{ "cells": [ { "cell_type": "markdown", "metadata": {}, "source": [ "# Overview\n", "This notebook demonstrates the proof of concept for the proposed daily notification scheme.\n", "\n", "Assumptions:\n", "- The strategy has been thoroughly backtested and ready for actual trading.\n", "- Today is Nov 5, 2018, which is trading Day 0." ] }, { "cell_type": "markdown", "metadata": {}, "source": [ "## Step 1: Initialize data (Day 0)\n", "- Save the data to disk. This is so the script will only fetch the latest stock data." ] }, { "cell_type": "code", "execution_count": 1, "metadata": {}, "outputs": [], "source": [ "import pandas as pd\n", "\n", "from fastquant import backtest, get_stock_data" ] }, { "cell_type": "code", "execution_count": 2, "metadata": {}, "outputs": [], "source": [ "# Setup our variables\n", "FILE_DIR = \"jfc.csv\"\n", "SYMBOL = \"JFC\"\n", "today = \"2018-11-06\" # Fake today date for demo purposes\n", "\n", "df = get_stock_data(SYMBOL, \"2018-01-01\", \"2018-11-05\")\n", "df.to_csv(FILE_DIR)" ] }, { "cell_type": "markdown", "metadata": {}, "source": [ "## Step 2: Daily script calls (Day 1-2)\n", "1. Fetch today's data\n", "2. Load data from disk and append today's data\n", "3. Run backtest with args `live=True` and `today=today`" ] }, { "cell_type": "markdown", "metadata": {}, "source": [ "### Demo Day 1: Nov 6, 2018 (buy)" ] }, { "cell_type": "code", "execution_count": 3, "metadata": {}, "outputs": [], "source": [ "def daily_fetch(file_dir, symbol, today):\n", " today_df = get_stock_data(symbol, today, today)\n", "\n", " # Retrieve saved historical data on disk and append new data\n", " # TODO: add checks if daily updates were broken\n", " df = pd.read_csv(file_dir, parse_dates=[\"dt\"]).set_index(\"dt\")\n", " # df = df.append(today_df)\n", " df = pd.concat([df, today_df], ignore_index=True)\n", " df.to_csv(file_dir)\n", "\n", " return df" ] }, { "cell_type": "code", "execution_count": 4, "metadata": {}, "outputs": [ { "name": "stdout", "output_type": "stream", "text": [ "===Global level arguments===\n", "init_cash : 100000\n", "buy_prop : 1\n", "sell_prop : 1\n", "commission : 0.0075\n", "===Strategy level arguments===\n", "fast_period : 15\n", "slow_period : 40\n", ">>> Notif bot: BUY! <<<\n", "Final Portfolio Value: 97652.8975\n", "Final PnL: -2347.1\n", "Time used (seconds): 0.05349397659301758\n", "Optimal parameters: {'init_cash': 100000, 'buy_prop': 1, 'sell_prop': 1, 'commission': 0.0075, 'execution_type': 'close', 'live': True, 'today': '2018-11-06', 'notif_script_dir': False, 'symbol': '', 'fast_period': 15, 'slow_period': 40}\n", "Optimal metrics: {'rtot': -0.023750856806590226, 'ravg': -0.00011418681157014532, 'rnorm': -0.028365016583377686, 'rnorm100': -2.8365016583377685, 'sharperatio': None, 'pnl': -2347.1, 'final_value': 97652.8975}\n" ] }, { "data": { "application/javascript": "/* Put everything inside the global mpl namespace */\nwindow.mpl = {};\n\n\nmpl.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\nmpl.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 = $('
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