Implementation of the starter system from Leveraged Trading by Rob Ca…

…rver

.gitignore

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+# Quant connect
+data/
+starter_system/backtests
+
+### Python template
+# Byte-compiled / optimized / DLL files
+__pycache__/
+*.py[cod]
+*$py.class
+
+# C extensions
+*.so
+
+# Distribution / packaging
+.Python
+build/
+develop-eggs/
+dist/
+downloads/
+eggs/
+.eggs/
+lib/
+lib64/
+parts/
+sdist/
+var/
+wheels/
+share/python-wheels/
+*.egg-info/
+.installed.cfg
+*.egg
+MANIFEST
+
+# PyInstaller
+#  Usually these files are written by a python script from a template
+#  before PyInstaller builds the exe, so as to inject date/other infos into it.
+*.manifest
+*.spec
+
+# Installer logs
+pip-log.txt
+pip-delete-this-directory.txt
+
+# Unit test / coverage reports
+htmlcov/
+.tox/
+.nox/
+.coverage
+.coverage.*
+.cache
+nosetests.xml
+coverage.xml
+*.cover
+*.py,cover
+.hypothesis/
+.pytest_cache/
+cover/
+
+# Translations
+*.mo
+*.pot
+
+# Django stuff:
+*.log
+local_settings.py
+db.sqlite3
+db.sqlite3-journal
+
+# Flask stuff:
+instance/
+.webassets-cache
+
+# Scrapy stuff:
+.scrapy
+
+# Sphinx documentation
+docs/_build/
+
+# PyBuilder
+.pybuilder/
+target/
+
+# Jupyter Notebook
+.ipynb_checkpoints
+
+# IPython
+profile_default/
+ipython_config.py
+
+# pyenv
+#   For a library or package, you might want to ignore these files since the code is
+#   intended to run in multiple environments; otherwise, check them in:
+# .python-version
+
+# pipenv
+#   According to pypa/pipenv#598, it is recommended to include Pipfile.lock in version control.
+#   However, in case of collaboration, if having platform-specific dependencies or dependencies
+#   having no cross-platform support, pipenv may install dependencies that don't work, or not
+#   install all needed dependencies.
+#Pipfile.lock
+
+# PEP 582; used by e.g. github.com/David-OConnor/pyflow
+__pypackages__/
+
+# Celery stuff
+celerybeat-schedule
+celerybeat.pid
+
+# SageMath parsed files
+*.sage.py
+
+# Environments
+.env
+.venv
+env/
+venv/
+ENV/
+env.bak/
+venv.bak/
+
+# Spyder project settings
+.spyderproject
+.spyproject
+
+# Rope project settings
+.ropeproject
+
+# mkdocs documentation
+/site
+
+# mypy
+.mypy_cache/
+.dmypy.json
+dmypy.json
+
+# Pyre type checker
+.pyre/
+
+# pytype static type analyzer
+.pytype/
+
+# Cython debug symbols
+cython_debug/
+

Library/acorn/constants.py

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+import math
+
+CALENDAR_DAYS_IN_YEAR = 365.25
+BUSINESS_DAYS_IN_YEAR = 256
+# Assume 256 business days in a year. Assume no returns are iid. Therefore, we can divide by sqrt(256)=16.
+ROOT_BDAYS_INYEAR = math.sqrt(BUSINESS_DAYS_IN_YEAR)

Library/acorn/datavalidation.py

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+from datetime import timedelta
+
+from QuantConnect.Algorithm import QCAlgorithm
+from QuantConnect.Data import Slice
+from System import Exception
+
+
+class DataValidator:
+    def __init__(self, api: QCAlgorithm, tolerance=0.25):
+        self.api = api
+        self.high_tolerance = 1 + tolerance
+        self.low_tolerance = 1 - tolerance
+        self.last_data = None
+
+    def validate(self, data: Slice):
+        if self.last_data is None:
+            self.last_data = data
+            return
+
+        for symbol, bar in data.items():
+            if symbol in self.last_data:
+                last_bar = self.last_data[symbol]
+
+                pairs = ((bar.Bid.Open, last_bar.Bid.Open),
+                         # (bar.Bid.High, last_bar.Bid.High),
+                         # (bar.Bid.Low, last_bar.Bid.Low),
+                         (bar.Bid.Close, last_bar.Bid.Close),
+                         (bar.Ask.Open, last_bar.Ask.Open),
+                         # (bar.Ask.High, last_bar.Ask.High),
+                         # (bar.Ask.Low, last_bar.Ask.Low),
+                         (bar.Ask.Close, last_bar.Ask.Close))
+                for val, last_val in pairs:
+                    if val > last_val * self.high_tolerance or val < last_val * self.low_tolerance:
+                        raise Exception(f'bad data for symbol {symbol}\n'
+                                        f'last_bar: {last_bar.EndTime} {last_bar}\n'
+                                        f' new_bar: {bar.EndTime} {bar}')
+
+                if bar.EndTime - last_bar.EndTime > timedelta(days=5):
+                    self.api.Error(f"bad data for symbol {symbol} - gap between bars greater than 5 days\n"
+                                   f'last_bar: {last_bar.EndTime} {last_bar}\n'
+                                   f' new_bar: {bar.EndTime} {bar}')
+
+        self.last_data = data

Library/acorn/enums.py

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+from System import Enum
+
+
+class CapitalCorrection(Enum):
+    FIXED = 0
+    FULL_COMPOUNDING = 1
+    # TODO implement half compounding
+    HALF_COMPOUNDING = 2

Library/acorn/forecast.py

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+from collections import namedtuple
+from typing import Dict, Tuple, List
+
+from QuantConnect.Data import Slice
+
+from acorn.rules import Rule
+
+FORECAST_CAP = 20
+
+
+def capped_forecast(raw_forecast) -> float:
+    if raw_forecast > 0:
+        return min(FORECAST_CAP, raw_forecast)
+    elif raw_forecast < 0:
+        return max(-FORECAST_CAP, raw_forecast)
+    else:
+        return 0.0
+
+
+Forecast = namedtuple('Forecast', 'name weight forecast')
+
+class Forecaster:
+    def __init__(self, rules: List[Tuple[float, Rule]]):
+        self.rules = rules
+
+    def forecast(self, data: Slice) -> (float, List[Forecast]):
+        forecasts = []
+        for weight, rule in self.rules:
+            rule_forecast = rule.forecast(data)
+
+            forecast = capped_forecast(rule_forecast)
+
+            forecasts.append(Forecast(rule.name, weight, forecast))
+
+        return sum([f.weight * f.forecast for f in forecasts]), forecasts
+
+    def ready(self):
+        return all([rule.ready() for _, rule in self.rules])

Library/acorn/instrument_data.csv

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+market,symbol,description,leverage,asset_class
+oanda,USDCHF,USD/CHF,25,FX
+oanda,GBPPLN,GBP/PLN,20,FX
+oanda,CHFJPY,CHF/JPY,25,FX
+oanda,EURHUF,EUR/HUF,20,FX
+oanda,ZARJPY,ZAR/JPY,20,FX
+oanda,AUDCHF,AUD/CHF,20,FX
+oanda,NZDSGD,NZD/SGD,20,FX
+oanda,EURAUD,EUR/AUD,20,FX
+oanda,GBPNZD,GBP/NZD,20,FX
+oanda,AUDNZD,AUD/NZD,20,FX
+oanda,EURCHF,EUR/CHF,25,FX
+oanda,EURSEK,EUR/SEK,20,FX
+oanda,USDSGD,USD/SGD,20,FX
+oanda,USDCNH,USD/CNH,20,FX
+oanda,GBPZAR,GBP/ZAR,20,FX
+oanda,USDCZK,USD/CZK,20,FX
+oanda,SGDCHF,SGD/CHF,20,FX
+oanda,AUDUSD,AUD/USD,20,FX
+oanda,AUDJPY,AUD/JPY,20,FX
+oanda,EURSGD,EUR/SGD,20,FX
+oanda,AUDCAD,AUD/CAD,20,FX
+oanda,NZDHKD,NZD/HKD,10,FX
+oanda,GBPHKD,GBP/HKD,10,FX
+oanda,USDHKD,USD/HKD,10,FX
+oanda,USDHUF,USD/HUF,20,FX
+oanda,NZDCHF,NZD/CHF,20,FX
+oanda,EURNOK,EUR/NOK,20,FX
+oanda,NZDUSD,NZD/USD,20,FX
+oanda,USDTHB,USD/THB,20,FX
+oanda,GBPCHF,GBP/CHF,25,FX
+oanda,EURJPY,EUR/JPY,30,FX
+oanda,USDPLN,USD/PLN,20,FX
+oanda,CHFZAR,CHF/ZAR,20,FX
+oanda,EURNZD,EUR/NZD,20,FX
+oanda,EURHKD,EUR/HKD,10,FX
+oanda,EURGBP,EUR/GBP,30,FX
+oanda,EURCAD,EUR/CAD,30,FX
+oanda,SGDJPY,SGD/JPY,20,FX
+oanda,CADHKD,CAD/HKD,10,FX
+oanda,AUDSGD,AUD/SGD,20,FX
+oanda,USDZAR,USD/ZAR,20,FX
+oanda,USDINR,USD/INR,20,FX
+oanda,TRYJPY,TRY/JPY,4, FX
+oanda,EURPLN,EUR/PLN,20,FX
+oanda,HKDJPY,HKD/JPY,10,FX
+oanda,CADSGD,CAD/SGD,20,FX
+oanda,EURCZK,EUR/CZK,20,FX
+oanda,EURTRY,EUR/TRY,4, FX
+oanda,USDJPY,USD/JPY,30,FX
+oanda,GBPUSD,GBP/USD,30,FX
+oanda,USDMXN,USD/MXN,20,FX
+oanda,EURZAR,EUR/ZAR,20,FX
+oanda,GBPJPY,GBP/JPY,30,FX
+oanda,USDTRY,USD/TRY,4, FX
+oanda,CADJPY,CAD/JPY,30,FX
+oanda,USDDKK,USD/DKK,20,FX
+oanda,USDCAD,USD/CAD,30,FX
+oanda,USDNOK,USD/NOK,20,FX
+oanda,GBPSGD,GBP/SGD,20,FX
+oanda,USDSEK,USD/SEK,20,FX
+oanda,AUDHKD,AUD/HKD,10,FX
+oanda,CHFHKD,CHF/HKD,10,FX
+oanda,GBPCAD,GBP/CAD,30,FX
+oanda,EURDKK,EUR/DKK,10,FX
+oanda,CADCHF,CAD/CHF,25,FX
+oanda,NZDJPY,NZD/JPY,20,FX
+oanda,EURUSD,EUR/USD,30,FX
+oanda,GBPAUD,GBP/AUD,20,FX
+oanda,NZDCAD,NZD/CAD,20,FX
+oanda,USB05YUSD,US 5Y T-Note,5,Bond
+oanda,USB02YUSD,US 2Y T-Note,5,Bond
+oanda,USB10YUSD,US 10Y T-Note,5,Bond
+oanda,DE10YBEUR,Bund,5,Bond
+oanda,UK10YBGBP,UK 10Y Gilt,5,Bond
+oanda,USB30YUSD,US T-Bond,5,Bond
+oanda,XAGHKD,Silver/HKD,10,Metals
+oanda,XAUSGD,Gold/SGD,20,Metals
+oanda,XAGAUD,Silver/AUD,10,Metals
+oanda,XAGUSD,Silver,10,Metals
+oanda,XAUAUD,Gold/AUD,20,Metals
+oanda,XAUNZD,Gold/NZD,20,Metals
+oanda,XAUUSD,Gold,20,Metals
+oanda,XAGEUR,Silver/EUR,10,Metals
+oanda,XAUGBP,Gold/GBP,20,Metals
+oanda,XAUCAD,Gold/CAD,20,Metals
+oanda,XAUCHF,Gold/CHF,20,Metals
+oanda,XAUXAG,Gold/Silver,10,Metals
+oanda,XAUEUR,Gold/EUR,20,Metals
+oanda,XAGCHF,Silver/CHF,10,Metals
+oanda,XAGCAD,Silver/CAD,10,Metals
+oanda,XAGGBP,Silver/GBP,10,Metals
+oanda,XAUHKD,Gold/HKD,20,Metals
+oanda,XAUJPY,Gold/JPY,20,Metals
+oanda,XAGSGD,Silver/SGD,10,Metals
+oanda,XAGNZD,Silver/NZD,10,Metals
+oanda,XAGJPY,Silver/JPY,10,Metals
+oanda,XCUUSD,Copper,10,Metals
+oanda,XPTUSD,Platinum,10,Metals
+oanda,XPDUSD,Palladium,10,Metals
+oanda,SUGARUSD,Sugar,10,Ags
+oanda,CORNUSD,Corn,10,Ags
+oanda,WHEATUSD,Wheat,10,Ags
+oanda,SOYBNUSD,Soybeans,10,Ags
+oanda,BCOUSD,Brent Crude Oil,10,OilGas
+oanda,NATGASUSD,Natural Gas,10,OilGas
+oanda,WTICOUSD,West Texas Oil,10,OilGas
+oanda,NAS100USD,US Nas 100,20,Equity
+oanda,US30USD,US Wall St 30,20,Equity
+oanda,SPX500USD,US SPX 500,20,Equity
+oanda,CH20CHF,Swiss 20,10,Equity
+oanda,UK100GBP,UK 100,20,Equity
+oanda,SG30SGD,Singapore 30,10,Equity
+oanda,AU200AUD,Australia 200,20,Equity
+oanda,NL25EUR,Netherlands 25,10,Equity
+oanda,FR40EUR,France 40,20,Equity
+oanda,EU50EUR,Europe 50,20,Equity
+oanda,HK33HKD,Hong Kong 33,10,Equity
+oanda,US2000USD,US Russ 2000,10,Equity
+oanda,DE30EUR,Germany 30,20,Equity
+oanda,JP225USD,Japan 225,20,Equity

Library/acorn/reporting.py

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+import json
+import re
+from pathlib import Path
+
+scatter_marker_map = {
+    'circle': 'circle',
+    'square': 'square',
+    'diamond': 'diamond',
+    'triangle': 'triangle',
+    'triangle-down': 'inverted_triangle'
+}
+
+
+def latest_backtest_results_path(project) -> Path:
+    path = Path(project)
+    list_of_paths = (path / 'backtests').glob('*-*-*_*-*-*');
+    return max(list_of_paths, key=lambda p: p.stat().st_ctime)
+
+
+def results_json(results_path: Path) -> dict:
+    results_file = [p for p in results_path.glob("*.json") if re.match(r'\d+.json', p.name)]
+    assert len(results_file) == 1
+    return json.load(open(results_file[0]))
+
+