Implement first version of manual strategy

marketsim/marketsim.py

@@ -75,16 +75,28 @@ def get_portfolio_value(holding, prices):
 def handle_order(date, order, holding, prices, commission, impact):
     """Process the order."""
     symbol, order, shares = order
-    assert(shares > 0) # Can only buy or sell positive amount of shares.
+    if shares == 0 and order == "":
+        return  # empty order
+    if pd.isnull(shares):
+        return  # shares is nan
+
+    # Allow indicating buying and selling via shares. If shares is positive we
+    # buy and if it is negative we sell.
+    if shares > 0 and order == "":
+        order = "BUY"
+    elif shares < 0 and order == "":
+        order = "SELL"
+        shares = abs(shares)
+
     adj_closing_price = prices[symbol]
     cost = shares * adj_closing_price
     # Charge commission and deduct impact penalty
     holding['cash'] -= (commission + impact * adj_closing_price * shares)
-    if order == "BUY":
+    if order.upper() == "BUY":
         # print(f"Buy  {shares:6} of {symbol:4} on {date}")
         holding['cash'] -= cost
         holding[symbol] += shares
-    elif order == "SELL":
+    elif order.upper() == "SELL":
         # print(f"Sell {shares:6} of {symbol:4} on {date}")
         holding['cash'] += cost
         holding[symbol] -= shares

strategy_evaluation/BenchmarkStrategy.py

@@ -25,10 +25,8 @@ class BenchmarkStrategy:
         orders["Symbol"] = symbol
         orders["Order"] = ""
         orders["Shares"] = 0
-
         orders.iloc[0] = [symbol, "BUY", 1000]
-        orders.iloc[-1] = [symbol, "SELL", 1000]
-        orders = orders[orders["Shares"] != 0]
+        orders.iloc[-1] = [symbol, "SELL", -1000]
 
         if self.verbose:
             print(type(orders))  # it better be a DataFrame!

strategy_evaluation/ManualStrategy.py

@@ -1,6 +1,7 @@
 import datetime as dt
 import pandas as pd
-import util as ut
+import util
+import indicators
 
 
 class ManualStrategy:
@@ -20,7 +21,7 @@ class ManualStrategy:
         # example usage of the old backward compatible util function
         syms = [symbol]
         dates = pd.date_range(sd, ed)
-        prices_all = ut.get_data(syms, dates)  # automatically adds SPY
+        prices_all = util.get_data(syms, dates)  # automatically adds SPY
         prices = prices_all[syms]  # only portfolio symbols
         # prices_SPY = prices_all['SPY']  # only SPY, for comparison later
         if self.verbose:
@@ -28,31 +29,60 @@ class ManualStrategy:
 
         # example use with new colname
         # automatically adds SPY
-        volume_all = ut.get_data(syms, dates, colname="Volume")
+        volume_all = util.get_data(syms, dates, colname="Volume")
         volume = volume_all[syms]  # only portfolio symbols
         # volume_SPY = volume_all['SPY']  # only SPY, for comparison later
         if self.verbose:
             print(volume)
 
+    def macd_strat(self, macd, orders):
+
+        def strat(ser):
+            m = macd.loc[ser.index]
+            prev_macd, prev_signal = m.iloc[0]
+            cur_macd, cur_signal = m.iloc[1]
+            shares = 0
+            if cur_macd < -1 and prev_macd < prev_signal and cur_macd > cur_signal:
+                if self.holding == 0:
+                    shares = 1000
+                elif self.holding == -1000:
+                    shares = 2000
+            elif cur_macd > 1 and prev_macd > prev_signal and cur_macd < cur_signal:
+                if self.holding == 0:
+                    shares = -1000
+                elif self.holding == 1000:
+                    shares = -2000
+            self.holding += shares
+            return shares
+
+        orders['Shares'] = orders['Shares'].rolling(2).apply(strat)
+
+
     # this method should use the existing policy and test it against new data
     def testPolicy(self, symbol="IBM",
                    sd=dt.datetime(2009, 1, 1),
                    ed=dt.datetime(2010, 1, 1),
                    sv=10000):
-        dates = pd.date_range(sd, ed)
-        prices = ut.get_data([symbol], dates)  # automatically adds SPY
-        orders = pd.DataFrame(index=prices.index)
+
+        self.holding = 0
+        df = util.get_data([symbol], pd.date_range(sd, ed))
+        df.drop(columns=["SPY"], inplace=True)
+        macd = indicators.macd(df, symbol)
+
+        orders = pd.DataFrame(index=df.index)
         orders["Symbol"] = symbol
         orders["Order"] = ""
         orders["Shares"] = 0
 
+        self.macd_strat(macd, orders)
+
         # here we build a fake set of trades
-        orders.iloc[0] = [symbol, "BUY", 1000]
-        orders.iloc[40] = [symbol, "SELL", 1000]
-        orders.iloc[41] = [symbol, "BUY", 1000]
-        orders.iloc[60] = [symbol, "SELL", 2000]
-        orders.iloc[61] = [symbol, "BUY", 2000]
-        orders.iloc[-1] = [symbol, "SELL", 1000]
-        orders = orders[orders["Shares"] != 0]
+        # orders.iloc[0] = [symbol, "BUY", 1000]
+        # orders.iloc[40] = [symbol, "SELL", 1000]
+        # orders.iloc[41] = [symbol, "BUY", 1000]
+        # orders.iloc[60] = [symbol, "SELL", 2000]
+        # orders.iloc[61] = [symbol, "BUY", 2000]
+        # orders.iloc[-1] = [symbol, "SELL", 1000]
+        # orders = orders[orders["Shares"] != 0]
         return orders
 

strategy_evaluation/experiment1.py

@@ -9,22 +9,6 @@ from BenchmarkStrategy import BenchmarkStrategy
 from ManualStrategy import ManualStrategy
 
 
-def macd_strat(macd):
-    def strat(x):
-        print(x)
-
-    macd['macd_trigger'] = macd.rolling(2).apply(strat)
-
-    # for i, row in macd.iterrows():
-        # if i == 0:
-            # continue
-        # print(row)
-        # prev_macd, prev_signal, _ = row
-        # cur_macd, cur_signal, _ = row
-        # if cur_macd < -.5 and (prev_macd < prev_signal) \
-                          # and (cur_macd > cur_signal):
-            # macd.iloc[i]['macd_buy_sell'] = 1
-
 def experiment1():
     symbol = "JPM"
     start_value = 10000
@@ -32,46 +16,33 @@ def experiment1():
     ed = dt.datetime(2009, 12, 31)
     df = util.get_data([symbol], pd.date_range(sd, ed))
     df.drop(columns=["SPY"], inplace=True)
-    # df = pd.DataFrame(index=df.index)
 
     bs = BenchmarkStrategy()
     orders = bs.testPolicy(symbol, sd, ed, start_value)
     df["Benchmark"] = marketsim.compute_portvals(orders, start_value)
+    df["Orders Benchmark"] = orders["Shares"]
 
     ms = ManualStrategy()
     orders = ms.testPolicy(symbol, sd, ed, start_value)
     df["Manual"] = marketsim.compute_portvals(orders, start_value)
+    df["Orders Manual"] = orders["Shares"]
 
     # indicators.price_sma(df, symbol, 21)
     # sma = indicators.sma(df, symbol, [9, 21])
     # rsi = indicators.rsi(df, symbol)
     macd = indicators.macd(df, symbol).copy()
-    # macd_strat(macd)
 
-    fig, ax = plt.subplots(2, sharex=True)
+    fig, ax = plt.subplots(4, sharex=True)
     df[symbol].plot(ax=ax[0])
-    # sma.plot(ax=ax[0])
-    macd.plot(ax=ax[1])
-    # macd.iloc[:,0].plot(ax=ax[1])
-    # rsi.plot(ax=ax[2])
-    # df[["Benchmark", "Manual"]].plot(ax=ax[3])
+    macd.plot(ax=ax[3])
+    df[["Benchmark", "Manual"]].plot(ax=ax[1])
+    df[["Orders Benchmark", "Orders Manual"]].plot(ax=ax[2])
 
-    # XXX: Plot where we buy and sell.
-
-    for a in ax: a.grid()
+    for a in ax:
+        a.grid()
     multi = MultiCursor(fig.canvas, ax, color='r', lw=0.5)
     plt.show()
-
-    # df.plot(title="results", subplots=True)
-    #sd = dt.datetime(2008, 1, 1)
-    #ed = dt.datetime(2009, 12, 31)
-    #df = get_data([symbol], pd.date_range(sd, ed))
-    #df.drop(columns=["SPY"], inplace=True)
-    # df_orig = df.copy()
-    #df = indicators.normalize(df)
-    #indicators.price_sma(df, symbol, 21)
-    #df.plot(title="21 SMA and EMA")
-    #plt.show()
+    # plt.savefig('figure_1.png')
 
     # You may use data from other symbols (such as SPY) to inform both your
     # Manual Learner and Strategy Learner. The in-sample/development period is
@@ -79,63 +50,5 @@ def experiment1():
     # January 1, 2010 to December 31 2011.
 
 
-class BlittedCursor:
-    """
-    A cross hair cursor using blitting for faster redraw.
-    """
-    def __init__(self, ax):
-        self.ax = ax
-        self.background = None
-        self.horizontal_line = ax.axhline(color='k', lw=0.8, ls='--')
-        self.vertical_line = ax.axvline(color='k', lw=0.8, ls='--')
-        # text location in axes coordinates
-        self.text = ax.text(0.72, 0.9, '', transform=ax.transAxes)
-        self._creating_background = False
-        ax.figure.canvas.mpl_connect('draw_event', self.on_draw)
-
-    def on_draw(self, event):
-        self.create_new_background()
-
-    def set_cross_hair_visible(self, visible):
-        need_redraw = self.horizontal_line.get_visible() != visible
-        self.horizontal_line.set_visible(visible)
-        self.vertical_line.set_visible(visible)
-        self.text.set_visible(visible)
-        return need_redraw
-
-    def create_new_background(self):
-        if self._creating_background:
-            # discard calls triggered from within this function
-            return
-        self._creating_background = True
-        self.set_cross_hair_visible(False)
-        self.ax.figure.canvas.draw()
-        self.background = self.ax.figure.canvas.copy_from_bbox(self.ax.bbox)
-        self.set_cross_hair_visible(True)
-        self._creating_background = False
-
-    def on_mouse_move(self, event):
-        if self.background is None:
-            self.create_new_background()
-        if not event.inaxes:
-            need_redraw = self.set_cross_hair_visible(False)
-            if need_redraw:
-                self.ax.figure.canvas.restore_region(self.background)
-                self.ax.figure.canvas.blit(self.ax.bbox)
-        else:
-            self.set_cross_hair_visible(True)
-            # update the line positions
-            x, y = event.xdata, event.ydata
-            self.horizontal_line.set_ydata(y)
-            self.vertical_line.set_xdata(x)
-            self.text.set_text('x=%1.2f, y=%1.2f' % (x, y))
-
-            self.ax.figure.canvas.restore_region(self.background)
-            self.ax.draw_artist(self.horizontal_line)
-            self.ax.draw_artist(self.vertical_line)
-            self.ax.draw_artist(self.text)
-            self.ax.figure.canvas.blit(self.ax.bbox)
-
-
 if __name__ == "__main__":
     experiment1()

strategy_evaluation/strategy_evaluation.md

@@ -0,0 +1,3 @@
+# Report
+
+![First strategy based on MACD. Better than just holding](figure_1.png)