Some updates

src/naiback/analyzers/statsanalyzer.py

@@ -16,6 +16,25 @@ def render_ratio(a, b):
     else:
         return 0
 
+def calculate_kelly(pos):
+    winning = list(filter(lambda x: x.pnl() >= 0, pos))
+    losing = list(filter(lambda x: x.pnl() < 0, pos))
+
+    won = len(winning)
+    lost = len(losing)
+
+    if won == 0:
+        return 0
+    elif lost == 0:
+        return 1
+
+    avg_winning = sum(map(lambda x: x.pnl(), winning)) / won
+    avg_losing = sum(map(lambda x: x.pnl(), losing)) / lost
+
+    p = float(won) / (won + lost)
+
+    return p + (1 - p)/(avg_winning / avg_losing)
+
 class StatsAnalyzer(Analyzer):
 
     def __init__(self, strategy):
@@ -57,6 +76,10 @@ class StatsAnalyzer(Analyzer):
         result['long']['net_profit'] = sum([pos.pnl() for pos in longs])
         result['short']['net_profit'] = sum([pos.pnl() for pos in shorts])
 
+        result['all']['total_commission'] = sum([pos.total_commission() for pos in positions])
+        result['long']['total_commission'] = sum([pos.total_commission() for pos in longs])
+        result['short']['total_commission'] = sum([pos.total_commission() for pos in shorts])
+
         result['all']['bars_in_trade'] = sum([pos.bars_in_trade() for pos in positions])
         result['long']['bars_in_trade'] = sum([pos.bars_in_trade() for pos in longs])
         result['short']['bars_in_trade'] = sum([pos.bars_in_trade() for pos in shorts])
@@ -103,24 +126,27 @@ class StatsAnalyzer(Analyzer):
 
         mean = np.mean(list(map(lambda x: x.pnl(), positions)))
         stddev = np.std(list(map(lambda x: x.pnl(), positions)))
-        sharpe = mean / stddev
-        tstat = sharpe * math.sqrt(len(positions))
-        result['all']['sharpe_ratio'] = sharpe
+        z_score = mean / stddev
+        tstat = z_score * math.sqrt(len(positions))
+        result['all']['z_score'] = z_score
         result['all']['t_stat'] = tstat
+        result['all']['kelly'] = calculate_kelly(positions)
 
         mean = np.mean(list(map(lambda x: x.pnl(), longs)))
         stddev = np.std(list(map(lambda x: x.pnl(), longs)))
-        sharpe = mean / stddev
-        tstat = sharpe * math.sqrt(len(longs))
-        result['long']['sharpe_ratio'] = sharpe
+        z_score = mean / stddev
+        tstat = z_score * math.sqrt(len(longs))
+        result['long']['z_score'] = z_score
         result['long']['t_stat'] = tstat
+        result['long']['kelly'] = calculate_kelly(longs)
 
         mean = np.mean(list(map(lambda x: x.pnl(), shorts)))
         stddev = np.std(list(map(lambda x: x.pnl(), shorts)))
-        sharpe = mean / stddev
-        tstat = sharpe * math.sqrt(len(shorts))
-        result['short']['sharpe_ratio'] = sharpe
+        z_score = mean / stddev
+        tstat = z_score * math.sqrt(len(shorts))
+        result['short']['z_score'] = z_score
         result['short']['t_stat'] = tstat
+        result['short']['kelly'] = calculate_kelly(shorts)
 
 
         return result

src/naiback/broker/broker.py

@@ -15,6 +15,7 @@ class Broker:
         self.positions = []
         self.retired_positions_ = []
         self.commission_percentage = 0
+        self.commission_fixed = 0
         self.timestamp = None
 
     def cash(self):
@@ -28,27 +29,30 @@ class Broker:
         #if amount > 0:
         #    if volume * (1 + 0.01 * self.commission_percentage) > self.cash_:
         #        return None
+        commission = volume * 0.01 * self.commission_percentage + abs(amount) * self.commission_fixed
         pos = Position(ticker)
-        pos.enter(price, amount, bar=bar_index, timestamp=self.timestamp)
+        pos.enter(price, amount, bar=bar_index, timestamp=self.timestamp, commission=commission)
         self.cash_ -= price * amount
-        self.cash_ -= volume * 0.01 * self.commission_percentage
+        self.cash_ -= commission
         self.positions.append(pos)
         return pos
 
     def close_position(self, pos, price, bar_index):
         volume = abs(price * pos.size())
         size = pos.size()
-        pos.exit(price, bar=bar_index, timestamp=self.timestamp)
+        commission = volume * 0.01 * self.commission_percentage + abs(size) * self.commission_fixed
+        pos.exit(price, bar=bar_index, timestamp=self.timestamp, commission=commission)
 
         self.retired_positions_.append(pos)
         self.positions.remove(pos)
 
         self.cash_ += price * size
-        self.cash_ -= volume * 0.01 * self.commission_percentage
+        self.cash_ -= commission
         return True
 
-    def set_commission(self, percentage):
+    def set_commission(self, percentage, fixed):
         self.commission_percentage = percentage
+        self.commission_fixed = fixed
 
     def last_position(self):
         return self.positions[-1]

src/naiback/broker/position.py

@@ -30,7 +30,10 @@ class Position:
         return self.original_size_ < 0
 
     def entry_commission(self):
-        return self.entry_metadata['commission']
+        try:
+            return self.entry_metadata['commission']
+        except KeyError:
+            return 0
 
     def entry_bar(self):
         return self.entry_metadata['bar']
@@ -44,17 +47,35 @@ class Position:
     def exit_time(self):
         return self.exit_metadata['timestamp']
 
+    def exit_commission(self):
+        try:
+            return self.exit_metadata['commission']
+        except KeyError:
+            return 0
+
     def bars_in_trade(self):
         return self.exit_bar() - self.entry_bar()
 
+    def total_commission(self):
+        commission = 0
+        try:
+            commission += self.entry_commission()
+        except KeyError:
+            pass
+        try:
+            commission += self.exit_commission()
+        except KeyError:
+            pass
+        return commission
+
     def pnl(self):
-        return self.total_pnl
+        return self.total_pnl - self.total_commission()
 
     def profit_percentage(self):
         if self.is_long():
-            return (self.exit_price() / self.entry_price() - 1) * 100.
+            return (self.exit_price() / self.entry_price() - 1 - (self.total_commission()) / self.entry_price()) * 100.
         else:
-            return -(self.exit_price() / self.entry_price() - 1) * 100.
+            return (1 - self.exit_price() / self.entry_price() - (self.total_commission()) / self.entry_price()) * 100.
 
     def enter(self, price, amount, **kwargs):
         self.entry_price_ = price
@@ -66,7 +87,7 @@ class Position:
 
     def exit(self, price, **kwargs):
         self.exit_price_ = price
-        self.total_pnl += (self.exit_price() - self.entry_price()) * self.size()
+        self.total_pnl += (self.exit_price() - self.entry_price()) * self.size() - self.total_commission()
         self.size_ = 0
 
         for k, v in kwargs.items():

src/naiback/data/feeds/yahoofeed.py

@@ -0,0 +1,35 @@
+
+from naiback.data.feed import Feed, Bar
+import csv
+import datetime
+import itertools
+
+class YahooCSVFeed(Feed):
+
+    def __init__(self, fp):
+        self.bars = []
+        self.ticker_ = None
+        reader = csv.reader(fp, delimiter=',')
+        next(reader)
+        for row in reader:
+            try:
+                self.ticker_ = row[0]
+                open_ = float(row[1])
+                high = float(row[2])
+                low = float(row[3])
+                close = float(row[4])
+                volume = int(row[6])
+                date = row[0]
+                dt = datetime.datetime.strptime(date, "%Y-%m-%d")
+                self.bars.append(Bar(open_, high, low, close, volume, dt))
+            except IndexError:
+                pass
+
+    def type(self):
+        return 'bars'
+
+    def items(self):
+        return self.bars
+
+    def ticker(self):
+        return self.ticker_

src/naiback/indicators/__init__.py

@@ -5,5 +5,7 @@ from .rsi import RSI
 from .intradaybarnumber import IntradayBarNumber
 from .highest import Highest,HighestValue
 from .lowest import Lowest,LowestValue
-from .atr import ATR
+from .atr import ATR, ATR_minus, ATR_plus
 from .bollinger import BollingerBands
+from .adx import ADX
+from .smma import SMMA

src/naiback/indicators/adx.py

@@ -0,0 +1,33 @@
+
+import numpy as np
+
+from .atr import ATR
+from .ema import EMA
+from .smma import SMMA
+
+def ADX(bars, period):
+    dm_minus = np.zeros(len(bars.close))
+    dm_plus = np.zeros(len(bars.close))
+    adx = np.zeros(len(bars.close))
+    atr = ATR(bars, period)
+
+    if len(bars.close) == 0:
+        return np.array([])
+
+    for i in range(1, len(bars.close)):
+        plus = bars.high[i] - bars.high[i - 1]
+        minus = -bars.low[i] + bars.low[i - 1]
+
+        if plus > 0 and plus > minus:
+            dm_plus[i] = plus
+
+        if minus > 0 and minus > plus:
+            dm_minus[i] = minus
+
+    di_plus = np.asarray(SMMA(dm_plus, period)) * 100 / atr
+    di_minus = np.asarray(SMMA(dm_minus, period)) * 100 / atr
+
+    preprocessed_adx = np.abs(np.nan_to_num(np.divide(di_plus - di_minus, di_plus + di_minus)))
+    adx = 100 * np.asarray(SMMA(preprocessed_adx, period))
+
+    return (adx, di_plus, di_minus)

src/naiback/indicators/atr.py

@@ -18,3 +18,27 @@ def ATR(bars, period):
     for i in range(period, len(bars.close)):
         atr[i] = (atr[i - 1] * (period - 1) + tr[i]) / period
     return atr
+
+def ATR_filtered(bars, period, f):
+    tr = np.zeros(len(bars.close))
+
+    if len(bars.close) == 0:
+        return np.array([])
+
+    tr[0] = bars.high[0] - bars.low[0]
+    for i in range(1, len(bars.close)):
+        tr[i] = max(bars.high[i] - bars.low[i], abs(bars.high[i] - bars.close[i - 1]), abs(bars.low[i] - bars.close[i - 1]))
+
+    atr = np.zeros(len(bars.close))
+    if len(bars.close) <= period:
+        return atr
+    atr[period - 1] = sum(filter(f, tr[0:period])) / period
+    for i in range(period, len(bars.close)):
+        atr[i] = (atr[i - 1] * (period - 1) + tr[i]) / period
+    return atr
+
+def ATR_plus(bars, period):
+    return ATR_filtered(bars, period, lambda x : x > 0)
+
+def ATR_minus(bars, period):
+    return ATR_filtered(bars, period, lambda x : x < 0)

src/naiback/indicators/bollinger.py

@@ -9,7 +9,8 @@ def BollingerBands(values, period, stddevs):
     ma = SMA(values, period)
     diffs = ma - np.array(values)
     for i in range(period, len(values)):
-        sigma = np.std(diffs[i-period+1:i+1])
+        #sigma = np.std(diffs[i-period+1:i+1])
+        sigma = np.std(values[i-period+1:i+1])
         lower[i] = ma[i] - stddevs * sigma
         higher[i] = ma[i] + stddevs * sigma
 

src/naiback/indicators/ema.py

@@ -6,7 +6,7 @@ def EMA(data, period, alpha=None):
     if alpha is None:
         alpha = 2. / (period + 1)
     result = []
-    v = None
+    v = 0
     for d in data:
         if d is None:
             result.append(None)

src/naiback/indicators/smma.py

@@ -0,0 +1,13 @@
+
+import numpy as np
+
+def SMMA(values, period):
+    smma = np.zeros(len(values))
+    alpha = (period - 1) / period
+
+    smma[0] = values[0]
+    for i in range(1, len(values)):
+        smma[i] = smma[i - 1] * alpha + values[i] * (1 - alpha)
+
+    return smma
+