Backtesting.performance

Performance

Source code in Backtesting/performance.py
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class Performance:

    @staticmethod
    def performance(time_step: int, portfolio_obj: portfolio):
        '''save to file'''
        equity = portfolio_obj.equity
        save_file = InitialConditions.get_save_file()
        record = {
                "time_step": time_step,
                "timestamp": (
                    InitialConditions.get_initial_time() + 
                    timedelta(seconds = InitialConditions.get_time_step_size() * time_step)
                ).isoformat(),
                "total equity": equity,
                "positions": portfolio_obj.positions
        }
        #append total to savefile, must exist
        with open(save_file, "a") as f:
            f.write(json.dumps(record) + "\n")


    @staticmethod
    def summary(portfolio_obj: portfolio):
        """plot equity curve"""
        save_file = InitialConditions.get_save_file()

        times = []
        equities = []

        with open(save_file, "r") as f:
            for line in f:
                record = json.loads(line)
                times.append(datetime.fromisoformat(record["timestamp"]))
                equities.append(record["total equity"])

        png_file = "plot.png"

        plt.figure()
        plt.plot(times, equities, 'o')
        plt.xlabel("Times")
        plt.ylabel("Equity")
        plt.title("Equity Curve")
        plt.grid(True)

        plt.savefig(png_file, dpi=150, bbox_inches="tight")
        plt.close()

performance(time_step, portfolio_obj) staticmethod

save to file

Source code in Backtesting/performance.py
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@staticmethod
def performance(time_step: int, portfolio_obj: portfolio):
    '''save to file'''
    equity = portfolio_obj.equity
    save_file = InitialConditions.get_save_file()
    record = {
            "time_step": time_step,
            "timestamp": (
                InitialConditions.get_initial_time() + 
                timedelta(seconds = InitialConditions.get_time_step_size() * time_step)
            ).isoformat(),
            "total equity": equity,
            "positions": portfolio_obj.positions
    }
    #append total to savefile, must exist
    with open(save_file, "a") as f:
        f.write(json.dumps(record) + "\n")

summary(portfolio_obj) staticmethod

plot equity curve

Source code in Backtesting/performance.py
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@staticmethod
def summary(portfolio_obj: portfolio):
    """plot equity curve"""
    save_file = InitialConditions.get_save_file()

    times = []
    equities = []

    with open(save_file, "r") as f:
        for line in f:
            record = json.loads(line)
            times.append(datetime.fromisoformat(record["timestamp"]))
            equities.append(record["total equity"])

    png_file = "plot.png"

    plt.figure()
    plt.plot(times, equities, 'o')
    plt.xlabel("Times")
    plt.ylabel("Equity")
    plt.title("Equity Curve")
    plt.grid(True)

    plt.savefig(png_file, dpi=150, bbox_inches="tight")
    plt.close()