def importFundamentals(db, ticker, start_year=2010):
# in db: row for each quarterly with all the necessary corresponding columns
table_name = getTableName('simfin', ticker, 'fund')
current_year = int(datetime.now().strftime('%Y'))
quarters = ['q1', 'q2', 'q3', 'q4']
for year in range(start_year, current_year):
for q in quarters:
stmt = simfin.getQuarterlyStatement(quarter=q, fyear=year, ticker=ticker)
if 'error' in stmt:
return stmt
data = {
'quarter': str(year) + '_' + q,
'report_date': getVal(stmt, 'Report Date'),
'publish_date': getVal(stmt, 'Publish Date'),
'earnings_per_share': getVal(stmt, 'Earnings Per Share, Basic'),
'equity_per_share': getVal(stmt, 'Equity Per Share'),
'total_debt': getVal(stmt, 'Total Debt'),
'cash_cash_eq_short_inv': getVal(stmt, 'Cash, Cash Equivalents & Short Term Investments'),
'minority_interest': getVal(stmt, 'Minority Interest'),
'preferred_equity': getVal(stmt, 'Preferred Equity'),
'ebitda': getVal(stmt, 'EBITDA'),
'free_cash_flow': getVal(stmt, 'Free Cash Flow'),
'net_income': getVal(stmt, 'Net Income'),
'dividends_paid': getVal(stmt, 'Dividends Paid'),
'total_equity': getVal(stmt, 'Total Equity')
}
print(ticker, year, q, 'Report Date:', data['report_date'])
#print('Report Date:', data['report_date'])
if data['report_date']:
createFundamentalTableIfNotExists(db, table_name, data)
insertFundamentalStmt(db, table_name, data)
def getData(provider, symbol, candle_size, start_date, end_date):
db = sqliteDB()
db.connect()
table_name = getTableName(provider, symbol, candle_size)
candleDf = db.getCandles(table_name, start_date, end_date)
db.disconnect()
return candleDf
def updateDayCandleData():
def mergeCandlesAndPriceTarget(candles, priceTargetHist):
targets = {}
last_know_pt = None
if not priceTargetHist:
return candles
for target in priceTargetHist:
targets[target['date']] = target['value']
for candle in candles:
if candle['date'] in targets:
candle['price_target'] = targets[candle['date']]
last_know_pt = targets[candle['date']]
else:
candle['price_target'] = last_know_pt
return candles
tickers = getUsExchangeTickers()
db = sqliteDB()
db.connect()
for ticker in tickers:
table_name = getTableName('koyfin', ticker['symbol'], '1D')
koyfinId = getSymbolId(ticker['symbol'])
num_analysts = getNumAnalysts(koyfinId)
print('Processing', ticker['symbol'], koyfinId, 'num_analysts:',
num_analysts)
if num_analysts != None and num_analysts > 15:
if not db.candleTableExists(table_name):
candles = getAllDayCandlesForTicker(koyfinId)
priceTargetHist = getCompletePriceTargetHistory(koyfinId)
new_candles = mergeCandlesAndPriceTarget(
candles, priceTargetHist
) if priceTargetHist and candles else candles
if new_candles:
db.createCandleTableIfNotExists(table_name)
for candle in new_candles:
price_target = candle.get('price_target')
db.insertCandle(
table_name,
datetime.strptime(candle['date'],
'%Y-%m-%d'), candle['open'],
candle['high'], candle['low'], candle['close'],
candle['volume'], price_target, num_analysts)
else:
next_candle_to_get = db.getLastCandleTime(
table_name) + timedelta(days=1)
yesterday = datetime.today() - timedelta(days=1)
candles = getCandles(
koyfinId, datetime.strftime(next_candle_to_get,
'%Y-%m-%d'),
datetime.strftime(yesterday, '%Y-%m-%d'))
priceTargetHist = getTargetPriceHistory(
koyfinId, next_candle_to_get, yesterday)
new_candles = mergeCandlesAndPriceTarget(
candles, priceTargetHist
) if priceTargetHist and candles else candles
if new_candles:
for candle in new_candles:
price_target = candle[
'price_target'] if 'price_target' in candle else None
db.insertCandle(
table_name,
datetime.strptime(candle['date'],
'%Y-%m-%d'), candle['open'],
candle['high'], candle['low'], candle['close'],
candle['volume'], price_target, num_analysts)
db.disconnect()
def backtestRunner(provider, candle_size, start_date, end_date, init_balance,
stratOpts):
delta = {
'1m': timedelta(minutes=1),
'5m': timedelta(minutes=5),
'15m': timedelta(minutes=15),
'1h': timedelta(hours=1),
'4h': timedelta(hours=4),
'1D': timedelta(days=1)
}[candle_size]
current_datetime = start_date
db = sqliteDB()
db.connect()
# Setup. Get warm up candles:
data = {}
trader = FakeTrader(init_balance)
data['price_target'] = {}
data['price_target']['candles'] = pd.DataFrame(data,
columns=[
'date', 'open', 'high',
'low', 'close',
'volume', 'price_target'
])
trader.trades['price_target'] = []
plotter = Plotter(['price_target'])
#plotter.createLine('price_target', 'price_target', 'green')
pos_size = stratOpts['pos_size']
symbols = db.getKoyfinTickers()
# strategy = Strategy(stratOpts, trader, plotter, symbols)
while current_datetime < end_date:
print(f'{current_datetime.strftime("%Y-%m-%d")}')
for symbol in symbols:
table_name = getTableName(provider, symbol, '1D')
candle = db.getCandle(table_name, current_datetime)
data['price_target']['candles'] = data['price_target'][
'candles'].append(candle, ignore_index=True)
#plotter.addPtToLine('price_target', 'price_target', candle['date'], candle['price_target'])
if candle == None or candle['price_target'] == None:
# No enough data for this day
pass
else:
# if
price_dif_pct = (candle['price_target'] -
candle['close']) / candle['close'] * 100
if price_dif_pct > 30 and not trader.isPosOpen(symbol):
order = {
'symbol': symbol,
'quantity': pos_size / candle['close'],
'mkt_price': candle['close'],
'placed': candle['date']
}
trader.openPosition(order, current_datetime)
print('buy', symbol, 'price:', candle['close'], 'target:',
candle['price_target'], 'price dif:', price_dif_pct)
for order in trader.orders:
if order['status'] == 'active' and order[
'symbol'] == symbol and price_dif_pct < 20:
trader.closePosition(order, candle['close'],
current_datetime)
print('sell', symbol, 'price dif:', price_dif_pct)
current_datetime += delta
reporter = Reporter(['price_target'], plotter, init_balance)
reporter.setCandles('price_target', data['price_target']['candles'])
reporter.setTrades('price_target', trader.trades['price_target'],
trader.balance, trader.num_trades, trader.num_wins,
trader.total_r)
db.disconnect()
# profit = trader.balance - init_balance
# profitPct = profit / init_balance * 100
# winRate = trader.num_wins / trader.num_trades * 100
# print('\nFinal balance: {:.2f} Profit: {:.2f} Profit%: {:.2f}%'.format(trader.balance, profit, profitPct))
# print('Num trades: {} Num wins: {} Win rate: {:.2f}%\n'.format(trader.num_trades, trader.num_wins, winRate))
# TODO: Return a reporter class instance that includes functions such as trades_to_excel, show_chart, chart_to_html, print_performance, etc.
# The strategy needs access to the plotter class in order to add lines and dots
# The dots that correspond to trades should be added automatically
return reporter
def getTable(symbol):
return getTableName(provider, symbol, candle_size)