class AccountMetrics:
def __init__(self,con):
self.account_manager=AccountManager(con)
self.security_data=SecurityData(con)
def compare_vs_sharpe(self, acct1, acct2, acct2_vals): #acct1=S&P500 (unless comparing against S&P 500, where acct1=4% fixed rate); acct2=strategy
acct1_returns = self.all_returns(acct1)
acct2_returns = self.all_returns(acct2)
acct1_total = sum(acct1_returns)
acct2_total = sum(acct2_returns)
stdev_val = stdev(acct2_vals)
sharpe = (acct2_total - acct1_total) / stdev_val
return sharpe
def month_returns(self,account_id,as_of_date):
my_stocks=self.account_manager.get_holdings(account_id,as_of_date)
stock_ids=[ h[0] for h in my_stocks ]
stock_returns=self.security_data.get_returns(stock_ids,as_of_date)
my_value=0
my_base=0
for i in range(len(my_stocks)):
if stock_returns[i] is not None:
my_value=my_value+my_stocks[i][1]*(1+stock_returns[i])
else:
my_value=my_value+my_stocks[i][1]
my_base=my_base+my_stocks[i][1]
return (my_value - my_base)
def all_returns(self,account_id):
dates=self.security_data.get_dates()
annual=[]
for d in dates:
month=self.month_returns(account_id,d)
annual.append(month)
return annual
def show_stats(self,vals):
mean_val=mean(vals);
variance_val=variance(vals)
stdev_val=stdev(vals)
mdd_val=mdd(vals)
print("Average Return: %s" %mean_val)
#print("The variance: %s" %variance_val)
#print("The stdev: %s" %stdev_val)
print("Maximum drawdown: %s" %mdd_val)
from security_data import SecurityData
from account_manager import AccountManager
from account_metrics import AccountMetrics
'''
This file sets up a new account for the following trading strategy:
Invest a fixed amount (e.g. 100) of fund into each security where eq>75, arm>90, and rv>50. Only hold those stocks.
At the end of each month, replace the stocks in the account by investing a fixed amount (e.g., 100) of fund into new stocks that have the above signals.
'''
if __name__=='__main__':
con = sqlite3.connect('qse_test.db')
security_data = SecurityData(con)
account_manager = AccountManager(con)
account_metrics = AccountMetrics(con)
dates = security_data.get_dates()
new_id=account_manager.new_account()
#print new_id
rows=[]
def signal_selection(eq,arm,rv):
if eq>75 and arm>90 and rv>50:
return True
else:
return False
for d in dates:
signals = security_data.get_security_signals(d,
signal_selection)
security_ids = [s[0] for s in signals]
for id in security_ids:
