2_Strategies/model/algo_base.py [15:168]: - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - matplotlib.use('Agg') import matplotlib.pyplot as plt plt.rcParams["figure.figsize"] = [16,9] # More documentation about backtrader: https://www.backtrader.com/ class AlgoStrategy(): def __init__(self,config,strategy): self.config=config self.cerebro = bt.Cerebro() strategy.config=config strategy.init_broker(self.cerebro.broker) strategy.add_data(self.cerebro) self.cerebro.addstrategy(strategy) self.portfolioStartValue=self.cerebro.broker.getvalue() self.cerebro.addanalyzer(btanalyzers.DrawDown, _name='dd') self.cerebro.addanalyzer(btanalyzers.SharpeRatio_A, _name='sharpe') self.cerebro.addanalyzer(btanalyzers.SQN, _name='sqn') self.cerebro.addanalyzer(btanalyzers.TradeAnalyzer, _name='ta') def performance(self): analyzer=self.thestrat.analyzers.ta.get_analysis() dd_analyzer=self.thestrat.analyzers.dd.get_analysis() #Get the results we are interested in total_open = analyzer.total.open total_closed = analyzer.total.closed total_won = analyzer.won.total total_lost = analyzer.lost.total win_streak = analyzer.streak.won.longest lose_streak = analyzer.streak.lost.longest pnl_net = round(analyzer.pnl.net.total,2) strike_rate = (total_won / total_closed) * 100 #Designate the rows h1 = ['Total Open', 'Total Closed', 'Total Won', 'Total Lost'] h2 = ['Strike Rate','Win Streak', 'Losing Streak', 'PnL Net'] h3 = ['DrawDown Pct','MoneyDown', '', ''] self.total_closed=total_closed self.strike_rate=strike_rate self.max_drawdown=dd_analyzer.max.drawdown r1 = [total_open, total_closed,total_won,total_lost] r2 = [('%.2f%%' %(strike_rate)), win_streak, lose_streak, pnl_net] r3 = [('%.2f%%' %(dd_analyzer.max.drawdown)), dd_analyzer.max.moneydown, '', ''] #Check which set of headers is the longest. header_length = max(len(h1),len(h2),len(h3)) #Print the rows print_list = [h1,r1,h2,r2,h3,r3] row_format ="{:<15}" * (header_length + 1) print("Trade Analysis Results:") for row in print_list: print(row_format.format('',*row)) analyzer=self.thestrat.analyzers.sqn.get_analysis() sharpe_analyzer=self.thestrat.analyzers.sharpe.get_analysis() self.sqn = analyzer.sqn self.sharpe_ratio = sharpe_analyzer['sharperatio'] if self.sharpe_ratio is None: self.sharpe_ratio=0 self.pnl = self.cerebro.broker.getvalue()-self.portfolioStartValue print('[SQN:%.2f, Sharpe Ratio:%.2f, Final Portfolio:%.2f, Total PnL:%.2f]' % (self.sqn,self.sharpe_ratio,self.cerebro.broker.getvalue(),self.pnl)) # plot fig=self.cerebro.plot() plt.savefig(os.path.join(StrategyTemplate.MODEL_PATH, 'chart.png')) def submit(self): try: if 'submitUrl' in self.config: name=self.config['user']+'@'+self.config['account'] algo=self.config['algo_name'] submitUrl=self.config['submitUrl'] URL = submitUrl ts=str(int(time.time())) PARAMS={'id': algo, 'name': name, 'trades': self.total_closed, 'strike_rate': self.strike_rate, 'max_drawdown': self.max_drawdown, 'pnl': self.pnl, 'sqn': self.sqn, 'sharpe_ratio': self.sharpe_ratio} print("submit:%s" % (json.dumps(PARAMS))) r = requests.get(url = URL, params = PARAMS, timeout=3) print("status=%s,res=%s" % (r.status_code,r.text)) if r.status_code == 200: print("performance submitted") else: print("error submitting performance:%s" % r.text) except Exception as e: print("error submitting performance:%s" % e) def run(self): thestrats = self.cerebro.run() self.thestrat = thestrats[0] self.performance() self.submit() class StrategyTemplate(bt.Strategy): PREFIX='/opt/ml/' TRAIN_FILE = os.path.join(PREFIX,'input/data/training/data.csv') CONFIG_FILE = os.path.join(PREFIX,'input/config/hyperparameters.json') MODEL_PATH = os.path.join(PREFIX,'model') def __init__(self): with open(StrategyTemplate.CONFIG_FILE, 'r') as f: self.config = json.load(f) print("[INIT]:config:%s=%s" % (StrategyTemplate.CONFIG_FILE,self.config)) self.lastDay=-1 self.lastMonth=-1 self.dataclose = self.datas[0].close @staticmethod def init_broker(broker): pass @staticmethod def add_data(cerebro): pass def notify_order(self, order): dt=self.datas[0].datetime.datetime(0) if order.status in [order.Completed]: if order.isbuy(): print( '[%s] BUY EXECUTED, Price: %.2f, PNL: %.2f, Cash: %.2f' % (dt,order.executed.price,order.executed.pnl,self.broker.getvalue())) else: # Sell print('[%s] SELL EXECUTED, Price: %.2f, PNL: %.2f, Cash: %.2f' % (dt,order.executed.price,order.executed.pnl,self.broker.getvalue())) def next(self): dt=self.datas[0].datetime.datetime(0) #print("[NEXT]:%s:close=%s" % (dt,self.dataclose[0])) #SOM if self.lastMonth!=dt.month: if self.lastMonth!=-1: chg=self.broker.getvalue()-self.monthCash print("[%s] SOM:chg=%.2f,cash=%.2f" % (dt,chg,self.broker.getvalue())) self.lastMonth=dt.month self.monthCash=self.broker.getvalue() #SOD if self.lastDay!=dt.day: self.lastDay=dt.day print("[%s] SOD:cash=%.2f" % (dt,self.broker.getvalue())) - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - 4_Kinesis/model/algo_base.py [15:168]: - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - matplotlib.use('Agg') import matplotlib.pyplot as plt plt.rcParams["figure.figsize"] = [16,9] # More documentation about backtrader: https://www.backtrader.com/ class AlgoStrategy(): def __init__(self,config,strategy): self.config=config self.cerebro = bt.Cerebro() strategy.config=config strategy.init_broker(self.cerebro.broker) strategy.add_data(self.cerebro) self.cerebro.addstrategy(strategy) self.portfolioStartValue=self.cerebro.broker.getvalue() self.cerebro.addanalyzer(btanalyzers.DrawDown, _name='dd') self.cerebro.addanalyzer(btanalyzers.SharpeRatio_A, _name='sharpe') self.cerebro.addanalyzer(btanalyzers.SQN, _name='sqn') self.cerebro.addanalyzer(btanalyzers.TradeAnalyzer, _name='ta') def performance(self): analyzer=self.thestrat.analyzers.ta.get_analysis() dd_analyzer=self.thestrat.analyzers.dd.get_analysis() #Get the results we are interested in total_open = analyzer.total.open total_closed = analyzer.total.closed total_won = analyzer.won.total total_lost = analyzer.lost.total win_streak = analyzer.streak.won.longest lose_streak = analyzer.streak.lost.longest pnl_net = round(analyzer.pnl.net.total,2) strike_rate = (total_won / total_closed) * 100 #Designate the rows h1 = ['Total Open', 'Total Closed', 'Total Won', 'Total Lost'] h2 = ['Strike Rate','Win Streak', 'Losing Streak', 'PnL Net'] h3 = ['DrawDown Pct','MoneyDown', '', ''] self.total_closed=total_closed self.strike_rate=strike_rate self.max_drawdown=dd_analyzer.max.drawdown r1 = [total_open, total_closed,total_won,total_lost] r2 = [('%.2f%%' %(strike_rate)), win_streak, lose_streak, pnl_net] r3 = [('%.2f%%' %(dd_analyzer.max.drawdown)), dd_analyzer.max.moneydown, '', ''] #Check which set of headers is the longest. header_length = max(len(h1),len(h2),len(h3)) #Print the rows print_list = [h1,r1,h2,r2,h3,r3] row_format ="{:<15}" * (header_length + 1) print("Trade Analysis Results:") for row in print_list: print(row_format.format('',*row)) analyzer=self.thestrat.analyzers.sqn.get_analysis() sharpe_analyzer=self.thestrat.analyzers.sharpe.get_analysis() self.sqn = analyzer.sqn self.sharpe_ratio = sharpe_analyzer['sharperatio'] if self.sharpe_ratio is None: self.sharpe_ratio=0 self.pnl = self.cerebro.broker.getvalue()-self.portfolioStartValue print('[SQN:%.2f, Sharpe Ratio:%.2f, Final Portfolio:%.2f, Total PnL:%.2f]' % (self.sqn,self.sharpe_ratio,self.cerebro.broker.getvalue(),self.pnl)) # plot fig=self.cerebro.plot() plt.savefig(os.path.join(StrategyTemplate.MODEL_PATH, 'chart.png')) def submit(self): try: if 'submitUrl' in self.config: name=self.config['user']+'@'+self.config['account'] algo=self.config['algo_name'] submitUrl=self.config['submitUrl'] URL = submitUrl ts=str(int(time.time())) PARAMS={'id': algo, 'name': name, 'trades': self.total_closed, 'strike_rate': self.strike_rate, 'max_drawdown': self.max_drawdown, 'pnl': self.pnl, 'sqn': self.sqn, 'sharpe_ratio': self.sharpe_ratio} print("submit:%s" % (json.dumps(PARAMS))) r = requests.get(url = URL, params = PARAMS, timeout=3) print("status=%s,res=%s" % (r.status_code,r.text)) if r.status_code == 200: print("performance submitted") else: print("error submitting performance:%s" % r.text) except Exception as e: print("error submitting performance:%s" % e) def run(self): thestrats = self.cerebro.run() self.thestrat = thestrats[0] self.performance() self.submit() class StrategyTemplate(bt.Strategy): PREFIX='/opt/ml/' TRAIN_FILE = os.path.join(PREFIX,'input/data/training/data.csv') CONFIG_FILE = os.path.join(PREFIX,'input/config/hyperparameters.json') MODEL_PATH = os.path.join(PREFIX,'model') def __init__(self): with open(StrategyTemplate.CONFIG_FILE, 'r') as f: self.config = json.load(f) print("[INIT]:config:%s=%s" % (StrategyTemplate.CONFIG_FILE,self.config)) self.lastDay=-1 self.lastMonth=-1 self.dataclose = self.datas[0].close @staticmethod def init_broker(broker): pass @staticmethod def add_data(cerebro): pass def notify_order(self, order): dt=self.datas[0].datetime.datetime(0) if order.status in [order.Completed]: if order.isbuy(): print( '[%s] BUY EXECUTED, Price: %.2f, PNL: %.2f, Cash: %.2f' % (dt,order.executed.price,order.executed.pnl,self.broker.getvalue())) else: # Sell print('[%s] SELL EXECUTED, Price: %.2f, PNL: %.2f, Cash: %.2f' % (dt,order.executed.price,order.executed.pnl,self.broker.getvalue())) def next(self): dt=self.datas[0].datetime.datetime(0) #print("[NEXT]:%s:close=%s" % (dt,self.dataclose[0])) #SOM if self.lastMonth!=dt.month: if self.lastMonth!=-1: chg=self.broker.getvalue()-self.monthCash print("[%s] SOM:chg=%.2f,cash=%.2f" % (dt,chg,self.broker.getvalue())) self.lastMonth=dt.month self.monthCash=self.broker.getvalue() #SOD if self.lastDay!=dt.day: self.lastDay=dt.day print("[%s] SOD:cash=%.2f" % (dt,self.broker.getvalue())) - 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