market_timing.py

from __future__ import print_function

from pyalgotrade import strategy
from pyalgotrade import plotter
from pyalgotrade.barfeed import yahoofeed
from pyalgotrade.technical import ma
from pyalgotrade.technical import cumret
from pyalgotrade.stratanalyzer import sharpe
from pyalgotrade.stratanalyzer import returns


class MarketTiming(strategy.BacktestingStrategy):
    def __init__(self, feed, instrumentsByClass, initialCash):
        super(MarketTiming, self).__init__(feed, initialCash)
        self.setUseAdjustedValues(True)
        self.__instrumentsByClass = instrumentsByClass
        self.__rebalanceMonth = None
        self.__sharesToBuy = {}
        # Initialize indicators for each instrument.
        self.__sma = {}
        for assetClass in instrumentsByClass:
            for instrument in instrumentsByClass[assetClass]:
                priceDS = feed[instrument].getPriceDataSeries()
                self.__sma[instrument] = ma.SMA(priceDS, 200)

    def _shouldRebalance(self, dateTime):
        return dateTime.month != self.__rebalanceMonth

    def _getRank(self, instrument):
        # If the price is below the SMA, then this instrument doesn't rank at
        # all.
        smas = self.__sma[instrument]
        price = self.getLastPrice(instrument)
        if len(smas) == 0 or smas[-1] is None or price < smas[-1]:
            return None

        # Rank based on 20 day returns.
        ret = None
        lookBack = 20
        priceDS = self.getFeed()[instrument].getPriceDataSeries()
        if len(priceDS) >= lookBack and smas[-1] is not None and smas[-1*lookBack] is not None:
            ret = (priceDS[-1] - priceDS[-1*lookBack]) / float(priceDS[-1*lookBack])
        return ret

    def _getTopByClass(self, assetClass):
        # Find the instrument with the highest rank.
        ret = None
        highestRank = None
        for instrument in self.__instrumentsByClass[assetClass]:
            rank = self._getRank(instrument)
            if rank is not None and (highestRank is None or rank > highestRank):
                highestRank = rank
                ret = instrument
        return ret

    def _getTop(self):
        ret = {}
        for assetClass in self.__instrumentsByClass:
            ret[assetClass] = self._getTopByClass(assetClass)
        return ret

    def _placePendingOrders(self):
        # Use less chash just in case price changes too much.
        remainingCash = round(self.getBroker().getCash() * 0.9, 2)

        for instrument in self.__sharesToBuy:
            orderSize = self.__sharesToBuy[instrument]
            if orderSize > 0:
                # Adjust the order size based on available cash.
                lastPrice = self.getLastPrice(instrument)
                cost = orderSize * lastPrice
                while cost > remainingCash and orderSize > 0:
                    orderSize -= 1
                    cost = orderSize * lastPrice
                if orderSize > 0:
                    remainingCash -= cost
                    assert(remainingCash >= 0)

            if orderSize != 0:
                self.info("Placing market order for %d %s shares" % (orderSize, instrument))
                self.marketOrder(instrument, orderSize, goodTillCanceled=True)
                self.__sharesToBuy[instrument] -= orderSize

    def _logPosSize(self):
        totalEquity = self.getBroker().getEquity()
        positions = self.getBroker().getPositions()
        for instrument in self.getBroker().getPositions():
            posSize = positions[instrument] * self.getLastPrice(instrument) / totalEquity * 100
            self.info("%s - %0.2f %%" % (instrument, posSize))

    def _rebalance(self):
        self.info("Rebalancing")

        # Cancel all active/pending orders.
        for order in self.getBroker().getActiveOrders():
            self.getBroker().cancelOrder(order)

        cashPerAssetClass = round(self.getBroker().getEquity() / float(len(self.__instrumentsByClass)), 2)
        self.__sharesToBuy = {}

        # Calculate which positions should be open during the next period.
        topByClass = self._getTop()
        for assetClass in topByClass:
            instrument = topByClass[assetClass]
            self.info("Best for class %s: %s" % (assetClass, instrument))
            if instrument is not None:
                lastPrice = self.getLastPrice(instrument)
                cashForInstrument = round(cashPerAssetClass - self.getBroker().getShares(instrument) * lastPrice, 2)
                # This may yield a negative value and we have to reduce this
                # position.
                self.__sharesToBuy[instrument] = int(cashForInstrument / lastPrice)

        # Calculate which positions should be closed.
        for instrument in self.getBroker().getPositions():
            if instrument not in topByClass.values():
                currentShares = self.getBroker().getShares(instrument)
                assert(instrument not in self.__sharesToBuy)
                self.__sharesToBuy[instrument] = currentShares * -1

    def getSMA(self, instrument):
        return self.__sma[instrument]

    def onBars(self, bars):
        currentDateTime = bars.getDateTime()

        if self._shouldRebalance(currentDateTime):
            self.__rebalanceMonth = currentDateTime.month
            self._rebalance()

        self._placePendingOrders()


def main(plot):
    initialCash = 10000
    instrumentsByClass = {
        "US Stocks": ["VTI"],
        "Foreign Stocks": ["VEU"],
        "US 10 Year Government Bonds": ["IEF"],
        "Real Estate": ["VNQ"],
        "Commodities": ["DBC"],
    }

    # Load the bars. These files were manually downloaded from Yahoo Finance.
    feed = yahoofeed.Feed()
    instruments = ["SPY"]
    for assetClass in instrumentsByClass:
        instruments.extend(instrumentsByClass[assetClass])

    for year in range(2007, 2013+1):
        for instrument in instruments:
            fileName = "%s-%d-yahoofinance.csv" % (instrument, year)
            print("Loading bars from %s" % fileName)
            feed.addBarsFromCSV(instrument, fileName)

    # Build the strategy and attach some metrics.
    strat = MarketTiming(feed, instrumentsByClass, initialCash)
    sharpeRatioAnalyzer = sharpe.SharpeRatio()
    strat.attachAnalyzer(sharpeRatioAnalyzer)
    returnsAnalyzer = returns.Returns()
    strat.attachAnalyzer(returnsAnalyzer)

    if plot:
        plt = plotter.StrategyPlotter(strat, False, False, True)
        plt.getOrCreateSubplot("cash").addCallback("Cash", lambda x: strat.getBroker().getCash())
        # Plot strategy vs. SPY cumulative returns.
        plt.getOrCreateSubplot("returns").addDataSeries("SPY", cumret.CumulativeReturn(feed["SPY"].getPriceDataSeries()))
        plt.getOrCreateSubplot("returns").addDataSeries("Strategy", returnsAnalyzer.getCumulativeReturns())

    strat.run()
    print("Sharpe ratio: %.2f" % sharpeRatioAnalyzer.getSharpeRatio(0.05))
    print("Returns: %.2f %%" % (returnsAnalyzer.getCumulativeReturns()[-1] * 100))

    if plot:
        plt.plot()


if __name__ == "__main__":
    main(True)