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REF: Strategy takes params in constructor

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Kernc
2020-03-06 00:13:28 +01:00
parent 51f1e65766
commit 55e03a40b3
1 changed files with 10 additions and 11 deletions
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backtesting/backtesting.py
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@@ -14,7 +14,7 @@ from concurrent.futures import ProcessPoolExecutor, as_completed
from functools import partial from functools import partial
from itertools import repeat, product, chain from itertools import repeat, product, chain
from numbers import Number from numbers import Number
from typing import Callable, Union, Tuple from typing import Callable, Union, Tuple, Type
import numpy as np import numpy as np
import pandas as pd import pandas as pd
@@ -48,11 +48,11 @@ class Strategy(metaclass=ABCMeta):
`backtesting.backtesting.Strategy.next` to define `backtesting.backtesting.Strategy.next` to define
your own strategy. your own strategy.
""" """
def __init__(self, broker, data): def __init__(self, broker, data, params):
self._indicators = [] self._indicators = []
self._broker = broker # type: _Broker self._broker = broker # type: _Broker
self._data = data # type: _Data self._data = data # type: _Data
self._params = {} self._params = self._check_params(params)
def __repr__(self): def __repr__(self):
return '<Strategy ' + str(self) + '>' return '<Strategy ' + str(self) + '>'
@@ -64,16 +64,15 @@ class Strategy(metaclass=ABCMeta):
params = '(' + params + ')' params = '(' + params + ')'
return '{}{}'.format(self.__class__.__name__, params) return '{}{}'.format(self.__class__.__name__, params)
def _set_params(self, **kwargs): def _check_params(self, params):
for k, v in kwargs.items(): for k, v in params.items():
if not hasattr(self, k): if not hasattr(self, k):
raise AttributeError( raise AttributeError(
"Strategy '{}' is missing parameter '{}'. Strategy class " "Strategy '{}' is missing parameter '{}'. Strategy class "
"should define parameters as class variables before they " "should define parameters as class variables before they "
"can be optimized or run with.".format(self.__class__.__name__, k)) "can be optimized or run with.".format(self.__class__.__name__, k))
setattr(self, k, v) setattr(self, k, v)
self._params = kwargs return params
def I(self, # noqa: E743 def I(self, # noqa: E743
func: Callable, *args, func: Callable, *args,
@@ -582,7 +581,7 @@ class Backtest:
""" """
def __init__(self, def __init__(self,
data: pd.DataFrame, data: pd.DataFrame,
strategy: type(Strategy), strategy: Type[Strategy],
*, *,
cash: float = 10000, cash: float = 10000,
commission: float = .0, commission: float = .0,
@@ -680,11 +679,11 @@ class Backtest:
""" """
data = _Data(self._data) data = _Data(self._data)
broker = self._broker(data=data) # type: _Broker broker = self._broker(data=data) # type: _Broker
strategy = self._strategy(broker, data) # type: Strategy strategy = self._strategy(broker, data, kwargs) # type: Strategy
strategy._set_params(**kwargs)
strategy.init() strategy.init()
# Indicators used in Strategy.next()
indicator_attrs = {attr: indicator indicator_attrs = {attr: indicator
for attr, indicator in strategy.__dict__.items() for attr, indicator in strategy.__dict__.items()
if isinstance(indicator, _Indicator)}.items() if isinstance(indicator, _Indicator)}.items()