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Backtesting.py
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276 lines (229 loc) · 8.94 KB
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import matplotlib.pyplot as plt
def backtest_1day_hold(returns,predictions,verbose=0,show_market=0,label=None):
cum_ret = 1 # Al empezar hemos ganado 0
equity = list() # 0 a nuestro dinero
equity.append(cum_ret)
i=1
win=0
loss=0
for ret,pred in zip(returns,predictions):
if pred == 1:
# Go Long for the day
amount_at_close = 1.0 * (1.0+ret)
equity_change = amount_at_close - 1
cum_ret += equity_change
if ret>=0:
win+=1
else:
loss+=1
if(verbose):
print('Day ',i,'Going long : Amount betted: 1 Daily return:',ret,' End amount:',amount_at_close,'Equity change:',equity_change,'Equity:',cum_ret)
else:
# Go Short for the day
amount_at_close = 1.0 * (1.0+(-1.0*ret))
equity_change = amount_at_close - 1
cum_ret += equity_change
if ret<0:
win+=1
else:
loss+=1
if(verbose):
print('Day ',i,'Going Short : Amount betted: 1 Daily return:',ret,' End amount:',amount_at_close,'Equity change:',equity_change,'Equity:',cum_ret)
equity.append(cum_ret)
i+=1
if(show_market):
market_equity = []
market_equity.append(1)
for ret in returns:
market_equity.append(market_equity[-1]*(1+ret))
plt.plot(range(len(market_equity)),market_equity,label='S&P500')
plt.plot(range(i),equity,label=label)
print('Win rate: ({})'.format(label) ,win/i)
def backtest_1day_hold_train_test(train_returns,train_predictions,test_returns,test_predictions,verbose=0):
cum_ret = 0 # Al empezar hemos ganado 0
equity_train = list() # 0 a nuestro dinero
equity_train.append(cum_ret)
equity_test = list() # 0 a nuestro dinero
i=1
indices_train = []
indices_train.append(i)
indices_test = []
win=0
loss=0
for ret,pred in zip(train_returns,train_predictions):
if pred == 1:
# Go Long for the day
amount_at_close = 1.0 * (1.0+ret)
equity_change = amount_at_close - 1
cum_ret += equity_change
if ret>=0:
win+=1
else:
loss+=1
if(verbose):
print('Day ',i,'Going long : Amount betted: 1 Daily return:',ret,' End amount:',amount_at_close,'Equity change:',equity_change,'Equity:',cum_ret)
else:
# Go Short for the day
amount_at_close = 1.0 * (1.0+abs(ret))
equity_change = amount_at_close - 1
cum_ret += equity_change
if ret<0:
win+=1
else:
loss+=1
if(verbose):
print('Day ',i,'Going Short : Amount betted: 1 Daily return:',ret,' End amount:',amount_at_close,'Equity change:',equity_change,'Equity:',cum_ret)
equity_train.append(cum_ret)
i+=1
indices_train.append(i)
equity_test.append(equity_train[-1])
indices_test.append(i)
for ret,pred in zip(test_returns,test_predictions):
if pred == 1:
# Go Long for the day
amount_at_close = 1.0 * (1.0+ret)
equity_change = amount_at_close - 1
cum_ret += equity_change
if ret>=0:
win+=1
else:
loss+=1
if(verbose):
print('Day ',i,'Going long : Amount betted: 1 Daily return:',ret,' End amount:',amount_at_close,'Equity change:',equity_change,'Equity:',cum_ret)
else:
# Go Short for the day
amount_at_close = 1.0 * (1.0+abs(ret))
equity_change = amount_at_close - 1
cum_ret += equity_change
if ret<0:
win+=1
else:
loss+=1
if(verbose):
print('Day ',i,'Going Short : Amount betted: 1 Daily return:',ret,' End amount:',amount_at_close,'Equity change:',equity_change,'Equity:',cum_ret)
equity_test.append(cum_ret)
i+=1
indices_test.append(i)
plt.plot(indices_train,equity_train)
plt.plot(indices_test,equity_test)
def backtest_1day_hold_train_test_market(train_returns,train_predictions,test_returns,test_predictions,verbose=0):
cum_ret = 0 # Al empezar hemos ganado 0
equity_train = list() # 0 a nuestro dinero
equity_train.append(cum_ret)
equity_test = list() # 0 a nuestro dinero
i=1
indices_train = []
indices_train.append(i)
indices_test = []
win=0
loss=0
for ret,pred in zip(train_returns,train_predictions):
if pred == 1:
# Go Long for the day
amount_at_close = 1.0 * (1.0+ret)
equity_change = amount_at_close - 1
cum_ret += equity_change
if ret>=0:
win+=1
else:
loss+=1
if(verbose):
print('Day ',i,'Going long : Amount betted: 1 Daily return:',ret,' End amount:',amount_at_close,'Equity change:',equity_change,'Equity:',cum_ret)
else:
# Go Short for the day
amount_at_close = 1.0 * (1.0+abs(ret))
equity_change = amount_at_close - 1
cum_ret += equity_change
if ret<0:
win+=1
else:
loss+=1
if(verbose):
print('Day ',i,'Going Short : Amount betted: 1 Daily return:',ret,' End amount:',amount_at_close,'Equity change:',equity_change,'Equity:',cum_ret)
equity_train.append(cum_ret)
i+=1
indices_train.append(i)
equity_test.append(equity_train[-1])
indices_test.append(i)
for ret,pred in zip(test_returns,test_predictions):
if pred == 1:
# Go Long for the day
amount_at_close = 1.0 * (1.0+ret)
equity_change = amount_at_close - 1
cum_ret += equity_change
if ret>=0:
win+=1
else:
loss+=1
if(verbose):
print('Day ',i,'Going long : Amount betted: 1 Daily return:',ret,' End amount:',amount_at_close,'Equity change:',equity_change,'Equity:',cum_ret)
else:
# Go Short for the day
amount_at_close = 1.0 * (1.0+abs(ret))
equity_change = amount_at_close - 1
cum_ret += equity_change
if ret<0:
win+=1
else:
loss+=1
if(verbose):
print('Day ',i,'Going Short : Amount betted: 1 Daily return:',ret,' End amount:',amount_at_close,'Equity change:',equity_change,'Equity:',cum_ret)
equity_test.append(cum_ret)
i+=1
indices_test.append(i)
market_equity = []
market_equity.append(1)
for ret in train_returns:
market_equity.append(market_equity[-1]*(1+ret))
for ret in test_returns:
market_equity.append(market_equity[-1]*(1+ret))
plt.plot(indices_train,equity_train)
plt.plot(indices_test,equity_test)
plt.plot(range(len(market_equity)),market_equity)
def backtest_1day_hold_open(open,close,returns,predictions,verbose=0,show_market=0,label=None):
cum_ret = 1 # Al empezar hemos ganado 0
equity = list() # 0 a nuestro dinero
equity.append(cum_ret)
i=1
win=0
loss=0
open=open.shift(-1)
close=close.shift(-1)
for open_price,close_price,pred in zip(open,close,predictions):
if pred == 1:
# Go Long for the day
amount_at_close = 1.0 * (close_price/open_price)
equity_change = amount_at_close - 1
cum_ret += equity_change
if equity_change>=0:
win+=1
else:
loss+=1
if(verbose):
print('Day ',i,'Going long : Amount betted: 1 Open:',open_price,'Close:',close_price,' End amount:',amount_at_close,
'Equity change:',equity_change,'Equity:',cum_ret)
else:
# Go Short for the day
if open_price > close_price:
amount_at_close = 1.0 * (open_price / close_price)
else:
amount_at_close = 1.0 - ((close_price/open_price)-1.0)
equity_change = amount_at_close - 1
cum_ret += equity_change
if equity_change < 0:
win+=1
else:
loss+=1
if(verbose):
print('Day ', i, 'Going short : Amount betted: 1 Open:', open_price, 'Close:', close_price,
' End amount:', amount_at_close,'Equity change:', equity_change, 'Equity:', cum_ret)
equity.append(cum_ret)
i+=1
if(show_market):
market_equity = []
market_equity.append(1)
for ret in returns:
market_equity.append(market_equity[-1]*(1+ret))
plt.plot(range(len(market_equity)),market_equity,label='S&P500')
plt.plot(range(i),equity,label=label)
print('Win rate: ({})'.format(label) ,win/i)