├── README.md
├── UserLists
├── .DS_Store
├── SP500.txt
├── SP500_2007.txt
├── SP500_2010.txt
└── SP500_2013.txt
├── databases
├── StockLists
│ ├── AMEX.txt
│ ├── NASDAQ.txt
│ └── NYSE.txt
└── user_lists.db
├── resources
├── .DS_Store
├── commons-io-2.4
│ ├── .DS_Store
│ ├── LICENSE.txt
│ ├── NOTICE.txt
│ ├── RELEASE-NOTES.txt
│ ├── commons-io-2.4-javadoc.jar
│ ├── commons-io-2.4-sources.jar
│ ├── commons-io-2.4-test-sources.jar
│ ├── commons-io-2.4-tests.jar
│ ├── commons-io-2.4.jar
│ └── docs
│ │ ├── allclasses-frame.html
│ │ ├── allclasses-noframe.html
│ │ ├── constant-values.html
│ │ ├── deprecated-list.html
│ │ ├── help-doc.html
│ │ ├── index-all.html
│ │ ├── index.html
│ │ ├── org
│ │ └── apache
│ │ │ └── commons
│ │ │ └── io
│ │ │ ├── ByteOrderMark.html
│ │ │ ├── Charsets.html
│ │ │ ├── CopyUtils.html
│ │ │ ├── DirectoryWalker.CancelException.html
│ │ │ ├── DirectoryWalker.html
│ │ │ ├── EndianUtils.html
│ │ │ ├── FileCleaner.html
│ │ │ ├── FileCleaningTracker.html
│ │ │ ├── FileDeleteStrategy.html
│ │ │ ├── FileExistsException.html
│ │ │ ├── FileSystemUtils.html
│ │ │ ├── FileUtils.html
│ │ │ ├── FilenameUtils.html
│ │ │ ├── HexDump.html
│ │ │ ├── IOCase.html
│ │ │ ├── IOExceptionWithCause.html
│ │ │ ├── IOUtils.html
│ │ │ ├── LineIterator.html
│ │ │ ├── TaggedIOException.html
│ │ │ ├── class-use
│ │ │ ├── ByteOrderMark.html
│ │ │ ├── Charsets.html
│ │ │ ├── CopyUtils.html
│ │ │ ├── DirectoryWalker.CancelException.html
│ │ │ ├── DirectoryWalker.html
│ │ │ ├── EndianUtils.html
│ │ │ ├── FileCleaner.html
│ │ │ ├── FileCleaningTracker.html
│ │ │ ├── FileDeleteStrategy.html
│ │ │ ├── FileExistsException.html
│ │ │ ├── FileSystemUtils.html
│ │ │ ├── FileUtils.html
│ │ │ ├── FilenameUtils.html
│ │ │ ├── HexDump.html
│ │ │ ├── IOCase.html
│ │ │ ├── IOExceptionWithCause.html
│ │ │ ├── IOUtils.html
│ │ │ ├── LineIterator.html
│ │ │ └── TaggedIOException.html
│ │ │ ├── comparator
│ │ │ ├── CompositeFileComparator.html
│ │ │ ├── DefaultFileComparator.html
│ │ │ ├── DirectoryFileComparator.html
│ │ │ ├── ExtensionFileComparator.html
│ │ │ ├── LastModifiedFileComparator.html
│ │ │ ├── NameFileComparator.html
│ │ │ ├── PathFileComparator.html
│ │ │ ├── SizeFileComparator.html
│ │ │ ├── class-use
│ │ │ │ ├── CompositeFileComparator.html
│ │ │ │ ├── DefaultFileComparator.html
│ │ │ │ ├── DirectoryFileComparator.html
│ │ │ │ ├── ExtensionFileComparator.html
│ │ │ │ ├── LastModifiedFileComparator.html
│ │ │ │ ├── NameFileComparator.html
│ │ │ │ ├── PathFileComparator.html
│ │ │ │ └── SizeFileComparator.html
│ │ │ ├── package-frame.html
│ │ │ ├── package-summary.html
│ │ │ ├── package-tree.html
│ │ │ └── package-use.html
│ │ │ ├── filefilter
│ │ │ ├── AbstractFileFilter.html
│ │ │ ├── AgeFileFilter.html
│ │ │ ├── AndFileFilter.html
│ │ │ ├── CanReadFileFilter.html
│ │ │ ├── CanWriteFileFilter.html
│ │ │ ├── ConditionalFileFilter.html
│ │ │ ├── DelegateFileFilter.html
│ │ │ ├── DirectoryFileFilter.html
│ │ │ ├── EmptyFileFilter.html
│ │ │ ├── FalseFileFilter.html
│ │ │ ├── FileFileFilter.html
│ │ │ ├── FileFilterUtils.html
│ │ │ ├── HiddenFileFilter.html
│ │ │ ├── IOFileFilter.html
│ │ │ ├── MagicNumberFileFilter.html
│ │ │ ├── NameFileFilter.html
│ │ │ ├── NotFileFilter.html
│ │ │ ├── OrFileFilter.html
│ │ │ ├── PrefixFileFilter.html
│ │ │ ├── RegexFileFilter.html
│ │ │ ├── SizeFileFilter.html
│ │ │ ├── SuffixFileFilter.html
│ │ │ ├── TrueFileFilter.html
│ │ │ ├── WildcardFileFilter.html
│ │ │ ├── WildcardFilter.html
│ │ │ ├── class-use
│ │ │ │ ├── AbstractFileFilter.html
│ │ │ │ ├── AgeFileFilter.html
│ │ │ │ ├── AndFileFilter.html
│ │ │ │ ├── CanReadFileFilter.html
│ │ │ │ ├── CanWriteFileFilter.html
│ │ │ │ ├── ConditionalFileFilter.html
│ │ │ │ ├── DelegateFileFilter.html
│ │ │ │ ├── DirectoryFileFilter.html
│ │ │ │ ├── EmptyFileFilter.html
│ │ │ │ ├── FalseFileFilter.html
│ │ │ │ ├── FileFileFilter.html
│ │ │ │ ├── FileFilterUtils.html
│ │ │ │ ├── HiddenFileFilter.html
│ │ │ │ ├── IOFileFilter.html
│ │ │ │ ├── MagicNumberFileFilter.html
│ │ │ │ ├── NameFileFilter.html
│ │ │ │ ├── NotFileFilter.html
│ │ │ │ ├── OrFileFilter.html
│ │ │ │ ├── PrefixFileFilter.html
│ │ │ │ ├── RegexFileFilter.html
│ │ │ │ ├── SizeFileFilter.html
│ │ │ │ ├── SuffixFileFilter.html
│ │ │ │ ├── TrueFileFilter.html
│ │ │ │ ├── WildcardFileFilter.html
│ │ │ │ └── WildcardFilter.html
│ │ │ ├── package-frame.html
│ │ │ ├── package-summary.html
│ │ │ ├── package-tree.html
│ │ │ └── package-use.html
│ │ │ ├── input
│ │ │ ├── AutoCloseInputStream.html
│ │ │ ├── BOMInputStream.html
│ │ │ ├── BoundedInputStream.html
│ │ │ ├── BrokenInputStream.html
│ │ │ ├── CharSequenceInputStream.html
│ │ │ ├── CharSequenceReader.html
│ │ │ ├── ClassLoaderObjectInputStream.html
│ │ │ ├── CloseShieldInputStream.html
│ │ │ ├── ClosedInputStream.html
│ │ │ ├── CountingInputStream.html
│ │ │ ├── DemuxInputStream.html
│ │ │ ├── NullInputStream.html
│ │ │ ├── NullReader.html
│ │ │ ├── ProxyInputStream.html
│ │ │ ├── ProxyReader.html
│ │ │ ├── ReaderInputStream.html
│ │ │ ├── ReversedLinesFileReader.html
│ │ │ ├── SwappedDataInputStream.html
│ │ │ ├── TaggedInputStream.html
│ │ │ ├── Tailer.html
│ │ │ ├── TailerListener.html
│ │ │ ├── TailerListenerAdapter.html
│ │ │ ├── TeeInputStream.html
│ │ │ ├── XmlStreamReader.html
│ │ │ ├── XmlStreamReaderException.html
│ │ │ ├── class-use
│ │ │ │ ├── AutoCloseInputStream.html
│ │ │ │ ├── BOMInputStream.html
│ │ │ │ ├── BoundedInputStream.html
│ │ │ │ ├── BrokenInputStream.html
│ │ │ │ ├── CharSequenceInputStream.html
│ │ │ │ ├── CharSequenceReader.html
│ │ │ │ ├── ClassLoaderObjectInputStream.html
│ │ │ │ ├── CloseShieldInputStream.html
│ │ │ │ ├── ClosedInputStream.html
│ │ │ │ ├── CountingInputStream.html
│ │ │ │ ├── DemuxInputStream.html
│ │ │ │ ├── NullInputStream.html
│ │ │ │ ├── NullReader.html
│ │ │ │ ├── ProxyInputStream.html
│ │ │ │ ├── ProxyReader.html
│ │ │ │ ├── ReaderInputStream.html
│ │ │ │ ├── ReversedLinesFileReader.html
│ │ │ │ ├── SwappedDataInputStream.html
│ │ │ │ ├── TaggedInputStream.html
│ │ │ │ ├── Tailer.html
│ │ │ │ ├── TailerListener.html
│ │ │ │ ├── TailerListenerAdapter.html
│ │ │ │ ├── TeeInputStream.html
│ │ │ │ ├── XmlStreamReader.html
│ │ │ │ └── XmlStreamReaderException.html
│ │ │ ├── package-frame.html
│ │ │ ├── package-summary.html
│ │ │ ├── package-tree.html
│ │ │ └── package-use.html
│ │ │ ├── monitor
│ │ │ ├── FileAlterationListener.html
│ │ │ ├── FileAlterationListenerAdaptor.html
│ │ │ ├── FileAlterationMonitor.html
│ │ │ ├── FileAlterationObserver.html
│ │ │ ├── FileEntry.html
│ │ │ ├── class-use
│ │ │ │ ├── FileAlterationListener.html
│ │ │ │ ├── FileAlterationListenerAdaptor.html
│ │ │ │ ├── FileAlterationMonitor.html
│ │ │ │ ├── FileAlterationObserver.html
│ │ │ │ └── FileEntry.html
│ │ │ ├── package-frame.html
│ │ │ ├── package-summary.html
│ │ │ ├── package-tree.html
│ │ │ └── package-use.html
│ │ │ ├── output
│ │ │ ├── BrokenOutputStream.html
│ │ │ ├── ByteArrayOutputStream.html
│ │ │ ├── CloseShieldOutputStream.html
│ │ │ ├── ClosedOutputStream.html
│ │ │ ├── CountingOutputStream.html
│ │ │ ├── DeferredFileOutputStream.html
│ │ │ ├── DemuxOutputStream.html
│ │ │ ├── FileWriterWithEncoding.html
│ │ │ ├── LockableFileWriter.html
│ │ │ ├── NullOutputStream.html
│ │ │ ├── NullWriter.html
│ │ │ ├── ProxyOutputStream.html
│ │ │ ├── ProxyWriter.html
│ │ │ ├── StringBuilderWriter.html
│ │ │ ├── TaggedOutputStream.html
│ │ │ ├── TeeOutputStream.html
│ │ │ ├── ThresholdingOutputStream.html
│ │ │ ├── WriterOutputStream.html
│ │ │ ├── XmlStreamWriter.html
│ │ │ ├── class-use
│ │ │ │ ├── BrokenOutputStream.html
│ │ │ │ ├── ByteArrayOutputStream.html
│ │ │ │ ├── CloseShieldOutputStream.html
│ │ │ │ ├── ClosedOutputStream.html
│ │ │ │ ├── CountingOutputStream.html
│ │ │ │ ├── DeferredFileOutputStream.html
│ │ │ │ ├── DemuxOutputStream.html
│ │ │ │ ├── FileWriterWithEncoding.html
│ │ │ │ ├── LockableFileWriter.html
│ │ │ │ ├── NullOutputStream.html
│ │ │ │ ├── NullWriter.html
│ │ │ │ ├── ProxyOutputStream.html
│ │ │ │ ├── ProxyWriter.html
│ │ │ │ ├── StringBuilderWriter.html
│ │ │ │ ├── TaggedOutputStream.html
│ │ │ │ ├── TeeOutputStream.html
│ │ │ │ ├── ThresholdingOutputStream.html
│ │ │ │ ├── WriterOutputStream.html
│ │ │ │ └── XmlStreamWriter.html
│ │ │ ├── package-frame.html
│ │ │ ├── package-summary.html
│ │ │ ├── package-tree.html
│ │ │ └── package-use.html
│ │ │ ├── package-frame.html
│ │ │ ├── package-summary.html
│ │ │ ├── package-tree.html
│ │ │ └── package-use.html
│ │ ├── overview-frame.html
│ │ ├── overview-summary.html
│ │ ├── overview-tree.html
│ │ ├── package-list
│ │ ├── resources
│ │ └── inherit.gif
│ │ ├── serialized-form.html
│ │ └── stylesheet.css
├── jcommon-1.0.16.jar
├── jfreechart-1.0.13.jar
└── sqlite-jdbc-3.7.2.jar
└── src
├── QuantTrader.java
└── com
├── .DS_Store
├── effing
└── toolkit
│ ├── Math2.java
│ └── Util2.java
└── qt
├── MainSystem.java
├── Module.java
├── OrderManager.java
├── StockDatabase.java
├── classes
├── Asset.java
├── Order.java
├── Portfolio.java
└── Stock.java
└── modules
├── backtest
├── Backtest.java
├── Macro.java
├── Script.java
├── macros
│ ├── ListFunction.java
│ ├── PairFunction.java
│ └── StockFunction.java
└── scripts
│ ├── BuyOnGap.java
│ ├── Example.java
│ └── Test.java
└── database
├── Database.java
├── StockFetchTask.java
└── StockFetcher.java
/README.md:
--------------------------------------------------------------------------------
1 | **Deprecated**: See https://github.com/effinggames/stock-trader for a better version written in Scala.
2 |
3 | Stock Backtester and Analysis application for EOD (End-of-day) data. Easy creation of java-based scripts, macros, user lists without touching internal code. Uses hot-reloading to rapidly edit scripts without restarting. Automatically downloads data from Yahoo finance.
4 |
5 | Easy to setup - Steps:
6 |
7 | 1. Download source and open in favorite IDE (I like Eclipse)
8 | 2. Add JVM options to run configuration: -d64 -Xms512m -Xmx4g
9 | 3. Add all the jars in resource folder to the build path
10 | 4. Run starting from the main QuantTrader class
11 | 5. Enter 'database download' to download initial set of Yahoo finance EOD data (~10 minutes).
12 | 6. Then enter 'backtest test' to verify everything works, or 'help' to see all commands.
13 |
14 |
15 | Add custom backtesting scripts to: com.qt.modules.backtest.scripts
16 | Add custom backtesting macros to: com.qt.modules.backtest.macros
17 | Add custom stock lists (SP500, NASDAQ100, etc) to: /UserLists (then do 'database rebuild')
18 |
19 |
20 | Example Script:
21 | 
22 |
23 | Screenshots:
24 |
25 | 
26 |
27 | 
28 |
29 | 
30 |
31 | Please fork and improve :)
32 |
--------------------------------------------------------------------------------
/UserLists/.DS_Store:
--------------------------------------------------------------------------------
https://raw.githubusercontent.com/robgraeber/quant-trader/56733cba58c626dcaad4bddc2ed257521931b911/UserLists/.DS_Store
--------------------------------------------------------------------------------
/UserLists/SP500.txt:
--------------------------------------------------------------------------------
1 | XOM
AAPL
MSFT
PG
IBM
JNJ
GE
JPM
BAC
T
CVX
WFC
CSCO
BRK/B
KO
PFE
INTC
GOOG
MRK
HPQ
WMT
PEP
C
ORCL
PM
COP
MCD
VZ
GS
ABT
SLB
DIS
OXY
UTX
UPS
QCOM
MMM
CMCSA
AXP
KFT
AMGN
BA
HD
USB
MO
BMY
EMC
CVS
AMZN
MDT
CAT
CL
F
TGT
UNP
MS
LLY
UNH
EMR
TWX
V
DD
DTV
BK
MET
PNC
HON
GILD
TXN
DOW
MON
LOW
NEM
FCX
NWSA
WAG
APA
SO
DVN
EXC
GLW
NKE
EOG
MHS
ESRX
PRU
DE
KMB
HAL
BAX
PX
COST
TRV
SPG
D
CELG
APC
FDX
GIS
EBAY
GD
LMT
DELL
MRO
AFL
WLP
DUK
NEE
ADP
TMO
MA
NSC
CSX
BHI
DHR
AGN
VIA/B
JCI
TWC
COF
SBUX
YUM
BBT
STT
MCK
RTN
ACE
AMT
CME
YHOO
MOT
SYY
TJX
ADM
CB
PEG
NOC
ITW
AEP
AMAT
CTSH
PCG
BDX
PCAR
WM
BRCM
PCP
HES
ALL
NOV
APD
ADBE
SPLS
SYK
KSS
ETR
CMI
HNZ
GENZ
BIIB
SCHW
CCL
JNPR
NTAP
S
CHK
BEN
SE
PGR
SWN
KR
K
ISRG
CAH
ED
PSA
L
EQR
STI
TROW
AVP
MMC
NUE
PPL
BBY
SRE
VNO
NTRS
STJ
AET
SYMC
XRX
PGN
INTU
NBL
ZMH
BTU
ETN
FE
LO
ECL
WMB
COH
MJN
OMC
AA
CRM
EIX
BXP
PPG
WU
CAG
PCLN
FITB
CTL
DISCA
IP
HIG
SNDK
VLO
XEL
HCP
AMP
SII
BSX
RSG
AON
BBBY
A
CBS
HSP
CHRW
MUR
MHP
DPS
SLE
RAI
PH
HST
FIS
ABC
CLX
CCE
IVZ
LUV
ADI
COL
LIFE
HOT
EP
CI
GR
CTXS
FRX
ITT
WY
CAM
HSY
LLL
PAYX
ALTR
SWK
GPS
EXPD
MAT
RF
AVB
DFS
CNX
DOV
Q
DTE
MAR
PFG
HUM
LH
FLR
SWY
XLNX
ICE
EL
M
DGX
AKAM
CA
VTR
WDC
BCR
SJM
UNM
FTI
MU
APH
MTB
ROK
NYX
FTR
LNC
KEY
CSC
FISV
PXD
WHR
TAP
GNW
LLTC
CMA
BMC
AES
LTD
CEG
CPB
VAR
BF/B
ROST
VFC
GPC
WFMI
RRC
ORLY
GWW
SIAL
CLF
SHW
FAST
FSLR
FO
DVA
WEC
X
NVDA
RHT
ADSK
WAT
HCBK
XL
PCL
DNR
AZO
AEE
CNP
HOG
NRG
HRS
DRI
WYNN
KIM
JWN
VMC
MYL
APOL
MCHP
SLM
SRCL
CF
ROP
WIN
TSN
HCN
ARG
CERN
EQT
JCP
HAS
TDC
QEP
PBCT
VRSN
KLAC
TIF
MKC
FDO
FLS
BLL
PLD
NBR
RL
ERTS
AIG
TXT
OI
SAI
OKE
PBI
NU
MFE
LM
HRB
JEC
IGT
FLIR
WPI
ATI
CEPH
DO
PWR
CINF
XRAY
NI
MCO
HBAN
IRM
KMX
SCG
URBN
MI
PLL
NWL
FMC
EXPE
HP
AMD
PNW
TMK
AIZ
MWV
EMN
MAS
SUN
CFN
PTV
LUK
WYN
IPG
AVY
CBG
AYE
EFX
RHI
ZION
SNI
POM
CMS
TEG
GCI
IFF
RRD
TE
SEE
DNB
COG
NSM
CTAS
LSI
DV
SHLD
STZ
BMS
ANF
LEG
MEE
GME
HRL
JBL
DHI
TSS
CVH
TLAB
GT
RDC
BIG
FHN
PHM
RSH
PDCO
ETFC
WPO
NDAQ
LXK
NVLS
MOLX
SNA
PCS
AIV
SVU
LEN
WFR
JDSU
PKI
KG
R
HAR
NOVL
DF
QLGC
THC
CPWR
GAS
FII
TER
JNS
AN
TIE
TSO
MWW
AKS
EK
ODP
MDP
NYT
--------------------------------------------------------------------------------
/UserLists/SP500_2010.txt:
--------------------------------------------------------------------------------
1 | XOM
AAPL
MSFT
PG
IBM
JNJ
GE
JPM
BAC
T
CVX
WFC
CSCO
BRK/B
KO
PFE
INTC
GOOG
MRK
HPQ
WMT
PEP
C
ORCL
PM
COP
MCD
VZ
GS
ABT
SLB
DIS
OXY
UTX
UPS
QCOM
MMM
CMCSA
AXP
KFT
AMGN
BA
HD
USB
MO
BMY
EMC
CVS
AMZN
MDT
CAT
CL
F
TGT
UNP
MS
LLY
UNH
EMR
TWX
V
DD
DTV
BK
MET
PNC
HON
GILD
TXN
DOW
MON
LOW
NEM
FCX
NWSA
WAG
APA
SO
DVN
EXC
GLW
NKE
EOG
MHS
ESRX
PRU
DE
KMB
HAL
BAX
PX
COST
TRV
SPG
D
CELG
APC
FDX
GIS
EBAY
GD
LMT
DELL
MRO
AFL
WLP
DUK
NEE
ADP
TMO
MA
NSC
CSX
BHI
DHR
AGN
VIA/B
JCI
TWC
COF
SBUX
YUM
BBT
STT
MCK
RTN
ACE
AMT
CME
YHOO
MOT
SYY
TJX
ADM
CB
PEG
NOC
ITW
AEP
AMAT
CTSH
PCG
BDX
PCAR
WM
BRCM
PCP
HES
ALL
NOV
APD
ADBE
SPLS
SYK
KSS
ETR
CMI
HNZ
GENZ
BIIB
SCHW
CCL
JNPR
NTAP
S
CHK
BEN
SE
PGR
SWN
KR
K
ISRG
CAH
ED
PSA
L
EQR
STI
TROW
AVP
MMC
NUE
PPL
BBY
SRE
VNO
NTRS
STJ
AET
SYMC
XRX
PGN
INTU
NBL
ZMH
BTU
ETN
FE
LO
ECL
WMB
COH
MJN
OMC
AA
CRM
EIX
BXP
PPG
WU
CAG
PCLN
FITB
CTL
DISCA
IP
HIG
SNDK
VLO
XEL
HCP
AMP
SII
BSX
RSG
AON
BBBY
A
CBS
HSP
CHRW
MUR
MHP
DPS
SLE
RAI
PH
HST
FIS
ABC
CLX
CCE
IVZ
LUV
ADI
COL
LIFE
HOT
EP
CI
GR
CTXS
FRX
ITT
WY
CAM
HSY
LLL
PAYX
ALTR
SWK
GPS
EXPD
MAT
RF
AVB
DFS
CNX
DOV
Q
DTE
MAR
PFG
HUM
LH
FLR
SWY
XLNX
ICE
EL
M
DGX
AKAM
CA
VTR
WDC
BCR
SJM
UNM
FTI
MU
APH
MTB
ROK
NYX
FTR
LNC
KEY
CSC
FISV
PXD
WHR
TAP
GNW
LLTC
CMA
BMC
AES
LTD
CEG
CPB
VAR
BF/B
ROST
VFC
GPC
WFMI
RRC
ORLY
GWW
SIAL
CLF
SHW
FAST
FSLR
FO
DVA
WEC
X
NVDA
RHT
ADSK
WAT
HCBK
XL
PCL
DNR
AZO
AEE
CNP
HOG
NRG
HRS
DRI
WYNN
KIM
JWN
VMC
MYL
APOL
MCHP
SLM
SRCL
CF
ROP
WIN
TSN
HCN
ARG
CERN
EQT
JCP
HAS
TDC
QEP
PBCT
VRSN
KLAC
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XL
WU
MKC
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CA
LNC
SRCL
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MU
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JBL
NFX
DNB
NDAQ
ATI
JDSU
SAI
GT
TE
X
AIZ
PCS
CVC
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GME
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1 | Apache Commons IO
2 | Copyright 2002-2012 The Apache Software Foundation
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4 | This product includes software developed by
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12 | .TableHeadingColor { background: #CCCCFF; color:#000000 } /* Dark mauve */
13 | .TableSubHeadingColor { background: #EEEEFF; color:#000000 } /* Light mauve */
14 | .TableRowColor { background: #FFFFFF; color:#000000 } /* White */
15 |
16 | /* Font used in left-hand frame lists */
17 | .FrameTitleFont { font-size: 100%; font-family: Helvetica, Arial, sans-serif; color:#000000 }
18 | .FrameHeadingFont { font-size: 90%; font-family: Helvetica, Arial, sans-serif; color:#000000 }
19 | .FrameItemFont { font-size: 90%; font-family: Helvetica, Arial, sans-serif; color:#000000 }
20 |
21 | /* Navigation bar fonts and colors */
22 | .NavBarCell1 { background-color:#EEEEFF; color:#000000} /* Light mauve */
23 | .NavBarCell1Rev { background-color:#00008B; color:#FFFFFF} /* Dark Blue */
24 | .NavBarFont1 { font-family: Arial, Helvetica, sans-serif; color:#000000;color:#000000;}
25 | .NavBarFont1Rev { font-family: Arial, Helvetica, sans-serif; color:#FFFFFF;color:#FFFFFF;}
26 |
27 | .NavBarCell2 { font-family: Arial, Helvetica, sans-serif; background-color:#FFFFFF; color:#000000}
28 | .NavBarCell3 { font-family: Arial, Helvetica, sans-serif; background-color:#FFFFFF; color:#000000}
29 |
30 |
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/resources/jcommon-1.0.16.jar:
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https://raw.githubusercontent.com/robgraeber/quant-trader/56733cba58c626dcaad4bddc2ed257521931b911/resources/jcommon-1.0.16.jar
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/resources/jfreechart-1.0.13.jar:
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https://raw.githubusercontent.com/robgraeber/quant-trader/56733cba58c626dcaad4bddc2ed257521931b911/resources/jfreechart-1.0.13.jar
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/resources/sqlite-jdbc-3.7.2.jar:
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https://raw.githubusercontent.com/robgraeber/quant-trader/56733cba58c626dcaad4bddc2ed257521931b911/resources/sqlite-jdbc-3.7.2.jar
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/src/QuantTrader.java:
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1 | //
2 | // DataFeeder.java
3 | // DataTrader
4 | //
5 | // Created by Rob Graeber on Nov 3, 2012.
6 | // Copyright 2012 Rob Graeber. All rights reserved.
7 | //
8 |
9 | import com.qt.MainSystem;
10 |
11 | public class QuantTrader {
12 | public static void main(String[] args) {
13 | // TODO Auto-generated method stub
14 | MainSystem.init();
15 | }
16 | }
17 |
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/src/com/.DS_Store:
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https://raw.githubusercontent.com/robgraeber/quant-trader/56733cba58c626dcaad4bddc2ed257521931b911/src/com/.DS_Store
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/src/com/effing/toolkit/Math2.java:
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1 | package com.effing.toolkit;
2 |
3 | import java.util.Collections;
4 | import java.util.List;
5 |
6 | public final class Math2 {
7 | public static double getMean(List values) {
8 | double mean = 0.0;
9 | if ((values != null) && (values.size() > 0)) {
10 | for (double value : values) {
11 | mean += value;
12 | }
13 | mean /= values.size();
14 | }
15 | return mean;
16 | }
17 |
18 | public static double getStandardDeviation(List values) {
19 | double deviation = 0.0;
20 | if ((values != null) && (values.size() > 1)) {
21 | double mean = getMean(values);
22 | for (double value : values) {
23 | double delta = value-mean;
24 | deviation += delta*delta;
25 | }
26 | deviation = Math.sqrt(deviation/values.size());
27 | }
28 | return deviation;
29 | }
30 |
31 | public static double getMedian(List values) {
32 | double median = 0.0;
33 | if (values != null) {
34 | int numValues = values.size();
35 | if (numValues > 0) {
36 | Collections.sort(values);
37 | if ((numValues%2) == 0) {
38 | median = (values.get((numValues/2)-1)+values.get(numValues/2))/2.0;
39 | } else {
40 | median = values.get(numValues/2);
41 | }
42 | }
43 | }
44 | return median;
45 | }
46 |
47 | }
48 |
--------------------------------------------------------------------------------
/src/com/effing/toolkit/Util2.java:
--------------------------------------------------------------------------------
1 | //Attribution: Mohamed Mansour, Dave Dopson
2 | //http://stackoverflow.com/questions/5125242/list-only-subdirectory-from-directory-not-files
3 | //https://github.com/ddopson/java-class-enumerator
4 | package com.effing.toolkit;
5 |
6 | import java.io.File;
7 | import java.io.FilenameFilter;
8 | import java.io.IOException;
9 | import java.net.URISyntaxException;
10 | import java.net.URL;
11 | import java.util.ArrayList;
12 | import java.util.Arrays;
13 | import java.util.Enumeration;
14 | import java.util.List;
15 | import java.util.jar.JarEntry;
16 | import java.util.jar.JarFile;
17 |
18 | //Random utility functions
19 | public final class Util2 {
20 | //checks for string equality, ignores case
21 | public static boolean arrayContainsString(List array, String str){
22 | for(String str2 : array){
23 | if(str2.equalsIgnoreCase(str)){
24 | return true;
25 | }
26 | }
27 | return false;
28 | }
29 | public static String uppercaseFirstLetter(String str){
30 | return Character.toUpperCase(str.charAt(0)) + str.substring(1);
31 | }
32 | public static void trimArray(List array, int maxLength){
33 | if(array.size() <= maxLength){
34 | return;
35 | }
36 | for(int i = array.size()-1; i>=0; i--){
37 | if(i >= maxLength){
38 | array.remove(i);
39 | }
40 | }
41 | }
42 | //Finds all subdirectories in a directory
43 | public static List getAllSubDirectories(String path){
44 | File file = new File(path);
45 | String[] directories = file.list(new FilenameFilter() {
46 | public boolean accept(File current, String name) {
47 | return new File(current, name).isDirectory();
48 | }
49 | });
50 | //System.out.println(Arrays.asList(directories));
51 | return new ArrayList(Arrays.asList(directories));
52 | }
53 | //Finds all classes in a package/directory
54 | public static ArrayList> getClassesForPackage(String pkgname) {
55 | ArrayList> classes = new ArrayList>();
56 | // Get a File object for the package
57 | File directory = null;
58 | String fullPath;
59 | String relPath = pkgname.replace('.', '/');
60 | //System.out.println("ClassDiscovery: Package: " + pkgname + " becomes Path:" + relPath);
61 | URL resource = ClassLoader.getSystemClassLoader().getResource(relPath);
62 | //System.out.println("ClassDiscovery: Resource = " + resource);
63 | if (resource == null) {
64 | throw new RuntimeException("No resource for " + relPath);
65 | }
66 | fullPath = resource.getFile();
67 | //System.out.println("ClassDiscovery: FullPath = " + resource);
68 |
69 | try {
70 | directory = new File(resource.toURI());
71 | } catch (URISyntaxException e) {
72 | throw new RuntimeException(pkgname + " (" + resource + ") does not appear to be a valid URL / URI. Strange, since we got it from the system...", e);
73 | } catch (IllegalArgumentException e) {
74 | directory = null;
75 | }
76 | //System.out.println("ClassDiscovery: Directory = " + directory);
77 |
78 | if (directory != null && directory.exists()) {
79 | // Get the list of the files contained in the package
80 | String[] files = directory.list();
81 | for (int i = 0; i < files.length; i++) {
82 | // we are only interested in .class files
83 | if (files[i].endsWith(".class") && files[i].indexOf("$") == -1) {
84 | // removes the .class extension
85 | String className = pkgname + '.' + files[i].substring(0, files[i].length() - 6);
86 | //System.out.println("ClassDiscovery: className = " + className);
87 | try {
88 | classes.add(Class.forName(className));
89 | }
90 | catch (ClassNotFoundException e) {
91 | throw new RuntimeException("ClassNotFoundException loading " + className);
92 | }
93 | }
94 | }
95 | }
96 | else {
97 | try {
98 | String jarPath = fullPath.replaceFirst("[.]jar[!].*", ".jar").replaceFirst("file:", "");
99 | JarFile jarFile = new JarFile(jarPath);
100 | Enumeration entries = jarFile.entries();
101 | while(entries.hasMoreElements()) {
102 | JarEntry entry = entries.nextElement();
103 | String entryName = entry.getName();
104 | if(entryName.startsWith(relPath) && entryName.length() > (relPath.length() + "/".length())) {
105 | System.out.println("ClassDiscovery: JarEntry: " + entryName);
106 | String className = entryName.replace('/', '.').replace('\\', '.').replace(".class", "");
107 | System.out.println("ClassDiscovery: className = " + className);
108 | try {
109 | classes.add(Class.forName(className));
110 | }
111 | catch (ClassNotFoundException e) {
112 | throw new RuntimeException("ClassNotFoundException loading " + className);
113 | }
114 | }
115 | }
116 | } catch (IOException e) {
117 | throw new RuntimeException(pkgname + " (" + directory + ") does not appear to be a valid package", e);
118 | }
119 | }
120 | return classes;
121 | }
122 | }
123 |
--------------------------------------------------------------------------------
/src/com/qt/MainSystem.java:
--------------------------------------------------------------------------------
1 | //
2 | // MainSystem.java
3 | // DataTrader
4 | //
5 | // Created by Rob Graeber on Nov 3, 2012.
6 | // Copyright 2012 Rob Graeber. All rights reserved.
7 | //
8 | package com.qt;
9 |
10 | import java.io.BufferedReader;
11 | import java.io.IOException;
12 | import java.io.InputStreamReader;
13 | import java.util.ArrayList;
14 | import java.util.Arrays;
15 | import java.util.List;
16 |
17 | import com.effing.toolkit.Util2;
18 |
19 | //The central class that handles the console + loops through all the algorithms
20 | public class MainSystem {
21 | private static Boolean initialized = false;
22 | private static List moduleArray = new ArrayList();
23 | //Initializer that starts the console loop and loads the modules
24 | public static void init(){
25 | if(!initialized){
26 | initialized = true;
27 | }else{
28 | return;
29 | }
30 | System.out.println("Activating QuantTrader v1.02 -- Backtest Mode");
31 | System.out.println("Warming up.. This may take a while");
32 | System.out.println("Searching for Modules..");
33 | for(String moduleName:Util2.getAllSubDirectories("src/com/qt/modules/")){
34 | for(Class moduleClass:Util2.getClassesForPackage("com.qt.modules."+moduleName)){
35 | try {
36 | if(Module.class.isAssignableFrom(moduleClass)){
37 | Module module = (Module)moduleClass.newInstance();
38 | moduleArray.add(module);
39 | System.out.println("Loading "+Util2.uppercaseFirstLetter(module.name)+" Module.. Success!");
40 | }
41 | } catch (InstantiationException e) {
42 | // TODO Auto-generated catch block
43 | e.printStackTrace();
44 | } catch (IllegalAccessException e) {
45 | // TODO Auto-generated catch block
46 | e.printStackTrace();
47 | }
48 |
49 | }
50 | }
51 | inputPrompt();
52 | }
53 |
54 | //the main console loop
55 | //most commands for the backtest and database module are case insensitive
56 | private static void inputPrompt(){
57 | BufferedReader bufferedReader = new BufferedReader(new InputStreamReader(System.in));
58 | try {
59 | //System.out.println("");
60 | System.out.println("What do you want to do now?");
61 | String line = bufferedReader.readLine();
62 | boolean matchFound = false;
63 | for(Module module:moduleArray){
64 | if(line.matches(module.triggerWord+" (.*?)")){
65 | String[] textInputs = line.split(" ");
66 | List parameters = new ArrayList(Arrays.asList(textInputs));
67 | for(String str:parameters){
68 | str.trim();
69 | }
70 | parameters.remove(0); //removes trigger word
71 | module.activate(parameters);
72 | matchFound = true;
73 | break;
74 | }else if(line.matches("^"+module.triggerWord+"$")){
75 | System.out.println(usageTextForModule(module)); //help text
76 | matchFound = true;
77 | break;
78 | }
79 | }
80 | if(line.equalsIgnoreCase("quit")||line.equalsIgnoreCase("exit")){
81 | System.exit(0);
82 | }else if(!matchFound || line.equalsIgnoreCase("help")){
83 | for(Module module:moduleArray){
84 | System.out.println(usageTextForModule(module)); //help text
85 | }
86 | }
87 | } catch (IOException e) {
88 | e.printStackTrace();
89 | }
90 | inputPrompt();
91 | }
92 | //help text
93 | private static String usageTextForModule(Module module){
94 | return Util2.uppercaseFirstLetter(module.name)+" Usage: "+module.helpText;
95 | }
96 |
97 |
98 |
99 | }
100 |
--------------------------------------------------------------------------------
/src/com/qt/Module.java:
--------------------------------------------------------------------------------
1 | package com.qt;
2 |
3 | import java.util.List;
4 | //DataTrader uses a very flexible module system,
5 | //that automatically searches for modules in the modules namespace
6 | //Basically the main system just routes and feeds parameters to the modules
7 | //How the module itself is structured is unchecked
8 | public abstract class Module {
9 | public String name = "Module";
10 | public String triggerWord = "aaa123";
11 | public String helpText = "module ";
12 | public abstract void activate(List parameters);
13 |
14 | }
15 |
--------------------------------------------------------------------------------
/src/com/qt/classes/Asset.java:
--------------------------------------------------------------------------------
1 | //
2 | // StockAsset.java
3 | // DataTrader
4 | //
5 | // Created by Rob Graeber on Nov 16, 2012.
6 | // Copyright 2012 Rob Graeber. All rights reserved.
7 | //
8 | package com.qt.classes;
9 |
10 | import com.qt.StockDatabase;
11 |
12 |
13 | //Asset represents the asset holding of a portfolio, basically a stock, quantity, and average cost for tracking purposes
14 | public class Asset {
15 | public String symbol;
16 | public int quantity;
17 | public double averageCost;
18 | public Stock stock;
19 | public Asset(String symbol, int quantity){
20 | this.symbol = symbol;
21 | this.quantity = quantity;
22 | this.averageCost = 0;
23 | this.stock = StockDatabase.getStock(symbol);
24 | }
25 | }
26 |
--------------------------------------------------------------------------------
/src/com/qt/classes/Order.java:
--------------------------------------------------------------------------------
1 | //
2 | // StockOrder.java
3 | // DataTrader
4 | //
5 | // Created by Rob Graeber on Nov 16, 2012.
6 | // Copyright 2012 Rob Graeber. All rights reserved.
7 | //
8 | package com.qt.classes;
9 |
10 |
11 | //An order initiated by an algorithm and carried out by the order manager
12 | //Adjust commission and slippage values in order manager
13 | public class Order {
14 | public enum OrderType {BUY_AT_CLOSE, BUY_AT_OPEN, SELL_AT_CLOSE, SELL_AT_OPEN, SHORT_AT_OPEN, SHORT_AT_CLOSE};
15 |
16 | public OrderType orderType;
17 | public String symbol;
18 | public int quantity;
19 | public int timeDelay;
20 | public Portfolio portfolio;
21 | public boolean isCommissionAndSlippageEnabled;
22 |
23 | public Order(OrderType orderType, String symbol, int quantity, Portfolio portfolio, int timeDelay, boolean isCommissionAndSlippageEnabled){
24 | this.orderType = orderType;
25 | this.symbol = symbol;
26 | this.quantity = quantity;
27 | this.portfolio = portfolio;
28 | this.timeDelay = timeDelay;
29 | this.isCommissionAndSlippageEnabled = isCommissionAndSlippageEnabled;
30 | }
31 | }
32 |
--------------------------------------------------------------------------------
/src/com/qt/classes/Portfolio.java:
--------------------------------------------------------------------------------
1 | package com.qt.classes;
2 |
3 | import java.util.ArrayList;
4 | //
5 | // Portfolio.java
6 | // DataTrader
7 | //
8 | // Created by Rob Graeber on Nov 3, 2012.
9 | // Copyright 2012 Rob Graeber. All rights reserved.
10 | //
11 | import java.util.List;
12 |
13 | import com.qt.StockDatabase;
14 |
15 | //Holds all the stock/assets and tracks algorithm results
16 | public class Portfolio {
17 | private static ArrayList portfolioArray = new ArrayList();
18 | public double avaliableFunds = 100000;
19 | public double initialFunds = 100000;
20 | private List assetArray = new ArrayList();
21 |
22 | public static Portfolio getNewPortfolio(double initialFunds){
23 |
24 | Portfolio portfolio = new Portfolio();
25 | portfolio.avaliableFunds = initialFunds;
26 | portfolio.initialFunds = initialFunds;
27 | portfolioArray.add(portfolio);
28 | return portfolio;
29 | }
30 | public void resetMe(){
31 | this.avaliableFunds = this.initialFunds;
32 | assetArray = new ArrayList();
33 | }
34 | public void resetMe(double initialFunds){
35 | this.initialFunds = initialFunds;
36 | resetMe();
37 | }
38 |
39 | public List getAssetArray(){
40 | return assetArray;
41 | }
42 | public Asset getAsset(String symbol){
43 | for(Asset asset : assetArray){
44 | if (asset.symbol.equalsIgnoreCase(symbol)){
45 | return asset;
46 | }
47 | }
48 | return new Asset("ASDF", 0);
49 | }
50 | public double getTotalValue(){
51 | double totalValue = avaliableFunds;
52 | for(Asset asset:assetArray){
53 | Stock stock = StockDatabase.getStock(asset.symbol);
54 | totalValue += stock.getClose() * asset.quantity;
55 | }
56 | return totalValue;
57 | }
58 | public void addAsset(String symbol, int quantity, double cost){
59 | if(findSymbol(symbol) != null){
60 | Asset asset = findSymbol(symbol);
61 | double currentCost = asset.quantity * asset.averageCost;
62 | currentCost += cost * quantity;
63 | asset.quantity += quantity;
64 | currentCost /= asset.quantity;
65 | asset.averageCost = currentCost;
66 | }else{
67 | assetArray.add(new Asset(symbol, quantity));
68 | findSymbol(symbol).averageCost = cost;
69 | }
70 | }
71 | public void removeAsset(String symbol, int quantity){
72 | if(findSymbol(symbol) != null){
73 | findSymbol(symbol).quantity -= quantity;
74 | if(findSymbol(symbol).quantity == 0){
75 | assetArray.remove(findSymbol(symbol));
76 | }
77 | }else{
78 | System.out.println("Unable to remove asset -- Asset not found!");
79 | }
80 | }
81 | public boolean containsSymbol(String symbol){
82 | return getSymbolQuantity(symbol) != 0;
83 | }
84 | public int getSymbolQuantity(String symbol){
85 | int quantity = 0;
86 | for(Asset asset:getAssetArray()){
87 | if (asset.symbol.equalsIgnoreCase(symbol)){
88 | quantity = asset.quantity;
89 | }
90 | }
91 | return quantity;
92 | }
93 | public Asset findSymbol(String symbol){
94 | for(Asset asset:getAssetArray()){
95 | if (asset.symbol.equalsIgnoreCase(symbol)){
96 | return asset;
97 | }
98 | }
99 | return null;
100 | }
101 |
102 | }
103 |
--------------------------------------------------------------------------------
/src/com/qt/classes/Stock.java:
--------------------------------------------------------------------------------
1 | //
2 | // Stock.java
3 | // DataTrader
4 | //
5 | // Created by Rob Graeber on Nov 3, 2012.
6 | // Copyright 2012 Rob Graeber. All rights reserved.
7 | //
8 | package com.qt.classes;
9 |
10 | import java.util.Date;
11 | import java.util.ArrayList;
12 | import java.util.List;
13 |
14 | import com.effing.toolkit.Math2;
15 |
16 | //The objects that holds massive array loaded from the database.
17 | //Has a bunch of price, volume, MA, etc, getters.
18 | public class Stock {
19 | //The day/tick all the stocks are on
20 | //Corresponds to rows in a database
21 | public static int currentId = 0;
22 | //Adjusts if stock is listed later than start date
23 | //Assumes that no stocks in data get delisted (yahoo finance doesn't include delisted stocks)
24 | public static int lengthTarget = 0;
25 | public String symbol;
26 | private List closeArray = new ArrayList();
27 | private List openArray = new ArrayList();
28 | private List highArray = new ArrayList();
29 | private List lowArray = new ArrayList();
30 | private List volumeArray = new ArrayList();
31 | public List dateArray = new ArrayList();
32 | public Stock(String theSymbol){
33 | symbol = theSymbol;
34 | }
35 | public int getArraySize(){
36 | return closeArray.size();
37 | }
38 | public void addData(double open, double high, double low, double close, double volume, Date date){
39 | openArray.add(new Double(open));
40 | highArray.add(new Double(high));
41 | lowArray.add(new Double(low));
42 | closeArray.add(new Double(close));
43 | volumeArray.add(new Double(volume));
44 | dateArray.add(date);
45 | }
46 | public double getMinimumVolume(int overHowManyDays){
47 | return getMinimumVolume(overHowManyDays, 0);
48 | }
49 | public double getMinimumVolume(int overHowManyDays, int daysAgo){
50 | double minimumVolume = 10000000000.0;
51 | for (int i = 0; i volume){
54 | minimumVolume = volume;
55 | }
56 | }
57 | return minimumVolume;
58 | }
59 | public double getAverageVolume(int overHowManyDays){
60 | return getAverageVolume(overHowManyDays, 0);
61 | }
62 | public double getAverageVolume(int overHowManyDays, int daysAgo){
63 | List volumeList = new ArrayList();
64 | for (int i = 0; i= 0.0){
67 | volumeList.add(volume);
68 | }else{
69 | return -1.0;//before data start
70 | }
71 | }
72 | return Math2.getMean(volumeList);
73 | }
74 | //Moving standard deviation of close to close change, not the total change of the time period
75 | public double getMovingSD(int overHowManyDays){
76 | return getMovingSD(overHowManyDays, 0);
77 | }
78 | public double getMovingSD(int overHowManyDays, int daysAgo){
79 | List changeList = new ArrayList();
80 | for (int i = 0; i closeArray = new ArrayList();
92 | for (int i = 0; i= 0.0){
95 | closeArray.add(close);
96 | }
97 | }
98 | return Math2.getMean(closeArray);
99 | }
100 | public double getPrice(){
101 | return getPrice(0);
102 | }
103 | public double getVolume(){
104 | return getVolume(0);
105 | }
106 | public double getHigh(){
107 | return getHigh(0);
108 | }
109 | public double getLow(){
110 | return getLow(0);
111 | }
112 | public double getOpen(){
113 | return getOpen(0);
114 | }
115 | public double getClose(){
116 | return getClose(0);
117 | }
118 | public Date getDate(){
119 | return getDate(0);
120 | }
121 | public Date getDate(int daysAgo){
122 | int targetId = Stock.currentId-daysAgo - (lengthTarget - closeArray.size());
123 | if(targetId < 0){
124 | return dateArray.get(0);
125 | }
126 | if (targetId > closeArray.size()-1){
127 | return dateArray.get(dateArray.size()-1);
128 | }
129 | return dateArray.get(targetId);
130 | }
131 | public double getPrice(int daysAgo){
132 | return getClose(daysAgo);
133 | }
134 | public double getVolume(int daysAgo){
135 | int targetId = Stock.currentId-daysAgo - (lengthTarget - closeArray.size());
136 | if(targetId < 0){
137 | return -1.0;
138 | }
139 | if (targetId > closeArray.size()-1){
140 | return -1.0;
141 | }
142 | return volumeArray.get(targetId).doubleValue();
143 | }
144 | public double getOpen(int daysAgo){
145 | int targetId = Stock.currentId-daysAgo - (lengthTarget - closeArray.size());
146 | if(targetId < 0){
147 | return -1.0;
148 | }
149 | if (targetId > closeArray.size()-1){
150 | return -1.0;
151 | }
152 | return openArray.get(targetId).doubleValue();
153 | }
154 | public double getClose(int daysAgo){
155 | int targetId = Stock.currentId-daysAgo - (lengthTarget - closeArray.size());
156 | if(targetId < 0){
157 | return -1.0;
158 | }
159 | if (targetId > closeArray.size()-1){
160 | return -1.0;
161 | }
162 | return closeArray.get(targetId).doubleValue();
163 | }
164 | public double getHigh(int daysAgo){
165 | int targetId = Stock.currentId-daysAgo - (lengthTarget - closeArray.size());
166 | if(targetId < 0){
167 | return -1.0;
168 | }
169 | if (targetId > closeArray.size()-1){
170 | return -1.0;
171 | }
172 | return highArray.get(targetId).doubleValue();
173 | }
174 | public double getLow(int daysAgo){
175 | int targetId = Stock.currentId-daysAgo - (lengthTarget - closeArray.size());
176 | if(targetId < 0){
177 | return -1.0;
178 | }
179 | if (targetId > closeArray.size()-1){
180 | return -1.0;
181 | }
182 | return lowArray.get(targetId).doubleValue();
183 | }
184 | }
185 |
--------------------------------------------------------------------------------
/src/com/qt/modules/backtest/Macro.java:
--------------------------------------------------------------------------------
1 | package com.qt.modules.backtest;
2 |
3 | import java.util.ArrayList;
4 | import java.util.List;
5 |
6 |
7 |
8 | //Basically these are scripts that can take parameters, unique to the backtest module
9 | //i.e. "backtest stock:AAPL script1 script2"
10 | //unlimited parameters are possible, i.e. "backtest macro1:AAPL:GOOG:IBM:5:3"
11 | public abstract class Macro extends Script {
12 | public List param = new ArrayList();
13 | public String triggerWord = "aaa123"; //the command
14 |
15 | public abstract void handleEnterTick();
16 |
17 | //overwrite this to change it
18 | public String getDisplayName() {
19 | if(param.size()>0){
20 | return param.get(0).toUpperCase();
21 | }else{
22 | return "NULL";
23 | }
24 | }
25 |
26 | }
27 |
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/src/com/qt/modules/backtest/Script.java:
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1 | //
2 | // Algorithm.java
3 | // DataTrader
4 | //
5 | // Created by Rob Graeber on Nov 3, 2012.
6 | // Copyright 2012 Rob Graeber. All rights reserved.
7 | //
8 | package com.qt.modules.backtest;
9 |
10 | import com.qt.classes.Portfolio;
11 |
12 |
13 |
14 | //The main backtesting algorithms
15 | //Overwrite handleEnterFrame and issue your buy/sell orders to the OrderManager
16 | public abstract class Script {
17 | private Portfolio portfolio = Portfolio.getNewPortfolio(100000000);
18 | public Script() {
19 | }
20 |
21 | //called every tick/row of the stock database, 1 tick = 1 day when using EOD data
22 | public abstract void handleEnterTick();
23 |
24 | public Portfolio getPortfolio() {
25 | return portfolio;
26 | }
27 | }
28 |
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/src/com/qt/modules/backtest/macros/ListFunction.java:
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1 | //
2 | // Algo1.java
3 | // DataTrader
4 | //
5 | // Created by Rob Graeber on Nov 3, 2012.
6 | // Copyright 2012 Rob Graeber. All rights reserved.
7 | //
8 | package com.qt.modules.backtest.macros;
9 | import java.util.List;
10 |
11 | import com.qt.OrderManager;
12 | import com.qt.StockDatabase;
13 | import com.qt.classes.Stock;
14 | import com.qt.classes.Order.OrderType;
15 | import com.qt.modules.backtest.Macro;
16 |
17 | //Simple algorithm that tracks a user-created list, ie a benchmark
18 | //Command format: "backtest list:SP500 script1 script2"
19 | public class ListFunction extends Macro{
20 | public ListFunction(){
21 | this.triggerWord = "list";
22 | }
23 | public void handleEnterTick(){
24 | List selectedStocks = StockDatabase.getStockArray(param.get(0));
25 | if(getPortfolio().getSymbolQuantity(selectedStocks.get(0).symbol) <= 0){
26 | for(Stock stock : selectedStocks){
27 | int quantity = (int) Math.floor(getPortfolio().avaliableFunds/stock.getOpen()/selectedStocks.size());
28 | if(quantity > 0){
29 | OrderManager.submitOrder(OrderType.BUY_AT_OPEN, stock.symbol, quantity, getPortfolio(), 0);
30 | }
31 | }
32 | }
33 | }
34 | }
35 |
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/src/com/qt/modules/backtest/macros/PairFunction.java:
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1 | //
2 | // Algo1.java
3 | // DataTrader
4 | //
5 | // Created by Rob Graeber on Nov 3, 2012.
6 | // Copyright 2012 Rob Graeber. All rights reserved.
7 | //
8 | package com.qt.modules.backtest.macros;
9 | import java.util.ArrayList;
10 | import java.util.List;
11 |
12 | import com.effing.toolkit.Util2;
13 | import com.qt.OrderManager;
14 | import com.qt.StockDatabase;
15 | import com.qt.classes.Stock;
16 | import com.qt.classes.Order.OrderType;
17 | import com.qt.modules.backtest.Macro;
18 |
19 | //Simple algorithm that tracks a pair's relative change, buys stock1, shorts stock2
20 | //Also accepts lists and defaults to list if found, hopefully there's no collisions
21 | //Command format: "backtest pair:KO:PEP script1 script2"
22 | public class PairFunction extends Macro{
23 | public PairFunction(){
24 | this.triggerWord = "pair";
25 | }
26 | public void handleEnterTick(){
27 | List selectedStocksBuy = new ArrayList();
28 | List selectedStocksShort = new ArrayList();
29 | if(Util2.arrayContainsString(StockDatabase.getListNames(), param.get(0))){
30 | selectedStocksBuy = StockDatabase.getStockArray(param.get(0));
31 | }else{
32 | selectedStocksBuy.add(StockDatabase.getStock(param.get(0)));
33 | }
34 | if(Util2.arrayContainsString(StockDatabase.getListNames(), param.get(1))){
35 | selectedStocksShort = StockDatabase.getStockArray(param.get(1));
36 | }else{
37 | selectedStocksShort.add(StockDatabase.getStock(param.get(1)));
38 | }
39 |
40 | for(Stock stock : selectedStocksBuy){
41 | int quantity = (int) Math.floor(getPortfolio().initialFunds/stock.getOpen()/selectedStocksBuy.size());
42 | if(quantity > 0 && getPortfolio().getSymbolQuantity(stock.symbol) <= 0){
43 | OrderManager.submitOrder(OrderType.BUY_AT_OPEN, stock.symbol, quantity, getPortfolio(), 0);
44 | }
45 | }
46 | for(Stock stock : selectedStocksShort){
47 | int quantity = (int) Math.floor(getPortfolio().initialFunds/stock.getOpen()/selectedStocksShort.size());
48 | if(quantity > 0 && getPortfolio().getSymbolQuantity(stock.symbol) >= 0){
49 | OrderManager.submitOrder(OrderType.SHORT_AT_OPEN, stock.symbol, quantity, getPortfolio(), 0);
50 | }
51 | }
52 | }
53 | public String getDisplayName(){
54 | return param.get(0).toUpperCase() +":"+param.get(1).toUpperCase();
55 | }
56 | }
57 |
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/src/com/qt/modules/backtest/macros/StockFunction.java:
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1 | //
2 | // Algo1.java
3 | // DataTrader
4 | //
5 | // Created by Rob Graeber on Nov 3, 2012.
6 | // Copyright 2012 Rob Graeber. All rights reserved.
7 | //
8 | package com.qt.modules.backtest.macros;
9 | import com.qt.OrderManager;
10 | import com.qt.StockDatabase;
11 | import com.qt.classes.Stock;
12 | import com.qt.classes.Order.OrderType;
13 | import com.qt.modules.backtest.Macro;
14 |
15 | //Simple algorithm that tracks a certain stock, ie a benchmark
16 | //Command format: "backtest stock:APPL script1 script2"
17 | public class StockFunction extends Macro{
18 | public StockFunction(){
19 | this.triggerWord = "stock";
20 | }
21 | public void handleEnterTick(){
22 | Stock stock = StockDatabase.getStock(param.get(0));
23 | if(getPortfolio().getSymbolQuantity(stock.symbol) <= 0){
24 | int quantity = (int) Math.floor(getPortfolio().avaliableFunds/stock.getOpen());
25 | OrderManager.submitOrder(OrderType.BUY_AT_OPEN, stock.symbol, quantity, getPortfolio(), 0);
26 | }
27 | }
28 | }
29 |
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/src/com/qt/modules/backtest/scripts/BuyOnGap.java:
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1 | //
2 | // BuyOnGapAlgo.java
3 | // DataTrader
4 | //
5 | // Created by Rob Graeber on Nov 20, 2012.
6 | // Copyright 2012 Rob Graeber. All rights reserved.
7 | //
8 | package com.qt.modules.backtest.scripts;
9 | import java.util.ArrayList;
10 | import java.util.Collections;
11 | import java.util.Comparator;
12 | import java.util.List;
13 |
14 | import com.effing.toolkit.Util2;
15 | import com.qt.OrderManager;
16 | import com.qt.StockDatabase;
17 | import com.qt.classes.Stock;
18 | import com.qt.classes.Order.OrderType;
19 | import com.qt.modules.backtest.Script;
20 |
21 |
22 | //Buy at the open 100 stocks within the S&P500 which have the lowest returns
23 | //from their previous day's lows to the current day's open, provided that
24 | //the gap down is greater than one standard deviation.
25 | //Exit such long positions at the day's close.
26 | //Special thanks to Ernie Chan for this strategy
27 | //Source: http://epchan.blogspot.com/2012/04/life-and-death-of-strategy.html
28 | public class BuyOnGap extends Script {
29 |
30 | public BuyOnGap() {
31 |
32 | }
33 |
34 | @Override
35 | public void handleEnterTick() {
36 | List stockArray = new ArrayList(StockDatabase.getStockArray("sp500_2010"));
37 |
38 | for(int i = stockArray.size()-1; i >= 0; i--){
39 | Stock stock = stockArray.get(i);
40 | double returns = stock.getOpen(0) - stock.getLow(1);
41 | boolean criteria = Stock.currentId > 90 && returns < -1*stock.getMovingSD(90, 1);
42 | if(!criteria){
43 | stockArray.remove(i);
44 | }
45 | }
46 | Collections.sort(stockArray, stockChangeComparator);
47 | Util2.trimArray(stockArray, 100);
48 | System.out.println("BuyOnGap Buys: "+stockArray.size());
49 | double fundsPerOrder = getPortfolio().initialFunds / stockArray.size();
50 | for(Stock stock : stockArray){
51 | int quantity = (int) Math.floor(fundsPerOrder/stock.getOpen());
52 | if(quantity > 0){
53 | OrderManager.submitOrder(OrderType.BUY_AT_OPEN, stock.symbol, quantity, getPortfolio(), 0, true);
54 | OrderManager.submitOrder(OrderType.SELL_AT_CLOSE, stock.symbol, quantity, getPortfolio(), 0, true);
55 | }
56 | }
57 | }
58 |
59 | //sorts a stock array to have the biggest % losers first
60 | public static Comparator stockChangeComparator = new Comparator() {
61 |
62 | public int compare(Stock stock1, Stock stock2) {
63 | double s1Gap = stock1.getOpen(0) - stock1.getLow(1);
64 | double s2Gap = stock2.getOpen(0) - stock2.getLow(1);
65 | double stock1Value = s1Gap/stock1.getClose(1);
66 | double stock2Value = s2Gap/stock2.getClose(1);
67 |
68 | if(stock1Value > stock2Value){
69 | return 1;
70 | }else if (stock1Value < stock2Value){
71 | return -1;
72 | }else{
73 | return 0;
74 | }
75 | }
76 |
77 | };
78 |
79 | }
80 |
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/src/com/qt/modules/backtest/scripts/Example.java:
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1 | //
2 | // Algo1.java
3 | // DataTrader
4 | //
5 | // Created by Rob Graeber on Nov 3, 2012.
6 | // Copyright 2012 Rob Graeber. All rights reserved.
7 | //
8 | package com.qt.modules.backtest.scripts;
9 | import java.util.ArrayList;
10 | import java.util.List;
11 |
12 | import com.qt.OrderManager;
13 | import com.qt.StockDatabase;
14 | import com.qt.StockDatabase.ListType;
15 | import com.qt.classes.Stock;
16 | import com.qt.classes.Order.OrderType;
17 | import com.qt.modules.backtest.Script;
18 |
19 | //To add new algorithm for testing, see MainSystem.java->init()
20 | //Here's a sample algorithm to shows off the basic ordering structure:
21 |
22 | //handleEnterTick() is called every new tick, in this case 1 tick = 1 day
23 | //Access stocks from the StockDatabase, and Stock objects have price and volume info
24 | //Each algo has an attached portfolio accessed by getPortfolio()
25 | //Submit orders to the OrderManager, calculate on your own the quantity of shares to buy
26 | //Note: Keep in mind survivorship bias, commissions, and not using future info when crafting strategies
27 |
28 | public class Example extends Script{
29 | public Example(){
30 |
31 | }
32 | public void handleEnterTick(){
33 | List selectedStocks = new ArrayList();
34 | for (Stock stock : StockDatabase.getStockArray(ListType.SP500)){
35 | if(stock.getClose(1)>1.0 && stock.getVolume(1)>100000){
36 | selectedStocks.add(stock);
37 | }
38 | }
39 | double totalFundsPerDay = getPortfolio().initialFunds;
40 | double fundsPerOrder = totalFundsPerDay / selectedStocks.size();
41 | for(Stock stock : selectedStocks){
42 | int quantity = (int) Math.floor(fundsPerOrder/stock.getOpen());
43 | if(quantity > 0){
44 | OrderManager.submitOrder(OrderType.BUY_AT_OPEN, stock.symbol, quantity, getPortfolio(), 0);
45 | OrderManager.submitOrder(OrderType.SELL_AT_CLOSE, stock.symbol, quantity, getPortfolio(), 0);
46 | }
47 | }
48 | }
49 | }
50 |
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/src/com/qt/modules/backtest/scripts/Test.java:
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1 | package com.qt.modules.backtest.scripts;
2 |
3 | import com.qt.OrderManager;
4 | import com.qt.StockDatabase;
5 | import com.qt.classes.Stock;
6 | import com.qt.classes.Order.OrderType;
7 | import com.qt.modules.backtest.Script;
8 |
9 | //For testing purposes
10 | public class Test extends Script {
11 |
12 | @Override
13 | public void handleEnterTick() {
14 | Stock stock = StockDatabase.getStock("IBM");
15 | System.out.println("Close: "+stock.getClose());
16 | System.out.println("Price change: "+(stock.getClose()-stock.getClose(1)));
17 | System.out.println("MA 30: "+stock.getMA(30));
18 | System.out.println("SD 5: "+stock.getMovingSD(5));
19 | System.out.println("SD 30: "+stock.getMovingSD(30));
20 | System.out.println("SD 90: "+stock.getMovingSD(90));
21 | if(getPortfolio().getSymbolQuantity(stock.symbol) <= 0){
22 | int quantity = (int) Math.floor(getPortfolio().avaliableFunds/stock.getOpen());
23 | OrderManager.submitOrder(OrderType.BUY_AT_OPEN, stock.symbol, quantity, getPortfolio(), 0);
24 | }
25 |
26 | }
27 |
28 | }
29 |
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/src/com/qt/modules/database/Database.java:
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1 | package com.qt.modules.database;
2 |
3 | import java.util.List;
4 |
5 | import com.qt.Module;
6 | import com.qt.StockDatabase;
7 |
8 | //The core database module
9 | //Handles the user lists, downloading data from yahoo, and some wrapper functions for the StockDatabase class
10 | public class Database extends Module {
11 | public Database(){
12 | this.name = "Database";
13 | this.triggerWord = "database";
14 | this.helpText = "database ";
15 | }
16 | @Override
17 | public void activate(List parameters) {
18 | // TODO Auto-generated method stub
19 | for (String parameter:parameters){
20 | if(parameter.equalsIgnoreCase("download")){
21 | rebuildMe();
22 | downloadMe();
23 | }else if(parameter.equalsIgnoreCase("rebuild")){
24 | rebuildMe(); //rebuilds list database
25 | }else if(parameter.equalsIgnoreCase("preload")){
26 | StockDatabase.preloadMe(); //preloads symbols in memory
27 | }else if(parameter.equalsIgnoreCase("purge")){
28 | StockDatabase.cleanCache(); //purges symbols in memory
29 | }else if(parameter.equalsIgnoreCase("stats")){
30 | System.out.println("Total Symbols in Database: "+StockDatabase.totalSymbolCount());
31 | System.out.println("Total Symbols in Memory: "+StockDatabase.activeSymbolCount());
32 | }else if(parameter.equalsIgnoreCase("lists")){
33 | System.out.println("User Lists:");
34 | for(String listName : StockDatabase.getListNames()){
35 | System.out.println(listName);
36 | }
37 | System.out.println("");
38 | }
39 | }
40 | }
41 | //Downloads all AMEX,NYSE,NASDAQ eod stock data from Yahoo and inserts into database
42 | //Rebuilds whole database each time, not the best solution but it's not that bad
43 | //Takes around 10-20 minutes, mainly to download the 7000+ stock csv's from yahoo
44 | private void downloadMe(){
45 | StockFetcher.downloadStocks("databases/StockLists/NYSE.txt", "databases/nyse_eod.db");
46 | StockFetcher.downloadStocks("databases/StockLists/NASDAQ.txt", "databases/nasdaq_eod.db");
47 | StockFetcher.downloadStocks("databases/StockLists/AMEX.txt", "databases/amex_eod.db");
48 | }
49 | //rebuilds the stock_lists.db from txt lists in resources/custom-lists/ folder
50 | private void rebuildMe(){
51 | StockFetcher.parseListsIntoDatabase("UserLists/","databases/user_lists.db");
52 | }
53 | }
54 |
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/src/com/qt/modules/database/StockFetchTask.java:
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1 | package com.qt.modules.database;
2 |
3 | //Used to download multiple stock csv's in an asynchronous way
4 | public class StockFetchTask implements Runnable {
5 |
6 | private String symbol;
7 | private String databaseName;
8 | public StockFetchTask(String symbol, String databaseName) {
9 | this.symbol = symbol;
10 | this.databaseName = databaseName;
11 | }
12 | @Override
13 | public void run() {
14 | // TODO Auto-generated method stub
15 | StockFetcher.getStockCSV(symbol, databaseName);
16 | //StockFetcher.getStock(symbol, databaseName);
17 | }
18 |
19 | }
20 |
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