Matt Corcoran
437 lines
17 KiB
Python
437 lines
17 KiB
Python
"""
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MattC - 2025
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This code is a working prototype and is intended for initial testing and development purposes. Some Python
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standards, including but not limited to PEP 8 compliance, error handling, and code optimization, are yet to be fully
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implemented. Further refactoring and enhancements are planned to improve readability, maintainability,
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and efficiency.
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"""
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from pathlib import Path
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import configparser
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import os
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import pandas as pd
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from subprocess import call
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from post_process_test import PostProcessData as ppd
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MT5_TERM_EXE = Path(r'C:\Program Files\FTMO MetaTrader 5\terminal64.exe')
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MT5_DIRECTORY = Path(r"C:\Users\mkcor\AppData\Roaming\MetaQuotes\Terminal\49CDDEAA95A409ED22BD2287BB67CB9C")
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##
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class TestParent:
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def __init__(self, name, start_date, end_date, chart_period, custom_loss_function, symbol_mode, data_split):
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"""
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@param name: test name e.g. "name"
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@param start_date: backtest start e.g. "2010.10.01"
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@param end_date: backtest end e.g. "2010.10.01"
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@param chart_period: "Daily", "H4", "H1", "M15", etc
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@param custom_loss_function: "0"= W/L ratio, "1"= W percent, "2"=W percent (min 200 trades) ....
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@param symbol_mode: "0"=Chart sym only, "1"= Multi sym FX5, "2"=Multi sym 28FX pairs
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@param data_split: "year" or "month"
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"""
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self.name = name
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self.start_date = start_date
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self.end_date = end_date
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self.chart_period = chart_period
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self.custom_loss_function = custom_loss_function
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self.symbol_mode = symbol_mode
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self.data_split = data_split
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self.mt5_term = MT5_TERM_EXE
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self.mt5_dir = MT5_DIRECTORY
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self.mq5_test_cash = Path.joinpath(self.mt5_dir, r"Tester\cache")
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self.test_folder = Path.joinpath(self.mt5_dir, r'MQL5\Experts\My_Experts\NNFX\Entry_testing')
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self.indi_dir = None
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self.indi_rel_path = None
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self.output_dir = None
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self.results_dir = None
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self.master_config_loc = None
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self.pct_risk = 2
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self.tp_atr = 1
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self.sl_atr = 1.5
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def create_test_name(self):
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start = self.start_date.replace('.', '')
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end = self.end_date.replace('.', '')
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test_name = f'{self.name}_{start}_{end}_cl{self.custom_loss_function}_sm{self.symbol_mode}_ds-{self.data_split}_cp-{self.chart_period}'
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return test_name
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def check_results_df(self, results_dir):
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file_list = []
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for file in os.listdir(results_dir):
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file_list.append(file)
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combined_resuts_file = '1_combined_results.csv'
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df_path = Path.joinpath(results_dir, combined_resuts_file)
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if combined_resuts_file not in file_list:
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df = pd.DataFrame(
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columns=['Indicator', 'Type', 'R_ins', 'R_outs', 'R_dif', 'R_mean', 'P_fac_in', 'P_fac_out',
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'P_fac_dif', 'trades_in', 'trades_out', 'trades_dif'])
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df.to_csv(df_path, index=False)
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return df_path
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def create_indi_optimisation_ini(self, config_paser, indicator, config_files_dir, sample_data, force_optimisation,
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opt_os=False):
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config = config_paser
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config['Tester']['Expert'] = str(Path.joinpath(self.indi_rel_path, indicator)) + ".ex5"
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config['Tester']['Symbol'] = "EURUSD"
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config['Tester']['Period'] = f"{self.chart_period}"
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config['Tester']['Optimization'] = "2"
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config['Tester']['Model'] = "1"
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config['Tester']['FromDate'] = f'{self.start_date}'
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config['Tester']['ToDate'] = f'{self.end_date}'
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config['Tester']['ForwardMode'] = "0"
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config['Tester']['Deposit'] = "100000"
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config['Tester']['Currency'] = "USD"
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config['Tester']['ProfitInPips'] = "0"
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config['Tester']['Leverage'] = "100"
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config['Tester']['ExecutionMode'] = "0"
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config['Tester']['OptimizationCriterion'] = "6"
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config['Tester']['Visual'] = "0"
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config['Tester']['ReplaceReport'] = "1"
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config['Tester']['ShutdownTerminal'] = "1"
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config['TesterInputs']['inp_lot_mode'] = "2||0||0||2||N"
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config['TesterInputs']['inp_lot_var'] = f"{self.pct_risk}||2.0||0.2||20||N"
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config['TesterInputs']['inp_sl_mode'] = "2||0||0||5||N"
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config['TesterInputs']['inp_sl_var'] = f"{self.sl_atr}||1.0||0.1||10||N"
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config['TesterInputs']['inp_tp_mode'] = "2||0||0||5||N"
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config['TesterInputs']['inp_tp_var'] = f"{self.tp_atr}||1.5||0.15||15||N"
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config['TesterInputs']['inp_custom_criteria'] = f"{self.custom_loss_function}||0||0||1||N"
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config['TesterInputs']['inp_sym_mode'] = f"{self.symbol_mode}||0||0||2||N"
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config['TesterInputs']['inp_force_opt'] = f"1||1||1||2||{force_optimisation}"
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if sample_data == "in":
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config['Tester']['report'] = f"{indicator}_ins"
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if self.data_split == "year":
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config['TesterInputs']['inp_data_split_method'] = f"1||0||0||3||N"
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if self.data_split == "month":
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config['TesterInputs']['inp_data_split_method'] = f"3||0||0||3||N"
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if sample_data == "out":
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config['Tester']['report'] = f"{indicator}_out"
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if self.data_split == "year":
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config['TesterInputs']['inp_data_split_method'] = f"2||0||0||3||N"
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if self.data_split == "month":
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config['TesterInputs']['inp_data_split_method'] = f"4||0||0||3||N"
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if opt_os:
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test_inp_list = list(config.items('TesterInputs'))
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test_inp_key = []
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for x in test_inp_list:
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test_inp_key.append(x[0])
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removal_list = ['inp_lot_mode', 'inp_lot_var', 'inp_sl_mode', 'inp_sl_var', 'inp_tp_mode', 'inp_tp_var',
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'inp_custom_criteria', 'inp_sym_mode', 'inp_force_opt', 'inp_data_split_method']
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keys_to_mod = [x for x in test_inp_key if (x not in removal_list)]
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opt_results = self.get_opt_results_from_xml(indicator)
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lines = []
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lines2 = []
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for key in keys_to_mod:
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for j in test_inp_list:
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if key == j[0]:
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string_value = j[1]
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string_value = string_value.split("||", 1)[
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1] # removes the first int from e.g f"2||0||0||3||N"
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for k in opt_results:
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if key == k[0]:
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result_val = k[1]
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string_value = f'{result_val}||{string_value}'
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string_value = string_value[:-1]
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string_value = f'{string_value}N'
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config['TesterInputs'][key] = string_value
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value = config['TesterInputs'][key].split("||", 1)[0]
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lines.append(f"{key}={value}, ")
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lines2.append(f"{value}, ")
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self.save_in_sample_opt_results_to_file(indicator, lines, lines2)
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new_file = indicator + ".ini"
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new_file_path = Path.joinpath(config_files_dir, new_file)
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with open(new_file_path, 'w', encoding='utf-16') as configfile:
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config.write(configfile)
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def save_in_sample_opt_results_to_file(self, indicator, lines, lines2):
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file_path = Path.joinpath(self.results_dir, f"{indicator}_opt_results.txt")
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if file_path.is_file():
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file_path.unlink() # delete old files.
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lines_mod = ''
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for str in lines2:
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lines_mod = lines_mod + str
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print(lines_mod[:-2])
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f = open(file_path, "a")
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f.writelines(indicator + "\n")
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f.writelines(lines)
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f.writelines("\n, ")
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f.write(lines_mod[:-2])
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f.close()
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def get_opt_results_from_xml(self, indicator):
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ins_results = f"{indicator}_ins.xml"
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df = ppd.load_data_from_xml(self.results_dir)
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df = df.drop(['Pass', 'Result', 'Profit', 'Profit Factor', 'Custom', 'Expected Payoff', 'Recovery Factor',
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'Sharpe Ratio', 'Equity DD %', 'Trades'], axis=1)
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column_names = list(df.columns.values)
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opt_result = []
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for count, value in enumerate(column_names):
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param_results = df[column_names[count]][0]
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tup = (value.lower(), param_results) # Convert string to lower case.
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opt_result.append(tup)
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return opt_result
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def create_indicator_list(self, df_path, indicator_dir, optimisation=False):
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# Create list
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indi_list = []
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for file in os.listdir(os.fsencode(indicator_dir)):
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filename = os.fsdecode(file)
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if filename.endswith(".ex5"):
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indi_name = os.path.splitext(filename)[0]
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indi_list.append(str(indi_name))
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# remove previously processed indicators:
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ti_list = []
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for i in indi_list:
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df = pd.read_csv(df_path)
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if i in df["Indicator"].tolist():
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# ti_list.append(i)
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print(f"Indicator - {i} - already processed")
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print("-" * 60)
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indi_list2 = [x for x in indi_list if x not in ti_list]
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conf_ini_list = []
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if optimisation:
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for file in os.listdir(os.fsencode(self.master_config_loc)):
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filename = os.fsdecode(file)
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if filename.endswith(".ini"):
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indi_name = os.path.splitext(filename)[0]
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conf_ini_list.append(str(indi_name))
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removed_list = [x for x in indi_list2 if x not in conf_ini_list]
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for i in removed_list:
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print(f"Indicator - {i} - NO MASTER CONFIG!")
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print("-" * 60)
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indi_list3 = [x for x in indi_list2 if x in conf_ini_list]
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return_list = []
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if optimisation:
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return_list = indi_list3
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else:
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return_list = indi_list2
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for i in return_list:
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print(f"Indicator - {i} - To be tested.")
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return return_list
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def create_dir(self, dir_name):
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dir_string = Path.joinpath(self.output_dir, dir_name)
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if not os.path.exists(dir_string):
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os.makedirs(dir_string)
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try:
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os.makedirs(dir_string)
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except Exception as e:
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pass
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return dir_string
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@staticmethod
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def delete_files_in_directory(directory_path):
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try:
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files = os.listdir(directory_path)
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for file in files:
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file_path = os.path.join(directory_path, file)
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if os.path.isfile(file_path):
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os.remove(file_path)
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except OSError:
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print("Error occurred while deleting files.")
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class TestIndicators(TestParent):
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def __init__(self, name, start_date, end_date, chart_period, custom_loss_function, symbol_mode, data_split):
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super().__init__(name, start_date, end_date, chart_period, custom_loss_function, symbol_mode, data_split)
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self.template_file = Path.joinpath(self.test_folder, "template.ini")
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self.indi_dir = Path.joinpath(self.test_folder, "default\indicators")
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self.indi_rel_path = Path(str(self.indi_dir).split(r'\MQL5\Experts')[1][1:])
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self.output_dir = Path.joinpath(Path(self.indi_dir).parents[0], f'Testing\{self.name}')
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self.results_dir = self.create_dir("results")
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self.run()
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def run(self):
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print("~" * 80)
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print(f" DEFAULT INDICATOR TEST - {self.name}\n")
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# Create in-sample dir/ delete its content:
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input_files_is_dir = self.create_dir("config_files_in_sample")
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self.delete_files_in_directory(input_files_is_dir)
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# Create out sample dir/ delete its content:
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input_files_os_dir = self.create_dir("config_files_out_sample")
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self.delete_files_in_directory(input_files_os_dir)
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df_path = self.check_results_df(self.results_dir)
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indicator_list = self.create_indicator_list(df_path, self.indi_dir)
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print("-" * 25 + " STARTING TEST " + "-" * 25)
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for indicator in indicator_list:
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config_paser = self.load_config_paser()
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# Create run input files:
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self.create_indi_optimisation_ini(config_paser, indicator, input_files_is_dir, "in", "Y")
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self.create_indi_optimisation_ini(config_paser, indicator, input_files_os_dir, "out", "Y")
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# Delete MQL5 Tester Cash:
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line = f'del /F /Q {self.mq5_test_cash}'
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call(line, shell=True)
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# Run the in-sample test:
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print(f"Running defalts in-sample test for {indicator}")
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line = f'"{self.mt5_term}" /config: {input_files_is_dir}\{indicator}.ini'
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call(line, shell=True)
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# Copy output to run results dir:
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line = f'copy {self.mt5_dir}\{indicator}_ins.xml {self.results_dir}\{indicator}_ins.xml'
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call(line, shell=True)
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# Run the out of sample test:
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print(f"Running defalts out-of-sample test for {indicator}")
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line = f'"{self.mt5_term}" /config: {input_files_os_dir}\{indicator}.ini'
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call(line, shell=True)
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# Copy output to run results dir:
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line = f'copy {self.mt5_dir}\{indicator}_out.xml {self.results_dir}\{indicator}_out.xml'
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call(line, shell=True)
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def load_config_paser(self):
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config_paser = configparser.ConfigParser()
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config_paser.read(self.template_file, encoding='utf-16')
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return config_paser
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class OptimiseIndicators(TestParent):
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def __init__(self, name, start_date, end_date, chart_period, custom_loss_function, symbol_mode, data_split):
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super().__init__(name, start_date, end_date, chart_period, custom_loss_function, symbol_mode, data_split)
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self.indi_dir = Path.joinpath(self.test_folder, "optimise\indicators")
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self.master_config_loc = Path.joinpath(self.test_folder, "optimise\master_config_files")
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self.indi_rel_path = Path(str(self.indi_dir).split(r'\MQL5\Experts')[1][1:])
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self.output_dir = Path.joinpath(Path(self.indi_dir).parents[0], f'Testing\{self.name}')
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self.results_dir = self.create_dir("results")
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self.run()
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def run(self):
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print("~" * 80)
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print(f"\n INDICATOR OPTIMISATION - {self.name}\n")
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# Create in-sample dir/ delete its content:
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input_files_is_dir = self.create_dir("config_files_in_sample")
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self.delete_files_in_directory(input_files_is_dir)
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# Create out sample dir/ delete its content:
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input_files_os_dir = self.create_dir("config_files_out_sample")
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self.delete_files_in_directory(input_files_os_dir)
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df_path = self.check_results_df(self.results_dir)
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indicator_list = self.create_indicator_list(df_path, self.indi_dir, True)
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print("-" * 25 + " STARTING TEST " + "-" * 25)
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for indicator in indicator_list:
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# Delete MQL5 Tester Cash:
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line = f'del /F /Q {self.mq5_test_cash}'
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call(line, shell=True)
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# Load the MQL5 .ini for the current indicator:
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config_paser = self.load_config_paser(indicator)
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# Create in-sample input file:
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self.create_indi_optimisation_ini(config_paser, indicator, input_files_is_dir, "in", "N")
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# Run the in-sample test:
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print(f"Running in-sample optimisation for {indicator}")
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line = f'"{self.mt5_term}" /config: {input_files_is_dir}\{indicator}.ini'
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call(line, shell=True)
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# Copy output to run results dir:
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line = f'copy {self.mt5_dir}\{indicator}_ins.xml {self.results_dir}\{indicator}_ins.xml'
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call(line, shell=True)
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# Create OOS test input file for optimisation results:
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self.create_indi_optimisation_ini(config_paser, indicator, input_files_os_dir, "out", "Y", opt_os=True)
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# Run the out of sample test:
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print(f"Running out-of-sample optimisation for {indicator}")
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line = f'"{self.mt5_term}" /config: {input_files_os_dir}\{indicator}.ini'
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call(line, shell=True)
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# Copy output to run results dir:
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line = f'copy {self.mt5_dir}\{indicator}_out.xml {self.results_dir}\{indicator}_out.xml'
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call(line, shell=True)
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def load_config_paser(self, indicator):
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config_paser = configparser.ConfigParser()
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inp_file = f'{self.master_config_loc}\{indicator}.ini'
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config_paser.read(inp_file, encoding='utf-16')
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return config_paser
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if __name__ == "__main__":
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# Testing on 12 years data. in/out sample data split: year
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TestIndicators(name="Apollo-dftest",
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start_date="2012.01.01",
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end_date="2022.01.01",
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chart_period="Daily",
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custom_loss_function="1", # 1 = no trade limit
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symbol_mode="1",
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data_split="month"
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)
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OptimiseIndicators(name="Apollo-opt",
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start_date="2012.01.01",
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end_date="2022.01.01",
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chart_period="Daily",
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custom_loss_function="4", # 400 trades min
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symbol_mode="1",
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data_split="month"
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)
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