runSimulation method is replaced by the new getTiSimulation method
vsaveris opened this issue · 3 comments
vsaveris commented
The runSimulation
method of thetti.indicators
package will become deprecated in the next beta release. it will be replaced by the new method getTiSimulation. Details about the new method will be added here.
Development Tasks:
- Implement deprecated exception for the
runSimulation
method (will be removed in the first stable release) - Implement the new
getTiSimulation
method in thetti.indicators
package - Rework the not-released class
TradingSimulation
of thetti.utils
package
Testing Tasks:
- Add test for the deprecated method in the
test_indicators_common.py
and remove the existing tests for this method - Rework the
test_utils_trading_simulation.py
for matching the new implementation - Execute unit testing for the
TradingSimulation
class - Add tests for the
getTiSimulation
method in thetest_indicators_common.py
- Execute regression testing for the
tti
package
vsaveris commented
Description of the new getTiSimulation(close_values, max_exposure=None, short_exposure_factor=1.5)
method:
Executes trading simulation based on the trading signals produced by
the technical indicator, by applying an Active trading strategy. With
a ``buy`` trading signal a new ``long`` position is opened. With a
``sell`` trading signal a new ``short`` position is opened. Opened
positions are scanned on each simulation round, and if conditions are
met (current stock price > bought price for opened ``long`` positions
and current stock price < bought price for opened ``short`` positions)
the positions are being closed. Only one stock piece is used in each
open transaction.
Args:
close_values (pandas.DataFrame): The close prices of the stock, for
the whole simulation period. Index is of type DateTimeIndex
with same values as the input to the indicator data. It
contains one column ``close``.
max_exposure(float, default=None): Maximum allowed exposure for all
the opened positions (``short`` and ``long``). If the exposure
reaches this threshold, no further positions are being opened.
A new position can be opened again only when exposure reduces
through a position close. If set to None, then there is no
upper limit for the opened positions (exposure). When a new
``long`` position is opened, exposure is increased by the
``stock_price``. When a ``short`` position is opened, exposure
is increased by the ``short_exposure_factor * stock_price``.
Values >0.0 or None are supported.
short_exposure_factor (float, default=1.5): The exposure factor
when a new ``short`` position is opened. Usually is above 1.0
and it is used as security when a short position is opened.
Values >=1.0 are supported.
vsaveris commented
Unit tests developed and executed (Ran 39 tests in 3.120s, code coverage 100%).
vsaveris commented
Regression testing executed.