advanced-algorithmic-trading

477
pickle_path = "/path/to/your/model/hmm_model_spy.pkl"
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# Use Yahoo Daily Price Handler
start_date = datetime.datetime(2005, 1, 1)
end_date = datetime.datetime(2014, 12, 31)
price_handler = YahooDailyCsvBarPriceHandler(
csv_dir, events_queue, tickers,
start_date=start_date, end_date=end_date,
calc_adj_returns=True
)
# Use the Moving Average Crossover trading strategy
base_quantity = 10000
strategy = MovingAverageCrossStrategy(
tickers, events_queue, base_quantity,
short_window=10, long_window=30
)
strategy = Strategies(strategy, DisplayStrategy())
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# Use regime detection HMM risk manager
hmm_model = pickle.load(open(pickle_path, "rb"))
risk_manager = RegimeHMMRiskManager(hmm_model)
# Use an example Risk Manager
#risk_manager = ExampleRiskManager()
To run the backtest it is necessary to open up the Terminal and type the following:
$ python regime_hmm_backtest.py --tickers=SPY
The truncated output is as follows:
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---------------------------------
Backtest complete.
Sharpe Ratio: 0.518857928421
Max Drawdown: 0.356537705234
Max Drawdown Pct: 0.356537705234