Areix-IO 0.1.0

Areix IO Backtesting Framework

Areix IO (Alpha Test)

Installation

Create a virtual environment

virtualenv venv --python=python3

Activate the virtual environment

# Macbook / Linus
source venv/bin/activate 

# Windows
venv/Scripts/activate

Deactivate

deactivate

Install Areix-IO package

pip install Areix-IO

Usage

import areix_io as aio

class MyStrategy(aio.Strategy):
    def initialize(self):
        self.info('initialize')
        self._first = True
        for k,df in self.ctx.feed.items():
            df['ma5'] = df.close.rolling(5).mean()
            df['ma10'] = df.close.rolling(10).mean()
            df['ma20'] = df.close.rolling(20).mean()
    
    def before_trade(self, order):
        return True

    def on_order_ok(self, order):
        # self.debug('submit order successfully:')
        # self.debug(order)
        pass

    def on_market_start(self):
        # self.info('=======Strategy=======on_market_start')
        pass

    def on_market_close(self):
        # self.info('========Strategy======on_market_close======')
        pass

    def finish(self):
        self.info('finish')

    def on_bar(self, tick):
        tick_data = self.ctx.tick_data
        hist_data = self.ctx.hist_data

        for code, hist in tick_data.items():

            if hist['ma5'] > 1.03 * hist['ma20']:
                self.ctx.broker.order_lotsize(code, lots=1, side='BY')
                self.info(f"Buy {tick_data[code]['lot_size']} {code} @ {tick_data[code]['close']} at {tick}")


            if hist['ma5'] < 0.98 * hist['ma20'] and code in self.ctx.position:
                self.ctx.broker.order_lotsize(code, lots=1, side='SL')
                self.info(f"Sell {tick_data[code]['lot_size']} {code} @ {tick_data[code]['close']} at {tick}")

Run your strategy:

aio.set_token('xxxxxx') # Only need to run once
base = aio.create_report_folder()
start_date = '2020-10-13'
end_date = '2021-01-21'

sdf = aio.StockDataFeed(
    symbols=['0700.HK', '0005.HK', '^HSI'], 
    start_date=start_date, 
    end_date=end_date,  
    # period= '1y', 
    interval='1d', 
    order_ascending=True, 
    store_path=base
)
feed, idx = sdf.fetch_data()
benchmark = feed.pop('^HSI')

mytest = aio.BackTest(
    feed, 
    MyStrategy, 
    commission_rate=0.0017, 
    min_commission=40, 
    trade_at='close', 
    benchmark=benchmark, 
    cash=1000000, 
    tradedays=idx, 
    store_path=base
)

mytest.start()

Retrieve statistic results:

prefix = 'v1'
mytest.ctx.statistic.data.to_csv(f'{prefix}data.csv')

mytest.export_json(f'{prefix}trade_records.json', mytest.ctx.trade_records)
mytest.export_json(f'{prefix}pnls.json', mytest.ctx.pnls)
mytest.export_csv(f'{prefix}pnls.csv', mytest.ctx.pnls)
mytest.export_json(f'{prefix}portfolio.json',  mytest.ctx.statistic.all_stats())

print(mytest.ctx.statistic.stats(pprint=True, annualization=252, risk_free=0.0442))

mytest.plot(f'{base}/{prefix}report.png', interactive=False)
mytest.plot(f'{base}/{prefix}report.html', interactive=True)