Merge pull request #12 from mhallsmoore/unrealised_pnl

Added the ability for the backtester to use unrealised PnL from the P…

backtest/backtest.py

@@ -39,6 +39,7 @@ def backtest(
             if event is not None:
                 if event.type == 'TICK':
                     strategy.calculate_signals(event)
+                    portfolio.update_portfolio(event)
                 elif event.type == 'SIGNAL':
                     portfolio.execute_signal(event)
                 elif event.type == 'ORDER':
@@ -70,7 +71,9 @@ if __name__ == "__main__":
     )
 
     # Create the portfolio object to track trades
-    portfolio = Portfolio(ticker, events, equity=equity)
+    portfolio = Portfolio(
+        ticker, events, equity=equity, backtest=True
+    )
 
     # Create the simulated execution handler
     execution = SimulatedExecution()

backtest/output.py

@@ -1,7 +1,13 @@
 import os, os.path
 
 import pandas as pd
+import matplotlib
+try:
+    matplotlib.use('TkAgg')
+except:
+    pass
 import matplotlib.pyplot as plt
+import seaborn as sns
 
 from qsforex.settings import OUTPUT_RESULTS_DIR
 
@@ -14,11 +20,29 @@ if __name__ == "__main__":
     It requires OUTPUT_RESULTS_DIR to be set in the project
     settings.
     """
+    sns.set_palette("deep", desat=.6)
+    sns.set_context(rc={"figure.figsize": (8, 4)})
+
     equity_file = os.path.join(OUTPUT_RESULTS_DIR, "equity.csv")
     equity = pd.io.parsers.read_csv(
-        equity_file, header=True, 
-        names=["time", "balance"], 
-        parse_dates=True, index_col=0
+        equity_file, parse_dates=True, header=0, index_col=0
     )
-    equity["balance"].plot()
-    plt.show()
+
+    # Plot three charts: Equity curve, period returns, drawdowns
+    fig = plt.figure()
+    fig.patch.set_facecolor('white')     # Set the outer colour to white
+    
+    # Plot the equity curve
+    ax1 = fig.add_subplot(311, ylabel='Portfolio value')
+    equity["Equity"].plot(ax=ax1, color=sns.color_palette()[0])
+
+    # Plot the returns
+    ax2 = fig.add_subplot(312, ylabel='Period returns')
+    equity['Returns'].plot(ax=ax2, color=sns.color_palette()[1])
+
+    # Plot the returns
+    ax3 = fig.add_subplot(313, ylabel='Drawdowns')
+    equity['Drawdown'].plot(ax=ax3, color=sns.color_palette()[2])
+
+    # Plot the figure
+    plt.show()

performance/performance.py

@@ -0,0 +1,32 @@
+import numpy as np
+import pandas as pd
+
+
+def create_drawdowns(pnl):
+    """
+    Calculate the largest peak-to-trough drawdown of the PnL curve
+    as well as the duration of the drawdown. Requires that the 
+    pnl_returns is a pandas Series.
+
+    Parameters:
+    pnl - A pandas Series representing period percentage returns.
+
+    Returns:
+    drawdown, duration - Highest peak-to-trough drawdown and duration.
+    """
+
+    # Calculate the cumulative returns curve 
+    # and set up the High Water Mark
+    hwm = [0]
+
+    # Create the drawdown and duration series
+    idx = pnl.index
+    drawdown = pd.Series(index = idx)
+    duration = pd.Series(index = idx)
+
+    # Loop over the index range
+    for t in range(1, len(idx)):
+        hwm.append(max(hwm[t-1], pnl[t]))
+        drawdown[t]= (hwm[t]-pnl[t])
+        duration[t]= (0 if drawdown[t] == 0 else duration[t-1]+1)
+    return drawdown, drawdown.max(), duration.max()

portfolio/portfolio.py

@@ -7,6 +7,7 @@ import os
 import pandas as pd
 
 from qsforex.event.event import OrderEvent
+from qsforex.performance.performance import create_drawdowns
 from qsforex.portfolio.position import Position
 from qsforex.settings import OUTPUT_RESULTS_DIR
 
@@ -14,7 +15,8 @@ from qsforex.settings import OUTPUT_RESULTS_DIR
 class Portfolio(object):
     def __init__(
         self, ticker, events, home_currency="GBP", leverage=20, 
-        equity=Decimal("100000.00"), risk_per_trade=Decimal("0.02")
+        equity=Decimal("100000.00"), risk_per_trade=Decimal("0.02"),
+        backtest=True
     ):
         self.ticker = ticker
         self.events = events
@@ -23,9 +25,10 @@ class Portfolio(object):
         self.equity = equity
         self.balance = deepcopy(self.equity)
         self.risk_per_trade = risk_per_trade
+        self.backtest = backtest
         self.trade_units = self.calc_risk_position_size()
         self.positions = {}
-        self.equity = []
+        self.backtest_file = self.create_equity_file()
 
     def calc_risk_position_size(self):
         return self.equity * self.risk_per_trade
@@ -66,16 +69,61 @@ class Portfolio(object):
             del[self.positions[currency_pair]]
             return True
 
-    def append_equity_row(self, time, balance):
-        d = {"time": time, "balance": balance}
-        self.equity.append(d)
+    def create_equity_file(self):
+        filename = "backtest.csv"
+        out_file = open(os.path.join(OUTPUT_RESULTS_DIR, filename), "w")
+        header = "Timestamp,Balance"
+        for pair in self.ticker.pairs:
+            header += ",%s" % pair
+        header += "\n"
+        out_file.write(header)
+        if self.backtest:
+            print(header[:-2])
+        return out_file
 
     def output_results(self):
-        filename = "equity.csv"
-        out_file = os.path.join(OUTPUT_RESULTS_DIR, filename)
-        df_equity = pd.DataFrame.from_records(self.equity, index='time')
-        df_equity.to_csv(out_file)
-        print("Simulation complete and results exported to %s" % filename)
+        # Closes off the Backtest.csv file so it can be 
+        # read via Pandas without problems
+        self.backtest_file.close()
+        
+        in_filename = "backtest.csv"
+        out_filename = "equity.csv" 
+        in_file = os.path.join(OUTPUT_RESULTS_DIR, in_filename)
+        out_file = os.path.join(OUTPUT_RESULTS_DIR, out_filename)
+
+        # Create equity curve dataframe
+        df = pd.read_csv(in_file, index_col=0)
+        df.dropna(inplace=True)
+        df["Total"] = df.sum(axis=1)
+        df["Returns"] = df["Total"].pct_change()
+        df["Equity"] = (1.0+df["Returns"]).cumprod()
+        
+        # Create drawdown statistics
+        drawdown, max_dd, dd_duration = create_drawdowns(df["Equity"])
+        df["Drawdown"] = drawdown
+        df.to_csv(out_file, index=True)
+        
+        print("Simulation complete and results exported to %s" % out_filename)
+
+    def update_portfolio(self, tick_event):
+        """
+        This updates all positions ensuring an up to date
+        unrealised profit and loss (PnL).
+        """
+        currency_pair = tick_event.instrument
+        if currency_pair in self.positions:
+            ps = self.positions[currency_pair]
+            ps.update_position_price()
+        out_line = "%s,%s" % (tick_event.time, self.balance)
+        for pair in self.ticker.pairs:
+            if pair in self.positions:
+                out_line += ",%s" % self.positions[currency_pair].profit_base
+            else:
+                out_line += ",0.00"
+        out_line += "\n"
+        if self.backtest:
+            print(out_line[:-2])
+        self.backtest_file.write(out_line)
 
     def execute_signal(self, signal_event):       
         side = signal_event.side
@@ -124,7 +172,4 @@ class Portfolio(object):
 
         order = OrderEvent(currency_pair, units, "market", side)
         self.events.put(order)
-
-        print("Balance: %0.2f" % self.balance)
-        self.append_equity_row(time, self.balance)
         

portfolio/position_test.py

@@ -11,6 +11,7 @@ class TickerMock(object):
     """
 
     def __init__(self):
+        self.pairs = ["GBPUSD", "EURUSD"]
         self.prices = {
             "GBPUSD": {"bid": Decimal("1.50328"), "ask": Decimal("1.50349")},
             "USDGBP": {"bid": Decimal("0.66521"), "ask": Decimal("0.66512")},
@@ -18,6 +19,7 @@ class TickerMock(object):
         }
 
 
+
 # =====================================
 # GBP Home Currency with GBP/USD traded
 # =====================================

requirements.txt

@@ -1,15 +1,15 @@
-argparse==1.2.1
-ipython==2.3.1
+ipython==3.1.0
 matplotlib==1.4.3
 mock==1.0.1
 nose==1.3.6
-numpy==1.9.1
-pandas==0.15.2
+numpy==1.9.2
+pandas==0.16.1
 pyparsing==2.0.3
-python-dateutil==2.4.0
+python-dateutil==2.4.2
 pytz==2014.10
-requests==2.5.1
-scikit-learn==0.15.2
+requests==2.7.0
+scikit-learn==0.16.1
 scipy==0.15.1
+seaborn==0.5.1
 six==1.9.0
-wsgiref==0.1.2
+urllib3==1.10.4

trading/trading.py

@@ -31,6 +31,7 @@ def trade(events, strategy, portfolio, execution, heartbeat):
             if event is not None:
                 if event.type == 'TICK':
                     strategy.calculate_signals(event)
+                    portfolio.update_portfolio(event)
                 elif event.type == 'SIGNAL':
                     portfolio.execute_signal(event)
                 elif event.type == 'ORDER':
@@ -63,7 +64,9 @@ if __name__ == "__main__":
     # Create the portfolio object that will be used to
     # compare the OANDA positions with the local, to
     # ensure backtesting integrity.
-    portfolio = Portfolio(prices, events, equity=equity)
+    portfolio = Portfolio(
+        prices, events, equity=equity, backtest=False
+    )
 
     # Create the execution handler making sure to
     # provide authentication commands