def testCumulativeReturn(self):
initialCash = 33.06
barFeed = yahoofeed.Feed()
barFeed.addBarsFromCSV(
AnalyzerTestCase.TestInstrument,
common.get_data_file_path("orcl-2001-yahoofinance.csv"))
strat = position_test.BaseTestStrategy(barFeed,
AnalyzerTestCase.TestInstrument,
initialCash)
strat.addPosEntry(datetime.datetime(2001, 1, 12), strat.enterLong,
AnalyzerTestCase.TestInstrument, 1) # 33.06
strat.addPosExitMarket(datetime.datetime(2001, 11, 27)) # 14.32
stratAnalyzer = returns.Returns(maxLen=10)
strat.attachAnalyzer(stratAnalyzer)
strat.run()
self.assertTrue(
round(strat.getBroker().getCash(), 2) == round(
initialCash + (14.32 - 33.06), 2))
self.assertTrue(
round(33.06 *
(1 + stratAnalyzer.getCumulativeReturns()[-1]), 2) == 14.32)
self.assertEqual(len(stratAnalyzer.getCumulativeReturns()), 10)
self.assertEqual(len(stratAnalyzer.getReturns()), 10)
def testTwoBarReturns_CloseClose(self):
initialCash = 15.90
barFeed = yahoofeed.Feed()
barFeed.setBarFilter(
csvfeed.DateRangeFilter(datetime.datetime(2001, 12, 6),
datetime.datetime(2001, 12, 7)))
barFeed.addBarsFromCSV(
AnalyzerTestCase.TestInstrument,
common.get_data_file_path("orcl-2001-yahoofinance.csv"))
strat = strategy_test.BaseStrategy(barFeed, initialCash)
# 2001-12-06,15.61,16.03,15.50,15.90,66944900,15.55
# 2001-12-07,15.74,15.95,15.55,15.91,42463200,15.56
# Manually place the entry order, to get it filled on the first bar.
order = strat.getBroker().createMarketOrder(
broker.Order.Action.BUY, AnalyzerTestCase.TestInstrument, 1,
True) # Close: 15.90
strat.getBroker().submitOrder(order)
strat.addOrder(datetime.datetime(2001, 12, 6),
strat.getBroker().createMarketOrder,
broker.Order.Action.SELL,
AnalyzerTestCase.TestInstrument, 1,
True) # Close: 15.91
stratAnalyzer = returns.Returns()
strat.attachAnalyzer(stratAnalyzer)
strat.run()
self.assertTrue(strat.getBroker().getCash() == initialCash +
(15.91 - 15.90))
# First day returns: 0
self.assertTrue(stratAnalyzer.getReturns()[0] == 0)
# Second day returns: Open vs Prev. day's close
self.assertTrue(stratAnalyzer.getReturns()[1] == (15.91 - 15.90) /
15.90)
def testOneBarReturn(self):
initialCash = 1000
barFeed = yahoofeed.Feed()
barFeed.setBarFilter(
csvfeed.DateRangeFilter(datetime.datetime(2001, 12, 7),
datetime.datetime(2001, 12, 7)))
barFeed.addBarsFromCSV(
AnalyzerTestCase.TestInstrument,
common.get_data_file_path("orcl-2001-yahoofinance.csv"))
strat = strategy_test.BaseStrategy(barFeed, initialCash)
# 2001-12-07,15.74,15.95,15.55,15.91,42463200,15.56
# Manually place the orders to get them filled on the first (and only) bar.
order = strat.getBroker().createMarketOrder(
broker.Order.Action.BUY, AnalyzerTestCase.TestInstrument, 1,
False) # Open: 15.74
strat.getBroker().submitOrder(order)
order = strat.getBroker().createMarketOrder(
broker.Order.Action.SELL, AnalyzerTestCase.TestInstrument, 1,
True) # Close: 15.91
strat.getBroker().submitOrder(order)
stratAnalyzer = returns.Returns()
strat.attachAnalyzer(stratAnalyzer)
strat.run()
self.assertTrue(strat.getBroker().getCash() == initialCash +
(15.91 - 15.74))
finalValue = 1000 - 15.74 + 15.91
rets = (finalValue - initialCash) / float(initialCash)
self.assertEqual(stratAnalyzer.getReturns()[-1], rets)
def main(plot):
initialCash = 10000
instrumentsByClass = {
"US Stocks": ["VTI"],
"Foreign Stocks": ["VEU"],
"US 10 Year Government Bonds": ["IEF"],
"Real Estate": ["VNQ"],
"Commodities": ["DBC"],
}
# Load the bars. These files were manually downloaded from Yahoo Finance.
feed = yahoofeed.Feed()
instruments = ["SPY"]
for assetClass in instrumentsByClass:
instruments.extend(instrumentsByClass[assetClass])
for year in range(2007, 2013+1):
for instrument in instruments:
fileName = "%s-%d-yahoofinance.csv" % (instrument, year)
print("Loading bars from %s" % fileName)
feed.addBarsFromCSV(instrument, fileName)
# Build the strategy and attach some metrics.
strat = MarketTiming(feed, instrumentsByClass, initialCash)
sharpeRatioAnalyzer = sharpe.SharpeRatio()
strat.attachAnalyzer(sharpeRatioAnalyzer)
returnsAnalyzer = returns.Returns()
strat.attachAnalyzer(returnsAnalyzer)
if plot:
plt = plotter.StrategyPlotter(strat, False, False, True)
plt.getOrCreateSubplot("cash").addCallback("Cash", lambda x: strat.getBroker().getCash())
# Plot strategy vs. SPY cumulative returns.
plt.getOrCreateSubplot("returns").addDataSeries("SPY", cumret.CumulativeReturn(feed["SPY"].getPriceDataSeries()))
plt.getOrCreateSubplot("returns").addDataSeries("Strategy", returnsAnalyzer.getCumulativeReturns())
strat.run()
print("Sharpe ratio: %.2f" % sharpeRatioAnalyzer.getSharpeRatio(0.05))
print("Returns: %.2f %%" % (returnsAnalyzer.getCumulativeReturns()[-1] * 100))
if plot:
plt.plot()
from quantworks import plotter
from quantworks.barfeed import quandlfeed
from quantworks.stratanalyzer import returns
import sma_crossover
# Load the bar feed from the CSV file
feed = quandlfeed.Feed()
feed.addBarsFromCSV("orcl", "WIKI-ORCL-2000-quandl.csv")
# Evaluate the strategy with the feed's bars.
myStrategy = sma_crossover.SMACrossOver(feed, "orcl", 20)
# Attach a returns analyzers to the strategy.
returnsAnalyzer = returns.Returns()
myStrategy.attachAnalyzer(returnsAnalyzer)
# Attach the plotter to the strategy.
plt = plotter.StrategyPlotter(myStrategy)
# Include the SMA in the instrument's subplot to get it displayed along with the closing prices.
plt.getInstrumentSubplot("orcl").addDataSeries("SMA", myStrategy.getSMA())
# Plot the simple returns on each bar.
plt.getOrCreateSubplot("returns").addDataSeries("Simple returns", returnsAnalyzer.getReturns())
# Run the strategy.
myStrategy.run()
myStrategy.info("Final portfolio value: $%.2f" % myStrategy.getResult())
# Plot the strategy.
plt.plot()