QT_exploration_00.ipynb

{
 "cells": [
  {
   "cell_type": "code",
   "execution_count": 1,
   "metadata": {},
   "outputs": [],
   "source": [
    "#%pip install ibapi\n",
    "#%pip install gym"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 2,
   "metadata": {},
   "outputs": [],
   "source": [
    "from datetime import datetime\n",
    "import pytz\n",
    "from quanttrader.util import read_ohlcv_csv\n",
    "from quanttrader.strategy import StrategyBase\n",
    "from quanttrader import BacktestEngine \n",
    "#from quanttrader import BacktestGymEngine, BacktestEngine"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 3,
   "metadata": {},
   "outputs": [],
   "source": [
    "class BuyAndHoldStrategy(StrategyBase):\n",
    "    \"\"\"\n",
    "    buy on the first tick then hold to the end\n",
    "    \"\"\"\n",
    "\n",
    "    def __init__(self):\n",
    "        super(BuyAndHoldStrategy, self).__init__()\n",
    "        self.invested = False\n",
    "\n",
    "    def on_tick(self, event):\n",
    "        print(event.timestamp)\n",
    "        symbol = self.symbols[0]\n",
    "        if not self.invested:\n",
    "            df_hist = self._data_board.get_hist_price(symbol, event.timestamp)\n",
    "            close = df_hist.iloc[-1].Close\n",
    "            target_size = int(self._position_manager.initial_capital / close)\n",
    "            self.adjust_position(symbol, size_from=0, size_to=target_size)\n",
    "            self.invested = True\n",
    "    "
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 4,
   "metadata": {},
   "outputs": [],
   "source": [
    "df = read_ohlcv_csv(r'examples/TEST.csv')"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 5,
   "metadata": {},
   "outputs": [],
   "source": [
    "df = read_ohlcv_csv(r'examples/TEST.csv')\n",
    "init_capital = 100_000.0\n",
    "test_start_date = datetime(2008,1,1, 8, 30, 0, 0, pytz.timezone('America/New_York'))\n",
    "test_end_date = datetime(2008,12,31, 6, 0, 0, 0, pytz.timezone('America/New_York'))\n",
    "strategy = BuyAndHoldStrategy()\n",
    "strategy.set_capital(init_capital)\n",
    "strategy.set_symbols(['TTT'])\n",
    "strategy.set_params(None)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 6,
   "metadata": {},
   "outputs": [
    {
     "name": "stderr",
     "output_type": "stream",
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      "ERROR:root:b'Error 2023-07-28 20:28:45.743357'\n",
      "ERROR:root:b'Error 2023-07-28 20:28:45.750131'\n",
      "ERROR:root:b'Error 2023-07-28 20:28:45.756936'\n",
      "ERROR:root:b'Error 2023-07-28 20:28:45.762682'\n",
      "ERROR:root:b'Error 2023-07-28 20:28:45.769189'\n",
      "ERROR:root:b'Error 2023-07-28 20:28:45.774625'\n",
      "ERROR:root:b'Error 2023-07-28 20:28:45.781220'\n",
      "ERROR:root:b'Error 2023-07-28 20:28:45.787589'\n",
      "ERROR:root:b'Error 2023-07-28 20:28:45.792859'\n",
      "ERROR:root:b'Error 2023-07-28 20:28:45.799339'\n",
      "ERROR:root:b'Error 2023-07-28 20:28:45.803651'\n",
      "ERROR:root:b'Error 2023-07-28 20:28:45.810480'\n",
      "ERROR:root:b'Error 2023-07-28 20:28:45.815779'\n",
      "ERROR:root:b'Error 2023-07-28 20:28:45.823747'\n",
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      "ERROR:root:b'Error 2023-07-28 20:28:45.835334'\n",
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      "ERROR:root:b'Error 2023-07-28 20:28:45.937272'\n",
      "ERROR:root:b'Error 2023-07-28 20:28:45.942092'\n"
     ]
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    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
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     "name": "stderr",
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      "ERROR:root:b'Error 2023-07-28 20:28:45.948358'\n",
      "ERROR:root:b'Error 2023-07-28 20:28:45.954377'\n",
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      "ERROR:root:b'Error 2023-07-28 20:28:46.154872'\n"
     ]
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     "name": "stdout",
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     "name": "stderr",
     "output_type": "stream",
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      "ERROR:root:b'Error 2023-07-28 20:28:46.162832'\n",
      "ERROR:root:b'Error 2023-07-28 20:28:46.167305'\n",
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      "ERROR:root:b'Error 2023-07-28 20:28:46.363032'\n",
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     "name": "stderr",
     "output_type": "stream",
     "text": [
      "ERROR:root:b'Error 2023-07-28 20:28:46.569656'\n",
      "ERROR:root:b'Error 2023-07-28 20:28:46.574644'\n",
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      "ERROR:root:b'Error 2023-07-28 20:28:46.606031'\n",
      "ERROR:root:b'Error 2023-07-28 20:28:46.610324'\n",
      "ERROR:root:b'Error 2023-07-28 20:28:46.614597'\n",
      "ERROR:root:b'Error 2023-07-28 20:28:46.620085'\n",
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      "ERROR:root:b'Error 2023-07-28 20:28:46.630456'\n",
      "ERROR:root:b'Error 2023-07-28 20:28:46.636034'\n",
      "ERROR:root:b'Error 2023-07-28 20:28:46.641616'\n",
      "ERROR:root:b'Error 2023-07-28 20:28:46.646186'\n",
      "ERROR:root:b'Error 2023-07-28 20:28:46.651573'\n",
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      "ERROR:root:b'Error 2023-07-28 20:28:46.671613'\n",
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      "ERROR:root:b'Error 2023-07-28 20:28:46.680389'\n",
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      "ERROR:root:b'Error 2023-07-28 20:28:46.714434'\n",
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      "ERROR:root:b'Error 2023-07-28 20:28:46.729412'\n",
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      "ERROR:root:b'Error 2023-07-28 20:28:46.738209'\n",
      "ERROR:root:b'Error 2023-07-28 20:28:46.742976'\n",
      "ERROR:root:b'Error 2023-07-28 20:28:46.747472'\n",
      "ERROR:root:b'Error 2023-07-28 20:28:46.753264'\n",
      "ERROR:root:b'Error 2023-07-28 20:28:46.758407'\n",
      "ERROR:root:b'Error 2023-07-28 20:28:46.762729'\n",
      "ERROR:root:b'Error 2023-07-28 20:28:46.767148'\n",
      "ERROR:root:b'Error 2023-07-28 20:28:46.772675'\n"
     ]
    },
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
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      "2008-09-11 16:00:00-04:00\n"
     ]
    },
    {
     "name": "stderr",
     "output_type": "stream",
     "text": [
      "ERROR:root:b'Error 2023-07-28 20:28:46.776980'\n",
      "ERROR:root:b'Error 2023-07-28 20:28:46.781708'\n",
      "ERROR:root:b'Error 2023-07-28 20:28:46.787745'\n",
      "ERROR:root:b'Error 2023-07-28 20:28:46.793610'\n",
      "ERROR:root:b'Error 2023-07-28 20:28:46.797886'\n",
      "ERROR:root:b'Error 2023-07-28 20:28:46.802698'\n",
      "ERROR:root:b'Error 2023-07-28 20:28:46.807017'\n",
      "ERROR:root:b'Error 2023-07-28 20:28:46.811464'\n",
      "ERROR:root:b'Error 2023-07-28 20:28:46.815972'\n",
      "ERROR:root:b'Error 2023-07-28 20:28:46.821578'\n",
      "ERROR:root:b'Error 2023-07-28 20:28:46.826405'\n",
      "ERROR:root:b'Error 2023-07-28 20:28:46.830420'\n",
      "ERROR:root:b'Error 2023-07-28 20:28:46.838550'\n",
      "ERROR:root:b'Error 2023-07-28 20:28:46.844032'\n",
      "ERROR:root:b'Error 2023-07-28 20:28:46.848725'\n",
      "ERROR:root:b'Error 2023-07-28 20:28:46.855799'\n",
      "ERROR:root:b'Error 2023-07-28 20:28:46.859586'\n",
      "ERROR:root:b'Error 2023-07-28 20:28:46.864726'\n",
      "ERROR:root:b'Error 2023-07-28 20:28:46.870272'\n",
      "ERROR:root:b'Error 2023-07-28 20:28:46.874553'\n",
      "ERROR:root:b'Error 2023-07-28 20:28:46.879749'\n",
      "ERROR:root:b'Error 2023-07-28 20:28:46.885408'\n",
      "ERROR:root:b'Error 2023-07-28 20:28:46.892166'\n",
      "ERROR:root:b'Error 2023-07-28 20:28:46.896619'\n",
      "ERROR:root:b'Error 2023-07-28 20:28:46.901751'\n",
      "ERROR:root:b'Error 2023-07-28 20:28:46.906310'\n",
      "ERROR:root:b'Error 2023-07-28 20:28:46.911246'\n",
      "ERROR:root:b'Error 2023-07-28 20:28:46.916261'\n",
      "ERROR:root:b'Error 2023-07-28 20:28:46.924081'\n",
      "ERROR:root:b'Error 2023-07-28 20:28:46.928503'\n",
      "ERROR:root:b'Error 2023-07-28 20:28:46.933995'\n",
      "ERROR:root:b'Error 2023-07-28 20:28:46.938472'\n",
      "ERROR:root:b'Error 2023-07-28 20:28:46.943495'\n",
      "ERROR:root:b'Error 2023-07-28 20:28:46.948769'\n",
      "ERROR:root:b'Error 2023-07-28 20:28:46.955202'\n",
      "ERROR:root:b'Error 2023-07-28 20:28:46.960750'\n",
      "ERROR:root:b'Error 2023-07-28 20:28:46.965800'\n",
      "ERROR:root:b'Error 2023-07-28 20:28:46.970458'\n",
      "ERROR:root:b'Error 2023-07-28 20:28:46.975368'\n"
     ]
    },
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "2008-09-12 16:00:00-04:00\n",
      "2008-09-15 16:00:00-04:00\n",
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      "2008-11-04 16:00:00-05:00\n",
      "2008-11-05 16:00:00-05:00\n"
     ]
    },
    {
     "name": "stderr",
     "output_type": "stream",
     "text": [
      "ERROR:root:b'Error 2023-07-28 20:28:46.980728'\n",
      "ERROR:root:b'Error 2023-07-28 20:28:46.989213'\n",
      "ERROR:root:b'Error 2023-07-28 20:28:46.994668'\n",
      "ERROR:root:b'Error 2023-07-28 20:28:47.000746'\n",
      "ERROR:root:b'Error 2023-07-28 20:28:47.007903'\n",
      "ERROR:root:b'Error 2023-07-28 20:28:47.012859'\n",
      "ERROR:root:b'Error 2023-07-28 20:28:47.018369'\n",
      "ERROR:root:b'Error 2023-07-28 20:28:47.024338'\n",
      "ERROR:root:b'Error 2023-07-28 20:28:47.030089'\n",
      "ERROR:root:b'Error 2023-07-28 20:28:47.034342'\n",
      "ERROR:root:b'Error 2023-07-28 20:28:47.039980'\n",
      "ERROR:root:b'Error 2023-07-28 20:28:47.044534'\n",
      "ERROR:root:b'Error 2023-07-28 20:28:47.049387'\n",
      "ERROR:root:b'Error 2023-07-28 20:28:47.056719'\n",
      "ERROR:root:b'Error 2023-07-28 20:28:47.063597'\n",
      "ERROR:root:b'Error 2023-07-28 20:28:47.069073'\n",
      "ERROR:root:b'Error 2023-07-28 20:28:47.073909'\n",
      "ERROR:root:b'Error 2023-07-28 20:28:47.078574'\n",
      "ERROR:root:b'Error 2023-07-28 20:28:47.084404'\n",
      "ERROR:root:b'Error 2023-07-28 20:28:47.092082'\n",
      "ERROR:root:b'Error 2023-07-28 20:28:47.096312'\n",
      "ERROR:root:b'Error 2023-07-28 20:28:47.102385'\n",
      "ERROR:root:b'Error 2023-07-28 20:28:47.107032'\n",
      "ERROR:root:b'Error 2023-07-28 20:28:47.111656'\n",
      "ERROR:root:b'Error 2023-07-28 20:28:47.116784'\n",
      "ERROR:root:b'Error 2023-07-28 20:28:47.123099'\n",
      "ERROR:root:b'Error 2023-07-28 20:28:47.128375'\n",
      "ERROR:root:b'Error 2023-07-28 20:28:47.132825'\n",
      "ERROR:root:b'Error 2023-07-28 20:28:47.137648'\n",
      "ERROR:root:b'Error 2023-07-28 20:28:47.142531'\n",
      "ERROR:root:b'Error 2023-07-28 20:28:47.147546'\n",
      "ERROR:root:b'Error 2023-07-28 20:28:47.152679'\n",
      "ERROR:root:b'Error 2023-07-28 20:28:47.159805'\n",
      "ERROR:root:b'Error 2023-07-28 20:28:47.164534'\n",
      "ERROR:root:b'Error 2023-07-28 20:28:47.168973'\n",
      "ERROR:root:b'Error 2023-07-28 20:28:47.174377'\n",
      "ERROR:root:b'Error 2023-07-28 20:28:47.179938'\n",
      "ERROR:root:b'Error 2023-07-28 20:28:47.185276'\n"
     ]
    },
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "2008-11-06 16:00:00-05:00\n",
      "2008-11-07 16:00:00-05:00\n",
      "2008-11-10 16:00:00-05:00\n",
      "2008-11-11 16:00:00-05:00\n",
      "2008-11-12 16:00:00-05:00\n",
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      "2008-11-14 16:00:00-05:00\n",
      "2008-11-17 16:00:00-05:00\n",
      "2008-11-18 16:00:00-05:00\n",
      "2008-11-19 16:00:00-05:00\n",
      "2008-11-20 16:00:00-05:00\n",
      "2008-11-21 16:00:00-05:00\n",
      "2008-11-24 16:00:00-05:00\n",
      "2008-11-25 16:00:00-05:00\n",
      "2008-11-26 16:00:00-05:00\n",
      "2008-11-28 16:00:00-05:00\n",
      "2008-12-01 16:00:00-05:00\n",
      "2008-12-02 16:00:00-05:00\n",
      "2008-12-03 16:00:00-05:00\n",
      "2008-12-04 16:00:00-05:00\n",
      "2008-12-05 16:00:00-05:00\n",
      "2008-12-08 16:00:00-05:00\n",
      "2008-12-09 16:00:00-05:00\n",
      "2008-12-10 16:00:00-05:00\n",
      "2008-12-11 16:00:00-05:00\n",
      "2008-12-12 16:00:00-05:00\n",
      "2008-12-15 16:00:00-05:00\n",
      "2008-12-16 16:00:00-05:00\n",
      "2008-12-17 16:00:00-05:00\n",
      "2008-12-18 16:00:00-05:00\n",
      "2008-12-19 16:00:00-05:00\n",
      "2008-12-22 16:00:00-05:00\n",
      "2008-12-23 16:00:00-05:00\n",
      "2008-12-24 16:00:00-05:00\n",
      "2008-12-26 16:00:00-05:00\n",
      "2008-12-29 16:00:00-05:00\n",
      "2008-12-30 16:00:00-05:00\n",
      "2008-01-02 16:00:00-05:00    100000.0\n",
      "2008-01-03 16:00:00-05:00    100000.0\n",
      "2008-01-04 16:00:00-05:00    100000.0\n",
      "2008-01-07 16:00:00-05:00    100000.0\n",
      "2008-01-08 16:00:00-05:00    100000.0\n",
      "                               ...   \n",
      "2008-12-23 16:00:00-05:00    100000.0\n",
      "2008-12-24 16:00:00-05:00    100000.0\n",
      "2008-12-26 16:00:00-05:00    100000.0\n",
      "2008-12-29 16:00:00-05:00    100000.0\n",
      "2008-12-30 16:00:00-05:00    100000.0\n",
      "Name: total, Length: 252, dtype: float64\n"
     ]
    }
   ],
   "source": [
    "backtest_engine = BacktestEngine(test_start_date, test_end_date)\n",
    "backtest_engine.set_capital(init_capital)        # capital or portfolio >= capital for one strategy\n",
    "backtest_engine.add_data('TTT', df)\n",
    "backtest_engine.set_strategy(strategy)\n",
    "equity, df_positions, df_trades = backtest_engine.run()\n",
    "if df_trades is None:\n",
    "    print('Empty Strategy')\n",
    "else:\n",
    "    print(equity)"
   ]
  }
 ],
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