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bollinger_bands.clj
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;; gorilla-repl.fileformat = 1
;; **
;;; ## Bollinger Bands
;; **
;; @@
(ns clojure-backtesting.examples.bollinger
(: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.
;;;
;; <-
;; =>
;;; {"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 (= $1000)
(init-portfolio "1990-12-23" 1000);
;; @@
;; =>
;;; {"type":"html","content":"<span class='clj-string'>"Date: 1990-12-21 Cash: $1000"</span>","value":"\"Date: 1990-12-21 Cash: $1000\""}
;; <=
;; @@
(get-date)
;; @@
;; =>
;;; {"type":"html","content":"<span class='clj-string'>"1990-12-21"</span>","value":"\"1990-12-21\""}
;; <=
;; **
;;; ### Write a strategy
;;;
;;; The Bollinger Bands indicator is used to measure the “highness” or “lowness” of the price, relative to previous trades.
;;; The Bollinger Bands consist of a middle band with two outer bands:
;;;
;;; Middle Band=20-day simple moving average (SMA)
;;;
;;; Upper Band=20-day SMA+(20-day standard deviation of price×2)
;;;
;;; Lower Band=20-day SMA−(20-day standard deviation of price×2)
;;;
;;; Buy signal: when price goes below lower band
;;;
;;; Sell signal: when price goes above upper band
;;;
;; **
;; @@
(defn bollinger-bands
[tic]
"The strategy"
(let [price (or (get-permno-price tic) 0)
SMA (or (moving-avg tic 20) 0)
SD20 (or (moving-sd tic 20) 0)
[upper lower] [(+ SMA (* SD20 2)) (- SMA (* SD20 2))]]
(if (< price lower)
(order tic 1 :print false))
(if (> price upper)
(order tic 0 :remaining true))))
;; @@
;; =>
;;; {"type":"html","content":"<span class='clj-var'>#'clojure-backtesting.updated_examples.goldencross/bollinger-bands</span>","value":"#'clojure-backtesting.updated_examples.goldencross/bollinger-bands"}
;; <=
;; @@
(while (< (compare (get-date) "1991-10-17") 0)
(do
(bollinger-bands "28636")
(bollinger-bands "12546"))
(update-eval-report)
(next-date))
(end-order)
;; @@
;; =>
;;; {"type":"html","content":"<span class='clj-unkown'>true</span>","value":"true"}
;; <=
;; **
;;; ### Check portfolio record
;; **
;; @@
;; view final portfolio
(print-portfolio)
;; @@
;; ->
;;;
;;; | :asset | :price | :aprc | :quantity | :tot-val |
;;; |--------+--------+-------+-----------+----------|
;;; | cash | N/A | N/A | N/A | 1013.65 |
;;;
;; <-
;; =>
;;; {"type":"html","content":"<span class='clj-nil'>nil</span>","value":"nil"}
;; <=
;; @@
;; view portfolio value and return
(print-portfolio-record 10)
;; @@
;; ->
;;;
;;; | :date | :tot-value | :daily-ret | :tot-ret | :loan | :leverage | :margin |
;;; |------------+------------+------------+----------+-------+-----------+---------|
;;; | 1990-12-21 | $1000.00 | 0.00% | 0.00% | $0.00 | 0.00 | 0.00% |
;;; | 1991-01-08 | $1000.00 | 0.00% | 0.00% | $0.00 | 0.00 | 0.00% |
;;; | 1991-01-09 | $999.62 | -0.02% | -0.02% | $0.00 | 0.00 | 0.00% |
;;; | 1991-01-10 | $1000.10 | 0.00% | 0.00% | $0.00 | 0.00 | 0.00% |
;;; | 1991-01-11 | $1000.29 | 0.01% | 0.01% | $0.00 | 0.00 | 0.00% |
;;; | 1991-01-14 | $1000.29 | 0.00% | 0.01% | $0.00 | 0.00 | 0.00% |
;;; | 1991-01-15 | $1000.29 | 0.00% | 0.01% | $0.00 | 0.00 | 0.00% |
;;; | 1991-01-16 | $1000.29 | 0.00% | 0.01% | $0.00 | 0.00 | 0.00% |
;;; | 1991-01-17 | $1001.41 | 0.05% | 0.06% | $0.00 | 0.00 | 0.00% |
;;; | 1991-01-18 | $1002.34 | 0.04% | 0.10% | $0.00 | 0.00 | 0.00% |
;;;
;; <-
;; =>
;;; {"type":"html","content":"<span class='clj-nil'>nil</span>","value":"nil"}
;; <=
;; **
;;; ### Generate evaluation report
;; **
;; @@
(print-eval-report 100)
;; @@
;; ->
;;;
;;; | :date | :tot-value | :vol | :r-vol | :sharpe | :r-sharpe | :pnl-pt | :max-drawdown |
;;; |------------+------------+---------+---------+----------+-----------+---------+---------------|
;;; | 1991-01-08 | $1000 | 0.0000% | 0.0000% | 0.0000% | 0.0000% | $0 | 0.0000 |
;;; | 1991-01-09 | $999 | 0.0096% | 0.0096% | -1.7321% | -1.7321% | $0 | 0.0000 |
;;; | 1991-01-10 | $1000 | 0.0083% | 0.0083% | 0.4962% | 0.4962% | $0 | 0.0000 |
;;; | 1991-01-11 | $1000 | 0.0091% | 0.0091% | 1.3598% | 1.3598% | $0 | 302.1275 |
;;; | 1991-01-14 | $1000 | 0.0082% | 0.0082% | 1.5149% | 1.5149% | $0 | 302.1275 |
;;; | 1991-01-15 | $1000 | 0.0075% | 0.0075% | 1.6553% | 1.6553% | $0 | 302.1275 |
;;; | 1991-01-16 | $1000 | 0.0069% | 0.0069% | 1.7846% | 1.7846% | $0 | 302.1275 |
;;; | 1991-01-17 | $1001 | 0.0179% | 0.0179% | 3.4289% | 3.4289% | $0 | 134.0470 |
;;; | 1991-01-18 | $1002 | 0.0203% | 0.0203% | 5.0029% | 5.0029% | $1 | 134.0470 |
;;; | 1991-01-21 | $1002 | 0.0194% | 0.0194% | 6.0539% | 6.0539% | $1 | 134.0470 |
;;; | 1991-01-22 | $1001 | 0.0187% | 0.0187% | 4.5822% | 4.5822% | $0 | 134.0470 |
;;; | 1991-01-23 | $1001 | 0.0187% | 0.0187% | 4.5822% | 4.5822% | $0 | 134.0470 |
;;; | 1991-01-24 | $1001 | 0.0187% | 0.0187% | 4.5822% | 4.5822% | $0 | 134.0470 |
;;; | 1991-01-25 | $1001 | 0.0187% | 0.0187% | 4.5822% | 4.5822% | $0 | 134.0470 |
;;; | 1991-01-28 | $1001 | 0.0187% | 0.0187% | 4.5822% | 4.5822% | $0 | 134.0470 |
;;; | 1991-01-29 | $1001 | 0.0187% | 0.0187% | 4.5822% | 4.5822% | $0 | 134.0470 |
;;; | 1991-01-30 | $1001 | 0.0187% | 0.0187% | 4.5822% | 4.5822% | $0 | 134.0470 |
;;; | 1991-01-31 | $1001 | 0.0187% | 0.0187% | 4.5822% | 4.5822% | $0 | 134.0470 |
;;; | 1991-02-01 | $1001 | 0.0187% | 0.0187% | 4.5822% | 4.5822% | $0 | 134.0470 |
;;; | 1991-02-04 | $1001 | 0.0187% | 0.0187% | 4.5822% | 4.5822% | $0 | 134.0470 |
;;; | 1991-02-05 | $1001 | 0.0187% | 0.0187% | 4.5822% | 4.5822% | $0 | 134.0470 |
;;; | 1991-02-06 | $1001 | 0.0187% | 0.0187% | 4.5822% | 4.5822% | $0 | 134.0470 |
;;; | 1991-02-07 | $1001 | 0.0187% | 0.0187% | 4.5822% | 4.5822% | $0 | 134.0470 |
;;; | 1991-02-08 | $1001 | 0.0187% | 0.0187% | 4.5822% | 4.5822% | $0 | 134.0470 |
;;; | 1991-02-11 | $1001 | 0.0187% | 0.0187% | 4.5822% | 4.5822% | $0 | 134.0470 |
;;; | 1991-02-12 | $1001 | 0.0187% | 0.0187% | 4.5822% | 4.5822% | $0 | 134.0470 |
;;; | 1991-02-13 | $1001 | 0.0187% | 0.0187% | 4.5822% | 4.5822% | $0 | 134.0470 |
;;; | 1991-02-14 | $1001 | 0.0187% | 0.0187% | 4.5822% | 4.5822% | $0 | 134.0470 |
;;; | 1991-02-15 | $1001 | 0.0187% | 0.0187% | 4.5822% | 4.5822% | $0 | 134.0470 |
;;; | 1991-02-19 | $1001 | 0.0187% | 0.0187% | 4.5822% | 4.5822% | $0 | 134.0470 |
;;; | 1991-02-20 | $1001 | 0.0187% | 0.0187% | 4.5822% | 4.5822% | $0 | 134.0470 |
;;; | 1991-02-21 | $1001 | 0.0187% | 0.0187% | 4.5822% | 4.5822% | $0 | 134.0470 |
;;; | 1991-02-22 | $1001 | 0.0187% | 0.0187% | 4.5822% | 4.5822% | $0 | 134.0470 |
;;; | 1991-02-25 | $1001 | 0.0187% | 0.0187% | 4.5822% | 4.5822% | $0 | 134.0470 |
;;; | 1991-02-26 | $1001 | 0.0187% | 0.0187% | 4.5822% | 4.5822% | $0 | 134.0470 |
;;; | 1991-02-27 | $1001 | 0.0187% | 0.0187% | 4.5822% | 4.5822% | $0 | 134.0470 |
;;; | 1991-02-28 | $1001 | 0.0187% | 0.0187% | 4.5822% | 4.5822% | $0 | 134.0470 |
;;; | 1991-03-01 | $1001 | 0.0187% | 0.0187% | 4.5822% | 4.5822% | $0 | 134.0470 |
;;; | 1991-03-04 | $1001 | 0.0187% | 0.0187% | 4.5822% | 4.5822% | $0 | 134.0470 |
;;; | 1991-03-05 | $1001 | 0.0187% | 0.0187% | 4.5822% | 4.5822% | $0 | 134.0470 |
;;; | 1991-03-06 | $1001 | 0.0187% | 0.0187% | 4.5822% | 4.5822% | $0 | 134.0470 |
;;; | 1991-03-07 | $1001 | 0.0187% | 0.0187% | 4.5822% | 4.5822% | $0 | 134.0470 |
;;; | 1991-03-08 | $1001 | 0.0187% | 0.0187% | 4.5822% | 4.5822% | $0 | 134.0470 |
;;; | 1991-03-11 | $1001 | 0.0187% | 0.0187% | 4.5822% | 4.5822% | $0 | 134.0470 |
;;; | 1991-03-12 | $1001 | 0.0187% | 0.0187% | 4.5822% | 4.5822% | $0 | 134.0470 |
;;; | 1991-03-13 | $1001 | 0.0187% | 0.0187% | 4.5822% | 4.5822% | $0 | 134.0470 |
;;; | 1991-03-14 | $1001 | 0.0187% | 0.0187% | 4.5822% | 4.5822% | $0 | 134.0470 |
;;; | 1991-03-15 | $1001 | 0.0187% | 0.0187% | 4.5822% | 4.5822% | $0 | 134.0470 |
;;; | 1991-03-18 | $1001 | 0.0187% | 0.0187% | 4.5822% | 4.5822% | $0 | 134.0470 |
;;; | 1991-03-19 | $1001 | 0.0187% | 0.0187% | 4.5822% | 4.5822% | $0 | 134.0470 |
;;; | 1991-03-20 | $1001 | 0.0187% | 0.0187% | 4.5822% | 4.5822% | $0 | 134.0470 |
;;; | 1991-03-21 | $1001 | 0.0187% | 0.0187% | 4.5822% | 4.5822% | $0 | 134.0470 |
;;; | 1991-03-22 | $1001 | 0.0187% | 0.0187% | 4.5822% | 4.5822% | $0 | 134.0470 |
;;; | 1991-03-25 | $1001 | 0.0187% | 0.0187% | 4.5822% | 4.5822% | $0 | 134.0470 |
;;; | 1991-03-26 | $1001 | 0.0187% | 0.0187% | 4.5822% | 4.5822% | $0 | 134.0470 |
;;; | 1991-03-27 | $1001 | 0.0187% | 0.0187% | 4.5822% | 4.5822% | $0 | 134.0470 |
;;; | 1991-03-28 | $1001 | 0.0187% | 0.0187% | 4.5822% | 4.5822% | $0 | 134.0470 |
;;; | 1991-04-01 | $1001 | 0.0187% | 0.0187% | 4.5822% | 4.5822% | $0 | 134.0470 |
;;; | 1991-04-02 | $1001 | 0.0187% | 0.0187% | 4.5822% | 4.5822% | $0 | 134.0470 |
;;; | 1991-04-03 | $1001 | 0.0187% | 0.0187% | 4.5822% | 4.5822% | $0 | 134.0470 |
;;; | 1991-04-04 | $1001 | 0.0187% | 0.0187% | 4.5822% | 4.5822% | $0 | 134.0470 |
;;; | 1991-04-05 | $1001 | 0.0187% | 0.0187% | 4.5822% | 4.5822% | $0 | 134.0470 |
;;; | 1991-04-08 | $1001 | 0.0187% | 0.0187% | 4.5822% | 4.5822% | $0 | 134.0470 |
;;; | 1991-04-09 | $1001 | 0.0187% | 0.0187% | 4.5822% | 4.5822% | $0 | 134.0470 |
;;; | 1991-04-10 | $1001 | 0.0187% | 0.0187% | 4.5822% | 4.5822% | $0 | 134.0470 |
;;; | 1991-04-11 | $1001 | 0.0187% | 0.0187% | 4.5822% | 4.5822% | $0 | 134.0470 |
;;; | 1991-04-12 | $1001 | 0.0187% | 0.0187% | 4.5822% | 4.5822% | $0 | 134.0470 |
;;; | 1991-04-15 | $1001 | 0.0187% | 0.0187% | 4.5822% | 4.5822% | $0 | 134.0470 |
;;; | 1991-04-16 | $1001 | 0.0187% | 0.0187% | 4.5822% | 4.5822% | $0 | 134.0470 |
;;; | 1991-04-17 | $1001 | 0.0187% | 0.0187% | 4.5822% | 4.5822% | $0 | 134.0470 |
;;; | 1991-04-18 | $1001 | 0.0187% | 0.0187% | 4.5822% | 4.5822% | $0 | 134.0470 |
;;; | 1991-04-19 | $1001 | 0.0187% | 0.0187% | 4.5822% | 4.5822% | $0 | 134.0470 |
;;; | 1991-04-22 | $1001 | 0.0187% | 0.0187% | 4.5822% | 4.5822% | $0 | 134.0470 |
;;; | 1991-04-23 | $1001 | 0.0187% | 0.0187% | 4.5822% | 4.5822% | $0 | 134.0470 |
;;; | 1991-04-24 | $1001 | 0.0187% | 0.0187% | 4.5822% | 4.5822% | $0 | 134.0470 |
;;; | 1991-04-25 | $1001 | 0.0187% | 0.0187% | 4.5822% | 4.5822% | $0 | 134.0470 |
;;; | 1991-04-26 | $1001 | 0.0187% | 0.0187% | 4.5822% | 4.5822% | $0 | 134.0470 |
;;; | 1991-04-29 | $1001 | 0.0187% | 0.0187% | 4.5822% | 4.5822% | $0 | 134.0470 |
;;; | 1991-04-30 | $1001 | 0.0187% | 0.0187% | 4.5822% | 4.5822% | $0 | 134.0470 |
;;; | 1991-05-01 | $1001 | 0.0187% | 0.0187% | 4.5822% | 4.5822% | $0 | 134.0470 |
;;; | 1991-05-02 | $1001 | 0.0187% | 0.0187% | 4.5822% | 4.5822% | $0 | 134.0470 |
;;; | 1991-05-03 | $1001 | 0.0187% | 0.0187% | 4.5822% | 4.5822% | $0 | 134.0470 |
;;; | 1991-05-06 | $1001 | 0.0187% | 0.0187% | 4.5822% | 4.5822% | $0 | 134.0470 |
;;; | 1991-05-07 | $1001 | 0.0187% | 0.0187% | 4.5822% | 4.5822% | $0 | 134.0470 |
;;; | 1991-05-08 | $1001 | 0.0187% | 0.0187% | 4.5822% | 4.5822% | $0 | 134.0470 |
;;; | 1991-05-09 | $1001 | 0.0187% | 0.0187% | 4.5822% | 4.5822% | $0 | 134.0470 |
;;; | 1991-05-10 | $1001 | 0.0187% | 0.0187% | 4.5822% | 4.5822% | $0 | 134.0470 |
;;; | 1991-05-13 | $1001 | 0.0180% | 0.0180% | 4.7490% | 4.7490% | $0 | 134.0470 |
;;; | 1991-05-14 | $1001 | 0.0193% | 0.0193% | 3.1685% | 3.1685% | $0 | 149.8705 |
;;; | 1991-05-15 | $1001 | 0.0186% | 0.0186% | 3.2797% | 3.2797% | $0 | 149.8705 |
;;; | 1991-05-16 | $1001 | 0.0180% | 0.0180% | 3.7766% | 3.7766% | $0 | 149.8705 |
;;; | 1991-05-17 | $1001 | 0.0175% | 0.0175% | 3.8928% | 3.8928% | $0 | 149.8705 |
;;; | 1991-05-20 | $1001 | 0.0171% | 0.0171% | 4.6144% | 4.6144% | $0 | 149.8705 |
;;; | 1991-05-21 | $1001 | 0.0166% | 0.0166% | 4.7386% | 4.7386% | $0 | 149.8705 |
;;; | 1991-05-22 | $1000 | 0.0239% | 0.0239% | 0.1894% | 0.1894% | $0 | 251.3330 |
;;; | 1991-05-23 | $1000 | 0.0233% | 0.0233% | 0.1944% | 0.1944% | $0 | 251.3330 |
;;; | 1991-05-24 | $1000 | 0.0237% | 0.0237% | 1.5401% | 1.5401% | $0 | 251.3330 |
;;; | 1991-05-28 | $1003 | 0.0331% | 0.0331% | 4.5856% | 4.5856% | $0 | 164.3964 |
;;; | 1991-05-29 | $1002 | 0.0338% | 0.0338% | 3.2564% | 3.2564% | $0 | 164.3964 |
;;; | 1991-05-30 | $1002 | 0.0332% | 0.0332% | 2.9982% | 2.9982% | $0 | 164.3964 |
;;;
;; <-
;; =>
;;; {"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.updated_examples.goldencross/data</span>","value":"#'clojure-backtesting.updated_examples.goldencross/data"}
;; <=
;; @@
; Add legend name to series
(def data-to-plot
(map #(assoc % :plot "portfolio")
data))
;; @@
;; =>
;;; {"type":"html","content":"<span class='clj-var'>#'clojure-backtesting.updated_examples.goldencross/data-to-plot</span>","value":"#'clojure-backtesting.updated_examples.goldencross/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'>"1990-12-21"</span>","value":"\"1990-12-21\""}],"value":"[:date \"1990-12-21\"]"},{"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 \"1990-12-21\", :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 true)
;; @@
;; ->
;;; [I 07:49:21.251 Clojupyter] oz.core:273 -- Starting up server on port 10666
;;; [I 07:49:21.554 Clojupyter] oz.server:142 -- Web server is running at `http://localhost:10666/`
;;;
;; <-
;; =>
;;; {"type":"html","content":"<span class='clj-nil'>nil</span>","value":"nil"}
;; <=