def fetch_timeseries(self,
symbols,
start,
end,
fields=['high', 'low', 'close'],
use_cache=True):
""" read time series data for symbols """
for i, symbol in enumerate(symbols):
if i == 0:
ts = pf.fetch_timeseries(symbol, use_cache=use_cache)
ts = pf.select_tradeperiod(ts, start, end, use_adj=True)
self._add_symbol_columns(ts, symbol, ts, fields)
ts.drop(columns=[
'high', 'low', 'open', 'close', 'volume', 'adj_close'
],
inplace=True)
else:
# add another symbol
_ts = pf.fetch_timeseries(symbol, use_cache=use_cache)
_ts = pf.select_tradeperiod(_ts, start, end, use_adj=True)
self._add_symbol_columns(ts, symbol, _ts, fields)
self.symbols = symbols
return ts
def run(self):
self._ts = pf.fetch_timeseries(self._symbol)
self._ts = pf.select_tradeperiod(self._ts,
self._start,
self._end,
use_adj=False)
# Add technical indicator: 200 day sma
sma200 = SMA(self._ts, timeperiod=200)
self._ts['sma200'] = sma200
# Add technical indicator: X day high, and X day low
period_high = pd.Series(self._ts.close).rolling(self._period).max()
period_low = pd.Series(self._ts.close).rolling(self._period).min()
self._ts['period_high'] = period_high
self._ts['period_low'] = period_low
self._tlog = pf.TradeLog()
self._dbal = pf.DailyBal()
# add S&P500 200 sma
sp500 = pf.fetch_timeseries('^GSPC')
sp500 = pf.select_tradeperiod(sp500, self._start, self._end, False)
self._ts['sp500_close'] = sp500['close']
sp500_sma = SMA(sp500, timeperiod=200)
self._ts['sp500_sma'] = sp500_sma
self._algo()
def run(self):
self.ts = pf.fetch_timeseries(self.symbol)
self.ts = pf.select_tradeperiod(self.ts, self.start, self.end, use_adj=True)
# Add technical indicator: 200 sma regime filter
self.ts['regime'] = \
pf.CROSSOVER(self.ts, timeperiod_fast=1, timeperiod_slow=200)
# Add technical indicator: instrument risk, i.e. annual std
self.ts['vola'] = \
pf.VOLATILITY(self.ts, lookback=20, time_frame='yearly')
# Add technical indicator: X day sma
sma = SMA(self.ts, timeperiod=self.sma)
self.ts['sma'] = sma
# Add technical indicator: X day high, and X day low
period_high = pd.Series(self.ts.close).rolling(self.period).max()
period_low = pd.Series(self.ts.close).rolling(self.period).min()
self.ts['period_high'] = period_high
self.ts['period_low'] = period_low
self.ts, self.start = pf.finalize_timeseries(self.ts, self.start)
self.tlog = pf.TradeLog(self.symbol)
self.dbal = pf.DailyBal()
self._algo()
def run(self):
self.ts = pf.fetch_timeseries(self.symbol,
use_cache=self.options['use_cache'])
self.ts = pf.select_tradeperiod(self.ts, self.start, self.end,
self.options['use_adj'])
# Add calendar columns
self.ts = pf.calendar(self.ts)
# Add momentum indicator for 3...18 months
lookbacks = range(3, 18 + 1)
for lookback in lookbacks:
self.ts['mom' + str(lookback)] = pf.MOMENTUM(self.ts,
lookback=lookback,
time_frame='monthly',
price='close',
prevday=False)
self.ts, self.start = pf.finalize_timeseries(self.ts, self.start)
self.tlog = pf.TradeLog(self.symbol)
self.dbal = pf.DailyBal()
self._algo()
self._get_logs()
self._get_stats()
def run(self):
# Fetch and select timeseries.
self.ts = pf.fetch_timeseries(self.symbol,
use_cache=self.options['use_cache'])
self.ts = pf.select_tradeperiod(self.ts,
self.start,
self.end,
use_adj=self.options['use_adj'])
# Add technical indicator: 200 day sma regime filter.
self.ts['regime'] = pf.CROSSOVER(self.ts,
timeperiod_fast=1,
timeperiod_slow=200)
# Add technical indicators: X day high, and X day low.
self.ts['period_high'] = pd.Series(self.ts.close).rolling(
self.options['period']).max()
self.ts['period_low'] = pd.Series(self.ts.close).rolling(
self.options['period']).min()
# Finalize timeseries.
self.ts, self.start = pf.finalize_timeseries(self.ts, self.start)
# Create tlog and dbal objects.
self.tlog = pf.TradeLog(self.symbol)
self.dbal = pf.DailyBal()
# Run algo, get logs, and get stats.
self._algo()
self._get_logs()
self._get_stats()
def run(self):
self._ts = pf.fetch_timeseries(self._symbol)
self._ts = pf.select_tradeperiod(self._ts, self._start,
self._end, use_adj=True)
# Add technical indicator: 200 day sma
sma200 = SMA(self._ts, timeperiod=200)
self._ts['sma200'] = sma200
# Add technical indicator: X day sma
sma = SMA(self._ts, timeperiod=self._sma)
self._ts['sma'] = sma
# Add technical indicator: X day high, and X day low
period_high = pd.Series(self._ts.close).rolling(self._period).max()
period_low = pd.Series(self._ts.close).rolling(self._period).min()
self._ts['period_high'] = period_high
self._ts['period_low'] = period_low
self._ts, self._start = pf.finalize_timeseries(self._ts, self._start)
self._tlog = pf.TradeLog()
self._dbal = pf.DailyBal()
self._algo()
def run(self):
self._ts = pf.fetch_timeseries(self._symbol)
self._ts = pf.select_tradeperiod(self._ts, self._start, self._end)
self._tlog = pf.TradeLog()
self._dbal = pf.DailyBal()
self._algo()
def fetch_timeseries(self,
symbols,
start,
end,
fields=['open', 'high', 'low', 'close'],
use_cache=True):
"""
Read time series data for symbols.
Parameters
----------
symbols : list
The list of symbols to fetch timeseries.
start : datetime.datetime
The desired start date for the strategy.
end : datetime.datetime
The desired end date for the strategy.
fields : list, optional
The list of fields to use for each symbol (default is
['open', 'high', 'low', 'close']).
use_cache: bool, optional
True to use data cache. False to retrieve from the
internet (default is True).
Returns
-------
pd.DataFrame
The timeseries of the symbols.
"""
for i, symbol in enumerate(symbols):
if i == 0:
ts = pf.fetch_timeseries(symbol, use_cache=use_cache)
ts = pf.select_tradeperiod(ts, start, end, use_adj=True)
self._add_symbol_columns(ts, symbol, ts, fields)
ts.drop(columns=[
'open', 'high', 'low', 'close', 'volume', 'adj_close'
],
inplace=True)
else:
# Add another symbol.
_ts = pf.fetch_timeseries(symbol, use_cache=use_cache)
_ts = pf.select_tradeperiod(_ts, start, end, use_adj=True)
self._add_symbol_columns(ts, symbol, _ts, fields)
self.symbols = symbols
return ts
def run(self):
self._ts = pf.fetch_timeseries(self._symbol)
self._ts = pf.select_tradeperiod(self._ts, self._start,
self._end, True, False)
self._tlog = pf.TradeLog()
self._dbal = pf.DailyBal()
self._algo()
def test_fetch_with_adj_prices(self, mocker):
''' Check that the _adj_prices method gets called. '''
ts = pf.fetch_timeseries(self.symbol, dir_name=self.dir_name)
start = datetime.datetime(2000, 6, 30)
end = datetime.datetime(2000, 12, 29)
ts = pf.select_tradeperiod(ts, start, end, use_adj=True)
mocker.assert_called_once()
def run(self):
self._ts = pf.fetch_timeseries(self._symbol)
self._ts = pf.select_tradeperiod(self._ts, self._start,
self._end, self._use_adj)
# Add technical indicator: day sma
sma = SMA(self._ts, timeperiod=self._sma_period)
self._ts['sma'] = sma
self._tlog = pf.TradeLog()
self._dbal = pf.DailyBal()
# add S&P500 200 sma regime filter
ts = pf.fetch_timeseries('^GSPC')
ts = pf.select_tradeperiod(ts, self._start, self._end, False)
self._ts['regime'] = \
pf.CROSSOVER(ts, timeperiod_fast=1, timeperiod_slow=200)
self._algo()
def run(self):
self._ts = pf.fetch_timeseries(self._symbol)
self._ts = pf.select_tradeperiod(self._ts, self._start,
self._end, self._use_adj)
# Add technical indicator: day sma
sma = SMA(self._ts, timeperiod=self._sma_period)
self._ts['sma'] = sma
self._tlog = pf.TradeLog()
self._dbal = pf.DailyBal()
# add S&P500 200 sma
sp500 = pf.fetch_timeseries('^GSPC')
sp500 = pf.select_tradeperiod(sp500, self._start,
self._end, False)
self._ts['sp500_close'] = sp500['close']
sp500_sma = SMA(sp500, timeperiod=200)
self._ts['sp500_sma'] = sp500_sma
self._algo()
def run(self):
self.ts = pf.fetch_timeseries(self.symbol)
self.ts = pf.select_tradeperiod(self.ts,
self.start,
self.end,
use_adj=self.use_adj)
self.ts, _ = pf.finalize_timeseries(self.ts, self.start)
self.tlog = pf.TradeLog(self.symbol)
self.dbal = pf.DailyBal()
self._algo()
def run(self):
self._ts = pf.fetch_timeseries(self._symbol)
self._ts = pf.select_tradeperiod(self._ts, self._start,
self._end, use_adj=False)
# Add technical indicator: day sma
sma = SMA(self._ts, timeperiod=self._sma_period)
self._ts['sma'] = sma
self._tlog = pf.TradeLog()
self._dbal = pf.DailyBal()
self._algo()
def run(self):
self._ts = pf.fetch_timeseries(self._symbol)
self._ts = pf.select_tradeperiod(self._ts,
self._start,
self._end,
use_adj=self._use_adj,
pad=False)
self._ts, _ = pf.finalize_timeseries(self._ts, self._start)
self._tlog = pf.TradeLog()
self._dbal = pf.DailyBal()
self._algo()
def run(self):
self._ts = pf.fetch_timeseries(self._symbol)
self._ts = pf.select_tradeperiod(self._ts, self._start,
self._end, use_adj=False)
# Add technical indicator: day sma
sma = SMA(self._ts, timeperiod=self._sma_period)
self._ts['sma'] = sma
self._tlog = pf.TradeLog()
self._dbal = pf.DailyBal()
self._algo()
def run(self):
self.ts = pf.fetch_timeseries(self.symbol,
use_cache=self.options['use_cache'])
self.ts = pf.select_tradeperiod(self.ts, self.start, self.end,
self.options['use_adj'])
# Add technical indicator: day sma
self.ts['sma'] = SMA(self.ts, timeperiod=self.options['sma_period'])
# add S&P500 200 sma regime filter
ts = pf.fetch_timeseries('^GSPC')
ts = pf.select_tradeperiod(ts, self.start, self.end, use_adj=False)
self.ts['regime'] = \
pf.CROSSOVER(ts, timeperiod_fast=1, timeperiod_slow=200)
self.ts, self.start = pf.finalize_timeseries(self.ts, self.start)
self.tlog = pf.TradeLog(self.symbol)
self.dbal = pf.DailyBal()
self._algo()
self._get_logs()
self._get_stats()
def test_select_tradeperiod_without_pad(self):
""" Check the time period selection when pad=False. """
start = datetime.datetime(2000, 6, 30)
end = datetime.datetime(2000, 12, 29)
ts = pf.fetch_timeseries(self.symbol,
dir_name=self.dir_name,
from_year=self.from_year)
ts = pf.select_tradeperiod(ts, start, end, pad=False)
dates = sorted(ts.index.values.tolist())
ts_start_date = pd.Timestamp(dates[0]).to_pydatetime()
self.assertTrue(start == ts_start_date)
ts_end_date = pd.Timestamp(dates[-1]).to_pydatetime()
self.assertTrue(end == ts_end_date)
def run(self):
self._ts = pf.fetch_timeseries(self._symbol)
self._ts = pf.select_tradeperiod(self._ts,
self._start,
self._end,
use_adj=False)
# Add technical indicator: X day high
period_high = pd.rolling_max(self._ts.high, self._period)
self._ts['period_high'] = period_high
self._tlog = pf.TradeLog()
self._dbal = pf.DailyBal()
self._algo()
def run(self):
self.ts = pf.fetch_timeseries(self.symbol)
self.ts = pf.select_tradeperiod(self.ts, self.start,
self.end, self.use_adj)
# Add technical indicator: day sma regime filter
self.ts['regime'] = \
pf.CROSSOVER(self.ts, timeperiod_fast=1, timeperiod_slow=self.sma_period,
band=self.percent_band)
self.ts, self.start = pf.finalize_timeseries(self.ts, self.start)
self.tlog = pf.TradeLog(self.symbol)
self.dbal = pf.DailyBal()
self._algo()
def test_select_tradeperiod(self):
""" Check the correct period is selected. """
start = datetime.datetime(2000, 6, 30)
end = datetime.datetime(2000, 12, 29)
ts = pf.fetch_timeseries(self.symbol,
dir_name=self.dir_name,
from_year=self.from_year)
ts = pf.select_tradeperiod(ts, start, end)
dates = sorted(ts.index.values.tolist())
ts_start_date = pd.Timestamp(dates[0]).to_pydatetime()
start -= datetime.timedelta(365) # back dating by one year
self.assertTrue(start == ts_start_date)
ts_end_date = pd.Timestamp(dates[-1]).to_pydatetime()
self.assertTrue(end == ts_end_date)
def run(self):
self.ts = pf.fetch_timeseries(self.symbol)
self.ts = pf.select_tradeperiod(self.ts, self.start, self.end)
# add regime filter
self.ts['regime'] = \
pf.CROSSOVER(self.ts,
timeperiod_fast=self.timeperiod_fast,
timeperiod_slow=self.timeperiod_slow,
band=self.percent_band)
self.ts, self.start = pf.finalize_timeseries(self.ts, self.start)
self.tlog = pf.TradeLog(self.symbol)
self.dbal = pf.DailyBal()
self._algo()
def run(self):
self._ts = pf.fetch_timeseries(self._symbol)
self._ts = pf.select_tradeperiod(self._ts, self._start,
self._end, use_adj=False)
# Add technical indicator: 200 day sma
sma200 = SMA(self._ts, timeperiod=200)
self._ts['sma200'] = sma200
# Add technical indicator: X day high, and X day low
period_high = pd.Series(self._ts.high).rolling(self._period).max()
period_low = pd.Series(self._ts.high).rolling(self._period).min()
self._ts['period_high'] = period_high
self._ts['period_low'] = period_low
self._tlog = pf.TradeLog()
self._dbal = pf.DailyBal()
self._algo()
def run(self):
self.portfolio = pf.Portfolio()
self.ts = self.portfolio.fetch_timeseries(
self.symbols,
self.start,
self.end,
use_cache=self.options['use_cache'],
use_adj=self.options['use_adj'])
# Add S&P500 200 sma regime filter
ts = pf.fetch_timeseries('^GSPC')
ts = pf.select_tradeperiod(ts, self.start, self.end, use_adj=False)
self.ts['regime'] = \
pf.CROSSOVER(ts, timeperiod_fast=1, timeperiod_slow=200, band=3.5)
# Add calendar columns
self.ts = self.portfolio.calendar(self.ts)
# Add technical indicator Momenteum for all symbols in portfolio.
def _momentum(ts, ta_param, input_column):
return pf.MOMENTUM(ts,
lookback=ta_param,
time_frame='monthly',
price=input_column,
prevday=False)
lookbacks = range(3, 18 + 1)
for lookback in lookbacks:
self.ts = self.portfolio.add_technical_indicator(
self.ts,
ta_func=_momentum,
ta_param=lookback,
output_column_suffix='mom' + str(lookback),
input_column_suffix='close')
self.ts, self.start = self.portfolio.finalize_timeseries(
self.ts, self.start)
self.portfolio.init_trade_logs(self.ts)
self._algo()
self._get_logs()
self._get_stats()
def run(self):
self.ts = pf.fetch_timeseries(self.symbol)
self.ts = pf.select_tradeperiod(self.ts, self.start, self.end)
# add regime filter
self.ts['regime'] = \
pf.CROSSOVER(self.ts,
timeperiod_fast=self.timeperiod_fast,
timeperiod_slow=self.timeperiod_slow,
band=self.percent_band)
# Add technical indicator: volatility
self.ts['vola'] = pf.VOLATILITY(self.ts)
self.ts, self.start = pf.finalize_timeseries(self.ts, self.start)
self.tlog = pf.TradeLog(self.symbol)
self.dbal = pf.DailyBal()
self._algo()
def run(self):
self._ts = pf.fetch_timeseries(self._symbol)
self._ts = pf.select_tradeperiod(self._ts,
self._start,
self._end,
use_adj=False)
# Add technical indicator: 200 day sma
sma200 = SMA(self._ts, timeperiod=200)
self._ts['sma200'] = sma200
# Add technical indicator: X day high, and X day low
period_high = pd.rolling_max(self._ts.high, self._period)
period_low = pd.rolling_min(self._ts.low, self._period)
self._ts['period_high'] = period_high
self._ts['period_low'] = period_low
self._tlog = pf.TradeLog()
self._dbal = pf.DailyBal()
self._algo()
def run(self):
# Fetch and selct timeseries
self.ts = pf.fetch_timeseries(self.symbol,
use_cache=self.options['use_cache'])
self.ts = pf.select_tradeperiod(self.ts, self.start, self.end,
self.options['use_adj'])
# Add technical indicator: day sma regime filter.
self.ts['regime'] = \
pf.CROSSOVER(self.ts, timeperiod_fast=50, timeperiod_slow=200)
# Finalize timeseries
self.ts, self.start = pf.finalize_timeseries(self.ts, self.start)
self.tlog = pf.TradeLog(self.symbol)
self.dbal = pf.DailyBal()
self._algo()
self._get_logs()
self._get_stats()
def run(self):
"""
Run the backtest.
Don't adjust the start day because that may cause it not
to match the start date of the strategy you are benchmarking
against. Instead, you should pass in the start date calculated
for the strategy.
"""
self.ts = pf.fetch_timeseries(self.symbol)
self.ts = pf.select_tradeperiod(self.ts,
self.start,
self.end,
use_adj=self.use_adj)
self.ts, _ = pf.finalize_timeseries(self.ts, self.start)
self.tlog = pf.TradeLog(self.symbol)
self.dbal = pf.DailyBal()
self._algo()
self._get_logs()
self._get_stats()
def run(self):
self.ts = pf.fetch_timeseries(self.symbol)
self.ts = pf.select_tradeperiod(self.ts,
self.start,
self.end,
use_adj=False)
# Add technical indicator: 200 sma regime filter
self.ts['regime'] = \
pf.CROSSOVER(self.ts, timeperiod_fast=1, timeperiod_slow=200)
# Add technical indicator: X day high, and X day low
period_high = pd.Series(self.ts.close).rolling(self.period).max()
period_low = pd.Series(self.ts.close).rolling(self.period).min()
self.ts['period_high'] = period_high
self.ts['period_low'] = period_low
self.ts, self.start = pf.finalize_timeseries(self.ts, self.start)
self.tlog = pf.TradeLog(self.symbol)
self.dbal = pf.DailyBal()
self._algo()
product = "{}-{}".format("BTC", "USD")
data0 = client.get_product_historic_rates(product,
start=start.isoformat(),
granularity=60 * 60 * 24)
ts = pd.DataFrame(data=data0,
columns=['date', 'low', 'high', 'open', 'close', 'volume'])
ts['date'] = pd.to_datetime(ts['date'], unit='s')
ts = ts.sort_values(by=['date'])
ts = ts.set_index('date')
ts.index = pd.DatetimeIndex(ts.index)
capital = 10000
start = datetime.datetime(2017, 5, 13)
end = datetime.datetime(2017, 11, 11)
ts = pf.select_tradeperiod(ts, start, end, use_adj=False)
sma1 = SMA(ts, timeperiod=2)
ts['sma1'] = sma1
sma5 = SMA(ts, timeperiod=5)
ts['sma5'] = sma5
fig = plt.figure()
axes = fig.add_subplot(111, ylabel='Price in $')
ts['close'].plot(ax=axes, label='close', color='k')
ts['sma1'].plot(ax=axes, label='sma1', color='r')
ts['sma5'].plot(ax=axes, label='sma5', color='b')
plt.legend(loc='best')
