create strategies.py

4 years ago · 35f4a992ff
parent fb7fda1e27
commit 35f4a992ff
2 changed files with 151 additions and 140 deletions
--- a/compare.py
+++ b/compare.py
@ -12,142 +12,7 @@ reserve = 5  # usd for comms etc
 # startDate = datetime.datetime.fromisoformat("2000-01-01")
 # endDate = datetime.datetime.fromisoformat("2022-01-01")

-
-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()
+import strategies as st


 def run(strategy, data, fund_mode=False):
@ -165,7 +30,7 @@ def run(strategy, data, fund_mode=False):
    # Broker Information
    broker_args = dict(coc=True)
    cerebro.broker = bt.brokers.BackBroker(**broker_args)
-    comminfo = PercentageCommisionScheme()
+    comminfo = st.PercentageCommisionScheme()
    cerebro.broker.addcommissioninfo(comminfo)

    if fund_mode:
@ -211,7 +76,7 @@ if __name__ == "__main__":
        actualStart: datetime.datetime = stockData.index[0]
        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)
            dd = therun.analyzers.drawdown
            ret = therun.analyzers.returns
@ -226,5 +91,5 @@ if __name__ == "__main__":
            )
        print("Starting from:", actualStart)
        print("Time in Market: {:.1f} years".format((endDate - actualStart).days / 365))
-        print(df[["annual%", "froi", "cost", "total_value"]])
-        # print(df)
+        # print(df[["annual%", "froi", "cost", "total_value"]])
+        print(df)
--- a/strategies.py
+++ b/strategies.py
@ -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()