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fix VA sells

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master
Dmitry Maylarov 4 years ago
parent 7d17dc3398
commit 12bbb63f3a
1 changed files with 50 additions and 97 deletions
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dcavslsi.py
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@ -6,16 +6,22 @@ import matplotlib.pyplot as plt
from pandas_datareader import data as pdr from pandas_datareader import data as pdr
import backtrader as bt import backtrader as bt
stockList = ["VOO"]
total_days_in_market = 365 * 10
month_sum = 500 # usd
period_months = 1
reserve = 5 # usd for comms etc
period_sum = month_sum * period_months
# import data # import data
def get_data(stocks, start, end): def get_data(stocks, start, end):
stockData = pdr.get_data_yahoo(stocks, start, end) stockData = pdr.get_data_yahoo(stocks, start, end)
return stockData return stockData
stockList = ["VOO"]
endDate = datetime.datetime.now() endDate = datetime.datetime.now()
startDate = endDate - datetime.timedelta(days=365 * 10) startDate = endDate - datetime.timedelta(days=total_days_in_market)
stockData = get_data(stockList[0], startDate, endDate) stockData = get_data(stockList[0], startDate, endDate)
actualStart: datetime.datetime = stockData.index[0] actualStart: datetime.datetime = stockData.index[0]
@ -47,11 +53,6 @@ class LSI(bt.Strategy):
) )
month_sum = 500 # usd
period_months = 1
period_sum = month_sum * period_months
class PercentageCommisionScheme(bt.CommInfoBase): class PercentageCommisionScheme(bt.CommInfoBase):
paras = ( paras = (
("commission", 0.004), ("commission", 0.004),
@ -63,19 +64,20 @@ class PercentageCommisionScheme(bt.CommInfoBase):
return self.p.commission return self.p.commission
class VA(bt.Strategy): class FormulaInvesting(bt.Strategy):
params = dict(monthly_cash=month_sum, monthly_range=[5, 20]) params = dict(monthly_cash=month_sum, monthly_range=[5, 20])
def __init__(self): def __init__(self):
self.order = None self.order = None
self.totalcost = 0 self.totalcost = 0
self.cost_wo_bro = 0 # cost without comms self.comms = 0
self.units = 0 self.units = 0
self.times = 0 self.times = 0
self.periods = 0
def log(self, txt, dt=None): def log(self, txt, dt=None):
dt = dt or self.datas[0].datetime.date(0) dt = dt or self.datas[0].datetime.date(0)
print("%s, %s" % (dt.isoformat(), txt)) # print("%s, %s" % (dt.isoformat(), txt))
def start(self): def start(self):
self.broker.set_fundmode(fundmode=True, fundstartval=100.0) self.broker.set_fundmode(fundmode=True, fundstartval=100.0)
@ -91,12 +93,6 @@ class VA(bt.Strategy):
# timername='buytimer', # timername='buytimer',
) )
def notify_timer(self, timer, when, *args):
self.broker.add_cash(self.p.monthly_cash)
target_value = self.broker.get_value() + self.p.monthly_cash - 10
self.order_target_value(target=target_value)
def notify_order(self, order): def notify_order(self, order):
if order.status in [order.Submitted, order.Accepted]: if order.status in [order.Submitted, order.Accepted]:
return return
@ -115,78 +111,11 @@ class VA(bt.Strategy):
self.units += order.executed.size self.units += order.executed.size
self.totalcost += order.executed.value + order.executed.comm self.totalcost += order.executed.value + order.executed.comm
self.cost_wo_bro += order.executed.value self.comms += order.executed.comm
self.times += 1
elif order.status in [order.Canceled, order.Margin, order.Rejected]:
self.log("Order Canceled/Margin/Rejected")
print(order.status, [order.Canceled, order.Margin, order.Rejected])
self.order = None
def stop(self):
# calculate actual returns
self.roi = (self.broker.get_value() / self.cash_start) - 1
self.froi = self.broker.get_fundvalue() - self.val_start
value = self.datas[0].close * self.units + self.broker.get_cash()
print("Time in Market: {:.1f} years".format((endDate - actualStart).days / 365))
print("#Times: {:.0f}".format(self.times))
print("Value: ${:,.2f}".format(value))
print("Cost: ${:,.2f}".format(self.totalcost))
print("Gross Return: ${:,.2f}".format(value - self.totalcost))
print("Gross %: {:.2f}%".format((value / self.totalcost - 1) * 100))
print("ROI: {:.2f}%".format(100.0 * self.roi))
print("Fund Value: {:.2f}%".format(self.froi))
print(
"Annualised: {:.2f}%".format(
100
* ((1 + self.froi / 100) ** (365 / (endDate - actualStart).days) - 1)
)
)
class DCA(bt.Strategy):
params = dict(monthly_cash=month_sum, monthly_range=[5, 20])
def __init__(self): elif order.issell():
self.order = None
self.totalcost = 0
self.cost_wo_bro = 0
self.units = 0
self.times = 0
def log(self, txt, dt=None):
dt = dt or self.datas[0].datetime.date(0)
print("%s, %s" % (dt.isoformat(), txt))
def start(self):
self.broker.set_fundmode(fundmode=True, fundstartval=100.0)
self.cash_start = self.broker.get_cash()
self.val_start = 100.0
# ADD A TIMER
self.add_timer(
when=bt.timer.SESSION_START,
monthdays=[i for i in self.p.monthly_range],
monthcarry=True
# timername='buytimer',
)
def notify_timer(self, timer, when, *args):
self.broker.add_cash(self.p.monthly_cash)
target_value = self.broker.get_value() + self.p.monthly_cash - 10
self.order_target_value(target=target_value)
def notify_order(self, order):
if order.status in [order.Submitted, order.Accepted]:
return
if order.status in [order.Completed]:
if order.isbuy():
self.log( self.log(
"BUY EXECUTED, Price %.2f, Cost %.2f, Comm %.2f, Size %.0f" "SELL EXECUTED, Price %.2f, Cost %.2f, Comm %.2f, Size %.0f"
% ( % (
order.executed.price, order.executed.price,
order.executed.value, order.executed.value,
@ -194,10 +123,11 @@ class DCA(bt.Strategy):
order.executed.size, order.executed.size,
) )
) )
self.units -= order.executed.size
# self.totalcost += order.executed.value
self.totalcost += order.executed.comm
self.comms -= order.executed.value
self.units += order.executed.size
self.totalcost += order.executed.value + order.executed.comm
self.cost_wo_bro += order.executed.value
self.times += 1 self.times += 1
elif order.status in [order.Canceled, order.Margin, order.Rejected]: elif order.status in [order.Canceled, order.Margin, order.Rejected]:
@ -213,7 +143,9 @@ class DCA(bt.Strategy):
value = self.datas[0].close * self.units + self.broker.get_cash() value = self.datas[0].close * self.units + self.broker.get_cash()
print("Time in Market: {:.1f} years".format((endDate - actualStart).days / 365)) print("Time in Market: {:.1f} years".format((endDate - actualStart).days / 365))
print("#Times: {:.0f}".format(self.times)) print("#Times: {:.0f}".format(self.times))
print("#Units: {:.0f}".format(self.units))
print("Value: ${:,.2f}".format(value)) print("Value: ${:,.2f}".format(value))
print("Commissions: ${:.2f}".format(self.froi))
print("Cost: ${:,.2f}".format(self.totalcost)) print("Cost: ${:,.2f}".format(self.totalcost))
print("Gross Return: ${:,.2f}".format(value - self.totalcost)) print("Gross Return: ${:,.2f}".format(value - self.totalcost))
print("Gross %: {:.2f}%".format((value / self.totalcost - 1) * 100)) print("Gross %: {:.2f}%".format((value / self.totalcost - 1) * 100))
@ -226,9 +158,30 @@ class DCA(bt.Strategy):
) )
) )
def notify_timer(self, timer, when, *args):
self.periods += 1
self.broker.add_cash(self.p.monthly_cash)
self.formula()
class VA(FormulaInvesting):
def formula(self):
target_value = (self.periods) * self.p.monthly_cash - reserve
self.order_target_value(target=target_value)
class DCA(FormulaInvesting):
def formula(self):
target_value = self.broker.get_value() - reserve
self.order_target_value(target=target_value)
def run(strategy, data):
cerebro = bt.Cerebro(stdstats=False)
cerebro.addobserver(bt.observers.Broker)
cerebro.addobserver(bt.observers.BuySell)
def run(strategy, start_cash, data):
cerebro = bt.Cerebro()
cerebro.adddata(data) cerebro.adddata(data)
cerebro.addstrategy(strategy) cerebro.addstrategy(strategy)
print("-" * 50) print("-" * 50)
@ -240,12 +193,12 @@ def run(strategy, start_cash, data):
comminfo = PercentageCommisionScheme() comminfo = PercentageCommisionScheme()
cerebro.broker.addcommissioninfo(comminfo) cerebro.broker.addcommissioninfo(comminfo)
cerebro.broker.set_cash(start_cash) cerebro.broker.set_cash(period_sum)
cerebro.run() cerebro.run()
cerebro.plot(iplot=False, style="candlestick") cerebro.plot(iplot=False, style="candlestick")
if __name__ == "__main__": if __name__ == "__main__":
run(LSI, 100000, data) # run(LSI, 100000, data)
run(DCA, 1000, data) run(DCA, data)
# run(VA, 1000, data) run(VA, data)

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