Merge pull request #1 from bsdz/basket_orders

Basket orders & Documentation & Restructuring

README.md

@@ -12,6 +12,10 @@ There are some basic tests but use at your own peril. It's not production level
 
 The core module uses pandas.
 
+## Other dependencies
+
+The portfolio optimisation module uses scipy.
+
 ## Installation
 
 ```bash
@@ -23,43 +27,52 @@ pip install yatbe
 Below is an example usage (the performance of the example strategy won't be good).
 
 ```python
+import inspect
 from pathlib import Path
-import pandas as pd
 
-import yabte
-from yabte import Strategy, StrategyRunner, Order
-from yabte.utils import crossover
+import pandas as pd
 
-data_dir = Path(yabte.__file__).parents[1] / "tests/data"
+from yabte.backtest import Strategy, StrategyRunner, Order, Book
+from yabte.utilities.strategy_helpers import crossover
 
+data_dir = Path(inspect.getfile(Strategy)).parents[2] / "tests/data/nasdaq"
 
-class SmokeStrat1(Strategy):
+class SMAXO(Strategy):
     def init(self):
         # enhance data with simple moving averages
-        csma10 = (
+
+        p = self.params
+        days_short = p.get("days_short", 10)
+        days_long = p.get("days_long", 20)
+
+        close_sma_short = (
             self.data.loc[:, (slice(None), "Close")]
-            .rolling(10)
+            .rolling(days_short)
             .mean()
-            .rename({"Close": "CloseSMA10"}, axis=1, level=1)
+            .rename({"Close": "CloseSMAShort"}, axis=1, level=1)
         )
-        csma20 = (
+        close_sma_long = (
             self.data.loc[:, (slice(None), "Close")]
-            .rolling(20)
+            .rolling(days_long)
             .mean()
-            .rename({"Close": "CloseSMA20"}, axis=1, level=1)
+            .rename({"Close": "CloseSMALong"}, axis=1, level=1)
         )
-        self.data = pd.concat([self.data, csma10, csma20], axis=1).sort_index(axis=1)
+        self.data = pd.concat(
+            [self.data, close_sma_short, close_sma_long], axis=1
+        ).sort_index(axis=1)
 
     def on_close(self):
         # create some orders
-        data_2d = self.data.iloc[-2:]
-        for sym in ["GOOG", "MSFT"]:
-            data = data_2d[sym].loc[:, ("CloseSMA10", "CloseSMA20")].dropna()
+
+        for symbol in ["GOOG", "MSFT"]:
+            df = self.data[symbol]
+            ix_2d = df.index[-2:]
+            data = df.loc[ix_2d, ("CloseSMAShort", "CloseSMALong")].dropna()
             if len(data) == 2:
-                if crossover(data.CloseSMA10, data.CloseSMA20):
-                    self.orders.append(Order(asset_name=sym, size=100))
-                elif crossover(data.CloseSMA20, data.CloseSMA10):
-                    self.orders.append(Order(asset_name=sym, size=-100))
+                if crossover(data.CloseSMAShort, data.CloseSMALong):
+                    self.orders.append(Order(asset_name=symbol, size=-100))
+                elif crossover(data.CloseSMALong, data.CloseSMAShort):
+                    self.orders.append(Order(asset_name=symbol, size=100))
 
 
 # load some data
@@ -71,15 +84,40 @@ df_goog.columns = pd.MultiIndex.from_tuples([("GOOG", f) for f in df_goog.column
 df_msft = pd.read_csv(data_dir / "MSFT.csv", index_col=0, parse_dates=[0])
 df_msft.columns = pd.MultiIndex.from_tuples([("MSFT", f) for f in df_msft.columns])
 
+# create a book with 100000 cash
+book = Book(name="PrimaryBook", cash="100000")
+
 # run our strategy
 sr = StrategyRunner(
     data=pd.concat([df_goog, df_msft], axis=1),
     asset_meta=asset_meta,
-    strats=[SmokeStrat1],
+    strats=[SMAXO],
+    books=[book],
 )
 sr.run()
 
 # see the trades or book history
 th = sr.trade_history
 bch = sr.book_history.loc[:, (slice(None), "cash")]
-```
+
+# plot the trades against book value
+bvh = sr.book_history.loc[:, (slice(None), "value")].droplevel(axis=1, level=1)
+ax = bvh.plot(title="Book Value History")
+
+for symbol, scol, lcol in [("GOOG", "red", "green"), ("MSFT", "blue", "yellow")]:
+    long_ix = th.query(f"asset_name == '{symbol}' and quantity > 0").ts
+    short_ix = th.query(f"asset_name == '{symbol}' and quantity < 0").ts
+    bvh.loc[long_ix].rename(columns={"PrimaryBook": f"{symbol} Short"}).plot(color=scol, marker="v", markersize=5, linestyle="None", ax=ax)
+    bvh.loc[short_ix].rename(columns={"PrimaryBook": f"{symbol} Long"}).plot(color=lcol, marker="^", markersize=5, linestyle="None", ax=ax)
+
+```
+
+![Output from code](./readme_image.png)
+
+## Examples
+
+Jupyter notebook examples can be found under the [notebooks folder](https://github.com/bsdz/yabte/tree/main/notebooks).
+
+## Documentation
+
+Documentation can be found on [Read the Docs](https://yabte.readthedocs.io/en/latest/).

docs/Makefile

@@ -0,0 +1,20 @@
+# Minimal makefile for Sphinx documentation
+#
+
+# You can set these variables from the command line, and also
+# from the environment for the first two.
+SPHINXOPTS    ?=
+SPHINXBUILD   ?= sphinx-build
+SOURCEDIR     = .
+BUILDDIR      = _build
+
+# Put it first so that "make" without argument is like "make help".
+help:
+	@$(SPHINXBUILD) -M help "$(SOURCEDIR)" "$(BUILDDIR)" $(SPHINXOPTS) $(O)
+
+.PHONY: help Makefile
+
+# Catch-all target: route all unknown targets to Sphinx using the new
+# "make mode" option.  $(O) is meant as a shortcut for $(SPHINXOPTS).
+%: Makefile
+	@$(SPHINXBUILD) -M $@ "$(SOURCEDIR)" "$(BUILDDIR)" $(SPHINXOPTS) $(O)

docs/conf.py

@@ -0,0 +1,34 @@
+# Configuration file for the Sphinx documentation builder.
+#
+# For the full list of built-in configuration values, see the documentation:
+# https://www.sphinx-doc.org/en/master/usage/configuration.html
+
+import sys
+import os
+
+# ensure project path avaliable to sphinx
+sys.path.insert(0, os.path.abspath(".."))
+
+
+# -- Project information -----------------------------------------------------
+# https://www.sphinx-doc.org/en/master/usage/configuration.html#project-information
+
+project = 'yabte'
+copyright = '2023, Blair Azzopardi'
+author = 'Blair Azzopardi'
+
+# -- General configuration ---------------------------------------------------
+# https://www.sphinx-doc.org/en/master/usage/configuration.html#general-configuration
+
+extensions = ['sphinx.ext.autodoc',  'sphinx.ext.mathjax', 'sphinx.ext.viewcode']
+
+templates_path = ['_templates']
+exclude_patterns = ['_build', 'Thumbs.db', '.DS_Store']
+
+
+
+# -- Options for HTML output -------------------------------------------------
+# https://www.sphinx-doc.org/en/master/usage/configuration.html#options-for-html-output
+
+html_theme = 'sphinx_rtd_theme'
+html_static_path = ['_static']

docs/index.rst

@@ -0,0 +1,22 @@
+.. yabte documentation master file, created by
+   sphinx-quickstart on Tue Feb  7 15:11:49 2023.
+   You can adapt this file completely to your liking, but it should at least
+   contain the root `toctree` directive.
+
+Welcome to yabte's documentation!
+=================================
+
+
+.. toctree::
+   :maxdepth: 2
+   :caption: Contents:
+
+   yabte.backtest
+   yabte.portopt
+
+Indices and tables
+==================
+
+* :ref:`genindex`
+* :ref:`modindex`
+* :ref:`search`

docs/make.bat

@@ -0,0 +1,35 @@
+@ECHO OFF
+
+pushd %~dp0
+
+REM Command file for Sphinx documentation
+
+if "%SPHINXBUILD%" == "" (
+	set SPHINXBUILD=sphinx-build
+)
+set SOURCEDIR=.
+set BUILDDIR=_build
+
+%SPHINXBUILD% >NUL 2>NUL
+if errorlevel 9009 (
+	echo.
+	echo.The 'sphinx-build' command was not found. Make sure you have Sphinx
+	echo.installed, then set the SPHINXBUILD environment variable to point
+	echo.to the full path of the 'sphinx-build' executable. Alternatively you
+	echo.may add the Sphinx directory to PATH.
+	echo.
+	echo.If you don't have Sphinx installed, grab it from
+	echo.https://www.sphinx-doc.org/
+	exit /b 1
+)
+
+if "%1" == "" goto help
+
+%SPHINXBUILD% -M %1 %SOURCEDIR% %BUILDDIR% %SPHINXOPTS% %O%
+goto end
+
+:help
+%SPHINXBUILD% -M help %SOURCEDIR% %BUILDDIR% %SPHINXOPTS% %O%
+
+:end
+popd

docs/yabte.backtest.rst

@@ -0,0 +1,34 @@
+--------------
+yabte.backtest
+--------------
+
+Strategy
+--------
+
+   .. automodule:: yabte.backtest.strategy
+      :members:
+
+Order
+-----
+
+   .. automodule:: yabte.backtest.order
+      :members:
+      :member-order: bysource
+
+Trade
+-----
+
+   .. automodule:: yabte.backtest.trade
+      :members:
+
+Book
+----
+
+   .. automodule:: yabte.backtest.book
+      :members:
+
+Asset
+-----
+
+   .. automodule:: yabte.backtest.asset
+      :members:

docs/yabte.portopt.rst

@@ -0,0 +1,21 @@
+-------------
+yabte.portopt
+-------------
+
+Minimum Variance
+----------------
+
+   .. automodule:: yabte.portopt.minimum_variance
+      :members:
+
+Inverse Variance
+----------------
+
+   .. automodule:: yabte.portopt.inverse_volatility
+      :members:
+
+Hierarchical Risk Parity
+------------------------
+
+   .. automodule:: yabte.portopt.hierarchical_risk_parity
+      :members: