test

compare.py

@@ -6,14 +6,13 @@ import matplotlib.pyplot as plt
 from pandas_datareader import data as pdr
 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 data
+def get_data(stocks, start, end):
+    stockData = pdr.get_data_yahoo(stocks, start, end)
+    return stockData
+
 
 def run(strategy, data, fund_mode=False):
     if fund_mode:
@@ -36,7 +35,7 @@ def run(strategy, data, fund_mode=False):
     if fund_mode:
         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.VWR, _name="returns")
     cerebro.addanalyzer(
@@ -44,31 +43,31 @@ def run(strategy, data, fund_mode=False):
     )
     thestrats = cerebro.run()
     thestrat = thestrats[0]
-    # cerebro.plot(iplot=False, style="candlestick")
+    cerebro.plot(iplot=False, style="candlestick")
     return thestrat
 
 
 if __name__ == "__main__":
     df = pd.DataFrame(
         columns=[
-            "annual%",
             "froi",
             "cost",
             "total_value",
             "times",
             "units",
             "comms",
+            "annual%",
             "max_dd_len",
             "max_dd",
             "max_md",
             "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):
         endDate = datetime.datetime.now()
         startDate = endDate - datetime.timedelta(days=period_years * 365)
@@ -83,7 +82,12 @@ if __name__ == "__main__":
             # tr = thestrat.analyzers.tr
             # print(next(reversed(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() + (
+                annual,
                 dd.get_analysis().max.len,
                 dd.get_analysis().max.drawdown,
                 dd.get_analysis().max.moneydown,
@@ -91,5 +95,5 @@ 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[["annual%", "froi", "cost", "total_value", "max_dd", "max_md"]])
         print(df)

strategies.py

@@ -6,6 +6,9 @@ import matplotlib.pyplot as plt
 from pandas_datareader import data as pdr
 import backtrader as bt
 
+reserve = 5  # usd for comms etc cause I cant math
+month_sum = 500  # usd
+
 
 class LSI(bt.Strategy):
     def start(self):
@@ -50,11 +53,11 @@ class FormulaInvesting(bt.Strategy):
         self.comms = 0
         self.units = 0
         self.times = 0
-        self.periods = 0
+        self.months = 0
 
     def log(self, txt, dt=None):
         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):
         self.broker.set_fundmode(fundmode=True, fundstartval=100.0)
@@ -73,19 +76,11 @@ class FormulaInvesting(bt.Strategy):
     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
-
+        else:
             self.log(
                 "%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.size,
                     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.times += 1
 
@@ -106,8 +109,6 @@ class FormulaInvesting(bt.Strategy):
         # 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(),
@@ -117,15 +118,15 @@ class FormulaInvesting(bt.Strategy):
         )
 
     def notify_timer(self, timer, when, *args):
-        self.periods += 1
+        self.months += 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)
+        target_value = min(self.months * month_sum, self.broker.get_value()) - reserve
+        self.order_target_value(target=target_value),
 
 
 class DCA(FormulaInvesting):
@@ -136,11 +137,11 @@ class DCA(FormulaInvesting):
 
 class QVA(VA):
     def formula(self):
-        if not self.periods % 3:
+        if not self.months % 3:
             super().formula()
 
 
 class QDCA(DCA):
     def formula(self):
-        if not self.periods % 3:
+        if not self.months % 3:
             super().formula()