alihan/backtesting.py
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ENH: Add scatter plot indicator style

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Kernc
2019-03-07 19:13:37 +01:00
parent fac6dde5d0
commit b0d23abf83
3 changed files with 47 additions and 16 deletions
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37
backtesting/_plotting.py
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@@ -89,18 +89,18 @@ def plot(*, results, df, indicators, filename='', plot_width=1200,
# OHLC vbar width in msec.
# +1 will work in case of non-datetime index where vbar width should just be =1
width = 1 + dict(day=86400,
hour=3600,
minute=60,
second=1).get(time_resolution, 0) * 1000 * .85
bar_width = 1 + dict(day=86400,
hour=3600,
minute=60,
second=1).get(time_resolution, 0) * 1000 * .85
if is_datetime_index:
# Add index as a separate data source column because true .index is offset to align vbars
df['datetime'] = index
df.index = df.index + pd.Timedelta(width / 2, unit='ms')
df.index = df.index + pd.Timedelta(bar_width / 2, unit='ms')
if omit_missing:
width = .8
bar_width = .8
df = df.reset_index(drop=True)
trade_data = trade_data.reset_index(drop=True)
index = df.index
@@ -315,7 +315,7 @@ return this.labels[index] || "";
fig.xaxis.formatter = fig_ohlc.xaxis[0].formatter
fig.xaxis.visible = True
fig_ohlc.xaxis.visible = False # Show only Volume's xaxis
r = fig.vbar('index', width, 'Volume', source=source, color=inc_cmap)
r = fig.vbar('index', bar_width, 'Volume', source=source, color=inc_cmap)
set_tooltips(fig, [('Volume', '@Volume{0.00 a}')], renderers=[r])
fig.yaxis.formatter = NumeralTickFormatter(format="0 a")
return fig
@@ -374,7 +374,7 @@ return this.labels[index] || "";
def _plot_ohlc():
"""Main OHLC bars"""
fig_ohlc.segment('index', 'High', 'index', 'Low', source=source, color="black")
r = fig_ohlc.vbar('index', width, 'Open', 'Close', source=source,
r = fig_ohlc.vbar('index', bar_width, 'Open', 'Close', source=source,
line_color="black", fill_color=inc_cmap)
return r
@@ -434,8 +434,15 @@ return this.labels[index] || "";
for i, arr in enumerate(value):
source_name = '{}_{}'.format(value.name, i)
source.add(arr, source_name)
fig_ohlc.line('index', source_name, source=source,
line_width=1.3, line_color=color, legend=legend)
if value._opts.get('scatter'):
fig_ohlc.scatter(
'index', source_name, source=source,
color=color, line_color='black', fill_alpha=.8,
marker='circle', radius=bar_width / 2 * 1.5, legend=legend)
else:
fig_ohlc.line(
'index', source_name, source=source,
line_width=1.3, line_color=color, legend=legend)
ohlc_extreme_values[source_name] = arr
tooltips.append('@{{{}}}{{0,0.0[0000]}}'.format(source_name))
ohlc_tooltips.append((value.name, NBSP.join(tooltips)))
@@ -449,8 +456,14 @@ return this.labels[index] || "";
name = legend + '_' # Otherwise fig.line(legend=) is interpreted as col of source # noqa: E501
tooltips.append('@{{{}}}'.format(name))
source.add(arr.astype(int if arr.dtype == bool else float), name)
r = fig.line('index', name, source=source,
line_color=next(color), line_width=1.3, legend=LegendStr(legend))
if value._opts.get('scatter'):
r = fig.scatter(
'index', name, source=source, color=next(color),
marker='circle', radius=bar_width / 2 * .9, legend=LegendStr(legend))
else:
r = fig.line(
'index', name, source=source, line_color=next(color),
line_width=1.3, legend=LegendStr(legend))
# Add dashed centerline just because
mean = float(pd.Series(arr).mean())