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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) == 1.0970973495
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)
from prophet.analyze import default_analyzers
from prophet.orders import Orders
from prophet.charting import visualize_backtest
class OrderGenerator(object):
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'])
price_generator = YahooData('Adj Close', 'prices')
prophet.register_data_generators(price_generator)
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 |
from prophet.analyze import default_analyzers
from bollinger import BollingerData
from eventstudy import BollingerEventStudy
from eventstudy import OrderGenerator
# Based on Homework #7 for Computational Investing
# http://wiki.quantsoftware.org/index.php?title=CompInvesti_Homework_7
# Here we use 2 symbols and a benchmark to reduce data pulled
# but you can use the full sp5002012.txt file from QSTK
# You will have to adjust the portfolio analyzers
# The homework solution's analyzers start the analysis
# when the first trade is conducted instead of the entire
# duration of the backtest.
prophet = Prophet()
symbols = ["AAPL", "XOM", "SPX"]
prophet.set_universe(symbols)
prophet.register_data_generators(YahooCloseData(),
BollingerData(),
BollingerEventStudy())
prophet.set_order_generator(OrderGenerator())
backtest = prophet.run_backtest(start=dt.datetime(2008, 1, 1),
end=dt.datetime(2009, 12, 31), lookback=20)
prophet.register_portfolio_analyzers(default_analyzers)
analysis = prophet.analyze_backtest(backtest)
print(analysis)
# +----------------------------------------+
# | sharpe | -0.851247401074 |
# | average_return | -2.04368321273e-07 |