test_strategy_optimized.py

#!/usr/bin/env python
# -*- coding: utf-8; py-indent-offset:4 -*-
###############################################################################
#
# Copyright (C) 2015, 2016 Daniel Rodriguez
#
# This program is free software: you can redistribute it and/or modify
# it under the terms of the GNU General Public License as published by
# the Free Software Foundation, either version 3 of the License, or
# (at your option) any later version.
#
# This program is distributed in the hope that it will be useful,
# but WITHOUT ANY WARRANTY; without even the implied warranty of
# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
# GNU General Public License for more details.
#
# You should have received a copy of the GNU General Public License
# along with this program.  If not, see <http://www.gnu.org/licenses/>.
#
###############################################################################
from __future__ import (absolute_import, division, print_function,
                        unicode_literals)

import itertools
import time


import testcommon

from backtrader.utils.py3 import range
import backtrader as bt
import backtrader.indicators as btind

CHKVALUES = [
    '14525.80', '14525.80', '15408.20', '15408.20', '14763.90',
    '14763.90', '14763.90', '14763.90', '14763.90', '14763.90',
    '14763.90', '14763.90', '14763.90', '14763.90', '13187.10',
    '13187.10', '13187.10', '13684.40', '13684.40', '13684.40',
    '13684.40', '13684.40', '13684.40', '13656.10', '13656.10',
    '13656.10', '13656.10', '12988.10', '12988.10', '12988.10',
    '12988.10', '12988.10', '12988.10', '12988.10', '12988.10',
    '12988.10', '12988.10', '12988.10', '12988.10', '12988.10'
]

CHKCASH = [
    '13525.80', '13525.80', '14408.20', '14408.20', '13763.90',
    '13763.90', '13763.90', '13763.90', '13763.90', '13763.90',
    '13763.90', '13763.90', '13763.90', '13763.90', '12187.10',
    '12187.10', '12187.10', '12684.40', '12684.40', '12684.40',
    '12684.40', '12684.40', '12684.40', '12656.10', '12656.10',
    '12656.10', '12656.10', '11988.10', '11988.10', '11988.10',
    '11988.10', '11988.10', '11988.10', '11988.10', '11988.10',
    '11988.10', '11988.10', '11988.10', '11988.10', '11988.10'
]

_chkvalues = []
_chkcash = []


class TestStrategy(bt.Strategy):
    params = (
        ('period', 15),
        ('printdata', True),
        ('printops', True),
    )

    def log(self, txt, dt=None):
        dt = dt or self.data.datetime[0]
        dt = bt.num2date(dt)
        print('%s, %s' % (dt.isoformat(), txt))

    def __init__(self):
        # Flag to allow new orders in the system or not
        self.orderid = None

        self.sma = btind.SMA(self.data, period=self.p.period)
        self.cross = btind.CrossOver(self.data.close, self.sma, plot=True)

    def start(self):
        self.broker.setcommission(commission=2.0, mult=10.0, margin=1000.0)
        self.tstart = time.clock()
        self.buy_create_idx = itertools.count()

    def stop(self):
        global _chkvalues
        global _chkcash

        tused = time.clock() - self.tstart
        if self.p.printdata:
            self.log(('Time used: %s  - Period % d - '
                      'Start value: %.2f - End value: %.2f') %
                     (str(tused), self.p.period,
                      self.broker.startingcash, self.broker.getvalue()))

        value = '%.2f' % self.broker.getvalue()
        _chkvalues.append(value)

        cash = '%.2f' % self.broker.getcash()
        _chkcash.append(cash)

    def next(self):
        # print('self.data.close.array:', self.data.close.array)
        if self.orderid:
            # if an order is active, no new orders are allowed
            return

        if not self.position.size:
            if self.cross > 0.0:
                self.orderid = self.buy()

        elif self.cross < 0.0:
            self.orderid = self.close()


chkdatas = 1


def test_run(main=False):
    global _chkvalues
    global _chkcash

    for runonce in [True, False]:
        for preload in [True, False]:
            for exbar in [True, False, -1, -2]:
                _chkvalues = list()
                _chkcash = list()

                datas = [testcommon.getdata(i) for i in range(chkdatas)]
                testcommon.runtest(datas,
                                   TestStrategy,
                                   runonce=runonce,
                                   preload=preload,
                                   exbar=exbar,
                                   optimize=True,
                                   period=range(5, 45),
                                   printdata=main,
                                   printops=main,
                                   plot=False)

                if not main:
                    assert CHKVALUES == _chkvalues
                    assert CHKCASH == _chkcash

                else:
                    print('*' * 50)
                    print(CHKVALUES == _chkvalues)
                    print('-' * 50)
                    print(CHKVALUES)
                    print('-' * 50)
                    print(_chkvalues)
                    print('*' * 50)
                    print(CHKCASH == _chkcash)
                    print('-' * 50)
                    print(CHKCASH)
                    print('-' * 50)
                    print(_chkcash)


if __name__ == '__main__':
    test_run(main=True)