Lots of changes. Modified the Position object to handle more of the actual position calculations instead of the Portfolio. Added more unit tests for both Position and Portfolio. Allowed Positions to trade in currencies other than GBPUSD and in base/quotes which aren't the home currency. Modified the backtester to be single-threaded and added a basic Moving Average Crossover strategy. Also added a basic equity curve output script.
This commit is contained in:
Michael Halls-Moore
+86
-30
@@ -3,51 +3,107 @@ from decimal import Decimal, getcontext, ROUND_HALF_DOWN
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class Position(object):
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def __init__(
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self, position_type, market,
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units, exposure, bid, ask
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self, home_currency, position_type,
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currency_pair, units, ticker
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):
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self.home_currency = home_currency # Account denomination (e.g. GBP)
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self.position_type = position_type # Long or short
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self.market = market
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self.currency_pair = currency_pair # Intended traded currency pair
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self.units = units
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self.exposure = Decimal(str(exposure))
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self.ticker = ticker
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self.set_up_currencies()
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self.profit_base = self.calculate_profit_base()
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self.profit_perc = self.calculate_profit_perc()
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# Long or short
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def set_up_currencies(self):
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self.base_currency = self.currency_pair[:3] # For EUR/USD, this is EUR
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self.quote_currency = self.currency_pair[3:] # For EUR/USD, this is USD
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# For EUR/USD, with account denominated in GBP, this is USD/GBP
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self.quote_home_currency_pair = "%s%s" % (self.quote_currency, self.home_currency)
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ticker_cur = self.ticker.prices[self.currency_pair]
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if self.position_type == "long":
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self.avg_price = Decimal(str(ask))
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self.cur_price = Decimal(str(bid))
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self.avg_price = Decimal(str(ticker_cur["ask"]))
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self.cur_price = Decimal(str(ticker_cur["bid"]))
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else:
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self.avg_price = Decimal(str(bid))
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self.cur_price = Decimal(str(ask))
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self.profit_base = self.calculate_profit_base(self.exposure)
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self.profit_perc = self.calculate_profit_perc(self.exposure)
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self.avg_price = Decimal(str(ticker_cur["bid"]))
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self.cur_price = Decimal(str(ticker_cur["ask"]))
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def calculate_pips(self):
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getcontext.prec = 6
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mult = Decimal("1")
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if self.position_type == "long":
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mult = Decimal("1")
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elif self.position_type == "short":
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mult = Decimal("-1")
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return (mult * (self.cur_price - self.avg_price)).quantize(
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pips = (mult * (self.cur_price - self.avg_price)).quantize(
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Decimal("0.00001"), ROUND_HALF_DOWN
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)
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return pips
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def calculate_profit_base(self, exposure):
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pips = self.calculate_pips()
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return (pips * exposure / self.cur_price).quantize(
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Decimal("0.00001"), ROUND_HALF_DOWN
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)
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def calculate_profit_perc(self, exposure):
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return (self.profit_base / exposure * Decimal("100.00")).quantize(
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Decimal("0.00001"), ROUND_HALF_DOWN
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)
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def update_position_price(self, bid, ask, exposure):
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def calculate_profit_base(self):
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pips = self.calculate_pips()
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ticker_qh = self.ticker.prices[self.quote_home_currency_pair]
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if self.position_type == "long":
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self.cur_price = Decimal(str(bid))
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qh_close = ticker_qh["bid"]
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else:
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self.cur_price = Decimal(str(ask))
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self.profit_base = self.calculate_profit_base(exposure)
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self.profit_perc = self.calculate_profit_perc(exposure)
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qh_close = ticker_qh["ask"]
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profit = pips * qh_close * self.units
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return profit.quantize(
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Decimal("0.00001"), ROUND_HALF_DOWN
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)
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def calculate_profit_perc(self):
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return (self.profit_base / self.units * Decimal("100.00")).quantize(
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Decimal("0.00001"), ROUND_HALF_DOWN
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)
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def update_position_price(self):
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ticker_cur = self.ticker.prices[self.currency_pair]
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if self.position_type == "long":
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self.cur_price = Decimal(str(ticker_cur["bid"]))
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else:
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self.cur_price = Decimal(str(ticker_cur["ask"]))
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self.profit_base = self.calculate_profit_base()
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self.profit_perc = self.calculate_profit_perc()
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def add_units(self, units):
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cp = self.ticker.prices[self.currency_pair]
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if self.position_type == "long":
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add_price = cp["ask"]
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else:
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add_price = cp["bid"]
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new_total_units = self.units + units
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new_total_cost = self.avg_price*self.units + add_price*units
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self.avg_price = new_total_cost/new_total_units
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self.units = new_total_units
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self.update_position_price()
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def remove_units(self, units):
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dec_units = Decimal(str(units))
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ticker_cp = self.ticker.prices[self.currency_pair]
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ticker_qh = self.ticker.prices[self.quote_home_currency_pair]
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if self.position_type == "long":
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remove_price = ticker_cp["ask"]
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qh_close = ticker_qh["bid"]
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else:
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remove_price = ticker_cp["bid"]
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qh_close = ticker_qh["ask"]
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self.units -= dec_units
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self.update_position_price()
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# Calculate PnL
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pnl = self.calculate_pips() * qh_close * dec_units
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return pnl.quantize(Decimal("0.01", ROUND_HALF_DOWN))
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def close_position(self):
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ticker_cp = self.ticker.prices[self.currency_pair]
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ticker_qh = self.ticker.prices[self.quote_home_currency_pair]
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if self.position_type == "long":
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remove_price = ticker_cp["ask"]
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qh_close = ticker_qh["bid"]
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else:
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remove_price = ticker_cp["bid"]
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qh_close = ticker_qh["ask"]
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self.update_position_price()
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# Calculate PnL
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pnl = self.calculate_pips() * qh_close * self.units
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return pnl.quantize(Decimal("0.01", ROUND_HALF_DOWN))
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