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;; gorilla-repl.fileformat = 1
;; **
;;; ## Rate of Change example
;; **
;; @@
(ns clojure-backtesting.examples.roc
(:require [clojure-backtesting.data :refer :all]
[clojure-backtesting.data-management :refer :all]
[clojure-backtesting.portfolio :refer :all]
[clojure-backtesting.order :refer :all]
[clojure-backtesting.evaluate :refer :all]
[clojure-backtesting.plot :refer :all]
[clojure-backtesting.counter :refer :all]
[clojure-backtesting.automation :refer :all]
[clojure-backtesting.parameters :refer :all]
[clojure-backtesting.indicators :refer :all]
[clojure-backtesting.direct :refer :all]
[clojure.string :as str]
[clojure.java.io :as io]
[clojure.pprint :as pprint]
) ;; require all libriaries from core
)
;; @@
;; =>
;;; {"type":"html","content":"<span class='clj-nil'>nil</span>","value":"nil"}
;; <=
;; **
;;; ### Import dataset
;; **
;; @@
; path to dataset = "/Volumes/T7/CRSP"
; change it to the relative path to your own dataset
;
(load-dataset "./Volumes/T7/CRSP" "main" add-aprc)
;; @@
;; ->
;;; The dataset is already furnished by add-aprc. No more modification is needed.
;;; The dataset is already furnished by add-aprc. No more modification is needed.
;;;
;; <-
;; =>
;;; {"type":"html","content":"<span class='clj-string'>"Date range: 1972-01-03 ~ 2017-02-10"</span>","value":"\"Date range: 1972-01-03 ~ 2017-02-10\""}
;; <=
;; **
;;; ### Initialise portfolio （Go back here everytime you want to restart.）
;; **
;; @@
;; initialise with current date and initial capital (= $10000)
(init-portfolio "1981-01-01" 1000);
;; @@
;; =>
;;; {"type":"html","content":"<span class='clj-string'>"Date: 1980-12-31 Cash: $1000"</span>","value":"\"Date: 1980-12-31 Cash: $1000\""}
;; <=
;; **
;;; ### Rate of Change (ROC) strategy
;;;
;;; ROC = (Closing price - Closing n periods ago) / Closing n periods ago * 100
;;;
;;; We'll trade according to the following rules:
;;; - **Buy signal**: when ROC crosses the lower threshold (e.g. -30)
;;; - **Sell signal**: when ROC crosses the upper threshold (e.g. +30
;; **
;; @@
(def lower-threshold -30)
(def upper-threshold 30)
(while (< (compare (get-date) "1981-12-25") 0)
(let [roc (* (ROC "14593" 10) 100)]
(if (< roc lower-threshold)
(order "14593" 1 :print false)) ; buy signal
(if (> roc upper-threshold)
(order "14593" -1 :print false))) ; sell signal
(update-eval-report)
(next-date))
(end-order)
;; @@
;; =>
;;; {"type":"html","content":"<span class='clj-unkown'>true</span>","value":"true"}
;; <=
;; @@
(print-order-record 10)
;; @@
;; ->
;;;
;;; | :date | :permno | :price | :aprc | :quantity |
;;; |------------+---------+---------+-------+-----------|
;;; | 1981-01-02 | 14593 | 34.625 | 28.74 | -1 |
;;; | 1981-01-05 | 14593 | 33.8125 | 28.45 | -1 |
;;; | 1981-10-12 | 14593 | 19.3125 | 22.30 | -1 |
;;; | 1981-10-13 | 14593 | 19.375 | 22.34 | -1 |
;;; | 1981-12-28 | 14593 | 21.0 | 23.13 | 4 |
;;;
;; <-
;; =>
;;; {"type":"html","content":"<span class='clj-nil'>nil</span>","value":"nil"}
;; <=
;; **
;;; ### Check portfolio record
;; **
;; @@
(print-portfolio)
;; @@
;; ->
;;;
;;; | :asset | :price | :aprc | :quantity | :tot-val |
;;; |--------+--------+-------+-----------+----------|
;;; | cash | N/A | N/A | N/A | 1009.30 |
;;;
;; <-
;; =>
;;; {"type":"html","content":"<span class='clj-nil'>nil</span>","value":"nil"}
;; <=
;; @@
(print-portfolio-record 10)
;; @@
;; ->
;;;
;;; | :date | :tot-value | :daily-ret | :tot-ret | :loan | :leverage | :margin |
;;; |------------+------------+------------+----------+-------+-----------+---------|
;;; | 1980-12-31 | $1000.00 | 0.00% | 0.00% | $0.00 | 0.00 | 0.00% |
;;; | 1981-01-02 | $1000.00 | 0.00% | 0.00% | $0.00 | 0.00 | 0.00% |
;;; | 1981-01-05 | $1000.29 | -0.00% | 0.01% | $0.00 | 0.00 | 0.00% |
;;; | 1981-01-06 | $1001.41 | 0.05% | 0.06% | $0.00 | 0.00 | 0.00% |
;;; | 1981-01-07 | $1002.45 | 0.05% | 0.11% | $0.00 | 0.00 | 0.00% |
;;; | 1981-01-08 | $1002.93 | 0.02% | 0.13% | $0.00 | 0.00 | 0.00% |
;;; | 1981-01-09 | $1001.69 | -0.05% | 0.07% | $0.00 | 0.00 | 0.00% |
;;; | 1981-01-12 | $1001.83 | 0.01% | 0.08% | $0.00 | 0.00 | 0.00% |
;;; | 1981-01-13 | $1002.74 | 0.04% | 0.12% | $0.00 | 0.00 | 0.00% |
;;; | 1981-01-14 | $1002.64 | -0.00% | 0.11% | $0.00 | 0.00 | 0.00% |
;;;
;; <-
;; =>
;;; {"type":"html","content":"<span class='clj-nil'>nil</span>","value":"nil"}
;; <=
;; **
;;; ### Generate evaluation report
;; **
;; @@
(print-eval-report 30)
;; @@
;; ->
;;;
;;; | :date | :tot-value | :vol | :r-vol | :sharpe | :r-sharpe | :pnl-pt | :max-drawdown |
;;; |------------+------------+---------+---------+---------------------+---------------------+---------+---------------|
;;; | 1981-01-02 | $1000 | 0.0000% | 0.0000% | 0.0000% | 0.0000% | $0 | 0.0000 |
;;; | 1981-01-05 | $1000 | 0.0000% | 0.0000% | 4599543695833.1280% | 4599543695833.1280% | $0 | 0.0000 |
;;; | 1981-01-06 | $1001 | 0.0241% | 0.0241% | 2.5316% | 2.5316% | $0 | 100.0000 |
;;; | 1981-01-07 | $1002 | 0.0256% | 0.0256% | 4.1486% | 4.1486% | $1 | 100.0000 |
;;; | 1981-01-08 | $1002 | 0.0229% | 0.0229% | 5.5475% | 5.5475% | $1 | 100.0000 |
;;; | 1981-01-09 | $1001 | 0.0346% | 0.0346% | 2.1147% | 2.1147% | $0 | 211.9380 |
;;; | 1981-01-12 | $1001 | 0.0321% | 0.0321% | 2.4749% | 2.4749% | $0 | 211.9380 |
;;; | 1981-01-13 | $1002 | 0.0317% | 0.0317% | 3.7421% | 3.7421% | $1 | 211.9380 |
;;; | 1981-01-14 | $1002 | 0.0303% | 0.0303% | 3.7759% | 3.7759% | $1 | 211.9380 |
;;; | 1981-01-15 | $1002 | 0.0305% | 0.0305% | 3.0112% | 3.0112% | $1 | 211.9380 |
;;; | 1981-01-16 | $1002 | 0.0291% | 0.0291% | 3.5129% | 3.5129% | $1 | 211.9380 |
;;; | 1981-01-19 | $1000 | 0.0337% | 0.0337% | 1.2088% | 1.2088% | $0 | 227.2370 |
;;; | 1981-01-20 | $1001 | 0.0334% | 0.0334% | 2.1923% | 2.1923% | $0 | 227.2370 |
;;; | 1981-01-21 | $1001 | 0.0329% | 0.0329% | 1.5450% | 1.5450% | $0 | 227.2370 |
;;; | 1981-01-22 | $1000 | 0.0320% | 0.0320% | 1.2109% | 1.2109% | $0 | 227.2370 |
;;; | 1981-01-23 | $1000 | 0.0310% | 0.0310% | 1.3802% | 1.3802% | $0 | 227.2370 |
;;; | 1981-01-26 | $1001 | 0.0303% | 0.0303% | 2.0115% | 2.0115% | $0 | 227.2370 |
;;; | 1981-01-27 | $1001 | 0.0295% | 0.0295% | 2.2763% | 2.2763% | $0 | 227.2370 |
;;; | 1981-01-28 | $1002 | 0.0296% | 0.0296% | 3.4513% | 3.4513% | $1 | 227.2370 |
;;; | 1981-01-29 | $1003 | 0.0297% | 0.0297% | 4.7035% | 4.7035% | $1 | 227.2370 |
;;; | 1981-01-30 | $1004 | 0.0307% | 0.0307% | 6.2963% | 6.2963% | $2 | 214.0978 |
;;; | 1981-02-02 | $1005 | 0.0319% | 0.0319% | 7.9426% | 7.9426% | $2 | 202.4048 |
;;; | 1981-02-03 | $1005 | 0.0326% | 0.0326% | 6.6785% | 6.6785% | $2 | 202.4048 |
;;; | 1981-02-04 | $1004 | 0.0331% | 0.0331% | 5.5226% | 5.5226% | $2 | 202.4048 |
;;; | 1981-02-05 | $1004 | 0.0325% | 0.0325% | 5.5614% | 5.5614% | $2 | 202.4048 |
;;; | 1981-02-06 | $1004 | 0.0319% | 0.0319% | 5.5960% | 5.5960% | $2 | 202.4048 |
;;; | 1981-02-09 | $1005 | 0.0324% | 0.0324% | 7.0664% | 7.0664% | $2 | 202.4048 |
;;; | 1981-02-10 | $1005 | 0.0318% | 0.0318% | 7.2623% | 7.2623% | $2 | 202.4048 |
;;; | 1981-02-11 | $1006 | 0.0316% | 0.0316% | 8.3162% | 8.3162% | $3 | 202.4048 |
;;; | 1981-02-12 | $1006 | 0.0310% | 0.0315% | 8.7512% | 8.6148% | $3 | 202.4048 |
;;;
;; <-
;; =>
;;; {"type":"html","content":"<span class='clj-nil'>nil</span>","value":"nil"}
;; <=
;; **
;;; ### Plot variables
;; **
;; @@
(def data (deref portfolio-value))
;; @@
;; =>
;;; {"type":"html","content":"<span class='clj-var'>#'clojure-backtesting.demo/data</span>","value":"#'clojure-backtesting.demo/data"}
;; <=
;; @@
(def data-to-plot
(map #(assoc % :plot "portfolio")
data))
;; @@
;; =>
;;; {"type":"html","content":"<span class='clj-var'>#'clojure-backtesting.demo/data-to-plot</span>","value":"#'clojure-backtesting.demo/data-to-plot"}
;; <=
;; @@
(first data-to-plot)
;; @@
;; =>
;;; {"type":"list-like","open":"<span class='clj-map'>{</span>","close":"<span class='clj-map'>}</span>","separator":", ","items":[{"type":"list-like","open":"","close":"","separator":" ","items":[{"type":"html","content":"<span class='clj-keyword'>:date</span>","value":":date"},{"type":"html","content":"<span class='clj-string'>"1980-12-31"</span>","value":"\"1980-12-31\""}],"value":"[:date \"1980-12-31\"]"},{"type":"list-like","open":"","close":"","separator":" ","items":[{"type":"html","content":"<span class='clj-keyword'>:tot-value</span>","value":":tot-value"},{"type":"html","content":"<span class='clj-long'>1000</span>","value":"1000"}],"value":"[:tot-value 1000]"},{"type":"list-like","open":"","close":"","separator":" ","items":[{"type":"html","content":"<span class='clj-keyword'>:daily-ret</span>","value":":daily-ret"},{"type":"html","content":"<span class='clj-double'>0.0</span>","value":"0.0"}],"value":"[:daily-ret 0.0]"},{"type":"list-like","open":"","close":"","separator":" ","items":[{"type":"html","content":"<span class='clj-keyword'>:tot-ret</span>","value":":tot-ret"},{"type":"html","content":"<span class='clj-double'>0.0</span>","value":"0.0"}],"value":"[:tot-ret 0.0]"},{"type":"list-like","open":"","close":"","separator":" ","items":[{"type":"html","content":"<span class='clj-keyword'>:loan</span>","value":":loan"},{"type":"html","content":"<span class='clj-double'>0.0</span>","value":"0.0"}],"value":"[:loan 0.0]"},{"type":"list-like","open":"","close":"","separator":" ","items":[{"type":"html","content":"<span class='clj-keyword'>:leverage</span>","value":":leverage"},{"type":"html","content":"<span class='clj-double'>0.0</span>","value":"0.0"}],"value":"[:leverage 0.0]"},{"type":"list-like","open":"","close":"","separator":" ","items":[{"type":"html","content":"<span class='clj-keyword'>:margin</span>","value":":margin"},{"type":"html","content":"<span class='clj-double'>0.0</span>","value":"0.0"}],"value":"[:margin 0.0]"},{"type":"list-like","open":"","close":"","separator":" ","items":[{"type":"html","content":"<span class='clj-keyword'>:plot</span>","value":":plot"},{"type":"html","content":"<span class='clj-string'>"portfolio"</span>","value":"\"portfolio\""}],"value":"[:plot \"portfolio\"]"}],"value":"{:date \"1980-12-31\", :tot-value 1000, :daily-ret 0.0, :tot-ret 0.0, :loan 0.0, :leverage 0.0, :margin 0.0, :plot \"portfolio\"}"}
;; <=
;; @@
(plot data-to-plot :plot :date :daily-ret false)
;; @@
;; =>
;;; {"type":"html","content":"<span class='clj-nil'>nil</span>","value":"nil"}
;; <=
;; @@
;; @@