wentao-sma.py

wentao-sma.py

import sys,os
import datetime
from pyalgotrade import bar
from pyalgotrade import strategy
from pyalgotrade import plotter
from pyalgotrade.technical import vwap,ma,cumret,cross
from pyalgotrade.barfeed import csvfeed
from pyalgotrade.bitstamp import broker
from pyalgotrade import broker as basebroker
from pyalgotrade.stratanalyzer import sharpe,drawdown,returns,trades
import run_info
from utils.logger import backtesting_logger as logger

class SMACrossStrategy(strategy.BacktestingStrategy):
    def __init__(self, feed, instrument, smaPeriod1, smaPeriod2, money):
        super(SMACrossStrategy, self).__init__(feed, money)
        self.__position = None
        self.__instrument = instrument
        self.__sma1 = ma.SMA(feed[instrument].getPriceDataSeries(), smaPeriod1)
        self.__sma2 = ma.SMA(feed[instrument].getPriceDataSeries(), smaPeriod2)

    def onEnterOk(self, position):
        execInfo = position.getEntryOrder().getExecutionInfo()
        self.info("BUY share %f at $%.2f" % (position.getEntryOrder().getQuantity(), execInfo.getPrice()))

    def onEnterCanceled(self, position):
        self.__position = None

    def onExitOk(self, position):
        execInfo = position.getExitOrder().getExecutionInfo()
        self.info("SELL share %f at $%.2f" % (position.getEntryOrder().getQuantity(), execInfo.getPrice()))
        self.__position = None

    def onExitCanceled(self, position):
        self.__position.exitMarket()

    def onBars(self, bars):
        bar = bars[self.__instrument]
        if self.__sma1[-1] is None or self.__sma2[-1] is None:
            return

        if self.__position is not None:
            if not self.__position.exitActive() and cross.cross_below(self.__sma1, self.__sma2) > 0:
                self.__position.exitMarket()

        if self.__position is None:
          if cross.cross_above(self.__sma1, self.__sma2) > 0 :
                shares = self.getBroker().getEquity() * 1.0 / bars[self.__instrument].getPrice()
                self.__position = self.enterLong(self.__instrument, shares, True)


if __name__ == "__main__":

    try:
      input_fn = sys.argv[1]
    except:
      input_fn = "./data/okcoinCNY.csv.resample.since201605.csv.output.csv.1min"
    
    print("input: %s" % input_fn)
    
    instrument = "BTC"
    initialCash = 100000

    barFeed = csvfeed.GenericBarFeed(bar.Frequency.MINUTE, maxLen = 2000000)
    barFeed.addBarsFromCSV(instrument, input_fn)

    strat = SMACrossStrategy(barFeed, instrument, 10, 30, initialCash)
    run_info.run_and_stat(strat, barFeed)