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create strategies.py

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master
Dmitry Maylarov 4 years ago
parent fb7fda1e27
commit 35f4a992ff
2 changed files with 151 additions and 140 deletions
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145
compare.py
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@ -12,142 +12,7 @@ reserve = 5 # usd for comms etc
# startDate = datetime.datetime.fromisoformat("2000-01-01") # startDate = datetime.datetime.fromisoformat("2000-01-01")
# endDate = datetime.datetime.fromisoformat("2022-01-01") # endDate = datetime.datetime.fromisoformat("2022-01-01")
import strategies as st
class LSI(bt.Strategy):
def start(self):
self.val_start = self.broker.get_cash()
def nextstart(self):
size = math.floor((self.broker.get_cash() - 10) / self.data[0])
self.buy(size=size)
def stop(self):
# calculate actual returns
self.roi = (self.broker.get_value() / self.val_start) - 1
print("Starting Value: ${:,.2f}".format(self.val_start))
print("ROI: {:.2f}%".format(self.roi * 100.0))
print(
"Annualised: {:.2f}%".format(
100 * ((1 + self.roi) ** (365 / (endDate - actualStart).days) - 1)
)
)
print(
"Gross Return: ${:,.2f}".format(self.broker.get_value() - self.val_start)
)
class PercentageCommisionScheme(bt.CommInfoBase):
params = (
("commission", 0.004),
("stocklike", True),
("commtype", bt.CommInfoBase.COMM_PERC),
)
def _getcommission(self, size, price, pseudoexec):
return size * price * self.p.commission + 4 # 290rub/month
class FormulaInvesting(bt.Strategy):
def __init__(self):
self.order = None
self.cost = 0 # no comms
self.comms = 0
self.units = 0
self.times = 0
self.periods = 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=[1],
monthcarry=True
# timername='buytimer',
)
def notify_order(self, order):
if order.status in [order.Submitted, order.Accepted]:
return
if order.status in [order.Completed]:
if order.isbuy():
self.units += order.executed.size
self.cost += order.executed.value
elif order.issell():
self.units -= order.executed.size
self.log(
"%s Price %.2f, Units %.0f, Value %.2f, Comm %.2f, "
% (
"BUY" if order.isbuy else "SELL",
order.executed.price,
order.executed.size,
order.executed.value,
order.executed.comm,
)
)
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 calc_params(self):
# calculate actual returns
self.froi = self.broker.get_fundvalue() - self.val_start
return (
# Annual
100 * ((1 + self.froi / 100) ** (365 / (endDate - actualStart).days) - 1),
self.froi,
self.cost,
self.broker.get_value() + self.broker.get_cash(),
self.times,
self.units,
self.comms,
)
def notify_timer(self, timer, when, *args):
self.periods += 1
self.broker.add_cash(month_sum)
self.formula()
class VA(FormulaInvesting):
def formula(self):
target_value = min(self.periods * month_sum - reserve, self.broker.get_value())
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)
class QVA(VA):
def formula(self):
if not self.periods % 3:
super().formula()
class QDCA(DCA):
def formula(self):
if not self.periods % 3:
super().formula()
def run(strategy, data, fund_mode=False): def run(strategy, data, fund_mode=False):
@ -165,7 +30,7 @@ def run(strategy, data, fund_mode=False):
# Broker Information # Broker Information
broker_args = dict(coc=True) broker_args = dict(coc=True)
cerebro.broker = bt.brokers.BackBroker(**broker_args) cerebro.broker = bt.brokers.BackBroker(**broker_args)
comminfo = PercentageCommisionScheme() comminfo = st.PercentageCommisionScheme()
cerebro.broker.addcommissioninfo(comminfo) cerebro.broker.addcommissioninfo(comminfo)
if fund_mode: if fund_mode:
@ -211,7 +76,7 @@ if __name__ == "__main__":
actualStart: datetime.datetime = stockData.index[0] actualStart: datetime.datetime = stockData.index[0]
data = bt.feeds.PandasData(dataname=stockData) data = bt.feeds.PandasData(dataname=stockData)
for i, strategy in enumerate((DCA, QDCA)): # , VA, QVA)): for i, strategy in enumerate((st.DCA, st.QDCA, st.VA, st.QVA)):
therun = run(strategy, data) therun = run(strategy, data)
dd = therun.analyzers.drawdown dd = therun.analyzers.drawdown
ret = therun.analyzers.returns ret = therun.analyzers.returns
@ -226,5 +91,5 @@ if __name__ == "__main__":
) )
print("Starting from:", actualStart) print("Starting from:", actualStart)
print("Time in Market: {:.1f} years".format((endDate - actualStart).days / 365)) print("Time in Market: {:.1f} years".format((endDate - actualStart).days / 365))
print(df[["annual%", "froi", "cost", "total_value"]]) # print(df[["annual%", "froi", "cost", "total_value"]])
# print(df) print(df)

146
strategies.py
Unescape View File

@ -0,0 +1,146 @@
import datetime
import math
import numpy as np
import pandas as pd
import matplotlib.pyplot as plt
from pandas_datareader import data as pdr
import backtrader as bt
class LSI(bt.Strategy):
def start(self):
self.val_start = self.broker.get_cash()
def nextstart(self):
size = math.floor((self.broker.get_cash() - 10) / self.data[0])
self.buy(size=size)
def stop(self):
# calculate actual returns
self.roi = (self.broker.get_value() / self.val_start) - 1
"""
print("Starting Value: ${:,.2f}".format(self.val_start))
print("ROI: {:.2f}%".format(self.roi * 100.0))
print(
"Annualised: {:.2f}%".format(
100 * ((1 + self.roi) ** (365 / (endDate - actualStart).days) - 1)
)
)
print(
"Gross Return: ${:,.2f}".format(self.broker.get_value() - self.val_start)
)
"""
class PercentageCommisionScheme(bt.CommInfoBase):
params = (
("commission", 0.004),
("stocklike", True),
("commtype", bt.CommInfoBase.COMM_PERC),
)
def _getcommission(self, size, price, pseudoexec):
return size * price * self.p.commission + 4 # 290rub/month
class FormulaInvesting(bt.Strategy):
def __init__(self):
self.order = None
self.cost = 0 # no comms
self.comms = 0
self.units = 0
self.times = 0
self.periods = 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=[1],
monthcarry=True
# timername='buytimer',
)
def notify_order(self, order):
if order.status in [order.Submitted, order.Accepted]:
return
if order.status in [order.Completed]:
if order.isbuy():
self.units += order.executed.size
self.cost += order.executed.value
elif order.issell():
self.units -= order.executed.size
self.log(
"%s Price %.2f, Units %.0f, Value %.2f, Comm %.2f, "
% (
"BUY" if order.isbuy else "SELL",
order.executed.price,
order.executed.size,
order.executed.value,
order.executed.comm,
)
)
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 calc_params(self):
# calculate actual returns
self.froi = self.broker.get_fundvalue() - self.val_start
return (
# Annual
100 * ((1 + self.froi / 100) ** (365 / (endDate - actualStart).days) - 1),
self.froi,
self.cost,
self.broker.get_value() + self.broker.get_cash(),
self.times,
self.units,
self.comms,
)
def notify_timer(self, timer, when, *args):
self.periods += 1
self.broker.add_cash(month_sum)
self.formula()
class VA(FormulaInvesting):
def formula(self):
target_value = min(self.periods * month_sum - reserve, self.broker.get_value())
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)
class QVA(VA):
def formula(self):
if not self.periods % 3:
super().formula()
class QDCA(DCA):
def formula(self):
if not self.periods % 3:
super().formula()
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