avatarEsteban Thilliez

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Abstract

<span class="hljs-keyword">const</span> boundFn = fn.<span class="hljs-title function_">bind</span>(<span class="hljs-variable language_">this</span>); <span class="hljs-title class_">Object</span>.<span class="hljs-title function_">defineProperty</span>(<span class="hljs-variable language_">this</span>, key, { <span class="hljs-attr">value</span>: boundFn, <span class="hljs-attr">configurable</span>: <span class="hljs-literal">true</span>, <span class="hljs-attr">writable</span>: <span class="hljs-literal">true</span>, }); <span class="hljs-keyword">return</span> boundFn; }, }; }

<span class="hljs-keyword">class</span> <span class="hljs-title class_">MyComponent</span> { <span class="hljs-title function_">constructor</span>(<span class="hljs-params">props</span>) { <span class="hljs-variable language_">this</span>.<span class="hljs-property">props</span> = props; } @autobind <span class="hljs-title function_">handleClick</span>(<span class="hljs-params"></span>) { <span class="hljs-variable language_">console</span>.<span class="hljs-title function_">log</span>(<span class="hljs-variable language_">this</span>.<span class="hljs-property">props</span>); } }</pre></div><p id="0013">In this example, the decorator is used to decorate the function so that it automatically binds this when called and returns a new function. This way, after instantiating , you don’t need to manually bind this when calling the function.<code>autobindhandleClickMyComponentthis.handleClick()</code></p><h1 id="3ffe">Logging</h1><p id="7a28">Decorators can be used to record logs, including printing information such as function calls, function execution times, etc.</p><div id="1a70"><pre><span class="hljs-keyword">function</span> <span class="hljs-title function_">log</span>(<span class="hljs-params">target, name, descriptor</span>) { <span class="hljs-keyword">const</span> originalMethod = descriptor.<span class="hljs-property">value</span>;

descriptor.<span class="hljs-property">value</span> = <span class="hljs-keyword">function</span> (<span class="hljs-params">...args</span>) { <span class="hljs-variable language_">console</span>.<span class="hljs-title function_">log</span>(<span class="hljs-string">Function <span class="hljs-subst">${name}</span> called with <span class="hljs-subst">${args}</span></span>); <span class="hljs-keyword">const</span> start = performance.<span class="hljs-title function_">now</span>(); <span class="hljs-keyword">const</span> result = originalMethod.<span class="hljs-title function_">apply</span>(<span class="hljs-variable language_">this</span>, args); <span class="hljs-keyword">const</span> duration = performance.<span class="hljs-title function_">now</span>() - start; <span class="hljs-variable language_">console</span>.<span class="hljs-title function_">log</span>(<span class="hljs-string">Function <span class="hljs-subst">${name}</span> completed in <span class="hljs-subst">${duration}</span>ms</span>); <span class="hljs-keyword">return</span> result; }; <span class="hljs-keyword">return</span> descriptor } <span class="hljs-keyword">class</span> <span class="hljs-title class_">MyClass</span> { @log <span class="hljs-title function_">myMethod</span>(<span class="hljs-params">arg1, arg2</span>) { <span class="hljs-keyword">return</span> arg1 + arg2; } }

<span class="hljs-keyword">const</span> obj = <span class="hljs-keyword">new</span> <span class="hljs-title class_">MyClass</span>(); obj.<span class="hljs-title function_">myMethod</span>(<span class="hljs-number">1</span>, <span class="hljs-number">2</span>); <span class="hljs-comment">// Output: </span> <span class="hljs-comment">// Function myMethod called with 1,2</span> <span class="hljs-comment">// Function myMethod completed in 0.013614237010165215ms</span></pre></div><h1 id="aff7">Authentication authentication</h1><p id="bbff">Decorators can also be used to check a user’s authentication status and permissions to prevent unauthorized users from accessing sensitive data or performing actions on a regular basis.</p><div id="be1a"><pre><span class="hljs-keyword">function</span> <span class="hljs-title function_">authorization</span>(<span class="hljs-params">target, name, descriptor</span>) { <span class="hljs-keyword">const</span> originalMethod = descriptor.<span class="hljs-property">value</span>;

descriptor.<span class="hljs-property">value</span> = <span class="hljs-keyword">function</span>(<span class="hljs-params">...args</span>) { <span class="hljs-keyword">if</span> (!<span class="hljs-variable language_">this</span>.<span class="hljs-title function_">isAuthenticated</span>()) { <span class="hljs-variable language_">console</span>.<span class="hljs-title function_">error</span>(<span class="hljs-string">'Access denied! Not authenticated'</span>); <span class="hljs-keyword">return</span>; } <span class="hljs-keyword">if</span> (!<span class="hljs-variable language_">this</span>.<span class="hljs-title function_">hasAccessTo</span>(name)) { <span class="hljs-variable language_">console</span>.<span class="hljs-title function_">error</span>(<span class="hljs-string">Access denied! User does not have permission to <span class="hljs-subst">${name}</span></span>); <span class="hljs-keyword">return</span>; } <span class="hljs-keyword">return</span> originalMethod.<span class="hljs-title function_">apply</span>(<span class="hljs-variable language_">this</span>, args); }; <span class="hljs-keyword">return</span> descriptor; }

<span class="hljs-keyword">class</span> <span class="hljs-title class_">MyApi</span> { <span class="hljs-title function_">isAuthenticated</span>(<span class="hljs-params"></span>) { <span class="hljs-comment">// perform authentication check</span> <span class="hljs-keyword">return</span> <span class="hljs-literal">true</span>; } <span class="hljs-title function_">hasAccessTo</span>(<span class="hljs-params">endpoint</span>) { <span class="hljs-comment">// perform authorization check</span> <span class="hljs-keyword">return</span> <span class="hljs-literal">true</span>; } @authorization <span class="hljs-title function_">getUsers</span>(<span class="hljs-params"></span>) { <span class="hljs-comment">// return users data</span> } @authorization <span class="hljs-title function_">deleteUser</span>(<span class="hljs-params">id</span>) { <span class="hljs-comment">// delete user with id</span> } }</pre></div><h1 id="646e">Cache</h1><p id="3465">Decorators can also be used to cache the execution results of functions to avoid double evaluation.</p><div id="5257"><pre><span class="hljs-keyword">function</span> <span class="hljs-title function_">memoize</span>(<span class="hljs-params">target, name, descriptor</span>) { <span class="hljs-keyword">const</span> originalMethod = descriptor.<span class="hljs-property">value</span>; <span class="hljs-keyword">const</span> cache = <span class="hljs-keyword">new</span> <span class="hljs-title class_">Map</span>();

descriptor.<span class="hljs-property">value</span> = <span class="hljs-keyword">function</span> (<span class="hljs-params">...args</span>) { <span class="hljs-keyword">const</span> cacheKey = args.<span class="hljs-title function_">toString</span>(); <span class="hljs-keyword">if</span> (cache.<span class="hljs-title function_">has</span>(cacheKey)) { <span class="hljs-variable language_">console</span>.<span class="hljs-title function_">log</span>(<span class="hljs-string">cache hit: <span class="hljs-subst">${cacheKey}</span></span>); <span class="hljs-keyword">return</span> cache.<span class="hljs-title function_">get</span>(cacheKey); } <span class="hljs-keyword">const</span> result = originalMethod.<span class="hljs-title function_">apply</span>(<span class="hljs-variable language_">this</span>, args); <span class="hljs-variable language_">console</span>.<span class="hljs-title function_">log</span>(<span class="hljs-string">cache miss: <span class="hljs-subst">${cacheKey}</span></span>); cache.<span class="hljs-title function_">set</span>(cacheKey, result); <span class="hljs-keyword">return</span> result; }; <span class="hljs-keyword">return</span> descriptor; }

<span class="hljs-keyword">class

Options

</span> <span class="hljs-title class_">MyMath</span> { @memoize <span class="hljs-title function_">calculate</span>(<span class="hljs-params">num</span>) { <span class="hljs-variable language_">console</span>.<span class="hljs-title function_">log</span>(<span class="hljs-string">'calculate called'</span>); <span class="hljs-keyword">return</span> num * <span class="hljs-number">2</span>; } }

<span class="hljs-keyword">const</span> math = <span class="hljs-keyword">new</span> <span class="hljs-title class_">MyMath</span>(); <span class="hljs-variable language_">console</span>.<span class="hljs-title function_">log</span>(math.<span class="hljs-title function_">calculate</span>(<span class="hljs-number">10</span>)); <span class="hljs-comment">// Output: </span> <span class="hljs-comment">// calculate called</span> <span class="hljs-comment">// cache miss: 10</span> <span class="hljs-comment">// 20</span> <span class="hljs-variable language_">console</span>.<span class="hljs-title function_">log</span>(math.<span class="hljs-title function_">calculate</span>(<span class="hljs-number">10</span>)); <span class="hljs-comment">// Output: </span> <span class="hljs-comment">// cache hit: 10</span> <span class="hljs-comment">// 20</span></pre></div><h1 id="57d9">Aspect-oriented programming</h1><p id="0d61">Decorators can be used to implement facet-oriented programming, that is, to add functionality at runtime without modifying the original code.</p><div id="bc4d"><pre><span class="hljs-keyword">function</span> <span class="hljs-title function_">validate</span>(<span class="hljs-params">target, name, descriptor</span>) { <span class="hljs-keyword">const</span> originalMethod = descriptor.<span class="hljs-property">value</span>;

descriptor.<span class="hljs-property">value</span> = <span class="hljs-keyword">function</span> (<span class="hljs-params">...args</span>) { <span class="hljs-keyword">const</span> isValid = args.<span class="hljs-title function_">every</span>(<span class="hljs-function"><span class="hljs-params">arg</span> =></span> <span class="hljs-keyword">typeof</span> arg === <span class="hljs-string">'string'</span> && arg.<span class="hljs-property">length</span> > <span class="hljs-number">0</span>); <span class="hljs-keyword">if</span> (!isValid) { <span class="hljs-variable language_">console</span>.<span class="hljs-title function_">error</span>(<span class="hljs-string">'Invalid arguments'</span>); <span class="hljs-keyword">return</span>; } <span class="hljs-keyword">return</span> originalMethod.<span class="hljs-title function_">apply</span>(<span class="hljs-variable language_">this</span>, args); }; <span class="hljs-keyword">return</span> descriptor; }

<span class="hljs-keyword">class</span> <span class="hljs-title class_">MyForm</span> { @validate <span class="hljs-title function_">submit</span>(<span class="hljs-params">name, email, message</span>) { <span class="hljs-comment">// submit the form</span> } }

<span class="hljs-keyword">const</span> form = <span class="hljs-keyword">new</span> <span class="hljs-title class_">MyForm</span>(); form.<span class="hljs-title function_">submit</span>(<span class="hljs-string">''</span>, <span class="hljs-string">'[email protected]'</span>, <span class="hljs-string">'Hello world'</span>); <span class="hljs-comment">// Output: Invalid arguments</span></pre></div><h1 id="c8da">Reversible decorators</h1><p id="5322">Decorators can also be applied in reversible scenes, for example, you can add a reversible decorator to modify function behavior.</p><div id="b868"><pre><span class="hljs-keyword">function</span> <span class="hljs-title function_">reverse</span>(<span class="hljs-params">target, name, descriptor</span>) { <span class="hljs-keyword">const</span> originalMethod = descriptor.<span class="hljs-property">value</span>;

descriptor.<span class="hljs-property">value</span> = <span class="hljs-keyword">function</span> (<span class="hljs-params">...args</span>) { args.<span class="hljs-title function_">reverse</span>(); <span class="hljs-keyword">return</span> originalMethod.<span class="hljs-title function_">apply</span>(<span class="hljs-variable language_">this</span>, args); }; <span class="hljs-keyword">return</span> descriptor; } <span class="hljs-keyword">class</span> <span class="hljs-title class_">MyMath</span> { @reverse <span class="hljs-title function_">calculate</span>(<span class="hljs-params">num1, num2</span>) { <span class="hljs-keyword">return</span> num1 + num2; } }

<span class="hljs-keyword">const</span> math = <span class="hljs-keyword">new</span> <span class="hljs-title class_">MyMath</span>(); <span class="hljs-variable language_">console</span>.<span class="hljs-title function_">log</span>(math.<span class="hljs-title function_">calculate</span>(<span class="hljs-number">1</span>, <span class="hljs-number">2</span>)); <span class="hljs-comment">// Output: 3</span> <span class="hljs-variable language_">console</span>.<span class="hljs-title function_">log</span>(math.<span class="hljs-property">calculate</span>.<span class="hljs-title function_">reversed</span>(<span class="hljs-number">1</span>, <span class="hljs-number">2</span>)); <span class="hljs-comment">// Output: 3</span></pre></div><h1 id="2ddc">Automatic type checking</h1><p id="037c">Decorators can be applied to automatic type checking, for example, you can add a decorator to ensure that the type of a function parameter is correct.</p><div id="a63a"><pre><span class="hljs-keyword">function</span> <span class="hljs-title function_">checkType</span>(<span class="hljs-params">expectedType</span>) { <span class="hljs-keyword">return</span> <span class="hljs-keyword">function</span>(<span class="hljs-params">target, name, descriptor</span>) { <span class="hljs-keyword">const</span> originalMethod = descriptor.<span class="hljs-property">value</span>;

descriptor.<span class="hljs-property">value</span> = <span class="hljs-keyword">function</span> (<span class="hljs-params">...args</span>) {
      <span class="hljs-keyword">const</span> invalidArgs = args.<span class="hljs-title function_">filter</span>(<span class="hljs-function"><span class="hljs-params">arg</span> =&gt;</span> <span class="hljs-keyword">typeof</span> arg !== expectedType);
      <span class="hljs-keyword">if</span> (invalidArgs.<span class="hljs-property">length</span> &gt; <span class="hljs-number">0</span>) {
        <span class="hljs-variable language_">console</span>.<span class="hljs-title function_">error</span>(<span class="hljs-string">`Invalid arguments: <span class="hljs-subst">${invalidArgs}</span>`</span>);
        <span class="hljs-keyword">return</span>;
      }
      <span class="hljs-keyword">return</span> originalMethod.<span class="hljs-title function_">apply</span>(<span class="hljs-variable language_">this</span>, args);
    };
    <span class="hljs-keyword">return</span> descriptor;
  }

}

<span class="hljs-keyword">class</span> <span class="hljs-title class_">MyMath</span> { @<span class="hljs-title function_">checkType</span>(<span class="hljs-string">'number'</span>) <span class="hljs-title function_">add</span>(<span class="hljs-params">num1, num2</span>) { <span class="hljs-keyword">return</span> num1 + num2; } }

<span class="hljs-keyword">const</span> math = <span class="hljs-keyword">new</span> <span class="hljs-title class_">MyMath</span>(); math.<span class="hljs-title function_">add</span>(<span class="hljs-number">1</span>, <span class="hljs-string">'2'</span>); <span class="hljs-comment">// Output: Invalid arguments: 2</span></pre></div><p id="dd86"><i>More content at <a href="https://plainenglish.io/"><b>PlainEnglish.io</b></a>.</i></p><p id="5cf7"><i>Sign up for our <a href="http://newsletter.plainenglish.io/"><b>free weekly newsletter</b></a>. Follow us on <a href="https://twitter.com/inPlainEngHQ"><b>Twitter</b></a></i>, <a href="https://www.linkedin.com/company/inplainenglish/"><b><i>LinkedIn</i></b></a><i>, <a href="https://www.youtube.com/channel/UCtipWUghju290NWcn8jhyAw"><b>YouTube</b></a>, and <a href="https://discord.gg/GtDtUAvyhW"><b>Discord</b></a><b>.</b></i></p><p id="7057"><b><i>Interested in scaling your software startup</i></b><i>? Check out <a href="https://circuit.ooo?utm=publication-post-cta"><b>Circuit</b></a>.</i></p></article></body>

Backtest your Trading Systems with Python — Custom Analyzers

Photo by Luke Chesser on Unsplash

This story is part of the backtrader series. You can find the other stories here: Improve your Trading with Python. Also, there is a GitHub repo associated with this series, you can find it here if you want to follow the code in a clearer way: Backtrader Series.

Once you found a strategy, you have to check some metrics about its performance. To get these metrics, you can use analyzers. We’ve already talked about them (Backtest your Trading Systems with Python — Analysis of the Results), but today, we’ll learn how to develop custom analyzers.

Indeed, the same way we can develop custom indicators, we can develop custom analyzers.

How an Analyzer Works in Backtrader

What is nice about Backtrader is that all the classes work the same way. It means an analyzer works like a strategy, or like an indicator. Anyway, I’ll make a quick recap.

An analyzer can be initialized with parameters and includes a next method to decide what to do for each iteration.

Unlike strategies and indicators, analyzers don’t work with lines . Instead, they work with a get_analysis method returning the analysis.

We can use the same methods we use in the strategies in analyzers, like notify_order , notify_trade , etc…

An analyzer can be added to a cerebro using cerebro.addanalyzer(analyzer, _name=analyzer_name) .

Then, an analyzer can be retrieved from a strategy result:

analyzer = result[0].analyzers.customanalyzer
analysis = analyzer.get_analysis()
print(analysis)

Developing an Analyzer

Let’s develop a simple analyzer that we will use to know how much profit we make on average per trade.

class CustomAnalyzer(bt.Analyzer):
    def __init__(self):
        pass

We need two attributes. One to track the number of trades, and the other to track the total profit.

def __init__(self):
    self._total = 0
    self._count = 0

Now, how can we track the profit of each trade? We’ll use the notify_trade method, it’s the easiest way to do it. This method is called each time a trade is updated.

def notify_trade(self, trade):
    print(trade)

And here is an example of an output:

ref:164
data:<backtrader.feeds.pandafeed.PandasData object at 0x000001A3FBF16580>
tradeid:0
size:0
price:21184.30078125
value:0.0
commission:42.60089843750001
pnl:-232.296875
pnlcomm:-274.8977734375
justopened:False
isopen:False
isclosed:True
baropen:365
dtopen:738464.0
barclose:366
dtclose:738465.0
barlen:1
historyon:False
history:[]
status:2

As you can see, there is a lot of information for each trade. Knowing how a trade is modelized, we can now implement our notify_trade method:

def notify_trade(self, trade):
    if trade.isclosed:
        self._total += trade.pnlcomm
        self._count += 1

Finally, we just have to implement the get_analysis method to return the results:

def get_analysis(self):
    return dict(
        average=self._total / self._count,
        total=self._total,
        count=self._count
    )

Using an Analyzer

Let’s use our analyzer now. I’ve modified a bit the code in the Git repo to implement analyzers:

def backtest_strategy_optimized(strategy, analyzers=None, **parameters):

And I’ve added these lines:

if not analyzers:
    analyzers = []
for analyzer in analyzers:
    cerebro.addanalyzer(analyzer, _name=analyzer.__name__.lower())

This way, we can now backtest our strategy and get the analysis:

from backtester import Backtester
from strategies import BracketStrategy

from analyzers import CustomAnalyzer


if __name__ == '__main__':
    result = Backtester.backtest_strategy_non_optimized(
        BracketStrategy,
        analyzers=[CustomAnalyzer],
        stop_loss=1,
        take_profit=2
    )
    print(result[0].analyzers.customanalyzer.get_analysis())

And here is the output if we run this code:

{'average': -275.7979792184804, 'total': -45230.86859183079, 'count': 164}

It works! It says our strategy isn’t a good strategy, unfortunately. That’s why analyzers are important, you can have metrics like this about your strategy to know whether it is a good strategy or not.

Final Note

You can now build your own indicators with Backtrader. But before, you should check this link: Analyzers Reference — Backtrader, to know whether the analyzer you want has already been implemented or not in Backtrader.

Now, you have no excuses to not backtest your strategies correctly! Analyzers are very helpful to analyze your strategies and avoid losing money.

To find the other stories of this series and more about mixing trading and Python, check this: Improve your Trading with Python

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