def new_buy_and_hold_port(self, qty=1., open_px='close', open_dt=None, close_px='close', close_dt=None,
ret_calc=None):
"""
:param qty: float
:param open_px: one of {string, float}, opening trade price. If string define open, high, low, close as source.
:param open_dt: opening trade date
:param close_px: one of {string, float}, closing trade price. If string define open, high, low, close
:param close_dt: closing trade date
:param ret_calc:
:return:
"""
from tia.analysis.model.trd import TradeBlotter
from tia.analysis.model.port import SingleAssetPortfolio
getpx = lambda how, dt: how if not isinstance(how, str) else self.pxs.frame[how].asof(dt)
open_dt = open_dt or self.pxs.frame.index[0]
open_px = getpx(open_px, open_dt)
close_dt = close_dt or self.pxs.frame.index[-1]
close_px = getpx(close_px, close_dt)
pricer = self.truncate(open_dt, close_dt)
blotter = TradeBlotter()
blotter.ts = open_dt
blotter.open(qty, open_px)
blotter.ts = close_dt
blotter.close(close_px)
trds = blotter.trades
return SingleAssetPortfolio(pricer, trds, ret_calc=ret_calc)
def buy_and_hold(self, qty=1., start_dt=None, end_dt=None, start_px=None, end_px=None):
"""Construct a portfolio which opens a position with size qty at start (or first data in pricer) and
continues to the specified end date. It uses the end of day market prices defined by the pricer
(or prices supplied)
:param qty:
:param start: datetime
:param end: datetime
:param which: which price series to use for inital trade px
:param ret_cacls: portfolio return calculator
:return: SingleAssetPortfolio
"""
from tia.analysis.model.trd import TradeBlotter
eod = self.pricer.get_eod_frame().close
start_dt = start_dt and pd.to_datetime(start_dt) or eod.index[0]
start_px = start_px or eod.asof(start_dt)
end_dt = end_dt and pd.to_datetime(end_dt) or eod.index[-1]
end_px = end_px or eod.asof(end_dt)
pricer = self.pricer.trunace(start_dt, end_dt)
blotter = TradeBlotter()
blotter.ts = start_dt
blotter.open(qty, start_px)
blotter.ts = end_dt
blotter.close(end_px)
trds = blotter.trades
return SingleAssetPortfolio(pricer, trds, ret_calc=self.ret_calc)
def open_to_close(self, open_pxs, close_pxs):
blotter = TradeBlotter()
signal = self.signal.dropna()
diff = signal.diff()
diff.iloc[0] = 0
changes = signal[diff != 0]
lsig = 0
nopen = len(open_pxs)
qtyfct = self._qty_fct(open_pxs.index)
for ts, sig in changes.items():
blotter.ts = ts
if sig != lsig:
if lsig != 0:
# close open trd with today's closing price
px = close_pxs.get(ts, None)
if px is None:
raise Exception(
'insufficient close price data: no data found at %s'
% ts)
blotter.close(px)
if sig != 0:
idx = open_pxs.index.get_loc(ts)
if (idx + 1) != nopen:
ts_plus1 = open_pxs.index[idx + 1]
px = open_pxs.iloc[idx + 1]
size = abs(qtyfct(ts))
qty = sig > 0 and size or -size
blotter.ts = ts_plus1
blotter.open(qty, px)
else:
pass
lsig = sig
return blotter.trades
def new_buy_and_hold_port(self, qty=1., open_px='close', open_dt=None, close_px='close', close_dt=None,
ret_calc=None):
"""
:param qty: float
:param open_px: one of {string, float}, opening trade price. If string define open, high, low, close as source.
:param open_dt: opening trade date
:param close_px: one of {string, float}, closing trade price. If string define open, high, low, close
:param close_dt: closing trade date
:param ret_calc:
:return:
"""
from tia.analysis.model.trd import TradeBlotter
from tia.analysis.model.port import SingleAssetPortfolio
getpx = lambda how, dt: how if not isinstance(how, basestring) else self.pxs.frame[how].asof(dt)
open_dt = open_dt or self.pxs.frame.index[0]
open_px = getpx(open_px, open_dt)
close_dt = close_dt or self.pxs.frame.index[-1]
close_px = getpx(close_px, close_dt)
pricer = self.truncate(open_dt, close_dt)
blotter = TradeBlotter()
blotter.ts = open_dt
blotter.open(qty, open_px)
blotter.ts = close_dt
blotter.close(close_px)
trds = blotter.trades
return SingleAssetPortfolio(pricer, trds, ret_calc=ret_calc)
def close_to_close(self, pxs):
"""
:param pxs:
:return:
"""
if not isinstance(pxs, pd.Series):
raise ValueError('pxs expected to be Series')
blotter = TradeBlotter()
signal = self.signal.dropna()
diff = signal.diff()
diff.iloc[0] = 0
changes = signal[diff != 0]
lsig = 0
qtyfct = self._qty_fct(pxs.index)
for ts, sig in changes.items():
blotter.ts = ts
if sig != lsig:
px = pxs.get(ts, None)
if px is None:
raise Exception(
'insufficient price data: no data found at %s' % ts)
if lsig != 0: # close open trd
blotter.close(px=px)
if sig != 0:
size = abs(qtyfct(ts))
qty = sig > 0 and size or -size
blotter.open(qty, px)
lsig = sig
return blotter.trades
def buy_and_hold(self, qty=1., start_dt=None, end_dt=None, start_px=None, end_px=None):
"""Construct a portfolio which opens a position with size qty at start (or first data in pricer) and
continues to the specified end date. It uses the end of day market prices defined by the pricer
(or prices supplied)
:param qty:
:param start: datetime
:param end: datetime
:param which: which price series to use for inital trade px
:param ret_cacls: portfolio return calculator
:return: SingleAssetPortfolio
"""
from tia.analysis.model.trd import TradeBlotter
eod = self.pricer.get_eod_frame().close
start_dt = start_dt and pd.to_datetime(start_dt) or eod.index[0]
start_px = start_px or eod.asof(start_dt)
end_dt = end_dt and pd.to_datetime(end_dt) or eod.index[-1]
end_px = end_px or eod.asof(end_dt)
pricer = self.pricer.trunace(start_dt, end_dt)
blotter = TradeBlotter()
blotter.ts = start_dt
blotter.open(qty, start_px)
blotter.ts = end_dt
blotter.close(end_px)
trds = blotter.trades
return SingleAssetPortfolio(pricer, trds, ret_calc=self.ret_calc)
def open_to_close(self, open_pxs, close_pxs):
blotter = TradeBlotter()
signal = self.signal.dropna()
diff = signal.diff()
diff.iloc[0] = 0
changes = signal[diff != 0]
lsig = 0
nopen = len(open_pxs)
qtyfct = self._qty_fct(open_pxs.index)
for ts, sig in changes.iteritems():
blotter.ts = ts
if sig != lsig:
if lsig != 0:
# close open trd with today's closing price
px = close_pxs.get(ts, None)
if px is None:
raise Exception('insufficient close price data: no data found at %s' % ts)
blotter.close(px)
if sig != 0:
idx = open_pxs.index.get_loc(ts)
if (idx + 1) != nopen:
ts_plus1 = open_pxs.index[idx + 1]
px = open_pxs.iloc[idx + 1]
size = abs(qtyfct(ts))
qty = sig > 0 and size or -size
blotter.ts = ts_plus1
blotter.open(qty, px)
else:
pass
lsig = sig
return blotter.trades
def buy_and_hold(ins, qty=1., start=None, end=None, which='close', rets_calc=None):
"""Construct a portfolio which opens a position with size qty at start (or first instrument price date) and
continues to the specified end date.
:param ins: Instrument
:param qty:
:param start: datetime
:param end: datetime
:param which: which price series to use for inital trade px
:param ret_cacls: portfolio return calculator
:return: SingleAssetPortfolio
"""
from tia.analysis.model.trd import TradeBlotter
start = start and pd.to_datetime(start) or ins.pxs.frame.index[0]
end = end and pd.to_datetime(end) or ins.pxs.frame.index[-1]
if start != ins.pxs.frame.index[0] or end != ins.pxs.frame.index[-1]:
ins = ins.truncate(start, end)
start_px = ins.pxs.frame[which].iloc[0]
end_px = ins.pxs.frame.close.iloc[-1]
blotter = TradeBlotter()
blotter.ts = ins.pxs.frame.index[0]
blotter.open(qty, start_px)
blotter.ts = ins.pxs.frame.index[-1]
blotter.close(end_px)
trds = blotter.trades
return SingleAssetPortfolio(ins, trds, rets_calc=rets_calc)
def close_to_close(self, pxs):
"""
:param pxs:
:return:
"""
if not isinstance(pxs, pd.Series):
raise ValueError('pxs expected to be Series')
blotter = TradeBlotter()
signal = self.signal.dropna()
diff = signal.diff()
diff.iloc[0] = 0
changes = signal[diff != 0]
lsig = 0
qtyfct = self._qty_fct(pxs.index)
for ts, sig in changes.iteritems():
blotter.ts = ts
if sig != lsig:
px = pxs.get(ts, None)
if px is None:
raise Exception('insufficient price data: no data found at %s' % ts)
if lsig != 0: # close open trd
blotter.close(px=px)
if sig != 0:
size = abs(qtyfct(ts))
qty = sig > 0 and size or -size
blotter.open(qty, px)
lsig = sig
return blotter.trades
