New analyzer: EquityAnalyzer

EquityAnalyzer calculates bar-based equity

src/naiback/analyzers/equityanalyzer.py

@@ -0,0 +1,58 @@
+
+from .analyzer import Analyzer
+
+import numpy as np
+
+class EquityAnalyzer(Analyzer):
+
+    def __init__(self, strategy):
+        self.strategy = strategy
+
+    def get_result(self):
+        positions = self.strategy.broker.retired_positions() # TODO also add open positions
+        bars = self.strategy.all_bars
+        equity = self.calc_equity(positions, bars[0])
+        return equity
+
+    def calc_equity(self, positions, bars):
+        timestamp = bars.timestamp
+        close = bars.close
+
+        cumulative_pnl = 0
+
+        equity = []
+
+        prev_p = 0
+        print(len(close), len(timestamp))
+        for (p,ts) in zip(close, timestamp):
+            active_positions = self.positions_for_timestamp(positions, ts)
+            for pos in active_positions:
+                if pos.entry_time() == ts:
+                    if pos.is_long():
+                        cumulative_pnl += (p - pos.entry_price())
+                    else:
+                        cumulative_pnl -= (p - pos.entry_price())
+                elif pos.exit_time() == ts:
+                    if pos.is_long():
+                        cumulative_pnl += (pos.exit_price() - prev_p)
+                    else:
+                        cumulative_pnl -= (pos.exit_price() - prev_p)
+                else:
+                    if pos.is_long():
+                        cumulative_pnl += (p - prev_p)
+                    else:
+                        cumulative_pnl -= (p - prev_p)
+            equity.append(cumulative_pnl)
+
+            prev_p = p
+        return equity
+                    
+    def positions_for_timestamp(self, positions, timestamp):
+        result = []
+        for p in positions:
+            if p.entry_time() <= timestamp and p.exit_time() >= timestamp:
+                result.append(p)
+        return result
+
+        
+

src/naiback/strategy/strategy.py

@@ -4,6 +4,7 @@ from naiback.broker.broker import Broker
 from naiback.data.bars import Bars
 from naiback.analyzers.statsanalyzer import StatsAnalyzer
 from naiback.analyzers.tradeslistanalyzer import TradesListAnalyzer
+from naiback.analyzers.equityanalyzer import EquityAnalyzer
 from naiback.exceptions import NaibackException
 
 import math
@@ -19,7 +20,8 @@ class Strategy:
         self.bars = None
         self.trade_size = 1
         self.analyzers = { 'stats' : StatsAnalyzer(self),
-                'tradeslist' : TradesListAnalyzer(self) }
+                           'tradeslist' : TradesListAnalyzer(self),
+                           'equity' : EquityAnalyzer(self) }
 
     def get_analyzer(self, analyzer_id):
         return self.analyzers[analyzer_id]