Added the ability for the backtester to use unrealised PnL from the Position objects to calculate a tick-by-tick equity curve. Added a performance directory that calculates drawdown statistics. Modified the output.py script to use Seaborn and output the equity curve, returns and drawdown curve.

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
 # =====================================