Java tutorial
// Copyright 2015 Ivan Popivanov // // Licensed under the Apache License, Version 2.0 (the "License"); // you may not use this file except in compliance with the License. // You may obtain a copy of the License at // // http://www.apache.org/licenses/LICENSE-2.0 // // Unless required by applicable law or agreed to in writing, software // distributed under the License is distributed on an "AS IS" BASIS, // WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. // See the License for the specific language governing permissions and // limitations under the License. package net.tradelib.apps; import java.io.File; import java.time.LocalDate; import java.time.LocalDateTime; import java.time.format.DateTimeFormatter; import java.util.HashMap; import java.util.Properties; import java.util.TreeMap; import java.util.logging.ConsoleHandler; import java.util.logging.FileHandler; import java.util.logging.Level; import java.util.logging.LogManager; import java.util.logging.Logger; import java.util.logging.SimpleFormatter; import javax.mail.PasswordAuthentication; import javax.mail.Session; import javax.mail.Transport; import javax.mail.internet.InternetAddress; import javax.mail.internet.MimeMessage; import javax.mail.internet.MimeMessage.RecipientType; import org.apache.commons.io.FileUtils; import net.tradelib.core.Average; import net.tradelib.core.Context; import net.tradelib.core.HistoricalDataFeed; import net.tradelib.core.HistoricalReplay; import net.tradelib.core.SQLDataFeed; import net.tradelib.core.Series; import net.tradelib.core.Strategy; import net.tradelib.core.TimeSeries; import net.tradelib.core.TradeSummary; import net.tradelib.misc.SftpUploader; import net.tradelib.misc.StrategyText; import com.google.common.base.Strings; import com.google.gson.JsonArray; import com.google.gson.JsonObject; public class StrategyBacktest { public static void run(Strategy strategy) throws Exception { // Setup the logging System.setProperty("java.util.logging.SimpleFormatter.format", "%1$tY-%1$tm-%1$td %1$tH:%1$tM:%1$tS: %4$s: %5$s%n%6$s%n"); LogManager.getLogManager().reset(); Logger rootLogger = Logger.getLogger(""); if (Boolean.parseBoolean(BacktestCfg.instance().getProperty("file.log", "true"))) { FileHandler logHandler = new FileHandler("diag.out", 8 * 1024 * 1024, 2, true); logHandler.setFormatter(new SimpleFormatter()); logHandler.setLevel(Level.FINEST); rootLogger.addHandler(logHandler); } if (Boolean.parseBoolean(BacktestCfg.instance().getProperty("console.log", "true"))) { ConsoleHandler consoleHandler = new ConsoleHandler(); consoleHandler.setFormatter(new SimpleFormatter()); consoleHandler.setLevel(Level.INFO); rootLogger.addHandler(consoleHandler); } rootLogger.setLevel(Level.INFO); // Setup Hibernate // Configuration configuration = new Configuration(); // StandardServiceRegistryBuilder builder = new StandardServiceRegistryBuilder().applySettings(configuration.getProperties()); // SessionFactory factory = configuration.buildSessionFactory(builder.build()); Context context = new Context(); context.dbUrl = BacktestCfg.instance().getProperty("db.url"); HistoricalDataFeed hdf = new SQLDataFeed(context); hdf.configure(BacktestCfg.instance().getProperty("datafeed.config", "config/datafeed.properties")); context.historicalDataFeed = hdf; HistoricalReplay hr = new HistoricalReplay(context); context.broker = hr; strategy.initialize(context); strategy.cleanupDb(); long start = System.nanoTime(); strategy.start(); long elapsedTime = System.nanoTime() - start; System.out.println("backtest took " + String.format("%.2f secs", (double) elapsedTime / 1e9)); start = System.nanoTime(); strategy.updateEndEquity(); strategy.writeExecutionsAndTrades(); strategy.writeEquity(); elapsedTime = System.nanoTime() - start; System.out .println("writing to the database took " + String.format("%.2f secs", (double) elapsedTime / 1e9)); System.out.println(); // Write the strategy totals to the database strategy.totalTradeStats(); // Write the strategy report to the database and obtain the JSON // for writing it to the console. JsonObject report = strategy.writeStrategyReport(); JsonArray asa = report.getAsJsonArray("annual_stats"); String csvPath = BacktestCfg.instance().getProperty("positions.csv.prefix"); if (!Strings.isNullOrEmpty(csvPath)) { csvPath += "-" + strategy.getLastTimestamp().toLocalDate().format(DateTimeFormatter.BASIC_ISO_DATE) + ".csv"; } String ordersCsvPath = BacktestCfg.instance().getProperty("orders.csv.suffix"); if (!Strings.isNullOrEmpty(ordersCsvPath)) { ordersCsvPath = strategy.getLastTimestamp().toLocalDate().format(DateTimeFormatter.BASIC_ISO_DATE) + "-" + strategy.getName() + ordersCsvPath; } String actionsPath = BacktestCfg.instance().getProperty("actions.file.suffix"); if (!Strings.isNullOrEmpty(actionsPath)) { actionsPath = strategy.getLastTimestamp().toLocalDate().format(DateTimeFormatter.BASIC_ISO_DATE) + "-" + strategy.getName() + actionsPath; } // If emails are being send out String signalText = StrategyText.build(context.dbUrl, strategy.getName(), strategy.getLastTimestamp().toLocalDate(), " ", csvPath, '|'); System.out.println(signalText); System.out.println(); if (!Strings.isNullOrEmpty(ordersCsvPath)) { StrategyText.buildOrdersCsv(context.dbUrl, strategy.getName(), strategy.getLastTimestamp().toLocalDate(), ordersCsvPath); } File actionsFile = Strings.isNullOrEmpty(actionsPath) ? null : new File(actionsPath); if (actionsFile != null) { FileUtils.writeStringToFile(actionsFile, signalText + System.getProperty("line.separator") + System.getProperty("line.separator")); } String message = ""; if (asa.size() > 0) { // Sort the array TreeMap<Integer, Integer> map = new TreeMap<Integer, Integer>(); for (int ii = 0; ii < asa.size(); ++ii) { int year = asa.get(ii).getAsJsonObject().get("year").getAsInt(); map.put(year, ii); } for (int id : map.values()) { JsonObject jo = asa.get(id).getAsJsonObject(); String yearStr = String.valueOf(jo.get("year").getAsInt()); String pnlStr = String.format("$%,d", jo.get("pnl").getAsInt()); String pnlPctStr = String.format("%.2f%%", jo.get("pnl_pct").getAsDouble()); String endEqStr = String.format("$%,d", jo.get("end_equity").getAsInt()); String ddStr = String.format("$%,d", jo.get("maxdd").getAsInt()); String ddPctStr = String.format("%.2f%%", jo.get("maxdd_pct").getAsDouble()); String str = yearStr + " PnL: " + pnlStr + ", PnL Pct: " + pnlPctStr + ", End Equity: " + endEqStr + ", MaxDD: " + ddStr + ", Pct MaxDD: " + ddPctStr; message += str + "\n"; } String pnlStr = String.format("$%,d", report.get("pnl").getAsInt()); String pnlPctStr = String.format("%.2f%%", report.get("pnl_pct").getAsDouble()); String ddStr = String.format("$%,d", report.get("avgdd").getAsInt()); String ddPctStr = String.format("%.2f%%", report.get("avgdd_pct").getAsDouble()); String gainToPainStr = String.format("%.4f", report.get("gain_to_pain").getAsDouble()); String str = "\nAvg PnL: " + pnlStr + ", Pct Avg PnL: " + pnlPctStr + ", Avg DD: " + ddStr + ", Pct Avg DD: " + ddPctStr + ", Gain to Pain: " + gainToPainStr; message += str + "\n"; } else { message += "\n"; } // Global statistics JsonObject jo = report.getAsJsonObject("total_peak"); String dateStr = jo.get("date").getAsString(); int maxEndEq = jo.get("equity").getAsInt(); jo = report.getAsJsonObject("total_maxdd"); double cash = jo.get("cash").getAsDouble(); double pct = jo.get("pct").getAsDouble(); message += "\n" + "Total equity peak [" + dateStr + "]: " + String.format("$%,d", maxEndEq) + "\n" + String.format("Current Drawdown: $%,d [%.2f%%]", Math.round(cash), pct) + "\n"; if (report.has("latest_peak") && report.has("latest_maxdd")) { jo = report.getAsJsonObject("latest_peak"); LocalDate ld = LocalDate.parse(jo.get("date").getAsString(), DateTimeFormatter.ISO_DATE); maxEndEq = jo.get("equity").getAsInt(); jo = report.getAsJsonObject("latest_maxdd"); cash = jo.get("cash").getAsDouble(); pct = jo.get("pct").getAsDouble(); message += "\n" + Integer.toString(ld.getYear()) + " equity peak [" + ld.format(DateTimeFormatter.ISO_DATE) + "]: " + String.format("$%,d", maxEndEq) + "\n" + String.format("Current Drawdown: $%,d [%.2f%%]", Math.round(cash), pct) + "\n"; } message += "\n" + "Avg Trade PnL: " + String.format("$%,d", Math.round(report.get("avg_trade_pnl").getAsDouble())) + ", Max DD: " + String.format("$%,d", Math.round(report.get("maxdd").getAsDouble())) + ", Max DD Pct: " + String.format("%.2f%%", report.get("maxdd_pct").getAsDouble()) + ", Num Trades: " + Integer.toString(report.get("num_trades").getAsInt()); System.out.println(message); if (actionsFile != null) { FileUtils.writeStringToFile(actionsFile, message + System.getProperty("line.separator"), true); } if (Boolean.parseBoolean(BacktestCfg.instance().getProperty("email.enabled", "false"))) { Properties props = new Properties(); props.put("mail.smtp.auth", "true"); props.put("mail.smtp.starttls.enable", "true"); props.put("mail.smtp.host", "smtp.sendgrid.net"); props.put("mail.smtp.port", "587"); String user = BacktestCfg.instance().getProperty("email.user"); String pass = BacktestCfg.instance().getProperty("email.pass"); Session session = Session.getInstance(props, new javax.mail.Authenticator() { protected PasswordAuthentication getPasswordAuthentication() { return new PasswordAuthentication(user, pass); } }); MimeMessage msg = new MimeMessage(session); try { msg.setFrom(new InternetAddress(BacktestCfg.instance().getProperty("email.from"))); msg.addRecipients(RecipientType.TO, BacktestCfg.instance().getProperty("email.recipients")); msg.setSubject(strategy.getName() + " Report [" + strategy.getLastTimestamp().format(DateTimeFormatter.ISO_LOCAL_DATE) + "]"); msg.setText("Positions & Signals\n" + signalText + "\n\nStatistics\n" + message); Transport.send(msg); } catch (Exception ee) { Logger.getLogger("").warning(ee.getMessage()); } } if (Boolean.parseBoolean(BacktestCfg.instance().getProperty("sftp.enabled", "false"))) { HashMap<String, String> fileMap = new HashMap<String, String>(); if (!Strings.isNullOrEmpty(actionsPath)) fileMap.put(actionsPath, actionsPath); if (!Strings.isNullOrEmpty(ordersCsvPath)) fileMap.put(ordersCsvPath, ordersCsvPath); String user = BacktestCfg.instance().getProperty("sftp.user"); String pass = BacktestCfg.instance().getProperty("sftp.pass"); String host = BacktestCfg.instance().getProperty("sftp.host"); SftpUploader sftp = new SftpUploader(host, user, pass); sftp.upload(fileMap); } } private class PerformanceDetails { public LocalDateTime maxEquityDateTime; public double maxEquity; public double lastDrawdown; public void build(TimeSeries<Double> pnl) { maxEquityDateTime = LocalDateTime.MIN; maxEquity = Double.MIN_VALUE; double equity = 0.0; for (int ii = 0; ii < pnl.size(); ++ii) { equity += pnl.get(ii); if (equity > maxEquity) { maxEquity = equity; maxEquityDateTime = pnl.getTimestamp(ii); } } lastDrawdown = maxEquity - equity; } } }