From 4458e5386f1152f264e2ec3bd5784d9528c9ad07 Mon Sep 17 00:00:00 2001
From: Dmitry Maylarov <maylarov@yandex.ru>
Date: Sun, 30 Jan 2022 17:30:12 +0300
Subject: [PATCH] start_date, analyzers, monthly_sum, normal months

---
 dcavslsi.py | 50 +++++++++++++++++++++++++++++++++++---------------
 1 file changed, 35 insertions(+), 15 deletions(-)

diff --git a/dcavslsi.py b/dcavslsi.py
index fbb2e00..a6a7d2a 100644
--- a/dcavslsi.py
+++ b/dcavslsi.py
@@ -9,9 +9,8 @@ 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
+startDate = datetime.datetime.fromisoformat("2018-01-01")
 
 
 # import data
@@ -21,7 +20,7 @@ def get_data(stocks, start, end):
 
 
 endDate = datetime.datetime.now()
-startDate = endDate - datetime.timedelta(days=total_days_in_market)
+# startDate = endDate - datetime.timedelta(days=total_days_in_market)
 stockData = get_data(stockList[0], startDate, endDate)
 
 actualStart: datetime.datetime = stockData.index[0]
@@ -65,8 +64,6 @@ class PercentageCommisionScheme(bt.CommInfoBase):
 
 
 class FormulaInvesting(bt.Strategy):
-    params = dict(monthly_cash=month_sum, monthly_range=[5, 20])
-
     def __init__(self):
         self.order = None
         self.totalcost = 0
@@ -77,10 +74,10 @@ class FormulaInvesting(bt.Strategy):
 
     def log(self, txt, dt=None):
         dt = dt or self.datas[0].datetime.date(0)
-        # print("%s, %s" % (dt.isoformat(), txt))
+        print("%s, %s" % (dt.isoformat(), txt))
 
     def start(self):
-        self.broker.set_fundmode(fundmode=True, fundstartval=100.0)
+        # self.broker.set_fundmode(fundmode=True, fundstartval=100.0)
 
         self.cash_start = self.broker.get_cash()
         self.val_start = 100.0
@@ -88,7 +85,7 @@ class FormulaInvesting(bt.Strategy):
         # ADD A TIMER
         self.add_timer(
             when=bt.timer.SESSION_START,
-            monthdays=[i for i in self.p.monthly_range],
+            monthdays=[1],
             monthcarry=True
             # timername='buytimer',
         )
@@ -137,6 +134,9 @@ class FormulaInvesting(bt.Strategy):
         self.order = None
 
     def stop(self):
+        self.calc_params()
+
+    def calc_params(self):
         # calculate actual returns
         self.roi = (self.broker.get_value() / self.cash_start) - 1
         self.froi = self.broker.get_fundvalue() - self.val_start
@@ -160,13 +160,13 @@ class FormulaInvesting(bt.Strategy):
 
     def notify_timer(self, timer, when, *args):
         self.periods += 1
-        self.broker.add_cash(self.p.monthly_cash)
+        self.broker.add_cash(month_sum)
         self.formula()
 
 
 class VA(FormulaInvesting):
     def formula(self):
-        target_value = (self.periods) * self.p.monthly_cash - reserve
+        target_value = min(self.periods * month_sum - reserve, self.broker.get_value())
         self.order_target_value(target=target_value)
 
 
@@ -176,6 +176,18 @@ class DCA(FormulaInvesting):
         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):
     cerebro = bt.Cerebro(stdstats=False)
 
@@ -193,12 +205,20 @@ def run(strategy, data):
     comminfo = PercentageCommisionScheme()
     cerebro.broker.addcommissioninfo(comminfo)
 
-    cerebro.broker.set_cash(period_sum)
-    cerebro.run()
+    cerebro.broker.set_cash(month_sum)
+    # cerebro.addobserver(bt.observers.FundValue)
+    # cerebro.addobserver(bt.observers.FundShares)
+    cerebro.addanalyzer(bt.analyzers.DrawDown, _name="drawdown")
+    cerebro.addanalyzer(bt.analyzers.VWR, _name="returns")
+    thestrats = cerebro.run()
+    thestrat = thestrats[0]
+    dd = thestrat.analyzers.drawdown
+    print(dd.get_analysis().max)
+    ret = thestrat.analyzers.returns
+    print(ret.get_analysis())
     cerebro.plot(iplot=False, style="candlestick")
 
 
 if __name__ == "__main__":
-    # run(LSI, 100000, data)
-    run(DCA, data)
-    run(VA, data)
+    for strategy in (DCA, QDCA, VA, QVA):
+        run(strategy, data)