
 
 
 def ba(backtest,data):
-
+    '''
     data['high']=data.close.shift(1).rolling(window=5).max()
     data['low']=data.close.shift(1).rolling(window=5).min()
     data['avg']=analysis.ma(data.close,5)
@@ -18,9 +18,9 @@ def ba(backtest,data):
         backtest.buy(5)
     elif sell.tail(1).bool():
         backtest.sell(5)
-    else:
-        print('No trade')
-   
+
+    '''
+    pass
     #rets=analysis.daily_returns(data.close)
     #data['volatility']=analysis.moving_volatility(rets,1)
     #data['slip']=data.high-data.close
@@ -29,4 +29,4 @@ def ba(backtest,data):
 
 
 
-run_backtest(ba,['AAPL'],data="US_STOCKS_daily",start_date='2018-01-01',end_date='2019-01-01')
+run_backtest(ba,['AAPL'],data="US_STOCKS_ohlcv",start_date='2019-01-01',end_date='2019-07-01')

libkloudtrader/algorithm.py

@@ -12,6 +12,7 @@
 import libkloudtrader.backtest as bt
 import libkloudtrader.crypto as crypto
 import libkloudtrader.analysis as analysis
+from tqdm import tqdm
 
 
 
@@ -44,15 +45,17 @@ def run_backtest(strategy: str,
                                              start_date,
                                              end_date
                                              )
+            print(data_batch)
             batch = processing.Buffer(len(data_batch), dtype=object)
             backtest=bt.Backtest(capital=100000,commission=1,enable_slippage=True)
-            for index, bar in data_batch.iterrows():
+            for datetime, bar in data_batch.iterrows():
                 batch.append(bar)
-                backtest.update_bar(index,bar)
+                backtest.update_bar(datetime,bar)
                 data_batch = pd.DataFrame(batch)
 
                 locals()['strategy'](backtest,data_batch)
-            print(backtest.get_trade_log)
+            #print(pd.merge(data_batch,backtest.get_portfolio,on = index))
+            #print(data_batch)
 
         '''
         for symbol in symbol_bucket:

libkloudtrader/backtest.py

@@ -45,29 +45,29 @@ def __init__(self,capital:float,commission:float,enable_slippage:bool):
         self.commission=commission
         self.enable_slippage=enable_slippage
         self.slippage=0
-        self.trades_log=pd.DataFrame(columns=['datetime','trade type','price','fill price','order cost'])
+        self.trades_log=pd.DataFrame(columns=['datetime','trade_type','price','fill_price','order_cost','capital','position'])
 
 
     def buy(self,quantity):
         '''emulates a buy order'''
         self.capital-=self.order_cost
         self.update_positions(quantity)
-        self.update_trade_logs(datetime=self.bar.datetime,trade_type='Buy',price=self.bar.close,fill_price=self.fill_price,order_cost=self.order_cost)
-        print('Bought {} of stocks @ {} but price is {}'.format(quantity,self.order_cost,self.bar.close))
+        self.update_trade_logs(datetime=self.bar.datetime,trade_type='Buy',price=self.bar.close,fill_price=self.fill_price,order_cost=self.order_cost,capital=self.capital,position=self.position)
+        #print('Bought {} of stocks @ {} but price is {}'.format(quantity,self.order_cost,self.bar.close))
 
 
     def sell(self,quantity):
         '''emulates a sell order'''
-        if self.position!=0:
-            self.capital+=self.order_cost
-            self.update_positions(-1*quantity)
-            self.update_trade_logs(datetime=self.bar.datetime,trade_type='Sell',price=self.bar.close,fill_price=self.fill_price,order_cost=-1*self.order_cost)
-            print('Sold {} of stocks @ {} but price is {}'.format(quantity,self.order_cost,self.bar.close))
-        else:
-            print('No position to close')
-
-    def update_trade_logs(self,datetime,trade_type,price,fill_price,order_cost):
-        df=pd.DataFrame([{'datetime':datetime,'trade type':trade_type,'price':price,'fill price':fill_price,'order cost':order_cost}])
+        #if self.position!=0:
+        self.capital+=self.order_cost
+        self.update_positions(-1*quantity)
+        self.update_trade_logs(datetime=self.bar.datetime,trade_type='Sell',price=self.bar.close,fill_price=self.fill_price,order_cost=self.order_cost,capital=self.capital,position=self.position)
+        #print('Sold {} of stocks @ {} but price is {}'.format(quantity,self.order_cost,self.bar.close))
+        #else:
+            #pass#print('No position to close')
+
+    def update_trade_logs(self,datetime,trade_type,price,fill_price,order_cost,capital,position):
+        df=pd.DataFrame([{'datetime':datetime,'trade_type':trade_type,'price':price,'fill_price':fill_price,'order_cost':order_cost,'capital':capital,'position':position}])
         self.trades_log=self.trades_log.append(df)
 
 
@@ -120,3 +120,11 @@ def getbar(self):
     def getposition(self):
         return self.position
 
+    @property
+    def get_portfolio(self):
+        trade_log=self.get_trade_log
+        portfolio=pd.DataFrame(index=trade_log.index)
+        portfolio['holdings']=trade_log.position.multiply(trade_log.price)
+        portfolio['cash']=trade_log.capital
+        portfolio['total']=portfolio.cash+portfolio.holdings
+        return portfolio

libkloudtrader/enumerables.py

@@ -7,7 +7,8 @@
 
 class Data_Types(Enum):
     '''Data Types of backtesting and live trading'''
-    US_STOCKS_daily = partial(stocks.ohlcv)
+    US_STOCKS_ohlcv = partial(stocks.ohlcv)
     US_STOCKS_live_feed = partial(stocks.incoming_tick_data_handler)
     CRYPTO_live_feed = partial(crypto.incoming_tick_data_handler)
     CRYPTO_live_feed_level2 = partial(crypto.incoming_tick_data_handler_level2)
+

setup.py

@@ -17,6 +17,6 @@
         "numpy",
         "empyrical",
         "asyncio",
-        "ccxt @ git+https://github.com/kloudtrader/kloudtrader_ccxt#egg=ccxt"
+        "ccxt"
     ],
 )