Initial commit

examples/multiple_assets.py

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+
+from naiback.strategy import Strategy
+from naiback.data.feeds import FinamCSVFeed
+from naiback.indicators import SMA, RSI
+
+class MyStrategy(BarStrategy):
+
+    def __init__(self):
+        super().__init__()
+
+    def execute(self):
+        self.set_context('FOO')
+        rsi1 = RSI(self.bars.close, 2)
+        self.set_context('BAR')
+        rsi2 = RSI(self.bars.close, 2)
+        for i in self.bars.index[200:]:
+            if self.last_position_is_active():
+                if i - self.last_position().entry_bar > 3:
+                    for position in self.all_positions():
+                        position.exit_at_close(i)
+            else:
+                if rsi1[i] < 20 and rsi2[i] > 80:
+                    self.buy_at_open(i + 1, 'FOO')
+                    self.short_at_open(i + 1, 'BAR')
+
+if __name__ == "__main__":
+    strategy = MyStrategy()
+    strategy.add_feed(FinamCSVFeed('data/SBER_20100101_20161231_daily.csv'))
+    strategy.run(from_time='2012-01-01', to_time='2016-12-31')
+    print(strategy.get_analyzer('stats').generate_plain_text())

examples/single_asset.py

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+
+from naiback.strategy import SingleAssetStrategy
+from naiback.data.feeds import FinamCSVFeed
+from naiback.indicators import SMA, RSI
+
+class MyStrategy(SingleAssetStrategy):
+
+    def __init__(self):
+        super().__init__()
+
+    def execute(self):
+        exit_sma = SMA(self.bars.close, 22)
+        sma = SMA(self.bars.close, 200)
+        rsi = RSI(self.bars.close, 2)
+        stop = 0
+        for i, bar in self.bars[200:]:
+            if self.last_position_is_active():
+                if not self.exit_at_stop(i, self.last_position(), stop):
+                    if self.bars.close[i] < exit_sma[i]:
+                        self.exit_at_close(i, self.last_position())
+            else:
+                if self.bars.close[i] > exit_sma[i] and self.bars.close[i] > sma[i] and rsi[i] < 20:
+                    self.buy_at_open(i + 1)
+
+if __name__ == "__main__":
+    strategy = MyStrategy()
+    strategy.add_feed(FinamCSVFeed('data/SBER_20100101_20161231_daily.csv'))
+    strategy.run(from_time='2012-01-01', to_time='2016-12-31')
+    print(strategy.get_analyzer('stats').generate_plain_text())

setup.py

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+#!/usr/bin/env python
+# -*- encoding: utf-8 -*-
+from __future__ import absolute_import
+from __future__ import print_function
+
+import io
+import re
+from glob import glob
+from os.path import basename
+from os.path import dirname
+from os.path import join
+from os.path import splitext
+
+from setuptools import find_packages
+from setuptools import setup
+
+
+def read(*names, **kwargs):
+    return io.open(
+        join(dirname(__file__), *names),
+        encoding=kwargs.get('encoding', 'utf8')
+    ).read()
+
+
+setup(
+    name='naiback',
+    version='0.1.0',
+    license='BSD 2-Clause License',
+    description='Naive backtester',
+    long_description='%s\n%s' % (
+        re.compile('^.. start-badges.*^.. end-badges', re.M | re.S).sub('', read('README.rst')),
+        re.sub(':[a-z]+:`~?(.*?)`', r'``\1``', read('CHANGELOG.rst'))
+    ),
+    author='Denis Tereshkin',
+    author_email='denis@kasan.ws',
+    url='https://github.com/asakul/naiback',
+    packages=find_packages('src'),
+    package_dir={'': 'src'},
+    py_modules=[splitext(basename(path))[0] for path in glob('src/*.py')],
+    include_package_data=True,
+    zip_safe=False,
+    classifiers=[
+        # complete classifier list: http://pypi.python.org/pypi?%3Aaction=list_classifiers
+        'Development Status :: 1 - Planning',
+        'Intended Audience :: Financial and Insurance Industry',
+        'License :: OSI Approved :: MIT License',
+        'Operating System :: Unix',
+        'Operating System :: POSIX',
+        'Operating System :: Microsoft :: Windows',
+        'Programming Language :: Python',
+        'Programming Language :: Python :: 3',
+        'Programming Language :: Python :: 3.3',
+        'Programming Language :: Python :: 3.4',
+        'Programming Language :: Python :: 3.5',
+        'Programming Language :: Python :: 3.6',
+        'Programming Language :: Python :: Implementation :: CPython',
+        'Programming Language :: Python :: Implementation :: PyPy',
+        'Topic :: Office/Business :: Financial'
+    ],
+    keywords=[
+        'backtesting'
+    ],
+    install_requires=[
+    ],
+    extras_require={
+    },
+    entry_points={
+    },
+)

src/naiback/broker/broker.py

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+
+class Broker:
+    """
+    Broker has several responsibilities (so called SRP, or several responsibilities principle):
+    1) Track money amount on trading account
+    2) Track active positions
+    3) Subtract commissions/slippage
+    4) Validate issued orders and reject them if needed
+    """
+
+    def __init__(self, initial_cash=100000.):
+        self.cash = initial_cash
+        self.positions = []
+

src/naiback/broker/position.py

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+
+class Position:
+
+    def __init__(self, ticker):
+        self.ticker = ticker
+        self.entry_price = None
+        self.entry_metadata = {}
+        self.exit_price = None
+        self.exit_metadata = {}
+        self.size = None
+        self.total_pnl = 0
+
+    def entry_commission(self):
+        return self.entry_metadata['commission']
+
+    def entry_bar(self):
+        return self.entry_metadata['bar']
+
+    def pnl(self):
+        return self.total_pnl
+
+    def enter(self, price, amount, **kwargs):
+        self.entry_price = price
+        self.size = amount
+
+        for k, v in kwargs.items():
+            self.entry_metadata[k] = v
+
+    def exit(self, price):
+        self.exit_price = price
+        self.total_pnl += (self.exit_price - self.entry_price) * self.size
+        self.size = 0
+
+

src/naiback/data/bars.py

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+
+from ..exceptions import NaibackException
+
+class Bars:
+    """
+    Basic bar series structure
+    """
+
+    def __init__(self):
+        self.index = []
+        self.open = []
+        self.high = []
+        self.low = []
+        self.close = []
+        self.volume = []
+        self.timestamp = []
+
+    def append_bar(self, open_, high, low, close, volume, timestamp):
+        """
+        Appends OHLCV data
+        """
+        self.index.append(len(self.open))
+        self.open.append(open_)
+        self.high.append(high)
+        self.low.append(low)
+        self.close.append(close)
+        self.volume.append(volume)
+        self.timestamp.append(timestamp)
+
+    @classmethod
+    def from_feed(feed):
+        if feed.type() != 'bars':
+            raise NaibackException('Invalid feed type: "{}", should be "bars"'.format(feed.type()))
+        bars = Bars()
+        for bar in feed.items():
+            bars.append_bar(bar.open, bar.high, bar.low, bar.close, bar.volume, bar.timestamp)
+        return bars

src/naiback/data/feed.py

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+
+class Feed:
+    """
+    Interface for data source
+    """
+
+    def __init__(self):
+        pass

src/naiback/exceptions.py

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+
+class NaibackException(Exception):
+    pass

src/naiback/strategy/__init__.py

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+__all__ = ['strategy']
+from .singleassetstrategy import SingleAssetStrategy
+from .strategy import Strategy

src/naiback/strategy/singleassetstrategy.py

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+
+from .strategy import Strategy
+from ..data.bars import Bars
+from ..exceptions import NaibackException
+
+class SingleAssetStrategy(Strategy):
+
+    def __init__(self):
+        super.__init__()
+        self.bars = None
+
+    def run(self, from_time=None, to_time=None):
+        self._prepare_bars()
+        super.run(from_time, to_time)
+
+    def _prepare_bars(self):
+        if len(self.feeds) == 0:
+            raise NaibackException('No feeds added to strategy')
+
+        self.bars = list(Bars.from_feed(self.feeds[0]))

src/naiback/strategy/strategy.py

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+from abc import abstractmethod
+
+class Strategy:
+    """
+    Internal base class for strategies. User should use it's subclasses (i.e. SingleAssetStrategy)
+    """
+
+    def __init__(self):
+        self.feeds = []
+
+    def add_feed(self, feed):
+        """
+        Adds feed to feeds list.
+        """
+        self.feeds.append(feed)
+
+    @abstractmethod
+    def execute(self):
+        """
+        Will be called by 'run'
+        """
+        pass
+
+    def run(self, from_time=None, to_time=None):
+        """
+        By default, just calls execute.
+        """
+        self.execute()

tests/test_bars.py

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+
+import pytest
+import datetime
+
+from naiback.data.bars import Bars
+
+def test_bar_append():
+    bars = Bars()
+    bars.append_bar(10, 20, 5, 11, 100, datetime.datetime(2017, 1, 1))
+
+    assert bars.open[0] == 10
+    assert bars.high[0] == 20
+    assert bars.low[0] == 5
+    assert bars.close[0] == 11
+    assert bars.volume[0] == 100
+    assert bars.timestamp[0] == datetime.datetime(2017, 1, 1)

tests/test_position.py

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+
+import pytest
+import datetime
+
+from naiback.broker.position import Position
+
+@pytest.fixture
+def position():
+    return Position('FOO')
+
+def test_position_enter(position):
+    position.enter(3.50, 10)
+
+    assert position.entry_price == 3.50
+    assert position.size == 10
+
+def test_position_enter_metadata(position):
+    position.enter(3.50, 10, commission=0.1, bar=42)
+
+    assert position.entry_metadata['commission'] == 0.1
+    assert position.entry_metadata['bar'] == 42
+
+def test_position_metadata_helpers(position):
+    position.enter(3.50, 10, commission=0.1, bar=42)
+
+    assert position.entry_commission() == 0.1
+    assert position.entry_bar() == 42
+
+def test_position_exit(position):
+    position.enter(3.50, 10)
+    position.exit(4.50)
+
+    assert position.exit_price == 4.50
+    assert position.size == 0
+
+def test_position_enter_short(position):
+    position.enter(3.50, -10)
+
+    assert position.entry_price == 3.50
+    assert position.size == -10
+
+def test_position_exit_pnl(position):
+    position.enter(3.50, 10)
+    position.exit(4.00)
+
+    assert position.pnl() == 5
+