The time is gone and testing a strategy against a fully formed and closed bar is good, but it could be better.

時間一去不復返了，針對一個完全成形的封閉式bar測試一種策略是好的，但也可能更好

This is where Data Replay comes in to help. If:

這就是資料重放的作用。如果：

• The strategy operates on data with a timeframe X (example: daily)

and

• Data for a smaller timeframe Y (example: 1 minute) is available

一個策略在時間框架X（日級別）操作資料和更小的時間框架Y（1分鐘）資料可用

Data replay does exactly what the name implies:

據回放顧名思義:

• Replay a daily bar using the 1 minute data
• 用1分鐘的資料重放一天的bar

This is of course not exactly how the market developed, but it is far better than looking at the daily fully formed and closed bar in isolation:

當然，這並不完全是市場發展的方式，但它遠比孤立地觀察日和關閉的bar要好得多：

If the strategy operates in realtime during the formation of the daily bar, the approximation of the formation of the bar gives a chance to replicate the actual behavior of the strategy under real conditions

如果策略在日條形成過程中是實時執行的，那麼對條形成的近似值就有機會在實際條件下複製策略的實際行為

Putting Data Replay

按照交易者的常規操作模式進行資料回放

• Load a data feed

• 讀取資料傳輸

• Pass the data to cerebro with replaydata

• 通過replaydata將資料傳遞給cerebro

• Add a strategy

• 新增一個策略

Note

Preloading is not supported when data is being replayed because each bar is actually built in real-time. It will automatically disabled in any Cerebro instance.

資料回放時不支援預載入，因為每個bar實際上是實時構建的。它會在任何Cerebro例項中自動禁用。

Parameters which can be passed to replaydata:

可傳遞給replaydata的引數:

• timeframe (default: bt.TimeFrame.Days)

  Destination timeframe which to be useful has to be equal or larger than the source

• 目標時間框架必須等於或大於源時間框架

• compression (default: 1)

  Compress the selected value “n” to 1 bar

• 壓縮可以是1或者n

Extended parameters (do not touch if not really needed):

• bar2edge (default: True)

  replays using time boundaries as the target of the closed bar. For example with a “ticks -> 5 seconds” the resulting 5 seconds bars will be aligned to xx:00, xx:05, xx:10 …

• 使用時間邊界作為目標重新取樣。例如，對於“ticks-> 5秒”，得到的5秒bars將對齊到xx:00、xx:05、xx:10…

• adjbartime (default: False)

  Use the time at the boundary to adjust the time of the delivered resampled bar instead of the last seen timestamp. If resampling to “5 seconds” the time of the bar will be adjusted for example to hh:mm:05 even if the last seen timestamp was hh:mm:04.33

• 使用邊界處的時間來調整交付的重取樣條的時間，而不是最後看到的時間戳。如果重新取樣到“5秒”，則條的時間將調整為hh:mm:05，即使最後看到的時間戳是hh:mm:04.3

• NOTE: Time will only be adjusted if “bar2edge” is True. It wouldn’t make sense to adjust the time if the bar has not been aligned to a boundary

• 只有當“bar2edge”正確時，時間才會調整。如果工具條沒有對齊到邊界，那麼調整時間就沒有意義了

• rightedge (default: True)

  Use the right edge of the time boundaries to set the time.

• 使用時間邊界的右邊界來設定時間。

• If False and compressing to 5 seconds the time of a resampled bar for seconds between hh:mm:00 and hh:mm:04 will be hh:mm:00 (the starting boundary

• 如果為假，壓縮到5秒，則重新取樣的時間條在hh:mm:00和hh:mm:04之間的秒將為hh:mm:00(起始邊界)

• If True the used boundary for the time will be hh:mm:05 (the ending boundary)

• 如果為真，使用的時間邊界將是hh:mm:05(結束邊界)

For the sake of working with a example the standard 2006 daily data will be replayed on a weekly basis. Which means:

為了舉例說明，標準的2006年每日資料將每週重播一次。也就是說：

• There will finally be 52 bars, one for each week

• 最後會有52個bars，每週一個

• Cerebro will call prenext and next a total of 255 times, which is the original count of daily bars

• Cerebro將呼叫prenext和next共255次，這是每日bar的原始計數

The trick:

訣竅

• When a weekly bar is forming, the length (len(self)) of the strategy will remain unchanged.

• 當一個周線形成時，策略的長度（len（self））將保持不變。

• With each new week the length will increase by one

• 每過一個星期，長度就會增加一個

Some examples below, but first the sauce of the test script in which the data is loaded and passed to cerebro with replaydata … and then run.

下面是一些例子，但是首先是測試指令碼的調味料，在這個指令碼中，資料被載入並用replaydata傳遞給cerebro…然後run。

    # Load the Data
    datapath = args.dataname or '../../datas/2006-day-001.txt'
    data = btfeeds.BacktraderCSVData(dataname=datapath)

    # Handy dictionary for the argument timeframe conversion
    tframes = dict(
        daily=bt.TimeFrame.Days,
        weekly=bt.TimeFrame.Weeks,
        monthly=bt.TimeFrame.Months)

    # First add the original data - smaller timeframe
    cerebro.replaydata(data,
                       timeframe=tframes[args.timeframe],
                       compression=args.compression)

Example - Replay Daily to Weekly

The invocation of the script:

$ ./replay-example.py --timeframe weekly --compression 1

The chart cannot unfortunately show us the real thing happening in the background, so let’s have a look at the console output:

prenext len 1 - counter 1
prenext len 1 - counter 2
prenext len 1 - counter 3
prenext len 1 - counter 4
prenext len 1 - counter 5
prenext len 2 - counter 6
...
...
prenext len 9 - counter 44
prenext len 9 - counter 45
---next len 10 - counter 46
---next len 10 - counter 47
---next len 10 - counter 48
---next len 10 - counter 49
---next len 10 - counter 50
---next len 11 - counter 51
---next len 11 - counter 52
---next len 11 - counter 53
...
...
---next len 51 - counter 248
---next len 51 - counter 249
---next len 51 - counter 250
---next len 51 - counter 251
---next len 51 - counter 252
---next len 52 - counter 253
---next len 52 - counter 254
---next len 52 - counter 255

As we see the internal self.counter variable is keeping track of each call to either prenext or next. The former being called before the applied Simple Moving Average produces a value. The latter called when the Simple Moving Average is producing values.

正如我們看到的內部self.counter變數跟蹤對prenext或next的每個呼叫。在應用簡單移動平均值生成值之前呼叫前者。後者在簡單移動平均值產生值時呼叫。

The key:

關鍵是:

• The length (len(self)) of the strategy changes every 5 bars (5 trading days in the week)
• 策略的長度（len（self））每5個交易日（每週5個交易日）變化一次

The strategy is effectively seeing:

該策略有效的看到:

• How the weekly bar developed in 5 shots.

• 每週bar是如何在5次擊中發展起來的。

  This, again, doesn’t replicate the actual tick-by-tick (and not even minute, hour) development of the market, but it is better than actually seeing a bar.

• 同樣，這並不能複製市場每時每刻（甚至不是每分，每小時）的發展，但這比真正的bar還好

The visual output is that of the weekly chart which is the final outcome the system is being tested again.

視覺輸出是周線圖，這是系統再次測試的最終結果。

Example 2 - Daily to Daily with Compression

Of course “Replaying” can be applied to the same timeframe but with a compression.

當然，“回放”也可以應用於同一時間段，但需要壓縮。

The console:

$ ./replay-example.py --timeframe daily --compression 2
prenext len 1 - counter 1
prenext len 1 - counter 2
prenext len 2 - counter 3
prenext len 2 - counter 4
prenext len 3 - counter 5
prenext len 3 - counter 6
prenext len 4 - counter 7
...
...
---next len 125 - counter 250
---next len 126 - counter 251
---next len 126 - counter 252
---next len 127 - counter 253
---next len 127 - counter 254
---next len 128 - counter 255

This time we got half the bars as expected because of the factor 2 requested compression.

這一次我們得到了一半的bars，因為係數2要求壓縮。

The chart: