{ "cells": [ { "cell_type": "markdown", "metadata": {}, "source": [ "\"Open" ] }, { "cell_type": "code", "execution_count": 1, "metadata": {}, "outputs": [], "source": [ "# uncomment to install in colab\n", "# !pip install -e git+https://github.com/enzoampil/fastquant.git@master#egg=fastquant" ] }, { "cell_type": "markdown", "metadata": {}, "source": [ "## fetch stock data from yahoo finance" ] }, { "cell_type": "code", "execution_count": 2, "metadata": {}, "outputs": [ { "name": "stdout", "output_type": "stream", "text": [ "[*********************100%***********************] 1 of 1 completed\n" ] } ], "source": [ "from fastquant import get_yahoo_data\n", "\n", "#TESLA=TSLA in yahoo finance \n", "data = get_yahoo_data(\"TSLA\", \"2020-01-01\", \"2020-07-04\")" ] }, { "cell_type": "markdown", "metadata": {}, "source": [ "## scrape news from business times website and compute sentiment" ] }, { "cell_type": "code", "execution_count": 3, "metadata": {}, "outputs": [ { "name": "stderr", "output_type": "stream", "text": [ "100%|██████████| 3/3 [02:55<00:00, 55.83s/it]\n" ] }, { "data": { "text/plain": [ "{datetime.date(2020, 7, 13): -0.95,\n", " datetime.date(2020, 7, 11): 0.711,\n", " datetime.date(2020, 7, 10): 0.873,\n", " datetime.date(2020, 7, 7): 0.966,\n", " datetime.date(2020, 7, 4): 0.969,\n", " datetime.date(2020, 7, 3): 0.991,\n", " datetime.date(2020, 6, 28): 0.21,\n", " datetime.date(2020, 6, 13): -0.348,\n", " datetime.date(2020, 6, 12): 0.09,\n", " datetime.date(2020, 6, 6): 0.923,\n", " datetime.date(2020, 6, 5): 0.945,\n", " datetime.date(2020, 6, 4): 0.99,\n", " datetime.date(2020, 6, 3): 0.952,\n", " datetime.date(2020, 5, 30): 0.985,\n", " datetime.date(2020, 5, 20): -0.546,\n", " datetime.date(2020, 5, 18): -0.345,\n", " datetime.date(2020, 5, 16): 0.566,\n", " datetime.date(2020, 5, 15): -0.609,\n", " datetime.date(2020, 5, 14): 0.287,\n", " datetime.date(2020, 5, 13): -0.951,\n", " datetime.date(2020, 5, 9): 0.168,\n", " datetime.date(2020, 5, 7): 0.769,\n", " datetime.date(2020, 5, 3): -0.365,\n", " datetime.date(2020, 5, 2): -0.101,\n", " datetime.date(2020, 5, 1): 0.216}" ] }, "execution_count": 3, "metadata": {}, "output_type": "execute_result" } ], "source": [ "from fastquant import get_bt_news_sentiment\n", "\n", "#scrape the first 3 pages of https://www.businesstimes.com.sg/search/tesla?page=1&filter=headline_en\n", "sentiments = get_bt_news_sentiment(keyword=\"tesla\", page_nums=3)\n", "sentiments" ] }, { "cell_type": "markdown", "metadata": {}, "source": [ "## run backtest" ] }, { "cell_type": "code", "execution_count": 5, "metadata": {}, "outputs": [], "source": [ "import matplotlib.pyplot as pl\n", "pl.style.use(\"default\")" ] }, { "cell_type": "code", "execution_count": 6, "metadata": {}, "outputs": [ { "name": "stdout", "output_type": "stream", "text": [ "Starting Portfolio Value: 100000.00\n", "===Global level arguments===\n", "init_cash : 100000\n", "buy_prop : 1\n", "sell_prop : 1\n", "===Strategy level arguments===\n", "sentiment threshold : 0.2\n", "2020-05-01, BUY CREATE, 755.00\n", "2020-05-01, Cash: 100000.0\n", "2020-05-01, Price: 755.0\n", "2020-05-01, Buy prop size: 131\n", "2020-05-01, Afforded size: 131\n", "2020-05-01, Final size: 131\n", "2020-05-04, BUY EXECUTED, Price: 755.00, Cost: 98905.00, Comm 741.79\n", "2020-05-13, SELL CREATE, 780.00\n", "2020-05-14, SELL EXECUTED, Price: 780.00, Cost: 98905.00, Comm 766.35\n", "2020-05-14, OPERATION PROFIT, GROSS 3275.00, NET 1766.86\n", "2020-05-14, BUY CREATE, 780.00\n", "2020-05-14, Cash: 101766.86249999999\n", "2020-05-14, Price: 780.0\n", "2020-05-14, Buy prop size: 129\n", "2020-05-14, Afforded size: 129\n", "2020-05-14, Final size: 129\n", "2020-05-15, BUY EXECUTED, Price: 780.00, Cost: 100620.00, Comm 754.65\n", "2020-05-15, SELL CREATE, 827.78\n", "2020-05-18, SELL EXECUTED, Price: 827.78, Cost: 100620.00, Comm 800.88\n", "2020-05-18, OPERATION PROFIT, GROSS 6163.62, NET 4608.10\n", "2020-06-03, BUY CREATE, 888.12\n", "2020-06-03, Cash: 106374.95910095214\n", "2020-06-03, Price: 888.1199951171875\n", "2020-06-03, Buy prop size: 118\n", "2020-06-03, Afforded size: 118\n", "2020-06-03, Final size: 118\n", "2020-06-04, BUY EXECUTED, Price: 888.12, Cost: 104798.16, Comm 785.99\n", "2020-06-12, SELL CREATE, 917.79\n", "2020-06-15, SELL EXECUTED, Price: 917.79, Cost: 104798.16, Comm 812.24\n", "2020-06-15, OPERATION PROFIT, GROSS 3501.06, NET 1902.83\n", "Final PnL: 8277.79\n", "==================================================\n", "Number of strat runs: 1\n", "Number of strats per run: 1\n", "Strat names: []\n", "**************************************************\n", "--------------------------------------------------\n", "{'init_cash': 100000, 'buy_prop': 1, 'sell_prop': 1, 'execution_type': 'close', 'senti': 0.2}\n", "OrderedDict([('rtot', 0.07952983856127883), ('ravg', 0.0006213268637599909), ('rnorm', 0.1694977342426247), ('rnorm100', 16.94977342426247)])\n", "OrderedDict([('sharperatio', 0.7583895238617151)])\n", "Time used (seconds): 0.05083179473876953\n", "Optimal parameters: {'init_cash': 100000, 'buy_prop': 1, 'sell_prop': 1, 'execution_type': 'close', 'senti': 0.2}\n", "Optimal metrics: {'rtot': 0.07952983856127883, 'ravg': 0.0006213268637599909, 'rnorm': 0.1694977342426247, 'rnorm100': 16.94977342426247, 'sharperatio': 0.7583895238617151, 'pnl': 8277.79, 'final_value': 108277.78675811767}\n" ] }, { "data": { "application/javascript": [ "/* Put everything inside the global mpl namespace */\n", "window.mpl = {};\n", "\n", "\n", "mpl.get_websocket_type = function() {\n", " if (typeof(WebSocket) !== 'undefined') {\n", " return WebSocket;\n", " } else if (typeof(MozWebSocket) !== 'undefined') {\n", " return MozWebSocket;\n", " } else {\n", " alert('Your browser does not have WebSocket support. ' +\n", " 'Please try Chrome, Safari or Firefox ≥ 6. ' +\n", " 'Firefox 4 and 5 are also supported but you ' +\n", " 'have to enable WebSockets in about:config.');\n", " };\n", "}\n", "\n", "mpl.figure = function(figure_id, websocket, ondownload, parent_element) {\n", " this.id = figure_id;\n", "\n", " this.ws = websocket;\n", "\n", " this.supports_binary = (this.ws.binaryType != undefined);\n", "\n", " if (!this.supports_binary) {\n", " var warnings = document.getElementById(\"mpl-warnings\");\n", " if (warnings) {\n", " warnings.style.display = 'block';\n", " warnings.textContent = (\n", " \"This browser does not support binary websocket messages. \" +\n", " \"Performance may be slow.\");\n", " }\n", " }\n", "\n", " this.imageObj = new Image();\n", "\n", " this.context = undefined;\n", " this.message = undefined;\n", " this.canvas = undefined;\n", " this.rubberband_canvas = undefined;\n", " this.rubberband_context = undefined;\n", " this.format_dropdown = undefined;\n", "\n", " this.image_mode = 'full';\n", "\n", " this.root = $('
');\n", " this._root_extra_style(this.root)\n", " this.root.attr('style', 'display: inline-block');\n", "\n", " $(parent_element).append(this.root);\n", "\n", " this._init_header(this);\n", " this._init_canvas(this);\n", " this._init_toolbar(this);\n", "\n", " var fig = this;\n", "\n", " this.waiting = false;\n", "\n", " this.ws.onopen = function () {\n", " fig.send_message(\"supports_binary\", {value: fig.supports_binary});\n", " fig.send_message(\"send_image_mode\", {});\n", " if (mpl.ratio != 1) {\n", " fig.send_message(\"set_dpi_ratio\", {'dpi_ratio': mpl.ratio});\n", " }\n", " fig.send_message(\"refresh\", {});\n", " }\n", "\n", " this.imageObj.onload = function() {\n", " if (fig.image_mode == 'full') {\n", " // Full images could contain transparency (where diff images\n", " // almost always do), so we need to clear the canvas so that\n", " // there is no ghosting.\n", " fig.context.clearRect(0, 0, fig.canvas.width, fig.canvas.height);\n", " }\n", " fig.context.drawImage(fig.imageObj, 0, 0);\n", " };\n", "\n", " this.imageObj.onunload = function() {\n", " fig.ws.close();\n", " }\n", "\n", " this.ws.onmessage = this._make_on_message_function(this);\n", "\n", " this.ondownload = ondownload;\n", "}\n", "\n", "mpl.figure.prototype._init_header = function() {\n", " var titlebar = $(\n", " '
');\n", " var titletext = $(\n", " '
');\n", " titlebar.append(titletext)\n", " this.root.append(titlebar);\n", " this.header = titletext[0];\n", "}\n", "\n", "\n", "\n", "mpl.figure.prototype._canvas_extra_style = function(canvas_div) {\n", "\n", "}\n", "\n", "\n", "mpl.figure.prototype._root_extra_style = function(canvas_div) {\n", "\n", "}\n", "\n", "mpl.figure.prototype._init_canvas = function() {\n", " var fig = this;\n", "\n", " var canvas_div = $('
');\n", "\n", " canvas_div.attr('style', 'position: relative; clear: both; outline: 0');\n", "\n", " function canvas_keyboard_event(event) {\n", " return fig.key_event(event, event['data']);\n", " }\n", "\n", " canvas_div.keydown('key_press', canvas_keyboard_event);\n", " canvas_div.keyup('key_release', canvas_keyboard_event);\n", " this.canvas_div = canvas_div\n", " this._canvas_extra_style(canvas_div)\n", " this.root.append(canvas_div);\n", "\n", " var canvas = $('');\n", " canvas.addClass('mpl-canvas');\n", " canvas.attr('style', \"left: 0; top: 0; z-index: 0; outline: 0\")\n", "\n", " this.canvas = canvas[0];\n", " this.context = canvas[0].getContext(\"2d\");\n", "\n", " var backingStore = this.context.backingStorePixelRatio ||\n", "\tthis.context.webkitBackingStorePixelRatio ||\n", "\tthis.context.mozBackingStorePixelRatio ||\n", "\tthis.context.msBackingStorePixelRatio ||\n", "\tthis.context.oBackingStorePixelRatio ||\n", "\tthis.context.backingStorePixelRatio || 1;\n", "\n", " mpl.ratio = (window.devicePixelRatio || 1) / backingStore;\n", "\n", " var rubberband = $('');\n", " rubberband.attr('style', \"position: absolute; left: 0; top: 0; z-index: 1;\")\n", "\n", " var pass_mouse_events = true;\n", "\n", " canvas_div.resizable({\n", " start: function(event, ui) {\n", " pass_mouse_events = false;\n", " },\n", " resize: function(event, ui) {\n", " fig.request_resize(ui.size.width, ui.size.height);\n", " },\n", " stop: function(event, ui) {\n", " pass_mouse_events = true;\n", " fig.request_resize(ui.size.width, ui.size.height);\n", " },\n", " });\n", "\n", " function mouse_event_fn(event) {\n", " if (pass_mouse_events)\n", " return fig.mouse_event(event, event['data']);\n", " }\n", "\n", " rubberband.mousedown('button_press', mouse_event_fn);\n", " rubberband.mouseup('button_release', mouse_event_fn);\n", " // Throttle sequential mouse events to 1 every 20ms.\n", " rubberband.mousemove('motion_notify', mouse_event_fn);\n", "\n", " rubberband.mouseenter('figure_enter', mouse_event_fn);\n", " rubberband.mouseleave('figure_leave', mouse_event_fn);\n", "\n", " canvas_div.on(\"wheel\", function (event) {\n", " event = event.originalEvent;\n", " event['data'] = 'scroll'\n", " if (event.deltaY < 0) {\n", " event.step = 1;\n", " } else {\n", " event.step = -1;\n", " }\n", " mouse_event_fn(event);\n", " });\n", "\n", " canvas_div.append(canvas);\n", " canvas_div.append(rubberband);\n", "\n", " this.rubberband = rubberband;\n", " this.rubberband_canvas = rubberband[0];\n", " this.rubberband_context = rubberband[0].getContext(\"2d\");\n", " this.rubberband_context.strokeStyle = \"#000000\";\n", "\n", " this._resize_canvas = function(width, height) {\n", " // Keep the size of the canvas, canvas container, and rubber band\n", " // canvas in synch.\n", " canvas_div.css('width', width)\n", " canvas_div.css('height', height)\n", "\n", " canvas.attr('width', width * mpl.ratio);\n", " canvas.attr('height', height * mpl.ratio);\n", " canvas.attr('style', 'width: ' + width + 'px; height: ' + height + 'px;');\n", "\n", " rubberband.attr('width', width);\n", " rubberband.attr('height', height);\n", " }\n", "\n", " // Set the figure to an initial 600x600px, this will subsequently be updated\n", " // upon first draw.\n", " this._resize_canvas(600, 600);\n", "\n", " // Disable right mouse context menu.\n", " $(this.rubberband_canvas).bind(\"contextmenu\",function(e){\n", " return false;\n", " });\n", "\n", " function set_focus () {\n", " canvas.focus();\n", " canvas_div.focus();\n", " }\n", "\n", " window.setTimeout(set_focus, 100);\n", "}\n", "\n", "mpl.figure.prototype._init_toolbar = function() {\n", " var fig = this;\n", "\n", " var nav_element = $('
');\n", " nav_element.attr('style', 'width: 100%');\n", " this.root.append(nav_element);\n", "\n", " // Define a callback function for later on.\n", " function toolbar_event(event) {\n", " return fig.toolbar_button_onclick(event['data']);\n", " }\n", " function toolbar_mouse_event(event) {\n", " return fig.toolbar_button_onmouseover(event['data']);\n", " }\n", "\n", " for(var toolbar_ind in mpl.toolbar_items) {\n", " var name = mpl.toolbar_items[toolbar_ind][0];\n", " var tooltip = mpl.toolbar_items[toolbar_ind][1];\n", " var image = mpl.toolbar_items[toolbar_ind][2];\n", " var method_name = mpl.toolbar_items[toolbar_ind][3];\n", "\n", " if (!name) {\n", " // put a spacer in here.\n", " continue;\n", " }\n", " var button = $('