Analyzers

examples/multiple_assets.py

@@ -13,7 +13,7 @@ class MyStrategy(Strategy):
         rsi1 = RSI(self.bars.close, 2)
         self.set_current_ticker('GAZP')
         rsi2 = RSI(self.bars.close, 2)
-        for i in self.bars.index[200:]:
+        for i in self.bars.index[200:-1]:
             if self.last_position_is_active():
                 if i - self.last_position().entry_bar() > 3:
                     for position in self.all_positions():

src/naiback/analyzers/analyzer.py

@@ -7,3 +7,6 @@ class Analyzer:
     def generate_plain_text(self):
         pass
 
+    def get_result(self):
+        pass
+

src/naiback/analyzers/statsanalyzer.py

@@ -39,6 +39,11 @@ class StatsAnalyzer(Analyzer):
 
         return table.get_string()
 
+    def get_result(self):
+        positions = self.strategy.broker.retired_positions() # TODO also add open positions
+        stats = self.calc_stats(positions)
+        return stats
+
     def calc_stats(self, positions):
         longs = list(filter(lambda x: x.is_long(), positions))
         shorts = list(filter(lambda x: x.is_short(), positions))

src/naiback/analyzers/tradeslistanalyzer.py

@@ -0,0 +1,16 @@
+
+from .analyzer import Analyzer
+
+class TradesListAnalyzer(Analyzer):
+
+    def __init__(self, strategy):
+        self.strategy = strategy
+
+    def get_result(self):
+        positions = self.strategy.broker.retired_positions()
+        return [self.make_trade(pos) for pos in positions]
+
+    def make_trade(self, pos):
+        return { 'entry_price' : pos.entry_price(),
+                 'exit_price' : pos.exit_price(),
+                 'pnl' : pos.pnl() }

src/naiback/data/bars.py

@@ -45,3 +45,13 @@ class Bars:
         for bar in feed.items():
             bars.append_bar(bar.open, bar.high, bar.low, bar.close, bar.volume, bar.timestamp)
         return bars
+
+    @classmethod
+    def from_feed_filter(cls, feed, from_time, to_time):
+        if feed.type() != 'bars':
+            raise NaibackException('Invalid feed type: "{}", should be "bars"'.format(feed.type()))
+        bars = Bars(feed.ticker())
+        for bar in feed.items():
+            if bar.timestamp >= from_time and bar.timestamp <= to_time:
+                bars.append_bar(bar.open, bar.high, bar.low, bar.close, bar.volume, bar.timestamp)
+        return bars

src/naiback/strategy/strategy.py

@@ -3,6 +3,7 @@ from naiback.broker.position import Position
 from naiback.broker.broker import Broker
 from naiback.data.bars import Bars
 from naiback.analyzers.statsanalyzer import StatsAnalyzer
+from naiback.analyzers.tradeslistanalyzer import TradesListAnalyzer
 
 class Strategy:
     """
@@ -13,10 +14,11 @@ class Strategy:
         self.all_bars = []
         self.broker = Broker()
         self.bars = None
-        self.analyzer = StatsAnalyzer(self)
+        self.analyzers = { 'stats' : StatsAnalyzer(self),
+                'tradeslist' : TradesListAnalyzer(self) }
 
     def get_analyzer(self, analyzer_id):
-        return self.analyzer
+        return self.analyzers[analyzer_id]
 
     def add_feed(self, feed):
         """
@@ -35,19 +37,22 @@ class Strategy:
         """
         By default, just calls execute.
         """
-        self._prepare_bars()
+        self._prepare_bars(from_time, to_time)
         self.execute()
 
     def set_current_ticker(self, ticker):
         self.bars = self._get_bars(ticker)
 
-    def _prepare_bars(self):
+    def _prepare_bars(self, from_time, to_time):
         if len(self.feeds) == 0:
             raise NaibackException('No feeds added to strategy')
 
         self.all_bars.clear()
         for feed in self.feeds:
+            if from_time is None or to_time is None:
                 self.all_bars.append(Bars.from_feed(feed))
+            else:
+                self.all_bars.append(Bars.from_feed_filter(feed, from_time, to_time))
 
         all_dates = list(sorted(self._combine_dates()))
 
@@ -90,10 +95,14 @@ class Strategy:
         return dates
 
     def buy_at_open(self, bar, ticker):
+        if isinstance(ticker, int):
+            ticker = self.all_bars[ticker].ticker
         bars = self._get_bars(ticker)
         return self.broker.add_position(ticker, bars.open[bar], 1, bar)
 
     def buy_at_limit(self, bar, price, ticker):
+        if isinstance(ticker, int):
+            ticker = self.all_bars[ticker].ticker
         bars = self._get_bars(ticker)
         if bars.low[bar] <= price:
             if bars.open[bar] > price:
@@ -104,6 +113,8 @@ class Strategy:
             return None
 
     def buy_at_stop(self, bar, price, ticker):
+        if isinstance(ticker, int):
+            ticker = self.all_bars[ticker].ticker
         bars = self._get_bars(ticker)
         if bars.high[bar] >= price:
             if bars.open[bar] < price:
@@ -114,14 +125,20 @@ class Strategy:
             return None
 
     def buy_at_close(self, bar, ticker):
+        if isinstance(ticker, int):
+            ticker = self.all_bars[ticker].ticker
         bars = self._get_bars(ticker)
         return self.broker.add_position(ticker, bars.close[bar], 1, bar)
 
     def short_at_open(self, bar, ticker):
+        if isinstance(ticker, int):
+            ticker = self.all_bars[ticker].ticker
         bars = self._get_bars(ticker)
         return self.broker.add_position(ticker, bars.open[bar], -1, bar)
 
     def short_at_limit(self, bar, price, ticker):
+        if isinstance(ticker, int):
+            ticker = self.all_bars[ticker].ticker
         bars = self._get_bars(ticker)
         if bars.high[bar] >= price:
             if bars.open[bar] < price:
@@ -132,6 +149,8 @@ class Strategy:
             return None
 
     def short_at_stop(self, bar, price, ticker):
+        if isinstance(ticker, int):
+            ticker = self.all_bars[ticker].ticker
         bars = self._get_bars(ticker)
         if bars.low[bar] <= price:
             if bars.open[bar] > price:
@@ -142,6 +161,8 @@ class Strategy:
             return None
 
     def short_at_close(self, bar, ticker):
+        if isinstance(ticker, int):
+            ticker = self.all_bars[ticker].ticker
         bars = self._get_bars(ticker)
         return self.broker.add_position(ticker, bars.close[bar], -1, bar)
 

tests/test_strategy.py

@@ -20,74 +20,80 @@ MICEX,D,20100114,000000,1439.5500000,1456.2700000,1439.5500000,1455.6500000,4437
 
 class BuyAndSell(Strategy):
 
-    def __init__(self, buy_bar, sell_bar):
+    def __init__(self, buy_bar, sell_bar, ticker='MICEX'):
         super().__init__()
         self.buy_bar = buy_bar
         self.sell_bar = sell_bar
+        self.ticker = ticker
 
     def execute(self):
-        pos = self.buy_at_open(self.buy_bar, 'MICEX')
+        pos = self.buy_at_open(self.buy_bar, self.ticker)
         self.exit_at_close(self.sell_bar, pos)
 
 class BuyAndSellLimit(Strategy):
 
-    def __init__(self, buy_bar, buy_price, sell_bar, sell_price):
+    def __init__(self, buy_bar, buy_price, sell_bar, sell_price, ticker='MICEX'):
         super().__init__()
         self.buy_bar = buy_bar
         self.buy_price = buy_price
         self.sell_bar = sell_bar
         self.sell_price = sell_price
+        self.ticker = ticker
 
     def execute(self):
-        pos = self.buy_at_limit(self.buy_bar, self.buy_price, 'MICEX')
+        pos = self.buy_at_limit(self.buy_bar, self.buy_price, self.ticker)
         self.exit_at_limit(self.sell_bar, self.sell_price, pos)
 
 class BuyOpenAndSellStop(Strategy):
 
-    def __init__(self, buy_bar, sell_bar, sell_price):
+    def __init__(self, buy_bar, sell_bar, sell_price, ticker='MICEX'):
         super().__init__()
         self.buy_bar = buy_bar
         self.sell_bar = sell_bar
         self.sell_price = sell_price
+        self.ticker = ticker
 
     def execute(self):
-        pos = self.buy_at_open(self.buy_bar, 'MICEX')
+        pos = self.buy_at_open(self.buy_bar, self.ticker)
         self.exit_at_stop(self.sell_bar, self.sell_price, pos)
 
 class ShortAndCover(Strategy):
 
-    def __init__(self, short_bar, cover_bar):
+    def __init__(self, short_bar, cover_bar, ticker='MICEX'):
         super().__init__()
         self.short_bar = short_bar
         self.cover_bar = cover_bar
+        self.ticker = ticker
 
     def execute(self):
-        pos = self.short_at_open(self.short_bar, 'MICEX')
+        pos = self.short_at_open(self.short_bar, self.ticker)
         self.exit_at_close(self.cover_bar, pos)
 
 class ShortAndCoverLimit(Strategy):
 
-    def __init__(self, short_bar, short_price, cover_bar, cover_price):
+    def __init__(self, short_bar, short_price, cover_bar, cover_price, ticker='MICEX'):
         super().__init__()
         self.short_bar = short_bar
         self.short_price = short_price
         self.cover_bar = cover_bar
         self.cover_price = cover_price
+        self.ticker = ticker
 
     def execute(self):
-        pos = self.short_at_limit(self.short_bar, self.short_price, 'MICEX')
+        pos = self.short_at_limit(self.short_bar, self.short_price, self.ticker)
         self.exit_at_limit(self.cover_bar, self.cover_price, pos)
 
 class ShortOpenAndCoverStop(Strategy):
 
-    def __init__(self, short_bar, cover_bar, cover_price):
+    def __init__(self, short_bar, cover_bar, cover_price, ticker='MICEX'):
         super().__init__()
         self.short_bar = short_bar
         self.cover_bar = cover_bar
         self.cover_price = cover_price
+        self.ticker = ticker
 
     def execute(self):
-        pos = self.short_at_open(self.short_bar, 'MICEX')
+        pos = self.short_at_open(self.short_bar, self.ticker)
         self.exit_at_stop(self.cover_bar, self.cover_price, pos)
 
 def test_buy_and_sell_1(feed):
@@ -123,6 +129,17 @@ def test_buy_and_sell_3(feed):
     ending_cash = s.broker.cash()
     assert(ending_cash == (initial_cash + 1435.01 - 1444.78))
 
+def test_buy_and_sell_1_index(feed):
+    s = BuyAndSell(0, 0, 0)
+    s.add_feed(feed)
+
+    initial_cash = s.broker.cash()
+
+    s.run()
+
+    ending_cash = s.broker.cash()
+    assert(ending_cash == (initial_cash + 1444.78 - 1411.37))
+
 def test_buy_and_sell_limit_1(feed):
     s = BuyAndSellLimit(0, 1412, 1, 1445)
     s.add_feed(feed)
@@ -159,6 +176,18 @@ def test_buy_and_sell_limit_3(feed):
     assert(ending_cash == (initial_cash + 1417.80 - 1444.78))
     assert(not s.last_position_is_active())
 
+def test_buy_and_sell_limit_1_index(feed):
+    s = BuyAndSellLimit(0, 1412, 1, 1445, 0)
+    s.add_feed(feed)
+
+    initial_cash = s.broker.cash()
+
+    s.run()
+
+    ending_cash = s.broker.cash()
+    assert(ending_cash == (initial_cash + 1445 - 1411.37))
+    assert(not s.last_position_is_active())
+
 def test_buy_and_sell_stop_1(feed):
     s = BuyOpenAndSellStop(0, 1, 1430)
     s.add_feed(feed)
@@ -183,6 +212,18 @@ def test_buy_and_sell_stop_2(feed):
     assert(ending_cash == (initial_cash + 1444.78 - 1411.37))
     assert(not s.last_position_is_active())
 
+def test_buy_and_sell_stop_1_index(feed):
+    s = BuyOpenAndSellStop(0, 1, 1430, 0)
+    s.add_feed(feed)
+
+    initial_cash = s.broker.cash()
+
+    s.run()
+
+    ending_cash = s.broker.cash()
+    assert(ending_cash == (initial_cash + 1430 - 1411.37))
+    assert(not s.last_position_is_active())
+
 def test_short_and_cover_1(feed):
     s = ShortAndCover(0, 0)
     s.add_feed(feed)
@@ -205,6 +246,17 @@ def test_short_and_cover_2(feed):
     ending_cash = s.broker.cash()
     assert(ending_cash == (initial_cash + 1411.37 - 1427.67))
 
+def test_short_and_cover_1_index(feed):
+    s = ShortAndCover(0, 0, 0)
+    s.add_feed(feed)
+
+    initial_cash = s.broker.cash()
+
+    s.run()
+
+    ending_cash = s.broker.cash()
+    assert(ending_cash == (initial_cash + 1411.37 - 1444.78))
+
 def test_short_and_cover_limit_1(feed):
     s = ShortAndCoverLimit(0, 1450, 1, 1430)
     s.add_feed(feed)
@@ -244,6 +296,19 @@ def test_short_and_cover_limit_3(feed):
     assert(ending_cash == (initial_cash + 1430 - 1444.78))
     assert(not s.last_position_is_active())
 
+def test_short_and_cover_limit_1_index(feed):
+    s = ShortAndCoverLimit(0, 1450, 1, 1430, 0)
+    s.add_feed(feed)
+
+    initial_cash = s.broker.cash()
+
+    s.run()
+
+    ending_cash = s.broker.cash()
+
+    assert(ending_cash == (initial_cash + 1450 - 1430))
+    assert(not s.last_position_is_active())
+
 def test_short_and_cover_stop_1(feed):
     s = ShortOpenAndCoverStop(0, 1, 1445)
     s.add_feed(feed)
@@ -268,3 +333,15 @@ def test_short_and_cover_stop_2(feed):
     assert(ending_cash == (initial_cash + 1411.37 - 1444.78))
     assert(not s.last_position_is_active())
 
+def test_short_and_cover_stop_1_index(feed):
+    s = ShortOpenAndCoverStop(0, 1, 1445)
+    s.add_feed(feed)
+
+    initial_cash = s.broker.cash()
+
+    s.run()
+
+    ending_cash = s.broker.cash()
+    assert(ending_cash == (initial_cash + 1411.37 - 1445))
+    assert(not s.last_position_is_active())
+