examples/Relative Strength Index.ipynb

{
 "cells": [
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "### Run this in Python kernel"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "%%html\n",
    "<style>\n",
    "body {\n",
    "    font-family: \"Arial\", cursive, sans-serif; # font style of application\n",
    "}\n",
    "pre {\n",
    "    font-family: \"Courier New\"; # font style of cell outputs\n",
    "}\n",
    "</style>  "
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "### Run below in the backtesting_clojure kernel"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 1,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "nil"
      ]
     },
     "execution_count": 1,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "; import libraries from kernel\n",
    "(ns clojure-backtesting.demo\n",
    "  (:require [clojure-backtesting.data :refer :all]\n",
    "            [clojure-backtesting.data-management :refer :all]\n",
    "            [clojure-backtesting.portfolio :refer :all]\n",
    "            [clojure-backtesting.order :refer :all]\n",
    "            [clojure-backtesting.evaluate :refer :all]\n",
    "            [clojure-backtesting.plot :refer :all]\n",
    "            [clojure-backtesting.counter :refer :all]\n",
    "            [clojure-backtesting.automation :refer :all]\n",
    "            [clojure-backtesting.parameters :refer :all]\n",
    "            [clojure-backtesting.indicators :refer :all]\n",
    "            [clojure-backtesting.direct :refer :all]\n",
    "            [clojure.string :as str]\n",
    "            [clojure.java.io :as io]\n",
    "            [clojure.pprint :as pprint]\n",
    "  ) ;; require all libriaries from core\n",
    ")"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "### Import dataset"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 2,
   "metadata": {},
   "outputs": [],
   "source": [
    "; path to dataset = \"/Volumes/T7/CRSP\"\n",
    "; change it to the relative path to your own dataset\n",
    ";\n",
    "(load-dataset \"/Volumes/T7/CRSP\" \"main\" add-aprc)"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "### Initialise portfolio （Go back here everytime you want to restart.）"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 3,
   "metadata": {},
   "outputs": [],
   "source": [
    ";; initialise with current date and initial capital (= $10000)\n",
    "(init-portfolio \"1980-12-15\" 1000);"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "### Relative Strength Index (RSI) strategy\n",
    "\n",
    "<p>RSI = 100 - 100 / (1 + RS)</p>\n",
    "RS = Average Gain / Average Loss\n",
    "\n",
    "<p>1st Average Gain = Sum of gains over past 14 periods / 14</p>\n",
    "1st Average Loss = Sum of losses over past 14 periods / 14\n",
    "\n",
    "<p>Average Gain = (Previous average gain x 13 + Current gain) / 14</p>\n",
    "Average Loss = (Previous average loss x 13 + Current loss) / 14\n",
    "\n",
    "We'll trade according to the following rules:\n",
    "- **Buy signal**: when RSI crosses the lower threshold (e.g. 30)\n",
    "- **Sell signal**: when RSI crosses the upper threshold (e.g. 70)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 6,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "\"1980-12-15\""
      ]
     },
     "execution_count": 6,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "(get-date)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 7,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "\"1981-01-06\""
      ]
     },
     "execution_count": 7,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "(def n 14)\n",
    "\n",
    ";; go to 14 days after\n",
    "(for [x (range n)] \n",
    "  (next-date))\n",
    "\n",
    "(get-date)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 11,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "[]"
      ]
     },
     "execution_count": 11,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    ";; calculate average gains and losses for remaining days\n",
    "(while (< (compare (get-date) \"1981-03-31\") 0)\n",
    "  (do\n",
    "    (let [rsi (RSI \"14593\")]\n",
    "      (if (< rsi lower-threshold)\n",
    "        (order \"14593\" 1 :print false)) ; buy signal\n",
    "      (if (> rs upper-threshold)\n",
    "        (order \"14593\" -1 :print false)) ; sell signal\n",
    "      (update-eval-report)\n",
    "      (next-date)))\n",
    "(end-order))"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 13,
   "metadata": {},
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "\n",
      "|      :date | :tic |  :price | :aprc | :quantity |\n",
      "|------------+------+---------+-------+-----------|\n",
      "| 1981-01-08 | AAPL | 30.3125 | 27.92 |         1 |\n",
      "| 1981-01-09 | AAPL | 31.9375 | 28.56 |         1 |\n",
      "| 1981-01-12 | AAPL |   31.75 | 28.49 |         1 |\n",
      "| 1981-01-13 | AAPL | 30.5625 | 28.02 |         1 |\n",
      "| 1981-01-14 | AAPL | 30.6875 | 28.07 |         1 |\n",
      "| 1981-01-15 | AAPL |  31.375 | 28.34 |         1 |\n",
      "| 1981-01-16 | AAPL | 31.0625 | 28.22 |         1 |\n",
      "| 1981-01-19 | AAPL | 32.9375 | 28.95 |         1 |\n",
      "| 1981-01-20 | AAPL | 31.9375 | 28.56 |         1 |\n",
      "| 1981-01-21 | AAPL |  32.625 | 28.83 |         1 |\n"
     ]
    },
    {
     "data": {
      "text/plain": [
       "nil"
      ]
     },
     "execution_count": 13,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "(print-order-record 10)"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "### Check portfolio record"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 14,
   "metadata": {},
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "\n",
      "| :asset | :price | :aprc | :quantity | :tot-val |\n",
      "|--------+--------+-------+-----------+----------|\n",
      "|   cash |    N/A |   N/A |       N/A |   891.05 |\n"
     ]
    },
    {
     "data": {
      "text/plain": [
       "nil"
      ]
     },
     "execution_count": 14,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    ";; view final portfolio\n",
    "(print-portfolio)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 132,
   "metadata": {},
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "\n",
      "|      :date | :tot-value | :daily-ret | :tot-ret | :loan | :leverage | :margin |\n",
      "|------------+------------+------------+----------+-------+-----------+---------|\n",
      "| 1980-12-15 |   $1000.00 |      0.00% |    0.00% | $0.00 |      0.00 |   0.00% |\n",
      "| 1981-01-08 |   $1000.00 |      0.00% |    0.00% | $0.00 |      0.00 |   0.00% |\n",
      "| 1981-01-09 |   $1000.64 |      0.00% |    0.03% | $0.00 |      0.00 |   0.00% |\n",
      "| 1981-01-12 |   $1000.49 |      0.00% |    0.02% | $0.00 |      0.00 |   0.00% |\n",
      "| 1981-01-13 |    $999.09 |      0.00% |   -0.04% | $0.00 |      0.00 |   0.00% |\n",
      "| 1981-01-14 |    $999.29 |      0.00% |   -0.03% | $0.00 |      0.00 |   0.00% |\n",
      "| 1981-01-15 |   $1000.65 |      0.00% |    0.03% | $0.00 |      0.00 |   0.00% |\n",
      "| 1981-01-16 |    $999.91 |      0.00% |   -0.00% | $0.00 |      0.00 |   0.00% |\n",
      "| 1981-01-19 |   $1005.00 |      0.00% |    0.22% | $0.00 |      0.00 |   0.00% |\n",
      "| 1981-01-20 |   $1001.92 |      0.00% |    0.08% | $0.00 |      0.00 |   0.00% |\n"
     ]
    },
    {
     "data": {
      "text/plain": [
       "nil"
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     },
     "execution_count": 132,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    ";; view portfolio value and return\n",
    "(print-portfolio-record 10)"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "### Generate evaluation report"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 16,
   "metadata": {},
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "\n",
      "|      :date | :tot-value |    :vol |  :r-vol |    :sharpe |  :r-sharpe | :pnl-pt | :max-drawdown |\n",
      "|------------+------------+---------+---------+------------+------------+---------+---------------|\n",
      "| 1981-01-07 |      $1000 | 0.0000% | 0.0000% |    0.0000% |    0.0000% |      $0 |        0.0000 |\n",
      "| 1981-01-08 |      $1000 | 0.0161% | 0.0161% |    1.7321% |    1.7321% |      $0 |      100.0000 |\n",
      "| 1981-01-09 |      $1000 | 0.0032% | 0.0032% |    6.7821% |    6.7821% |      $0 |        0.0000 |\n",
      "| 1981-01-12 |       $999 | 0.0273% | 0.0273% |   -1.4483% |   -1.4483% |      $0 |        0.0000 |\n",
      "| 1981-01-13 |       $999 | 0.0035% | 0.0035% |   -8.7393% |   -8.7393% |      $0 |      100.0000 |\n",
      "| 1981-01-14 |      $1000 | 0.0223% | 0.0223% |    1.2614% |    1.2614% |      $0 |      100.0000 |\n",
      "| 1981-01-15 |       $999 | 0.0113% | 0.0113% |   -0.3470% |   -0.3470% |      $0 |        0.0000 |\n",
      "| 1981-01-16 |      $1005 | 0.0735% | 0.0735% |    2.9466% |    2.9466% |      $0 |      100.0000 |\n",
      "| 1981-01-19 |      $1001 | 0.0422% | 0.0422% |    1.9783% |    1.9783% |      $0 |        0.0000 |\n",
      "| 1981-01-20 |      $1004 | 0.0312% | 0.0312% |    5.9911% |    5.9911% |      $0 |      100.0000 |\n",
      "| 1981-01-21 |      $1005 | 0.0179% | 0.0179% |   13.9049% |   13.9049% |      $0 |      100.0000 |\n",
      "| 1981-01-22 |      $1005 | 0.0063% | 0.0063% |   35.9662% |   35.9662% |      $0 |        0.0000 |\n",
      "| 1981-01-23 |      $1002 | 0.0300% | 0.0300% |    3.8049% |    3.8049% |      $0 |        0.0000 |\n",
      "| 1981-01-26 |      $1001 | 0.0105% | 0.0105% |    6.9427% |    6.9427% |      $0 |        0.0000 |\n",
      "| 1981-01-27 |       $995 | 0.0632% | 0.0632% |   -2.8419% |   -2.8419% |      $0 |        0.0000 |\n",
      "| 1981-01-28 |       $989 | 0.0714% | 0.0714% |   -6.6384% |   -6.6384% |      $0 |        0.0000 |\n",
      "| 1981-01-29 |       $978 | 0.1064% | 0.1064% |   -8.6988% |   -8.6988% |     $-1 |        0.0000 |\n",
      "| 1981-01-30 |       $966 | 0.1241% | 0.1241% |  -11.8128% |  -11.8128% |     $-1 |        0.0000 |\n",
      "| 1981-02-02 |       $974 | 0.0766% | 0.0766% |  -14.6644% |  -14.6644% |     $-1 |      100.0000 |\n",
      "| 1981-02-03 |       $982 | 0.0767% | 0.0767% |  -10.0639% |  -10.0639% |      $0 |      100.0000 |\n",
      "| 1981-02-04 |       $982 | 0.0049% | 0.0049% | -154.2057% | -154.2057% |      $0 |      100.0000 |\n",
      "| 1981-02-05 |       $983 | 0.0050% | 0.0050% | -145.6512% | -145.6512% |      $0 |      100.0000 |\n",
      "| 1981-02-06 |       $970 | 0.1199% | 0.1199% |  -10.9502% |  -10.9502% |     $-1 |        0.0000 |\n",
      "| 1981-02-09 |       $969 | 0.0055% | 0.0055% | -245.4645% | -245.4645% |     $-1 |        0.0000 |\n",
      "| 1981-02-10 |       $960 | 0.0794% | 0.0794% |  -21.9818% |  -21.9818% |     $-1 |        0.0000 |\n",
      "| 1981-02-11 |       $957 | 0.0236% | 0.0236% |  -79.1221% |  -79.1221% |     $-1 |        0.0000 |\n",
      "| 1981-02-12 |       $951 | 0.0550% | 0.0550% |  -39.2591% |  -39.2591% |     $-1 |        0.0000 |\n",
      "| 1981-02-13 |       $958 | 0.0561% | 0.0561% |  -33.0950% |  -33.0950% |     $-1 |      100.0000 |\n",
      "| 1981-02-17 |       $972 | 0.1172% | 0.1172% |  -10.3598% |  -10.3598% |      $0 |      100.0000 |\n",
      "| 1981-02-18 |       $951 | 0.1712% | 0.1740% |  -12.6591% |  -12.4533% |     $-1 |        0.0000 |\n"
     ]
    },
    {
     "data": {
      "text/plain": [
       "nil"
      ]
     },
     "execution_count": 16,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "(print-eval-report 30)"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "### Plot variables"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 17,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "#'clojure-backtesting.demo/data"
      ]
     },
     "execution_count": 17,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "(def data (deref portfolio-value))"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 18,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "#'clojure-backtesting.demo/data-to-plot"
      ]
     },
     "execution_count": 18,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "; Add legend name to series\n",
    "(def data-to-plot\n",
    " (map #(assoc % :plot \"portfolio\")\n",
    "  data))"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 19,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "{:date \"1980-12-15\", :tot-value 1000, :daily-ret 0.0, :tot-ret 0.0, :loan 0.0, :leverage 0.0, :margin 0.0, :plot \"portfolio\"}"
      ]
     },
     "execution_count": 19,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "(first data-to-plot)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 21,
   "metadata": {},
   "outputs": [
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       "    require(['vega-embed'], function(vegaEmbed) {\n",
       "      let spec = {\"width\":800,\"height\":500,\"data\":{\"values\":[{\"date\":\"1980-12-15\",\"tot-value\":1000,\"daily-ret\":0.0,\"tot-ret\":0.0,\"loan\":0.0,\"leverage\":0.0,\"margin\":0.0,\"plot\":\"portfolio\"},{\"date\":\"1981-01-08\",\"tot-value\":1000.0,\"daily-ret\":0.0,\"tot-ret\":0.0,\"loan\":0.0,\"leverage\":0.0,\"margin\":0.0,\"plot\":\"portfolio\"},{\"date\":\"1981-01-09\",\"tot-value\":1000.6404610550364,\"daily-ret\":0.0,\"tot-ret\":2.780596683836722E-4,\"loan\":0.0,\"leverage\":0.0,\"margin\":0.0,\"plot\":\"portfolio\"},{\"date\":\"1981-01-12\",\"tot-value\":1000.4945687860812,\"daily-ret\":0.0,\"tot-ret\":2.1473539837990293E-4,\"loan\":0.0,\"leverage\":0.0,\"margin\":0.0,\"plot\":\"portfolio\"},{\"date\":\"1981-01-13\",\"tot-value\":999.0913216395514,\"daily-ret\":0.0,\"tot-ret\":-3.948134041448114E-4,\"loan\":0.0,\"leverage\":0.0,\"margin\":0.0,\"plot\":\"portfolio\"},{\"date\":\"1981-01-14\",\"tot-value\":999.290182207377,\"daily-ret\":0.0,\"tot-ret\":-3.0837941004143105E-4,\"loan\":0.0,\"leverage\":0.0,\"margin\":0.0,\"plot\":\"portfolio\"},{\"date\":\"1981-01-15\",\"tot-value\":1000.6471958060213,\"daily-ret\":0.0,\"tot-ret\":2.809826516736878E-4,\"loan\":0.0,\"leverage\":0.0,\"margin\":0.0,\"plot\":\"portfolio\"},{\"date\":\"1981-01-16\",\"tot-value\":999.9095388385506,\"daily-ret\":0.0,\"tot-ret\":-3.9288560315238117E-5,\"loan\":0.0,\"leverage\":0.0,\"margin\":0.0,\"plot\":\"portfolio\"},{\"date\":\"1981-01-19\",\"tot-value\":1005.0021340133858,\"daily-ret\":0.0,\"tot-ret\":0.0021669839348696417,\"loan\":0.0,\"leverage\":0.0,\"margin\":0.0,\"plot\":\"portfolio\"},{\"date\":\"1981-01-20\",\"tot-value\":1001.922055512512,\"daily-ret\":0.0,\"tot-ret\":8.339369229535697E-4,\"loan\":0.0,\"leverage\":0.0,\"margin\":0.0,\"plot\":\"portfolio\"},{\"date\":\"1981-01-21\",\"tot-value\":1004.3106921856606,\"daily-ret\":0.0,\"tot-ret\":0.0018680863433389748,\"loan\":0.0,\"leverage\":0.0,\"margin\":0.0,\"plot\":\"portfolio\"},{\"date\":\"1981-01-22\",\"tot-value\":1005.7450235614384,\"daily-ret\":0.0,\"tot-ret\":0.002487892354257267,\"loan\":0.0,\"leverage\":0.0,\"margin\":0.0,\"plot\":\"portfolio\"},{\"date\":\"1981-01-23\",\"tot-value\":1005.220206072416,\"daily-ret\":0.0,\"tot-ret\":0.0022612098226006978,\"loan\":0.0,\"leverage\":0.0,\"margin\":0.0,\"plot\":\"portfolio\"},{\"date\":\"1981-01-26\",\"tot-value\":1002.6285896808373,\"daily-ret\":0.0,\"tot-ret\":0.0011400842423263558,\"loan\":0.0,\"leverage\":0.0,\"margin\":0.0,\"plot\":\"portfolio\"},{\"date\":\"1981-01-27\",\"tot-value\":1001.6865285014273,\"daily-ret\":0.0,\"tot-ret\":7.31833066401539E-4,\"loan\":0.0,\"leverage\":0.0,\"margin\":0.0,\"plot\":\"portfolio\"},{\"date\":\"1981-01-28\",\"tot-value\":995.8735225539443,\"daily-ret\":0.0,\"tot-ret\":-0.0017958141312792893,\"loan\":0.0,\"leverage\":0.0,\"margin\":0.0,\"plot\":\"portfolio\"},{\"date\":\"1981-01-29\",\"tot-value\":989.1461933308162,\"daily-ret\":0.0,\"tot-ret\":-0.004739516021899249,\"loan\":0.0,\"leverage\":0.0,\"margin\":0.0,\"plot\":\"portfolio\"},{\"date\":\"1981-01-30\",\"tot-value\":978.921833056673,\"daily-ret\":0.0,\"tot-ret\":-0.009251985242287568,\"loan\":0.0,\"leverage\":0.0,\"margin\":0.0,\"plot\":\"portfolio\"},{\"date\":\"1981-02-02\",\"tot-value\":966.8021795274055,\"daily-ret\":0.0,\"tot-ret\":-0.01466237920392125,\"loan\":0.0,\"leverage\":0.0,\"margin\":0.0,\"plot\":\"portfolio\"},{\"date\":\"1981-02-03\",\"tot-value\":974.4603362510679,\"daily-ret\":0.0,\"tot-ret\":-0.011235833404092267,\"loan\":0.0,\"leverage\":0.0,\"margin\":0.0,\"plot\":\"portfolio\"},{\"date\":\"1981-02-04\",\"tot-value\":982.3802748678386,\"daily-ret\":0.0,\"tot-ret\":-0.007720366278289289,\"loan\":0.0,\"leverage\":0.0,\"margin\":0.0,\"plot\":\"portfolio\"},{\"date\":\"1981-02-05\",\"tot-value\":982.8959131849564,\"daily-ret\":0.0,\"tot-ret\":-0.007492470695691578,\"loan\":0.0,\"leverage\":0.0,\"margin\":0.0,\"plot\":\"portfolio\"},{\"date\":\"1981-02-06\",\"tot-value\":983.4366026924959,\"daily-ret\":0.0,\"tot-ret\":-0.007253631665599262,\"loan\":0.0,\"leverage\":0.0,\"margin\":0.0,\"plot\":\"portfolio\"},{\"date\":\"1981-02-09\",\"tot-value\":970.2282805437449,\"daily-ret\":0.0,\"tot-ret\":-0.013126070562263233,\"loan\":0.0,\"leverage\":0.0,\"margin\":0.0,\"plot\":\"portfolio\"},{\"date\":\"1981-02-10\",\"tot-value\":969.6187339556395,\"daily-ret\":0.0,\"tot-ret\":-0.013399002114505275,\"loan\":0.0,\"leverage\":0.0,\"margin\":0.0,\"plot\":\"portfolio\"},{\"date\":\"1981-02-11\",\"tot-value\":960.6256472798827,\"daily-ret\":0.0,\"tot-ret\":-0.017445822523792693,\"loan\":0.0,\"leverage\":0.0,\"margin\":0.0,\"plot\":\"portfolio\"},{\"date\":\"1981-02-12\",\"tot-value\":957.9171202649038,\"daily-ret\":0.0,\"tot-ret\":-0.018672064792742114,\"loan\":0.0,\"leverage\":0.0,\"margin\":0.0,\"plot\":\"portfolio\"},{\"date\":\"1981-02-13\",\"tot-value\":951.5227762400688,\"daily-ret\":0.0,\"tot-ret\":-0.021580811710125415,\"loan\":0.0,\"leverage\":0.0,\"margin\":0.0,\"plot\":\"portfolio\"},{\"date\":\"1981-02-17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       "      vegaEmbed('#uuid-e18194e3-1be9-4b3f-8ca2-28b9fcb0d105', spec, {defaultStyle:true}).catch(console.warn);\n",
       "      }, function(err) {\n",
       "      console.log('Failed to load');\n",
       "    });\n",
       "    </script>\n",
       "  </div>\n",
       "    "
      ]
     },
     "execution_count": 21,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "(plot data-to-plot :plot :date :daily-ret false)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": []
  }
 ],
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  "kernelspec": {
   "display_name": "Clojure (backtesting_clojure)",
   "language": "clojure",
   "name": "backtesting_clojure"
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  "language_info": {
   "file_extension": ".clj",
   "mimetype": "text/x-clojure",
   "name": "clojure",
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