Source code for analysis_engine.scripts.backtest_with_runner

#!/usr/bin/env python

Algorithm Runner API Example Script

**Run Full Backtest**


**Run Algorithm with Latest Pricing Data**


Debug by adding ``-d`` as an argument

import sys
import argparse
import analysis_engine.utils as ae_utils
import analysis_engine.algo_runner as algo_runner
import analysis_engine.plot_trading_history as plot
import spylunking.log.setup_logging as log_utils

log = log_utils.build_colorized_logger(

[docs]def backtest_with_runner(): """backtest_with_runner build and publish a trading history from an algorithm config. :: -t TICKER -c ALGO_CONFIG -s START_DATE -k S3_KEY -b S3_BUCKET -l """ parser = argparse.ArgumentParser( description=( 'backtest an algorithm and publish ' 'the trading history')) parser.add_argument( '-t', help=('ticker symbol'), required=False, dest='ticker') parser.add_argument( '-k', help=('s3_key'), required=False, dest='s3_key') parser.add_argument( '-b', help=('s3_bucket'), required=False, dest='s3_bucket') parser.add_argument( '-s', help=('start date format YYYY-MM-DD'), required=False, dest='start_date') parser.add_argument( '-c', help=('algo config file'), required=False, dest='algo_config') parser.add_argument( '-l', help=( 'run a backtest with the latest ' 'pricing data'), required=False, dest='latest', action='store_true') parser.add_argument( '-d', help='debug', required=False, dest='debug', action='store_true') args = parser.parse_args() ticker = 'SPY' s3_bucket = ( f'algohistory') s3_key = ( f'trade_history_{ticker}') start_date = ( f'2019-01-01') algo_config = ( f'/opt/sa/cfg/default_algo.json') latest = False show_plot = True debug = False if args.ticker: ticker = args.ticker.upper() if args.s3_key: s3_key = args.s3_key if args.s3_bucket: s3_bucket = args.s3_bucket if args.start_date: start_date = args.start_date if args.algo_config: algo_config = args.algo_config if args.latest: latest = True start_date = ae_utils.get_last_close_str() if args.debug: debug = True history_loc = ( f's3://{s3_bucket}/{s3_key}') f'building {ticker} trade history ' f'start_date={start_date} ' f'config={algo_config} ' f'history_loc={history_loc}') runner = algo_runner.AlgoRunner( ticker=ticker, start_date=start_date, history_loc=history_loc, algo_config=algo_config, verbose_algo=debug, verbose_processor=False, verbose_indicators=False) trading_history_df = None if latest: trading_history_df = runner.latest() f'{ticker} latest:') print(trading_history_df[['minute', 'close']].tail(5)) f'Other available columns to plot:') print(trading_history_df.columns.values) if show_plot: plot.plot_trading_history( title=( f'{ticker} at ' f'${trading_history_df["close"].iloc[-1]} ' f'at: ' f'{trading_history_df["minute"].iloc[-1]}'), df=trading_history_df, red='high', blue='close') else: runner.start() sys.exit(0)
# end of backtest_with_runner if __name__ == '__main__': backtest_with_runner()