CODEWITHSUNDEEP
pythontrading
user3525837
user3525837

Reputation: 57

Backtesting multiple stocks using Python

I am now using Pyalgotrade, which is a popular python library for testing trading strategy. I want to write a loop which can test couples of stocks one after another.

Suppose I want to put the following 6 stocks into this strategy, and tun each stock one time and get several results. How can I write that loop?

Stocks = [AAPL, EBAY, NFLX, BBY, GOOG, WBAI]

from pyalgotrade import strategy
from pyalgotrade.barfeed import yahoofeed
from pyalgotrade.technical import ma
from pyalgotrade.tools import yahoofinance


class MyStrategy(strategy.BacktestingStrategy):
    def __init__(self, feed, instrument, smaPeriod):
        strategy.BacktestingStrategy.__init__(self, feed, 1000)
        self.__position = None
        self.__instrument = instrument
        # We'll use adjusted close values instead of regular close values.
        self.setUseAdjustedValues(True)
        self.__sma = ma.SMA(feed[instrument].getAdjCloseDataSeries(), smaPeriod)

    def onEnterOk(self, position):
        execInfo = position.getEntryOrder().getExecutionInfo()
        self.info("BUY at $%.2f" % (execInfo.getPrice()))

    def onEnterCanceled(self, position):
        self.__position = None

    def onExitOk(self, position):
        execInfo = position.getExitOrder().getExecutionInfo()
        self.info("SELL at $%.2f" % (execInfo.getPrice()))
        self.__position = None

    def onExitCanceled(self, position):
        # If the exit was canceled, re-submit it.
        self.__position.exitMarket()

    def onBars(self, bars):
        # Wait for enough bars to be available to calculate a SMA.
        if self.__sma[-1] is None:
            return

        bar = bars[self.__instrument]
        # If a position was not opened, check if we should enter a long position.
        if self.__position is None:
            if bar.getAdjClose() > self.__sma[-1]:
                # Enter a buy market order for 10 shares. The order is good till canceled.
                self.__position = self.enterLong(self.__instrument, 10, True)
        # Check if we have to exit the position.
        elif bar.getAdjClose() < self.__sma[-1]:
            self.__position.exitMarket()



def run_strategy(smaPeriod):
    instruments = ["AAPL"]

        # Download the bars.
    feed = yahoofinance.build_feed(instruments, 2011, 2013, ".")

        # Evaluate the strategy with the feed's bars.
    myStrategy = MyStrategy(feed, "AAPL", smaPeriod)
    myStrategy.run()
    print "Final portfolio value: $%.2f" % myStrategy.getBroker().getEquity()

run_strategy(10)

Upvotes: 1

Views: 4462

Answers (2)

Tabdef202
Tabdef202

Reputation: 1

I guess ScrenningTale will be a better and easier backtesting option for those having limited knowledge of coding.

Upvotes: 0

user3327057
user3327057

Reputation: 26

def run_strategy(smaPeriod,inst):

        # Download the bars.
    feed = yahoofinance.build_feed([inst], 2011, 2013, ".")

        # Evaluate the strategy with the feed's bars.
    myStrategy = MyStrategy(feed, inst, smaPeriod)
    myStrategy.run()
    print "Final portfolio value: $%.2f" % myStrategy.getBroker().getEquity()
def main():
    instruments = ["AAPL","EBAY", "NFLX", "BBY"]
    for inst in instruments:
            run_strategy(10,inst)
if __name__ == '__main__':
        main()

Upvotes: 1

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