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test

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master
Dmitry Maylarov 4 years ago
parent 35f4a992ff
commit e4701b3d45
2 changed files with 38 additions and 33 deletions
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32
compare.py
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@ -6,14 +6,13 @@ 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 = ["SWPPX"]
month_sum = 500 # usd
reserve = 5 # usd for comms etc
# startDate = datetime.datetime.fromisoformat("2000-01-01")
# endDate = datetime.datetime.fromisoformat("2022-01-01")
import strategies as st import strategies as st
# import data
def get_data(stocks, start, end):
stockData = pdr.get_data_yahoo(stocks, start, end)
return stockData
def run(strategy, data, fund_mode=False): def run(strategy, data, fund_mode=False):
if fund_mode: if fund_mode:
@ -36,7 +35,7 @@ def run(strategy, data, fund_mode=False):
if fund_mode: if fund_mode:
cerebro.broker.set_fundmode(True) cerebro.broker.set_fundmode(True)
cerebro.broker.set_cash(month_sum) cerebro.broker.set_cash(st.month_sum)
cerebro.addanalyzer(bt.analyzers.DrawDown, _name="drawdown") cerebro.addanalyzer(bt.analyzers.DrawDown, _name="drawdown")
cerebro.addanalyzer(bt.analyzers.VWR, _name="returns") cerebro.addanalyzer(bt.analyzers.VWR, _name="returns")
cerebro.addanalyzer( cerebro.addanalyzer(
@ -44,31 +43,31 @@ def run(strategy, data, fund_mode=False):
) )
thestrats = cerebro.run() thestrats = cerebro.run()
thestrat = thestrats[0] thestrat = thestrats[0]
# cerebro.plot(iplot=False, style="candlestick") cerebro.plot(iplot=False, style="candlestick")
return thestrat return thestrat
if __name__ == "__main__": if __name__ == "__main__":
df = pd.DataFrame( df = pd.DataFrame(
columns=[ columns=[
"annual%",
"froi", "froi",
"cost", "cost",
"total_value", "total_value",
"times", "times",
"units", "units",
"comms", "comms",
"annual%",
"max_dd_len", "max_dd_len",
"max_dd", "max_dd",
"max_md", "max_md",
"twr", "twr",
] ]
) )
# import data
def get_data(stocks, start, end):
stockData = pdr.get_data_yahoo(stocks, start, end)
return stockData
stockList = ["SWPPX"]
# startDate = datetime.datetime.fromisoformat("2000-01-01")
# endDate = datetime.datetime.fromisoformat("2022-01-01")
print(stockList[0])
for period_years in (1, 2, 5, 10, 15, 20, 25): for period_years in (1, 2, 5, 10, 15, 20, 25):
endDate = datetime.datetime.now() endDate = datetime.datetime.now()
startDate = endDate - datetime.timedelta(days=period_years * 365) startDate = endDate - datetime.timedelta(days=period_years * 365)
@ -83,7 +82,12 @@ if __name__ == "__main__":
# tr = thestrat.analyzers.tr # tr = thestrat.analyzers.tr
# print(next(reversed(tr.get_analysis()))) # print(next(reversed(tr.get_analysis())))
# print(tr.get_analysis()) # print(tr.get_analysis())
params = therun.calc_params()
annual = 100 * (
(1 + params[0] / 100) ** (365 / (endDate - actualStart).days) - 1
)
df.loc[strategy.__name__] = therun.calc_params() + ( df.loc[strategy.__name__] = therun.calc_params() + (
annual,
dd.get_analysis().max.len, dd.get_analysis().max.len,
dd.get_analysis().max.drawdown, dd.get_analysis().max.drawdown,
dd.get_analysis().max.moneydown, dd.get_analysis().max.moneydown,
@ -91,5 +95,5 @@ 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", "max_dd", "max_md"]])
print(df) print(df)

39
strategies.py
Unescape View File

@ -6,6 +6,9 @@ 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
reserve = 5 # usd for comms etc cause I cant math
month_sum = 500 # usd
class LSI(bt.Strategy): class LSI(bt.Strategy):
def start(self): def start(self):
@ -50,11 +53,11 @@ class FormulaInvesting(bt.Strategy):
self.comms = 0 self.comms = 0
self.units = 0 self.units = 0
self.times = 0 self.times = 0
self.periods = 0 self.months = 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, V:%.2f, C:%.2f, %s" % (dt.isoformat(), self.broker.get_value(), self.broker.get_cash(), 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)
@ -73,19 +76,11 @@ class FormulaInvesting(bt.Strategy):
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
else:
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( self.log(
"%s Price %.2f, Units %.0f, Value %.2f, Comm %.2f, " "%s Price %.2f, Units %.0f, Value %.2f, Comm %.2f, "
% ( % (
"BUY" if order.isbuy else "SELL", "BUY" if order.isbuy() else "SELL",
order.executed.price, order.executed.price,
order.executed.size, order.executed.size,
order.executed.value, order.executed.value,
@ -93,6 +88,14 @@ class FormulaInvesting(bt.Strategy):
) )
) )
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.comms += order.executed.comm self.comms += order.executed.comm
self.times += 1 self.times += 1
@ -106,8 +109,6 @@ class FormulaInvesting(bt.Strategy):
# calculate actual returns # calculate actual returns
self.froi = self.broker.get_fundvalue() - self.val_start self.froi = self.broker.get_fundvalue() - self.val_start
return ( return (
# Annual
100 * ((1 + self.froi / 100) ** (365 / (endDate - actualStart).days) - 1),
self.froi, self.froi,
self.cost, self.cost,
self.broker.get_value() + self.broker.get_cash(), self.broker.get_value() + self.broker.get_cash(),
@ -117,15 +118,15 @@ class FormulaInvesting(bt.Strategy):
) )
def notify_timer(self, timer, when, *args): def notify_timer(self, timer, when, *args):
self.periods += 1 self.months += 1
self.broker.add_cash(month_sum) self.broker.add_cash(month_sum)
self.formula() self.formula()
class VA(FormulaInvesting): class VA(FormulaInvesting):
def formula(self): def formula(self):
target_value = min(self.periods * month_sum - reserve, self.broker.get_value()) target_value = min(self.months * month_sum, self.broker.get_value()) - reserve
self.order_target_value(target=target_value) self.order_target_value(target=target_value),
class DCA(FormulaInvesting): class DCA(FormulaInvesting):
@ -136,11 +137,11 @@ class DCA(FormulaInvesting):
class QVA(VA): class QVA(VA):
def formula(self): def formula(self):
if not self.periods % 3: if not self.months % 3:
super().formula() super().formula()
class QDCA(DCA): class QDCA(DCA):
def formula(self): def formula(self):
if not self.periods % 3: if not self.months % 3:
super().formula() super().formula()

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