Examples with WalkForwardAllocTester suite.trade.walkforwardalloc.WalkForwardAllocTester used on opensource projects

Example 1 with WalkForwardAllocTester

use of suite.trade.walkforwardalloc.WalkForwardAllocTester in project suite by stupidsing.

the class WalkForwardRecorderMain method run.

@Override
protected boolean run(String[] args) {
    Streamlet<Asset> assets = cfg.queryCompaniesByMarketCap(Time.now());
    float fund0 = 1000000f;
    Trade_.isCacheQuotes = false;
    Trade_.isShortSell = true;
    Trade_.leverageAmount = fund0;
    if (Boolean.FALSE) {
        // record
        String ts = Time.now().ymdHms().replace("-", "").replace(" ", "-").replace(":", "");
        String filename = "wfa." + ts + ".csv";
        Schedule schedule = // 
        Schedule.ofRepeat(5, () -> {
            String ymdHms = Time.now().ymdHms();
            Map<String, Float> priceBySymbol = cfg.quote(assets.map(asset -> asset.symbol).toSet());
            try (OutputStream os = // 
            Files.newOutputStream(// 
            HomeDir.resolve(filename), // 
            StandardOpenOption.APPEND, // 
            StandardOpenOption.CREATE, // 
            StandardOpenOption.WRITE);
                PrintWriter bw = new PrintWriter(os)) {
                for (Entry<String, Float> e : priceBySymbol.entrySet()) bw.println(ymdHms + ", " + e.getKey() + ", " + e.getValue());
            } catch (IOException ex) {
                Fail.t(ex);
            }
        });
        Scheduler.of(schedule.filterTime(dt -> HkexUtil.isMarketOpen(Time.of(dt)))).run();
    } else {
        // replay
        String ts = "20170612-092616";
        String filename = "wfa." + ts + ".csv";
        Map<Time, Map<String, Float>> data = new TreeMap<>();
        try (// 
        InputStream is = Files.newInputStream(HomeDir.resolve(filename));
            // 
            InputStreamReader isr = new InputStreamReader(is);
            BufferedReader br = new BufferedReader(isr)) {
            while (br.ready()) {
                String[] array = br.readLine().split(",");
                Time time = Time.of(array[0].trim());
                String symbol = array[1].trim();
                float price = Float.parseFloat(array[2].trim());
                data.computeIfAbsent(time, s -> new HashMap<>()).put(symbol, price);
            }
        } catch (IOException ex) {
            Fail.t(ex);
        }
        WalkForwardAllocConfiguration wfac = new // 
        WalkForwardAllocConfiguration(// 
        cfg.queryCompaniesByMarketCap(Time.now()), bag.rsi.unleverage().walkForwardAllocator());
        WalkForwardAllocTester tester = new WalkForwardAllocTester(cfg, wfac.assets, fund0, wfac.walkForwardAllocator);
        for (Entry<Time, Map<String, Float>> e : data.entrySet()) System.out.println(tester.tick(e.getKey(), e.getValue()));
        System.out.println(tester.conclusion());
    }
    return true;
}

Example 2 with WalkForwardAllocTester

use of suite.trade.walkforwardalloc.WalkForwardAllocTester in project suite by stupidsing.

the class WalkForwardTestMain method run.

@Override
protected boolean run(String[] args) {
    float fund0 = 1000000f;
    Trade_.isCacheQuotes = false;
    Trade_.isShortSell = true;
    Trade_.leverageAmount = fund0;
    WalkForwardAllocConfiguration wfac = new // 
    WalkForwardAllocConfiguration(// 
    cfg.queryCompaniesByMarketCap(Time.now()), bag.rsi.unleverage().walkForwardAllocator());
    WalkForwardAllocTester tester = new WalkForwardAllocTester(cfg, wfac.assets, fund0, wfac.walkForwardAllocator);
    Schedule schedule = // 
    Schedule.ofRepeat(5, // 
    () -> System.out.println(tester.tick())).filterTime(dt -> HkexUtil.isMarketOpen(Time.of(dt)));
    Scheduler.of(schedule).run();
    return true;
}