Backtest

.vscode/settings.json

@@ -1,7 +1,6 @@
 {
-    "python.defaultInterpreterPath": "./.venv/bin/python",
+    "python.defaultInterpreterPath": ".venv/bin/python",
     "python.testing.pytestArgs": [
-        "tests"
     ],
     "python.testing.unittestEnabled": false,
     "python.testing.pytestEnabled": true,

makefiles/local.mk

@@ -33,15 +33,20 @@ mypy-local:
 lint-local: ##@lint Run lint tools
 lint-local: bandit-local black-local flake8-local isort-local mypy-local
 
+.PHONY: clean-imports
+clean-imports: ##@local Remove unused imports
+clean-imports: 
+	autoflake --in-place --remove-all-unused-imports --recursive pytradebacktest tests
+
 .PHONY: reformat
 reformat: ##@local Reformat module
 reformat: files ?= ${SERVICE} tests
-reformat:
+reformat: clean-imports
 	${POETRY} run isort --overwrite-in-place ${files}
 	${POETRY} run black ${files}
 
 PHONY: test-local
 test-local: ##@local Run test suite
 test-local: venv
-	${POETRY} run pytest -s --tb=native --durations=5 --cov=${SERVICE} --cov-report=html tests
+	${POETRY} run pytest -s --tb=native --durations=5 --cov=${SERVICE} --cov-report=term-missing tests
 	${POETRY} run coverage report --fail-under=90

pyproject.toml

@@ -10,6 +10,7 @@ python = "^3.10"
 pytrade = {path = "lib/PyTrade", develop = true}
 pandas = "^2.2.2"
 pytest-asyncio = "^0.25.1"
+autoflake = "^2.3.1"
 
 
 [tool.poetry.group.dev.dependencies]
@@ -47,4 +48,8 @@ exclude_also = [
     "@(abc\\.)?abstractmethod",
 ]
 omit = [
-]
+]
+
+[tool.pytest.ini_options]
+addopts = ["--import-mode=importlib"]
+pythonpath = [ "." ]

pytradebacktest/backtest.py

@@ -1,10 +1,10 @@
 from typing import Type
 
+from pytrade.indicator import Indicator
 from pytrade.strategy import FxStrategy
 
 from pytradebacktest.broker import BacktestBroker
 from pytradebacktest.data import MarketData
-from pytradebacktest.strategy import BacktestStrategyWrapper
 
 
 class Backtest:
@@ -25,21 +25,31 @@ def __init__(
 
     async def run(self):
 
-        broker = BacktestBroker(self.data)
+        # Monkey patch indicators so their update does not
+        # need to recalculate after each increment, instead
+        # store their initial values from the full data context
+        # and then increment based on the current context length
+        def increment_indicator(self):
+            if not hasattr(self, "_backtest_values"):
+                self._backtest_values = self._values.copy()
+            self._values = self._backtest_values[: len(self._data)]
 
-        strategy = BacktestStrategyWrapper(broker, self.data, self.kstrategy)
+        Indicator._update = increment_indicator
+
+        broker = BacktestBroker(self.data, self.cash, self.comission, self.margin)
+
+        strategy = self.kstrategy(broker, self.data)
         strategy.init()
 
         while self.data.next():
 
             broker.next()
-            await strategy.next()
+            strategy.next()
 
         # Increment data points
         # Update indicators
         # Update trades
         # Claculate results/stats
-        pass
 
     def plot(self):
         pass