def test_quickstart():
prophet = Prophet()
prophet.set_universe(['AAPL', 'XOM'])
prophet.register_data_generators(YahooCloseData(cache_path=CACHE_PATH))
prophet.set_order_generator(OrderGenerator())
backtest = prophet.run_backtest(start=datetime(2010, 1, 1),
end=datetime(2014, 11, 21))
prophet.register_portfolio_analyzers(default_analyzers)
analysis = prophet.analyze_backtest(backtest)
assert round(analysis['sharpe'], 10) == 1.1083876014
assert round(analysis['average_return'], 10) == 0.0010655311
assert round(analysis['cumulative_return'], 10) == 2.2140809296
assert round(analysis['volatility'], 10) == 0.0152607097
today = datetime(2014, 11, 10)
expected_orders = Orders(Order(symbol='AAPL', shares=100))
assert prophet.generate_orders(today) == expected_orders
def test_quickstart():
prophet = Prophet()
prophet.set_universe(['AAPL', 'XOM'])
prophet.register_data_generators(YahooCloseData(cache_path=CACHE_PATH))
prophet.set_order_generator(OrderGenerator())
backtest = prophet.run_backtest(start=datetime(2010, 1, 1),
end=datetime(2014, 11, 21))
prophet.register_portfolio_analyzers(default_analyzers)
analysis = prophet.analyze_backtest(backtest)
assert round(analysis['sharpe'], 10) == 1.0970973495
assert round(analysis['average_return'], 10) == 0.0010547843
assert round(analysis['cumulative_return'], 10) == 2.1688171559
assert round(analysis['volatility'], 10) == 0.0152622562
today = datetime(2014, 11, 10)
expected_orders = Orders(Order(symbol='AAPL', shares=100))
assert prophet.generate_orders(today) == expected_orders
def test_quickstart():
prophet = Prophet()
prophet.set_universe(['AAPL', 'XOM'])
price_generator = YahooData('Adj Close', 'prices', cache_path=CACHE_PATH)
prophet.register_data_generators(price_generator)
prophet.set_order_generator(OrderGenerator())
backtest = prophet.run_backtest(start=datetime(2010, 1, 1),
end=datetime(2014, 11, 21))
prophet.register_portfolio_analyzers(default_analyzers)
analysis = prophet.analyze_backtest(backtest)
assert round(analysis['sharpe'], 10) == 1.0967430073
assert round(analysis['average_return'], 10) == 0.0010501702
assert round(analysis['cumulative_return'], 10) == 2.1604345132
assert round(analysis['volatility'], 10) == 0.0152004028
today = datetime(2014, 11, 10)
expected_orders = Orders(Order(symbol='AAPL', shares=100))
assert prophet.generate_orders(today) == expected_orders
def test_quickstart():
prophet = Prophet()
prophet.set_universe(['AAPL', 'XOM'])
price_generator = YahooData('Adj Close', 'prices', cache_path=CACHE_PATH)
prophet.register_data_generators(price_generator)
prophet.set_order_generator(OrderGenerator())
backtest = prophet.run_backtest(start=datetime(2010, 1, 1),
end=datetime(2014, 11, 21))
prophet.register_portfolio_analyzers(default_analyzers)
analysis = prophet.analyze_backtest(backtest)
assert round(analysis['sharpe'], 10) == 1.1083876014
assert round(analysis['average_return'], 10) == 0.0010655311
assert round(analysis['cumulative_return'], 10) == 2.2140809296
assert round(analysis['volatility'], 10) == 0.0152607097
today = datetime(2014, 11, 10)
expected_orders = Orders(Order(symbol='AAPL', shares=100))
assert prophet.generate_orders(today) == expected_orders
self._data = dict()
def run(self, prices, timestamp, cash, **kwargs):
symbol = "AAPL"
orders = Orders()
if (prices.loc[timestamp, symbol] * 100) < cash:
orders.add_order(symbol, 100)
return orders
prophet = Prophet()
prophet.set_universe(['AAPL', 'XOM'])
prophet.register_data_generators(YahooCloseData())
prophet.set_order_generator(OrderGenerator())
backtest = prophet.run_backtest(start=datetime(2010, 1, 1))
prophet.register_portfolio_analyzers(default_analyzers)
analysis = prophet.analyze_backtest(backtest)
print analysis
# +--------------------------------------+
# | sharpe | 1.09754359611 |
# | average_return | 0.00105478425027 |
# | cumulative_return | 2.168833 |
# | volatility | 0.0152560508189 |
# +--------------------------------------+
# Generate orders for you to execute today
# Using Nov, 10 2014 as the date because there might be no data for today's
# date (Market might not be open) and we don't want examples to fail.
class OrderGenerator(object):
def run(self, prices, timestamp, cash, **kwargs):
# Lets buy lots of Apple!
symbol = "AAPL"
orders = Orders()
if (prices.loc[timestamp, symbol] * 100) < cash:
orders.add_order(symbol, 100)
return orders
prophet = Prophet()
prophet.set_universe(["AAPL", "XOM"])
prophet.register_data_generators(YahooCloseData())
prophet.set_order_generator(OrderGenerator())
prophet.register_portfolio_analyzers(default_analyzers)
backtest = prophet.run_backtest(start=dt.datetime(2010, 1, 1))
analysis = prophet.analyze_backtest(backtest)
print(analysis)
# +--------------------------------------+
# | sharpe | 1.09754359611 |
# | average_return | 0.00105478425027 |
# | cumulative_return | 2.168833 |
# | volatility | 0.0152560508189 |
# +--------------------------------------+
# Generate orders for you to execute today
# Using Nov, 10 2014 as the date because there might be no data for today's
# date (Market might not be open) and we don't want examples to fail.