Backtester

[steinarruneeriksen]

Dear all,

I tested ActiveQuant last Summer, and found some good use from the back testing modules. I did not have the time to work more with it then; but now I have decided to use it and synced the latest CVS version.

I see that a lot of things have changed but I find it quite confusing that the configuration files for the simple back testers (see 2 minute tutorial) refer to classes that no longer exist. Are these broker, and/or what classes should be used for back testing systems now?

[Eric22]

I have just installed ActiveQuant using Eclipse and the Spring plugin.  Spring shows that the configuration.xml for the simple backtester has many errors because of missing classes.  I have very limited programming experience and a working sample configuration would greatly help me with the learning curve.  Does a working config file exist?

Thanks,
Eric

steinarruneeriksen wrote:

Dear all,

I tested ActiveQuant last Summer, and found some good use from the back testing modules. I did not have the time to work more with it then; but now I have decided to use it and synced the latest CVS version.

I see that a lot of things have changed but I find it quite confusing that the configuration files for the simple back testers (see 2 minute tutorial) refer to classes that no longer exist. Are these broker, and/or what classes should be used for back testing systems now?

[Wessel de Roode]

Eric,

Could you please be a bit more specific where you feel you are sinking into the swamps? I've been working myself through AQ the last few months as well and I am starting to get a reasonable view over the files and modules, I might be able to help you out, but I need to know which step you are failing.
I know the documentation is not that up to date. And I can't help you with that, but let me know where you are banging to the walls and some might be able to assist you.

Wessel



I have just installed ActiveQuant using Eclipse and the Spring plugin.  Spring shows that the configuration.xml for the simple backtester has many errors because of missing classes.  I have very limited programming experience and a working sample configuration would greatly help me with the learning curve.  Does a working config file exist?

Thanks,
Eric

steinarruneeriksen wrote:

Dear all,

I tested ActiveQuant last Summer, and found some good use from the back testing modules. I did not have the time to work more with it then; but now I have decided to use it and synced the latest CVS version.

I see that a lot of things have changed but I find it quite confusing that the configuration files for the simple back testers (see 2 minute tutorial) refer to classes that no longer exist. Are these broker, and/or what classes should be used for back testing systems now?

[johnnybud]

I will be at PhanPhest in Kempton, PA. http://www.phanphest.com/festival
Please call me at 708-214-9720 if you need to get  in contact with me.

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[Eric22]

Thanks for the reply Wessel.  Yes, it would be nice to have some up to date documentation. :)  However, after searching some I was able to learn that there are new backtesting classes.  I'm now learning from them and starting to understand how it works.  Here's the quote that helped me (maybe it will help other n00bs like me):

"The tutorial targets older release. Currently, the context you use references a bunch of obsolete classes (Market, and its relations). These were at some point removed from main tree.

In the maven head release:

For the xml backtester, see the following class (and related resources):

org.activequant.examples.tradesystem.simple.spring.Main

For the javaconfig backtester, see

org.activequant.examples.tradesystem.simple.javaconfig.*

-Mike"

Eric

Wessel de Roode wrote:

Eric,

Could you please be a bit more specific where you feel you are sinking into the swamps? I've been working myself through AQ the last few months as well and I am starting to get a reasonable view over the files and modules, I might be able to help you out, but I need to know which step you are failing.
I know the documentation is not that up to date. And I can't help you with that, but let me know where you are banging to the walls and some might be able to assist you.

Wessel

[SandhuQ]

I had an example Backtester running with the attached config.xml .

Also needed to correct the report for generating Birt report.(attached)

Lastly  In the tradeSystem (DualMovingAverageSystem in my case ) , I
added the generateReport()
in the onMarket() method whenever placeOrder() was called :

                                        super.placeOrder(order);
                                        generateReport();

It needs the candles in the db beforehand.

That's all I can recall.. hope it helps.

*Then*, it only took 2 minutes.. ;)

On Fri, Aug 22, 2008 at 5:10 AM, Wessel de Roode <jwderoode2@...> wrote:

>
> Eric,
>
> Could you please be a bit more specific where you feel you are sinking into
> the swamps? I've been working myself through AQ the last few months as well
> and I am starting to get a reasonable view over the files and modules, I
> might be able to help you out, but I need to know which step you are
> failing.
> I know the documentation is not that up to date. And I can't help you with
> that, but let me know where you are banging to the walls and some might be
> able to assist you.
>
> Wessel
>
>
>
> Eric22 wrote:
>>
>> I have just installed ActiveQuant using Eclipse and the Spring plugin.
>> Spring shows that the configuration.xml for the simple backtester has many
>> errors because of missing classes.  I have very limited programming
>> experience and a working sample configuration would greatly help me with
>> the learning curve.  Does a working config file exist?
>>
>> Thanks,
>> Eric
>>
>>
>> steinarruneeriksen wrote:
>>>
>>> Dear all,
>>>
>>> I tested ActiveQuant last Summer, and found some good use from the back
>>> testing modules. I did not have the time to work more with it then; but
>>> now I have decided to use it and synced the latest CVS version.
>>>
>>> I see that a lot of things have changed but I find it quite confusing
>>> that the configuration files for the simple back testers (see 2 minute
>>> tutorial) refer to classes that no longer exist. Are these broker, and/or
>>> what classes should be used for back testing systems now?
>>>
>>
>>
>
> --
> View this message in context: http://www.nabble.com/Backtester-tp19068433p19099030.html
> Sent from the ccapi2 and activeQuant mailing list archive at Nabble.com.
>
> _______________________________________________
> ccapi mailing list
> ccapi@...
> http://activestocks.de/cgi-bin/mailman/listinfo/ccapi
>

<?xml version="1.0" encoding="UTF-8"?>
<!DOCTYPE beans PUBLIC "-//SPRING//DTD BEAN 2.0//EN" "http://www.springframework.org/dtd/spring-beans-2.0.dtd">
<beans>

        <!-- custom date/timestamp editor -->
        <bean class="org.springframework.beans.factory.config.CustomEditorConfigurer">
            <property name="customEditors">
                <map>
                    <entry key="org.activequant.core.types.TimeStamp">
                        <bean class="org.activequant.util.spring.TimeStampPropertyEditor">
                        <property name="format" value="yyyy/MM/dd" />
                                        </bean>
                    </entry>
                </map>
            </property>
        </bean>

        <!-- services -->
               
        <bean class="org.springframework.beans.factory.config.PropertyPlaceholderConfigurer">
                <property name="locations">
                        <list>
                                <value>classpath:dao/hibernate/database.properties</value>
                                <value>classpath:examples/tradesystem/simple/spring/config.properties</value>
                        </list>
                </property>
        </bean>

        <import resource="classpath:dao/hibernate/dao-hibernate.xml"/>
               
        <bean id="daoCandleSeriesSource" class="org.activequant.data.retrieval.series.DaoCandleSeriesSource">
                <constructor-arg ref="candleDao"/>
        </bean>
       
        <bean id="candleIterator" class="org.activequant.data.util.series.SeriesSourceToIteratorSourceAdapter">
                <property name="arrayDataSource" ref="daoCandleSeriesSource"/>
        </bean>

        <bean id="tradeIndicationSubscriptionSource" class="org.activequant.data.util.converter.CandleToTradeIndicationConverter">
                <constructor-arg ref="candleSubscriptionSource"/>
                <constructor-arg value="TIMEFRAME_1_DAY"/>
        </bean>

        <bean id="quoteSubscriptionSource" class="org.activequant.data.util.converter.TradeIndicationToQuoteSubscriptionSourceConverter">
                <constructor-arg ref="tradeIndicationSubscriptionSource"/>
        </bean>
       
        <bean id="brokerC" class="org.activequant.broker.PaperBroker">
                <constructor-arg ref="quoteSubscriptionSource" />
        </bean>

        <!--bean id="brokerAccount" class="org.activequant.core.domainmodel.account.BrokerAccount" /-->
       
        <bean id="broker" class="org.activequant.broker.AccountManagingBrokerProxy" >
                <constructor-arg ref="brokerC"/>
                <constructor-arg ref="brokerAccount"/>
        </bean>

        <bean id="generator" class="org.activequant.container.report.AccountReportGenerator" />
       
        <bean id="renderer" class="org.activequant.container.report.birt.BirtReportingService">
                <constructor-arg value="reports/testccap3.rptdesign"/>
                <constructor-arg value="output/"/>
        </bean>

       
        <!--bean id="reportingService" class="org.activequant.container.report.ExcelReportingService" >
                <property name="filepath" value="c:\activeQuant-config\reports\sandhu.xls" />
        </bean-->
       
        <bean id="storeService" class="org.activequant.util.store.MockStore" />

        <bean id="replayService" class="org.activequant.data.util.MarketDataReplayService" >
                <property name="candleSeriesDataSource" ref="candleIterator" />
                <property name="startTimeStamp" value="2004/06/01"/>
                <property name="endTimeStamp" value="2004/12/17"/>
        </bean>
       
        <!-- helpers -->
        <bean id="default" class="org.activequant.container.context.DefaultBeanList">
       
                <constructor-arg>
                <list>
                <ref bean="broker"/>
                </list>
      </constructor-arg>
        </bean>

        <bean id="runner" class="org.activequant.container.context.BacktestRunner">
                <constructor-arg ref="replayService" />
        </bean>
       
                <!-- ACCOUNT -->
        <bean id="account" class="org.activequant.core.domainmodel.account.Account" >
                <property name="id" value="123" />
                <property name="holder" value="sandhu" />
                <property name="brokerAccounts">
                            <list>
                <ref bean="brokerAccount"/>
                </list>
        </property>
        </bean>

        <bean id="brokerAccount" class="org.activequant.core.domainmodel.account.BrokerAccount" >
                <property name="holder" value="sandhu" />
                <property name="brokerName" value="ibull" />
                <property name="orderBook" ref="orderBook"/>
                <property name="transactionBook" ref="transactionBook"/>
                <property name="balanceBook" ref="balanceBook"/>
                <property name="portfolio" ref="portfolio"/>

        </bean>

        <bean id="orderBook" class="org.activequant.core.domainmodel.account.OrderBook" />
        <bean id="transactionBook" class="org.activequant.core.domainmodel.account.TransactionBook" />
        <bean id="balanceBook" class="org.activequant.core.domainmodel.account.BalanceBook" />
        <bean id="portfolio" class="org.activequant.core.domainmodel.account.Portfolio" />
       
        <!--bean id="account" class="org.activequant.util.spring.AccountLookup">
                <property name="accountDao" ref="accountDao"/>
                <property name="accountId" value="1"/>
        </bean-->
        <!--  ACCOUNT END -->
        <!--bean id="accountDao" class="org.activequant.dao.mock.MockAccountDao" />
        <bean id="account" class="org.activequant.core.domainmodel.account.Account" >
                <property name="id" value="123" />
        </bean-->
       
        <!--bean id="replayService.candleSubscriptionSource" class="org.springframework.beans.factory.config.PropertyPathFactoryBean"/-->
       
        <bean id="candleSubscriptionSource" class="org.springframework.beans.factory.config.PropertyPathFactoryBean">
                  <property name="targetBeanName"><value>replayService</value></property>
                        <property name="propertyPath"><value>candleSubscriptionSource</value></property>
        </bean>


        <bean id="context" class="org.activequant.container.context.SpringTradeSystemContext" >
       
       
        </bean>

</beans>

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[johnnybud]

I will be at PhanPhest in Kempton, PA. http://www.phanphest.com/festival
Please call me at 708-214-9720 if you need to get  in contact with me.

_______________________________________________
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ccapi@...
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[steinarruneeriksen]

Thanks for all your feedback. I found one issue right away though, and that is the TimeFrame input in the config; which cannot be parsed in the format that you used here. I changed it to
 <constructor-arg value="1d"/>  in order to get it to work with the current code.

SandhuQ wrote:

I had an example Backtester running with the attached config.xml .

[Wessel de Roode]

Is that something that needs to be updated in the CVS?
In that case please spell out the file/directory that need the change and some of the core team might pick it up and update it.

Wessel


Thanks for all your feedback. I found one issue right away though, and that is the TimeFrame input in the config; which cannot be parsed in the format that you used here. I changed it to
 <constructor-arg value="1d"/>  in order to get it to work with the current code.

SandhuQ wrote:

I had an example Backtester running with the attached config.xml .

[steinarruneeriksen]

It is not in CVS in the first place; I was refering to the sample provided by SandhuQ (above) and how I made that work. On the other hand, it would probably be an idea if someone construct a working sample in CVS as well.



Is that something that needs to be updated in the CVS?
In that case please spell out the file/directory that need the change and some of the core team might pick it up and update it.

Wessel

steinarruneeriksen wrote:

Thanks for all your feedback. I found one issue right away though, and that is the TimeFrame input in the config; which cannot be parsed in the format that you used here. I changed it to
 <constructor-arg value="1d"/>  in order to get it to work with the current code.

SandhuQ wrote:

I had an example Backtester running with the attached config.xml .