pinkfish-challenge

In [1]:

    

import pandas as pd
import datetime

import pinkfish as pf

# format price data
pd.options.display.float_format = '{:0.2f}'.format

%matplotlib inline


    

In [2]:

    

symbol = '^GSPC'
capital = 10000
start = datetime.datetime(2016, 1, 1)
end = datetime.datetime.now()


    

In [3]:

    

period = 20


    

In [4]:

    

ts = pf.fetch_timeseries(symbol)
ts = pf.select_tradeperiod(ts, start, end, use_adj=False)

# Add technical indicator: X day high, and X day low
period_high = pd.Series(ts.close).rolling(period).max()
ts['period_high'] = period_high

ts, start = pf.finalize_timeseries(ts, start)

tlog = pf.TradeLog(symbol)
dbal = pf.DailyBal()


    

In [5]:

    

pf.TradeLog.cash = capital

for i, row in enumerate(ts.itertuples()):

    date = row.Index.to_pydatetime()
    high = row.high; low = row.low; close = row.close; 
    end_flag = pf.is_last_row(ts, i)
    shares = 0

    # buy
    if (tlog.shares == 0
        and high > row.period_high
        and not end_flag):
        # enter buy in trade log
        shares = tlog.buy(date, close)
    # sell
    elif end_flag:
        # enter sell in trade log
        shares = tlog.sell(date, close)

    if shares > 0:
        print("{0} BUY  {1} {2} @ {3:.2f}".format(
              date, shares, symbol, close))
    elif shares < 0:
        print("{0} SELL {1} {2} @ {3:.2f}".format(
              date, -shares, symbol, close))

    # record daily balance
    dbal.append(date, high, low, close)


    

    




2016-02-22 00:00:00 BUY  5 ^GSPC @ 1945.50
2020-07-17 00:00:00 SELL 5 ^GSPC @ 3224.73

In [6]:

    

tlog = tlog.get_log()
dbal = dbal.get_log(tlog)


    

In [7]:

    

tlog.tail()


    

    
Out[7]:







  

    

      

      
entry_date
      
entry_price
      
exit_date
      
exit_price
      
pl_points
      
pl_cash
      
qty
      
cumul_total
      
direction
      
symbol
    
  
  

    

      
0
      
2016-02-22
      
1945.50
      
2020-07-17
      
3224.73
      
1279.23
      
6396.15
      
5
      
6396.15
      
LONG
      
^GSPC