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golden_cross.clj
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golden_cross.clj
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;; gorilla-repl.fileformat = 1
;; **
;;; ## Golden Cross Example
;; **
;; @@
; import libraries from kernel
(ns clojure-backtesting.updated_examples.goldencross
(: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 "1981-12-15" 1000);
;; @@
;; =>
;;; {"type":"html","content":"<span class='clj-string'>"Date: 1981-12-15 Cash: $1000"</span>","value":"\"Date: 1981-12-15 Cash: $1000\""}
;; <=
;; @@
(get-date)
;; @@
;; =>
;;; {"type":"html","content":"<span class='clj-string'>"1981-12-15"</span>","value":"\"1981-12-15\""}
;; <=
;; **
;;; ### Write a strategy
;;;
;;; The following code implements a trading strategy called Golden Rule:
;;;
;;; MA 15 cross above the MA 30 (golden cross)
;;;
;;; MA 15 cross below the MA 30 (death cross)
;;;
;;; So in the codes, MA15 and MA30 are compared on a daily basis, if golden cross occurs, then you set a buy order; if death cross occurs, then you set a sell order first
;;;
;;;
;; **
;; **
;;; Should increase the cache size first to reduce repeatitive File IO
;; **
;; @@
(CHANGE-CACHE-SIZE 30)
;; @@
;; =>
;;; {"type":"html","content":"<span class='clj-var'>#'clojure-backtesting.parameters/CACHE-SIZE</span>","value":"#'clojure-backtesting.parameters/CACHE-SIZE"}
;; <=
;; @@
(while (< (compare (get-date) "1981-12-24") 0)
;; run for about a week
(do
(let [[MA15 MA30] [(moving-avg "14593" 15) (moving-avg "14593" 30)]]
(if (> MA15 MA30)
(order "14593" 0.1 :print false)
(order "14593" 0 :remaining true))))
(let [[MA15 MA30] [(moving-avg "25785" 15) (moving-avg "25785" 30)]]
(if (> MA15 MA30)
(order "25785" 1 :print false)
(order "25785" 0 :remaining true)))
(update-eval-report)
(next-date))
(end-order)
;; @@
;; =>
;;; {"type":"html","content":"<span class='clj-unkown'>true</span>","value":"true"}
;; <=
;; @@
;(pprint/print-table (take 200 (deref portfolio-value)))
(print-order-record 10)
;; @@
;; ->
;;;
;;; | :date | :permno | :price | :aprc | :quantity |
;;; |------------+---------+---------+-------+-----------|
;;; | 1981-12-16 | 14593 | 19.5625 | 22.43 | 0.1 |
;;; | 1981-12-16 | 25785 | 17.25 | 55.94 | 1 |
;;; | 1981-12-17 | 14593 | 21.1875 | 23.22 | 0.1 |
;;; | 1981-12-17 | 25785 | 17.625 | 56.46 | 1 |
;;; | 1981-12-18 | 14593 | 22.9375 | 24.03 | 0.1 |
;;; | 1981-12-18 | 25785 | 18.0 | 56.98 | 1 |
;;; | 1981-12-21 | 14593 | 21.9375 | 23.57 | 0.1 |
;;; | 1981-12-21 | 25785 | 18.0 | 56.98 | 1 |
;;; | 1981-12-22 | 14593 | 22.3125 | 23.75 | 0.1 |
;;; | 1981-12-22 | 25785 | 17.5 | 56.29 | 1 |
;;;
;; <-
;; =>
;;; {"type":"html","content":"<span class='clj-nil'>nil</span>","value":"nil"}
;; <=
;; **
;;; ### Check portfolio record
;; **
;; @@
;; view final portfolio
(print-portfolio)
;; @@
;; ->
;;;
;;; | :asset | :price | :aprc | :quantity | :tot-val |
;;; |--------+--------+-------+-----------+----------|
;;; | cash | N/A | N/A | N/A | 996.42 |
;;;
;; <-
;; =>
;;; {"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 |
;;; |------------+------------+------------+----------+-------+-----------+---------|
;;; | 1981-12-15 | $1000.00 | 0.00% | 0.00% | $0.00 | 0.00 | 0.00% |
;;; | 1981-12-16 | $1000.00 | 0.00% | 0.00% | $0.00 | 0.00 | 0.00% |
;;; | 1981-12-17 | $1000.60 | -0.00% | 0.03% | $0.00 | 0.00 | 0.00% |
;;; | 1981-12-18 | $1001.80 | 0.00% | 0.08% | $0.00 | 0.00 | 0.00% |
;;; | 1981-12-21 | $1001.67 | 0.00% | 0.07% | $0.00 | 0.00 | 0.00% |
;;; | 1981-12-22 | $998.96 | -0.00% | -0.05% | $0.00 | 0.00 | 0.00% |
;;; | 1981-12-23 | $995.33 | 0.00% | -0.20% | $0.00 | 0.00 | 0.00% |
;;; | 1981-12-24 | $996.42 | 0.00% | -0.16% | $0.00 | 0.00 | 0.00% |
;;;
;; <-
;; =>
;;; {"type":"html","content":"<span class='clj-nil'>nil</span>","value":"nil"}
;; <=
;; **
;;; ### Generate evaluation report
;; **
;; @@
(print-eval-report 10)
;; @@
;; ->
;;;
;;; | :date | :tot-value | :vol | :r-vol | :sharpe | :r-sharpe | :pnl-pt | :max-drawdown |
;;; |------------+------------+---------+---------+-----------------------+-----------------------+---------+---------------|
;;; | 1981-12-16 | $1000 | 0.0000% | 0.0000% | 0.0000% | 0.0000% | $0 | 0.0000 |
;;; | 1981-12-17 | $1000 | 0.0000% | 0.0000% | 9419676466259.1450% | 9419676466259.1450% | $0 | 0.0000 |
;;; | 1981-12-18 | $1001 | 0.0000% | 0.0000% | 32469602626935.1760% | 32469602626935.1760% | $0 | 0.0000 |
;;; | 1981-12-21 | $1001 | 0.0000% | 0.0000% | 33522685497906.6330% | 33522685497906.6330% | $0 | 0.0000 |
;;; | 1981-12-22 | $998 | 0.0000% | 0.0000% | -18079259030964.3000% | -18079259030964.3000% | $0 | 0.0000 |
;;; | 1981-12-23 | $995 | 0.0000% | 0.0000% | -86461715180573.6600% | -86461715180573.6600% | $0 | 0.0000 |
;;; | 1981-12-24 | $996 | 0.0000% | 0.0000% | -69689219714318.2400% | -69689219714318.2400% | $0 | 0.0000 |
;;;
;; <-
;; =>
;;; {"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'>"1981-12-15"</span>","value":"\"1981-12-15\""}],"value":"[:date \"1981-12-15\"]"},{"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 \"1981-12-15\", :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)
;; @@
;; =>
;;; {"type":"html","content":"<span class='clj-nil'>nil</span>","value":"nil"}
;; <=