COMP226: Intro to backtester_2022
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COMP226: Intro to backtester_2022
This document gives an introduction to the backtester_2022 framework, which is used in assignment 2. As a first step, download backtester_2022.zip from Canvas and unzip it:
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backtester_2022 ├── DATA │ ├── A2 │ │ ├── 01.csv │ │ ├── 02.csv │ │ ├── 03.csv │ │ └── 04.csv │ └── EXAMPLE │ ├── 01.csv │ ├── 02.csv │ ├── 03.csv │ ├── 04.csv │ └── 05.csv ├── a2_main_template.R ├── a2_periods.R ├── a2_test_checks_and_getTMA.R ├── a2_yamls │ ├── rsjs │ │ └── results.yaml │ ├── x1xxx │ │ └── results.yaml │ ├── x1yyy │ │ └── results.yaml │ └── x1zzz │ └── results.yaml ├── example_strategies.R ├── framework │ ├── backtester.R │ ├── data.R │ └── processResults.R ├── main.R └── strategies ├── a2_strategy_template.R ├── bbands_contrarian.R ├── bbands_holding_period.R ├── bbands_trend_following.R ├── copycat.R ├── fixed.R └── rsi_contrarian.R 10 directories, 28 files |
Next, open R and make sure that the working directory is the backtester_2022 directory you just created (use setwd if required). Now try the example code as follows:
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source( 'main.R') |
If this doesn't work, first make sure you are have set the working directory correctly, and then make sure you have installed all the required packages (see any error messages to see what the problem is). When it works it will produce a plot like the following, with one equity curve for each series (5 in this case), and one aggregate equity curve (at the top):
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40 0 −40 −80 Jan Apr Jul |
5 0 −5 Jan Apr Jul |
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0 −5 −10 −15 Jan Apr Jul |
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1500 1000 500 0 Jan Apr Jul |
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Let's go through main.R and see what the individual parts do.
Sourcing the framework and example strategies. First we source the framework itself.
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source( 'framework/data.R') source( 'framework/backtester.R') source( 'framework/processResults.R') |
Then we source example_strategies.R, which gives an easy way to run several examples.
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Loading data. Next, we load in data using getData, which is defined in framework/data.R. This function returns a list of xts objects, which will be passed to the function backtester. |
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There are 5 series in backtester_2022/DATA/EXAMPLE/, and therefore dataList has 5 elements. Every element is an xts series, and all the series have the same start and end dates: |
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The individual series contain Open, High, Low, Close, and Volume columns: |
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1970-01-05 0.7739 0.7756 0.7739 0.7751 1970-01-06 0.7760 0.7770 0.7754 0.7757 1970-01-07 0.7738 0.7744 0.7728 0.7743 |
Subsetting the data. Next we choose to only use the first 200 days:
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# subset data: just use first 200 days dataList <- lapply(dataList , function(x) x [1 :200]) |
Loading a strategy. example_strategies.R provides helper functions to load and set the parameters for the following example strategies:
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example_strategies <- c("fixed" , "copycat" , "rsi_contrarian" , "bbands_trend_following" , "bbands_contrarian" , "bbands_holding_period") |
Returning to main.R, we see where we picked one (and then checked that the choice is valid):
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<- "fixed" # check that the choice is valid stopifnot(is_valid_example_strategy(strategy)) |
Now we load the strategy and its parameters using a helper function:
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load_strategy(strategy) # function from example_strategies.R |
2022-05-07