Added Warmup Period

evanwporter · Sep 25, 2023 · 79bfc0c · 79bfc0c
1 parent 22584ec
commit 79bfc0c
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Showing 6 changed files with 9 additions and 7 deletions.
diff --git a/DataHandler/dh.cpp b/DataHandler/dh.cpp
@@ -18,11 +18,12 @@ DataHandler::DataHandler() {
         symbols.push_back(std::string(std::string_view(symbol.get_string())));
     };
 
-    std::string path = std::string(std::string_view(settings["DATA_DIRECTORY"].get_string()));
+    warmup_period = settings["DATA_WARMUP_PERIOD"].get_uint64();
 
+    std::string path = std::string(std::string_view(settings["DATA_DIRECTORY"].get_string()));
+
     quiet = settings["QUIET"].get_bool();
     money_mult = settings["MONEY MULTIPLIER"].get_uint64();
-    // warmup_period = settings["MONEY MULTIPLIER"].get_uint64();
 
     for(std::string symbol : symbols) load_csv(symbol, path);//"C:\\Users\\evanw\\options\\");
 

diff --git a/DataHandler/dh.h b/DataHandler/dh.h
@@ -40,6 +40,7 @@ class DataHandler {
       sd::ondemand::document settings;
       bool quiet = true;
       unsigned long money_mult = 1;
+      unsigned long warmup_period = 1;
 
       unsigned int total_bars, current, data_size;
 

diff --git a/RiskHandler/risk.cpp b/RiskHandler/risk.cpp
@@ -41,7 +41,7 @@ double RiskHandler::check_weights(std::string symbol, double weight_adjustment,
     else current_weight = (portfolio->holdings[symbol][-1] / portfolio->TE);
     potential_weight = current_weight + (weight_adjustment * direction);
 
-    std::cout << symbol << " " << current_weight << " " << portfolio->holdings[symbol][-1] << " ";
+    // std::cout << symbol << " " << current_weight << " " << portfolio->holdings[symbol][-1] << " ";
 
 
     // Scale quantity down
@@ -58,6 +58,6 @@ void RiskHandler::on_signal(std::string symbol, Direction direction)
 
     // int quantity = (portfolio->TE * WA / price);
     int quantity = 1;
-    std::cout << portfolio->positions[symbol].quantity * price << " " << WA << " " << portfolio->TE << " " << price << " " << portfolio->positions[symbol].quantity << std::endl;
+    // std::cout << portfolio->positions[symbol].quantity * price << " " << WA << " " << portfolio->TE << " " << price << " " << portfolio->positions[symbol].quantity << std::endl;
     if (quantity != 0) portfolio->on_fill(symbol, price, quantity, direction);
 }
diff --git a/backtest.exe b/backtest.exe
diff --git a/engine.cpp b/engine.cpp
@@ -29,8 +29,8 @@ void engine() {
     strategy.dh = &dh;
     strategy.rh = &rh;
 
-    for(dh.current = 0; dh.current < dh.total_bars; dh.current++) {
-        if (dh.current > 100) {
+    for(dh.current = dh.warmup_period; dh.current < dh.total_bars; dh.current++) {
+        if (dh.current) {
             strategy.on_data();
             p.update_value();
         };

diff --git a/settings.json b/settings.json
@@ -11,7 +11,7 @@
 
     "DATA_INTERVAL" : "1d",
     "TRADING_INTERVAL" : "1d",
-    "DATA_WARMUP_PERIOD" : 500,
+    "DATA_WARMUP_PERIOD" : 100,
     "DATA_DIRECTORY" : "Data\\",
 
     "STRATEGY" : "UpDownTick",