diff --git a/.gitignore b/.gitignore
index 01f2b32..7a6533e 100644
--- a/.gitignore
+++ b/.gitignore
@@ -14,6 +14,7 @@ pom.xml.asc
/.prepl-port
.hgignore
.hg/
+Debugging/
profiles.clj
specs.clj
diff --git a/examples/Debugging/.ipynb_checkpoints/Plotting time range-checkpoint.ipynb b/examples/Debugging/.ipynb_checkpoints/Plotting time range-checkpoint.ipynb
deleted file mode 100644
index 4271637..0000000
--- a/examples/Debugging/.ipynb_checkpoints/Plotting time range-checkpoint.ipynb
+++ /dev/null
@@ -1,559 +0,0 @@
-{
- "cells": [
- {
- "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.test :refer :all]\n",
- " [clojure-backtesting.data :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.parameters :refer :all]\n",
- " [clojure.string :as str]\n",
- " [clojure.pprint :as pprint]\n",
- " [java-time :as t]\n",
- " [clojupyter.kernel.version :as ver]\n",
- " [clojupyter.misc.helper :as helper]\n",
- " ) ;; require all libriaries from core\n",
- " (:use clojure.pprint)\n",
- ")"
- ]
- },
- {
- "cell_type": "code",
- "execution_count": 10,
- "metadata": {},
- "outputs": [],
- "source": [
- "; path to dataset = \"../resources/CRSP-extract.csv\"\n",
- "; change it to the relative to your own dataset\n",
- ";\n",
- "(reset! data-set (add-aprc (read-csv-row \"../../resources/CRSP-extract.csv\")));"
- ]
- },
- {
- "cell_type": "code",
- "execution_count": 11,
- "metadata": {},
- "outputs": [],
- "source": [
- ";; initialise with current date and initial capital (= $10000)\n",
- "(init-portfolio \"1980-12-16\" 10000);"
- ]
- },
- {
- "cell_type": "markdown",
- "metadata": {},
- "source": [
- "### Test range of 1 year"
- ]
- },
- {
- "cell_type": "code",
- "execution_count": 12,
- "metadata": {},
- "outputs": [
- {
- "name": "stdout",
- "output_type": "stream",
- "text": [
- "26.093628318359524\n",
- "Order: 1980-12-17 | AAPL | 50.\n",
- "Buy 50 stocks of AAPL on 1980-12-16\n",
- "22.729204943748716\n",
- "Order: 1981-12-11 | AAPL | -50.\n",
- "Sell 10 stocks of AAPL on 1981-12-10\n"
- ]
- },
- {
- "data": {
- "text/plain": [
- "nil"
- ]
- },
- "execution_count": 12,
- "metadata": {},
- "output_type": "execute_result"
- }
- ],
- "source": [
- ";; define the \"time span\", i.e. to trade in the coming 250 days \n",
- "(def num-of-days (atom 250)) \n",
- "\n",
- "(while (pos? @num-of-days)\n",
- " (do \n",
- " ;; write your trading strategy here\n",
- " (if (= 250 @num-of-days)\n",
- " (do\n",
- " (order \"AAPL\" 50) ; buy 50 stocks\n",
- " (println ((fn [date] (str \"Buy 50 stocks of AAPL on \" date)) (get-date)))\n",
- " )\n",
- " )\n",
- " (if (= 1 @num-of-days)\n",
- " (do\n",
- " (order \"AAPL\" -50) ; sell 10 stocks\n",
- " (println ((fn [date] (str \"Sell 10 stocks of AAPL on \" date)) (get-date)))\n",
- " )\n",
- " )\n",
- " \n",
- " (update-eval-report (get-date))\n",
- " \n",
- " ; move on to the next trading day\n",
- " (next-date)\n",
- " \n",
- " ; decrement counter\n",
- " (swap! num-of-days dec)\n",
- " )\n",
- ")"
- ]
- },
- {
- "cell_type": "code",
- "execution_count": 14,
- "metadata": {},
- "outputs": [
- {
- "name": "stdout",
- "output_type": "stream",
- "text": [
- "\n",
- "| :date | :tic | :price | :quantity | :reference |\n",
- "|------------+------+---------+-----------+------------|\n",
- "| 1980-12-17 | AAPL | 25.9375 | 50 | 2 |\n",
- "| 1981-12-11 | AAPL | 18.875 | -50 | 251 |\n"
- ]
- },
- {
- "data": {
- "text/plain": [
- "nil"
- ]
- },
- "execution_count": 14,
- "metadata": {},
- "output_type": "execute_result"
- }
- ],
- "source": [
- "(pprint/print-table (deref order-record))"
- ]
- },
- {
- "cell_type": "code",
- "execution_count": 15,
- "metadata": {},
- "outputs": [
- {
- "name": "stdout",
- "output_type": "stream",
- "text": [
- "\n",
- "| :date | :tot-value | :daily-ret | :loan | :leverage |\n",
- "|------------+------------+------------+-------+-----------|\n",
- "| 1980-12-16 | $10000 | 0.00% | $0.00 | 0.00% |\n",
- "| 1980-12-17 | $10007 | 0.00% | $nu | nu% |\n",
- "| 1981-12-11 | $9646 | -0.04% | $nu | nu% |\n"
- ]
- },
- {
- "data": {
- "text/plain": [
- "nil"
- ]
- },
- "execution_count": 15,
- "metadata": {},
- "output_type": "execute_result"
- }
- ],
- "source": [
- ";; view portfolio value and return\n",
- "(view-portfolio-record)"
- ]
- },
- {
- "cell_type": "code",
- "execution_count": 16,
- "metadata": {},
- "outputs": [
- {
- "name": "stdout",
- "output_type": "stream",
- "text": [
- "\n",
- "| :date | :pnl-pt | :ret-da | :ret-r | :ret-tot | :sharpe-e | :sharpe-r | :tot-val | :vol-e | :vol-r |\n",
- "|------------+---------+---------+--------+----------+-----------+-----------+----------+--------+--------|\n",
- "| 1980-12-16 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1980-12-17 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1980-12-18 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1980-12-19 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1980-12-22 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1980-12-23 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1980-12-24 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1980-12-26 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1980-12-29 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1980-12-30 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1980-12-31 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-01-02 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-01-05 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-01-06 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-01-07 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-01-08 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-01-09 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-01-12 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-01-13 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-01-14 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-01-15 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-01-16 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-01-19 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-01-20 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-01-21 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-01-22 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-01-23 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-01-26 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-01-27 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-01-28 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-01-29 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-01-30 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-02-02 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-02-03 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-02-04 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-02-05 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-02-06 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-02-09 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-02-10 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-02-11 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-02-12 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-02-13 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-02-17 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-02-18 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-02-19 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-02-20 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-02-23 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-02-24 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-02-25 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-02-26 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-02-27 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-03-02 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-03-03 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-03-04 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-03-05 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-03-06 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-03-09 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-03-10 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-03-11 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-03-12 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-03-13 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-03-16 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-03-17 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-03-18 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-03-19 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-03-20 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-03-23 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-03-24 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-03-25 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-03-26 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-03-27 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-03-30 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-03-31 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-04-01 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n"
- ]
- },
- {
- "name": "stdout",
- "output_type": "stream",
- "text": [
- "| 1981-04-02 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-04-03 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-04-06 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-04-07 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-04-08 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-04-09 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-04-10 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-04-13 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-04-14 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-04-15 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-04-16 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-04-20 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-04-21 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-04-22 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-04-23 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-04-24 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-04-27 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-04-28 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-04-29 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-04-30 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-05-01 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-05-04 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-05-05 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-05-06 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-05-07 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-05-08 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-05-11 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-05-12 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-05-13 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-05-14 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-05-15 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-05-18 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-05-19 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-05-20 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-05-21 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-05-22 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-05-26 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-05-27 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-05-28 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-05-29 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-06-01 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-06-02 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-06-03 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-06-04 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-06-05 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-06-08 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-06-09 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-06-10 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-06-11 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-06-12 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-06-15 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-06-16 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-06-17 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-06-18 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-06-19 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-06-22 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-06-23 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-06-24 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-06-25 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-06-26 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-06-29 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-06-30 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-07-01 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-07-02 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-07-06 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-07-07 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-07-08 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-07-09 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-07-10 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-07-13 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-07-14 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-07-15 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-07-16 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-07-17 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-07-20 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-07-21 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n"
- ]
- },
- {
- "name": "stdout",
- "output_type": "stream",
- "text": [
- "| 1981-07-22 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-07-23 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-07-24 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-07-27 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-07-28 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-07-29 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-07-30 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-07-31 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-08-03 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-08-04 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-08-05 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-08-06 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-08-07 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-08-10 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-08-11 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-08-12 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-08-13 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-08-14 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-08-17 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-08-18 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-08-19 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-08-20 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-08-21 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-08-24 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-08-25 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-08-26 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-08-27 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-08-28 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-08-31 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-09-01 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-09-02 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-09-03 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-09-04 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-09-08 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-09-09 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-09-10 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-09-11 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-09-14 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-09-15 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-09-16 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-09-17 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-09-18 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-09-21 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-09-22 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-09-23 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-09-24 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-09-25 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-09-28 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-09-29 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-09-30 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-10-01 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-10-02 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-10-05 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-10-06 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-10-07 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-10-08 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-10-09 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-10-12 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-10-13 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-10-14 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-10-15 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-10-16 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-10-19 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-10-20 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-10-21 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-10-22 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-10-23 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-10-26 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-10-27 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-10-28 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-10-29 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-10-30 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-11-02 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-11-03 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-11-04 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-11-05 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n"
- ]
- },
- {
- "name": "stdout",
- "output_type": "stream",
- "text": [
- "| 1981-11-06 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-11-09 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-11-10 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-11-11 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-11-12 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-11-13 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-11-16 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-11-17 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-11-18 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-11-19 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-11-20 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-11-23 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-11-24 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-11-25 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-11-27 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-11-30 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-12-01 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-12-02 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-12-03 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-12-04 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-12-07 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-12-08 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-12-09 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-12-10 | $-176 | -3.67% | -0.00% | -3.60% | -1.68% | -0.00% | $9646 | 2.14% | 0.34% |\n"
- ]
- },
- {
- "data": {
- "text/plain": [
- "nil"
- ]
- },
- "execution_count": 16,
- "metadata": {},
- "output_type": "execute_result"
- }
- ],
- "source": [
- "(eval-report)"
- ]
- },
- {
- "cell_type": "code",
- "execution_count": 13,
- "metadata": {},
- "outputs": [
- {
- "data": {
- "text/html": [
- "\n",
- "
\n",
- "
\n",
- " \n",
- "
\n",
- " "
- ]
- },
- "execution_count": 13,
- "metadata": {},
- "output_type": "execute_result"
- }
- ],
- "source": [
- "(def data (deref portfolio-value))\n",
- "\n",
- "; Add legend name to series\n",
- "(def data-to-plot\n",
- " (map #(assoc % :plot \"portfolio\")\n",
- " data))\n",
- "\n",
- "(plot data-to-plot :plot :date :daily-ret)"
- ]
- },
- {
- "cell_type": "code",
- "execution_count": null,
- "metadata": {},
- "outputs": [],
- "source": []
- }
- ],
- "metadata": {
- "kernelspec": {
- "display_name": "Clojure (backtesting_clojure)",
- "language": "clojure",
- "name": "backtesting_clojure"
- },
- "language_info": {
- "file_extension": ".clj",
- "mimetype": "text/x-clojure",
- "name": "clojure",
- "version": "1.10.1"
- }
- },
- "nbformat": 4,
- "nbformat_minor": 2
-}
diff --git a/examples/Debugging/Plotting time range.ipynb b/examples/Debugging/Plotting time range.ipynb
deleted file mode 100644
index d0b7966..0000000
--- a/examples/Debugging/Plotting time range.ipynb
+++ /dev/null
@@ -1,610 +0,0 @@
-{
- "cells": [
- {
- "cell_type": "code",
- "execution_count": 17,
- "metadata": {},
- "outputs": [
- {
- "data": {
- "text/plain": [
- "nil"
- ]
- },
- "execution_count": 17,
- "metadata": {},
- "output_type": "execute_result"
- }
- ],
- "source": [
- "; import libraries from kernel\n",
- "(ns clojure-backtesting.demo\n",
- " (:require [clojure.test :refer :all]\n",
- " [oz.notebook.clojupyter :as oz]\n",
- " [clojure-backtesting.data :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.parameters :refer :all]\n",
- " [clojure.string :as str]\n",
- " [clojure.pprint :as pprint]\n",
- " [java-time :as t]\n",
- " [clojupyter.kernel.version :as ver]\n",
- " [clojupyter.misc.helper :as helper]\n",
- " ) ;; require all libriaries from core\n",
- " (:use clojure.pprint)\n",
- ")"
- ]
- },
- {
- "cell_type": "code",
- "execution_count": 6,
- "metadata": {},
- "outputs": [],
- "source": [
- "; path to dataset = \"../resources/CRSP-extract.csv\"\n",
- "; change it to the relative to your own dataset\n",
- ";\n",
- "(reset! data-set (add-aprc (read-csv-row \"../../resources/CRSP-extract.csv\")));"
- ]
- },
- {
- "cell_type": "code",
- "execution_count": 7,
- "metadata": {},
- "outputs": [],
- "source": [
- ";; initialise with current date and initial capital (= $10000)\n",
- "(init-portfolio \"1980-12-16\" 10000);"
- ]
- },
- {
- "cell_type": "markdown",
- "metadata": {},
- "source": [
- "### Test range of 1 year"
- ]
- },
- {
- "cell_type": "code",
- "execution_count": 8,
- "metadata": {},
- "outputs": [
- {
- "name": "stdout",
- "output_type": "stream",
- "text": [
- "Buy 50 stocks of AAPL on 1980-12-16\n",
- "Sell 10 stocks of AAPL on 1981-12-10\n"
- ]
- },
- {
- "data": {
- "text/plain": [
- "nil"
- ]
- },
- "execution_count": 8,
- "metadata": {},
- "output_type": "execute_result"
- }
- ],
- "source": [
- ";; define the \"time span\", i.e. to trade in the coming 250 days \n",
- "(def num-of-days (atom 250)) \n",
- "\n",
- "(while (pos? @num-of-days)\n",
- " (do \n",
- " ;; write your trading strategy here\n",
- " (if (= 250 @num-of-days)\n",
- " (do\n",
- " (order \"AAPL\" 50) ; buy 50 stocks\n",
- " (println ((fn [date] (str \"Buy 50 stocks of AAPL on \" date)) (get-date)))\n",
- " )\n",
- " )\n",
- " (if (= 1 @num-of-days)\n",
- " (do\n",
- " (order \"AAPL\" -50) ; sell 10 stocks\n",
- " (println ((fn [date] (str \"Sell 10 stocks of AAPL on \" date)) (get-date)))\n",
- " )\n",
- " )\n",
- " \n",
- " (update-eval-report (get-date))\n",
- " \n",
- " ; move on to the next trading day\n",
- " (next-date)\n",
- " \n",
- " ; decrement counter\n",
- " (swap! num-of-days dec)\n",
- " )\n",
- ")"
- ]
- },
- {
- "cell_type": "code",
- "execution_count": 9,
- "metadata": {},
- "outputs": [
- {
- "name": "stdout",
- "output_type": "stream",
- "text": [
- "\n",
- "| :date | :tic | :price | :quantity | :reference |\n",
- "|------------+------+---------+-----------+------------|\n",
- "| 1980-12-17 | AAPL | 25.9375 | 50 | 1 |\n",
- "| 1981-12-11 | AAPL | 18.875 | -50 | 1 |\n"
- ]
- },
- {
- "data": {
- "text/plain": [
- "nil"
- ]
- },
- "execution_count": 9,
- "metadata": {},
- "output_type": "execute_result"
- }
- ],
- "source": [
- "(pprint/print-table (deref order-record))"
- ]
- },
- {
- "cell_type": "code",
- "execution_count": 10,
- "metadata": {},
- "outputs": [
- {
- "name": "stdout",
- "output_type": "stream",
- "text": [
- "\n",
- "| :date | :tot-value | :daily-ret | :loan | :leverage |\n",
- "|------------+------------+------------+-------+-----------|\n",
- "| 1980-12-16 | $10000 | 0.00% | $0.00 | 0.00% |\n",
- "| 1980-12-17 | $10007 | 0.00% | $0.00 | 0.00% |\n",
- "| 1981-12-11 | $9646 | -0.04% | $0.00 | 0.00% |\n"
- ]
- },
- {
- "data": {
- "text/plain": [
- "nil"
- ]
- },
- "execution_count": 10,
- "metadata": {},
- "output_type": "execute_result"
- }
- ],
- "source": [
- ";; view portfolio value and return\n",
- "(view-portfolio-record)"
- ]
- },
- {
- "cell_type": "code",
- "execution_count": 11,
- "metadata": {},
- "outputs": [
- {
- "name": "stdout",
- "output_type": "stream",
- "text": [
- "\n",
- "| :date | :pnl-pt | :ret-da | :ret-r | :ret-tot | :sharpe-e | :sharpe-r | :tot-val | :vol-e | :vol-r |\n",
- "|------------+---------+---------+--------+----------+-----------+-----------+----------+--------+--------|\n",
- "| 1980-12-16 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1980-12-17 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1980-12-18 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1980-12-19 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1980-12-22 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1980-12-23 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1980-12-24 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1980-12-26 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1980-12-29 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1980-12-30 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1980-12-31 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-01-02 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-01-05 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-01-06 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-01-07 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-01-08 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-01-09 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-01-12 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-01-13 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-01-14 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-01-15 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-01-16 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-01-19 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-01-20 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-01-21 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-01-22 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-01-23 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-01-26 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-01-27 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-01-28 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-01-29 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-01-30 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-02-02 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-02-03 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-02-04 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-02-05 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-02-06 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-02-09 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-02-10 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-02-11 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-02-12 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-02-13 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-02-17 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-02-18 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-02-19 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-02-20 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-02-23 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-02-24 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-02-25 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-02-26 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-02-27 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-03-02 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-03-03 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-03-04 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-03-05 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-03-06 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-03-09 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-03-10 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-03-11 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-03-12 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-03-13 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-03-16 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-03-17 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-03-18 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-03-19 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-03-20 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-03-23 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-03-24 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-03-25 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-03-26 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-03-27 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-03-30 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-03-31 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-04-01 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n"
- ]
- },
- {
- "name": "stdout",
- "output_type": "stream",
- "text": [
- "| 1981-04-02 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-04-03 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-04-06 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-04-07 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-04-08 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-04-09 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-04-10 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-04-13 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-04-14 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-04-15 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-04-16 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-04-20 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-04-21 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-04-22 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-04-23 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-04-24 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-04-27 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-04-28 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-04-29 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-04-30 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-05-01 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-05-04 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-05-05 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-05-06 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-05-07 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-05-08 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-05-11 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-05-12 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-05-13 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-05-14 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-05-15 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-05-18 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-05-19 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-05-20 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-05-21 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-05-22 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-05-26 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-05-27 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-05-28 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-05-29 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-06-01 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-06-02 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-06-03 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-06-04 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-06-05 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-06-08 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-06-09 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-06-10 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-06-11 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-06-12 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-06-15 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-06-16 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-06-17 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-06-18 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-06-19 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-06-22 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-06-23 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-06-24 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-06-25 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-06-26 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-06-29 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-06-30 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-07-01 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-07-02 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-07-06 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-07-07 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-07-08 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-07-09 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-07-10 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-07-13 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-07-14 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-07-15 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-07-16 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-07-17 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-07-20 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-07-21 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n"
- ]
- },
- {
- "name": "stdout",
- "output_type": "stream",
- "text": [
- "| 1981-07-22 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-07-23 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-07-24 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-07-27 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-07-28 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-07-29 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-07-30 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-07-31 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-08-03 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-08-04 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-08-05 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-08-06 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-08-07 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-08-10 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-08-11 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-08-12 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-08-13 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-08-14 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-08-17 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-08-18 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-08-19 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-08-20 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-08-21 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-08-24 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-08-25 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-08-26 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-08-27 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-08-28 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-08-31 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-09-01 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-09-02 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-09-03 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-09-04 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-09-08 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-09-09 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-09-10 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-09-11 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-09-14 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-09-15 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-09-16 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-09-17 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-09-18 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-09-21 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-09-22 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-09-23 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-09-24 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-09-25 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-09-28 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-09-29 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-09-30 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-10-01 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-10-02 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-10-05 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-10-06 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-10-07 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-10-08 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-10-09 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-10-12 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-10-13 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-10-14 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-10-15 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-10-16 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-10-19 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-10-20 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-10-21 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-10-22 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-10-23 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-10-26 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-10-27 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-10-28 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-10-29 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-10-30 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-11-02 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-11-03 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-11-04 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-11-05 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n"
- ]
- },
- {
- "name": "stdout",
- "output_type": "stream",
- "text": [
- "| 1981-11-06 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-11-09 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-11-10 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-11-11 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-11-12 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-11-13 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-11-16 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-11-17 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-11-18 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-11-19 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-11-20 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-11-23 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-11-24 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-11-25 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-11-27 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-11-30 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-12-01 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-12-02 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-12-03 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-12-04 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-12-07 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-12-08 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-12-09 | $7 | 0.08% | 0.00% | 0.08% | 1.41% | 0.22% | $10007 | 0.06% | 0.01% |\n",
- "| 1981-12-10 | $-176 | -3.67% | -0.00% | -3.60% | -1.68% | -0.00% | $9646 | 2.14% | 0.34% |\n"
- ]
- },
- {
- "data": {
- "text/plain": [
- "nil"
- ]
- },
- "execution_count": 11,
- "metadata": {},
- "output_type": "execute_result"
- }
- ],
- "source": [
- "(eval-report)"
- ]
- },
- {
- "cell_type": "code",
- "execution_count": 20,
- "metadata": {},
- "outputs": [
- {
- "data": {
- "text/plain": [
- "#'clojure-backtesting.demo/plot-new"
- ]
- },
- "execution_count": 20,
- "metadata": {},
- "output_type": "execute_result"
- }
- ],
- "source": [
- "\n",
- "(defn plot-new\n",
- " \"this is the function that allows the users to plot charts,\"\n",
- " ([dataset series x y ]\n",
- " (oz/view!\n",
- " { :width 800 :height 500 ;adjust the graph size\n",
- " :data {:values dataset}\n",
- " :encoding {:x {:field x :type \"temporal\" :timeUnit \"yearmonthdate\"};\"field\" means the x-axis name, \"type\" asking what's the data type of x-axis values; choosing from \"quantity\"/\"nominal\"/\"temporal\" \n",
- " :y {:field y :type \"quantitative\"}\n",
- " :color {:field series :type \"nominal\"} ;if it's only 1 line, no need this\n",
- " } \n",
- " :mark \"line\"\n",
- " }\n",
- " ))\n",
- " \n",
- " ([dataset series x y1 y2] ;y1 & y2 should be key for values to be plotted, e.g. :tot-value or :daily-ret\n",
- " (oz/view!\n",
- " { :width 800 :height 500 ;adjust the graph size\n",
- " :data {:values dataset}\n",
- " :encoding {:x {:field x :type \"temporal\" :timeUnit \"yearmonthdate\"} ;\"field\" means the x-axis name, \"type\" asking what's the data type of x-axis values; choosing from \"quantity\"/\"nominal\"/\"temporal\" \n",
- " :color {:field series :type \"nominal\"} ;if it's only 1 line, no need this\n",
- " } \n",
- " :layer [\n",
- " {:mark {:type \"line\"}\n",
- " :encoding {:y {:field y1 :type \"quantitative\"}\n",
- " :color {:field series :type \"nominal\"}}\n",
- " } \n",
- " {:mark {:type \"line\"}\n",
- " :encoding {:y {:field y2 :type \"quantitative\"}\n",
- " :color {:field series :type \"nominal\"}}\n",
- " }]\n",
- " :resolve {:scale {:y \"independent\"}}\n",
- " }\n",
- " ))\n",
- ")"
- ]
- },
- {
- "cell_type": "code",
- "execution_count": 21,
- "metadata": {},
- "outputs": [
- {
- "data": {
- "text/html": [
- "\n",
- " \n",
- "
\n",
- " \n",
- "
\n",
- " "
- ]
- },
- "execution_count": 21,
- "metadata": {},
- "output_type": "execute_result"
- }
- ],
- "source": [
- "(def data (deref portfolio-value))\n",
- "\n",
- "; Add legend name to series\n",
- "(def data-to-plot\n",
- " (map #(assoc % :plot \"portfolio\")\n",
- " data))\n",
- "\n",
- "(plot-new data-to-plot :plot :date :daily-ret)"
- ]
- },
- {
- "cell_type": "code",
- "execution_count": null,
- "metadata": {},
- "outputs": [],
- "source": []
- }
- ],
- "metadata": {
- "kernelspec": {
- "display_name": "Clojure (backtesting_clojure)",
- "language": "clojure",
- "name": "backtesting_clojure"
- },
- "language_info": {
- "file_extension": ".clj",
- "mimetype": "text/x-clojure",
- "name": "clojure",
- "version": "1.10.1"
- }
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