def rsi_strat(ticker: str, start_date: Union[datetime, str],
other_args: List[str]):
"""
Strategy that buys when the stock is less than a threshold and shorts when it exceeds a threshold.
Parameters
----------
ticker: str
Stock to test
start: Union[str, datetime]
Backtest start date. Can be either string or datetime
other_args: List[str]
List of argparse arguments
Returns
-------
Plot and a printout of backtest
"""
parser = argparse.ArgumentParser(add_help=False, prog="rsi_strat")
parser.add_argument(
"-p",
"--periods",
dest="periods",
help="Number of periods for RSI calculation",
type=int,
default=14,
)
parser.add_argument("-u",
"--high",
default=70,
dest="high",
type=int,
help="High (upper) RSI Level")
parser.add_argument("-l",
"--low",
default=30,
dest="low",
type=int,
help="Low RSI Level")
parser.add_argument(
"--spy",
action="store_true",
default=False,
help="Flag to add spy hold comparison",
dest="spy",
)
parser.add_argument(
"--no_bench",
action="store_true",
default=False,
help="Flag to not show buy and hold comparison",
dest="no_bench",
)
parser.add_argument(
"--no_short",
action="store_false",
default=True,
dest="shortable",
help="Flag that disables the short sell",
)
try:
ns_parser = parse_known_args_and_warn(parser, other_args)
if not ns_parser:
return
if ns_parser.high < ns_parser.low:
print("Low RSI value is higher than Low RSI value\n")
return
ticker = ticker.lower()
prices = bt.get(ticker, start=start_date)
rsi = pd.DataFrame(ta.rsi(prices[ticker], ns_parser.periods))
rsi.columns = [ticker]
signal = 0 * rsi.copy()
signal[rsi > ns_parser.high] = -1
signal[rsi < ns_parser.low] = 1
signal[rsi.isnull()] = 0
merged_data = bt.merge(signal, prices)
merged_data.columns = ["signal", "price"]
bt_strategy = bt.Strategy(
"RSI Reversion",
[bt.algos.WeighTarget(signal),
bt.algos.Rebalance()])
bt_backtest = bt.Backtest(bt_strategy, prices)
if ns_parser.spy:
spy_bt = buy_and_hold("spy", start_date, "SPY Hold")
if ns_parser.no_bench:
res = bt.run(bt_backtest, spy_bt)
else:
stock_bt = buy_and_hold(ticker, start_date,
ticker.upper() + " Hold")
res = bt.run(bt_backtest, spy_bt, stock_bt)
else:
if ns_parser.no_bench:
res = bt.run(bt_backtest)
else:
stock_bt = buy_and_hold(ticker, start_date,
ticker.upper() + " Hold")
res = bt.run(bt_backtest, stock_bt)
plot_bt(res,
f"RSI Strategy between ({ns_parser.low}, {ns_parser.high})")
print(res.display())
print("")
except Exception as e:
print(e)
print("")
return
def ema_cross(ticker: str, start_date: Union[str, datetime],
other_args: List[str]):
"""
Strategy where we go long/short when EMA(short) is greater than/less than EMA(short)
Parameters
----------
ticker: str
Stock to test
start: Union[str, datetime]
Backtest start date. Can be either string or datetime
other_args: List[str]
List of argparse arguments
Returns
-------
Plot and a printout of backtest
"""
parser = argparse.ArgumentParser(add_help=False, prog="ema_cross")
parser.add_argument("-l",
"--long",
default=50,
dest="long",
type=int,
help="Long EMA period")
parser.add_argument("-s",
"--short",
default=20,
dest="short",
type=int,
help="Short EMA period")
parser.add_argument(
"--spy",
action="store_true",
default=False,
help="Flag to add spy hold comparison",
dest="spy",
)
parser.add_argument(
"--no_bench",
action="store_true",
default=False,
help="Flag to not show buy and hold comparison",
dest="no_bench",
)
parser.add_argument(
"--no_short",
action="store_false",
default=True,
dest="shortable",
help="Flag that disables the short sell",
)
try:
ns_parser = parse_known_args_and_warn(parser, other_args)
if not ns_parser:
return
if ns_parser.long < ns_parser.short:
print("Short EMA period is longer than Long EMA period\n")
return
ticker = ticker.lower()
prices = bt.get(ticker, start=start_date)
short_ema = pd.DataFrame(ta.ema(prices[ticker], ns_parser.short))
short_ema.columns = [ticker]
long_ema = pd.DataFrame(ta.ema(prices[ticker], ns_parser.long))
long_ema.columns = [ticker]
# signals
signals = long_ema.copy()
signals[short_ema > long_ema] = 1.0
signals[short_ema <= long_ema] = -1.0 * ns_parser.shortable
signals[long_ema.isnull()] = 0.0
combined_data = bt.merge(signals, prices, short_ema, long_ema)
combined_data.columns = ["signal", "price", "ema_short", "ema_long"]
bt_strategy = bt.Strategy(
"EMA_Cross",
[
bt.algos.WeighTarget(signals),
bt.algos.Rebalance(),
],
)
bt_backtest = bt.Backtest(bt_strategy, prices)
if ns_parser.spy:
spy_bt = buy_and_hold("spy", start_date, "SPY Hold")
if ns_parser.no_bench:
res = bt.run(bt_backtest, spy_bt)
else:
stock_bt = buy_and_hold(ticker, start_date,
ticker.upper() + " Hold")
res = bt.run(bt_backtest, spy_bt, stock_bt)
else:
if ns_parser.no_bench:
res = bt.run(bt_backtest)
else:
stock_bt = buy_and_hold(ticker, start_date,
ticker.upper() + " Hold")
res = bt.run(bt_backtest, stock_bt)
plot_bt(res,
f"EMA Cross for EMA({ns_parser.short})/EMA({ns_parser.long})")
print(res.display())
print("")
except Exception as e:
print(e)
print("")
return
def simple_ema(ticker: str, start_date: Union[str, datetime],
other_args: List[str]):
"""
Strategy where stock is bought when Price > EMA(l)
Parameters
----------
ticker: str
Stock to test
start: Union[str, datetime]
Backtest start date. Can be either string or datetime
other_args: List[str]
List of argparse arguments
Returns
-------
Plot and a printout of backtest
"""
parser = argparse.ArgumentParser(add_help=False, prog="ema")
parser.add_argument("-l",
default=20,
dest="length",
type=int,
help="EMA period to consider")
parser.add_argument(
"--spy",
action="store_true",
default=False,
help="Flag to add spy hold comparison",
dest="spy",
)
parser.add_argument(
"--no_bench",
action="store_true",
default=False,
help="Flag to not show buy and hold comparison",
dest="no_bench",
)
try:
ns_parser = parse_known_args_and_warn(parser, other_args)
if not ns_parser:
return
ticker = ticker.lower()
ema = pd.DataFrame()
prices = bt.get(ticker, start=start_date)
ema[ticker] = ta.ema(prices[ticker], ns_parser.length)
bt_strategy = bt.Strategy(
"AboveEMA",
[
bt.algos.SelectWhere(prices >= ema),
bt.algos.WeighEqually(),
bt.algos.Rebalance(),
],
)
bt_backtest = bt.Backtest(bt_strategy, prices)
if ns_parser.spy:
spy_bt = buy_and_hold("spy", start_date, "SPY Hold")
if ns_parser.no_bench:
res = bt.run(bt_backtest, spy_bt)
else:
stock_bt = buy_and_hold(ticker, start_date,
ticker.upper() + " Hold")
res = bt.run(bt_backtest, spy_bt, stock_bt)
else:
if ns_parser.no_bench:
res = bt.run(bt_backtest)
else:
stock_bt = buy_and_hold(ticker, start_date,
ticker.upper() + " Hold")
res = bt.run(bt_backtest, stock_bt)
plot_bt(res, f"Equity for EMA({ns_parser.length})")
print(res.display())
print("")
except Exception as e:
print(e)
print("")
return