Oh no, not another python backtester...

Discussion in 'Programming' started by globalarbtrader, Dec 18, 2015.

  1. Exactly that

    GAT
     
    #91     Nov 21, 2017
  2. Hi GAT, Is there a way to dig out the information on trades in pysystemtrade i.e. to evaluate the distribution of trades (not the daily distribution of returns)?
     
    #92     Nov 29, 2017
  3. Not in an easy way right now

    GAT
     
    #93     Nov 29, 2017
  4. djames

    djames

    @AvantGarde perhaps the simplest way right now is to get_position and then process the dataframe to yield trades
     
    #94     Nov 29, 2017
    AvantGarde likes this.
  5. traider

    traider


    Hi GAT,

    you wrote a blog post about using Native IB API. However I don't see the code in your github, what's available is some code that works with IBSwig framework. Do you plan to release this part on github? If you are, will it be a live trading framework or some tests and examples similar to the IBSwig?
     
    #95     Dec 11, 2017
  6. If you actually read the series of blog posts they each reference several gists on git hub. A summary is here:

    https://qoppac.blogspot.co.uk/p/code.html

    This section: gists: python-IB-API

    GAT
     
    #96     Dec 12, 2017
  7. djames

    djames

    On the topic of IB and python, i've found this library https://github.com/erdewit/ib_insync to be a very useful abstraction of the IB API. It is using the IB Python API under the hood.
     
    #97     Dec 12, 2017
  8. traider

    traider

    from systems.provided.futures_chapter15.estimatedsystem import futures_system

    system = futures_system(log_level="on")

    print(system.accounts.portfolio().sharpe())

    acc_curve=system.accounts.pandl_for_subsystem("AUD")


    The above code fails at

    W:\GDrive\19\Code\Python\pysystemtrade\syscore\optimisation.py in decompose_group_pandl(data, identifier, pool_costs, pool_gross, backfillavgcosts)
    370
    371 """
    --> 372 assert identifier in data.keys()

    It seems that initially, the system has 38 instruments but when I try to focus on a single instrument, data.keys() contains only "CORN", "EDOLLAR", "EUROSTX", "MXP", "US10", "V2X"

    Is there any reason why this is happening?
     
    #98     Dec 31, 2017
  9. Basically there is data for 38 instruments, but the default example only has the subset of instruments covered in my book.

    https://github.com/robcarver17/pysy...-a-backtest-on-a-different-set-of-instruments

    GAT
     
    #99     Jan 2, 2018
  10. Very late in the day but this seems to be fixed.

    GAT
     
    #100     Jan 4, 2018