Created
June 24, 2019 13:17
-
-
Save scubamut/940422151f9a61fd096b8e5d2cc7e60d to your computer and use it in GitHub Desktop.
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
import pandas_datareader.data as pdr | |
import matplotlib.pyplot as plt | |
import pandas as pd | |
from datetime import datetime, timezone | |
import pytz | |
import talib | |
import itable | |
import ffn | |
from fintools import get_DataArray,compute_weights_RS_DM,compute_weights_PMA,\ | |
Parameters, show_return_table, show_annual_returns, \ | |
endpoints, backtest | |
start = datetime(2000, 1, 1, 0, 0, 0, 0, pytz.utc) | |
end = datetime.today().replace(tzinfo=timezone.utc) | |
# CHOOSE ONLY ONE | |
# ETFs | |
# strategies = { | |
# 'RS0001': { 'assets': ['CWB','HYG','MBB','IEF','HYD'], | |
# 'start':start, 'end':end, | |
# 'rs_lookback': 1, 'risk_lookback': 1, 'n_top': 2, 'frequency': 'M', | |
# 'cash_proxy': 'CASHX', 'risk_free': 0}, | |
# 'RS0002': {'assets': ['HYD','QLTB','MBB'], | |
# 'start':start, 'end':end, | |
# 'rs_lookback': 3, 'risk_lookback': 2, 'n_top': 1, 'frequency': 'M', | |
# 'cash_proxy': 'CASHX', 'risk_free': 0}, | |
# 'RS0003': {'assets': ['HYD','MBB','SHY'], | |
# 'start':start, 'end':end, | |
# 'rs_lookback': 1, 'risk_lookback': 1, 'n_top': 1, 'frequency': 'Q', | |
# 'cash_proxy': 'CASHX', 'risk_free': 0}, | |
# 'DM0001': {'assets': ['CWB','VYM','HYG','VHT','TLT','MBB','HYD','IEF'], | |
# 'start':start, 'end':end, | |
# 'rs_lookback': 1, 'risk_lookback': 1, 'n_top': 3, 'frequency': 'M', | |
# 'cash_proxy': 'CASHX', 'risk_free': 'SHY'}, | |
# 'DM0002': {'assets': ['CWB','TLT','HYG','VHT','VNQ'], | |
# 'start':start, 'end':end, | |
# 'rs_lookback': 1, 'risk_lookback': 1, 'n_top': 5, 'frequency': 'M', | |
# 'cash_proxy': 'MBB', 'risk_free': 'SHY'}, | |
# 'PMA001': {'assets': ['CWB','MBB'], | |
# 'start':start, 'end':end, | |
# 'risk_lookback': 3, 'frequency': 'M', 'allocations': [0.6, 0.4], | |
# 'cash_proxy': 'TLT'}, | |
# 'PMA002': {'assets': ['CWB','VYM','HYG'], | |
# 'start':start, 'end':end, | |
# 'risk_lookback': 3, 'frequency': 'M', 'allocations': [0.6, 0.2, 0.2], | |
# 'cash_proxy': 'TLT'}, | |
# 'PMA003': {'assets': ['VCVSX', 'FAGIX', 'VGHCX'], | |
# 'start':start, 'end':end, | |
# 'risk_lookback': 2, 'frequency': 'M', 'allocations': [1./3., 1./3., 1./3.], | |
# 'cash_proxy': 'VUSTX'} | |
# } | |
# FUNDS | |
strategies = { | |
'RS0001': { 'assets': ['VCVSX','VWEHX','VFIIX','FGOVX','VWAHX'], | |
'start':start, 'end':end, | |
'rs_lookback': 1, 'risk_lookback': 1, 'n_top': 2, 'frequency': 'M', | |
'cash_proxy': 'CASHX', 'risk_free': 0}, | |
# 'RS0002': {'assets': ['MMHYX','FAGIX','VFIIX'], | |
# 'start':start, 'end':end, | |
# 'rs_lookback': 3, 'risk_lookback': 2, 'n_top': 1, 'frequency': 'M', | |
# 'cash_proxy': 'CASHX', 'risk_free': 0}, | |
# 'RS0003': {'assets': ['MMHYX','FAGIX','VFIIX'], | |
# 'start':start, 'end':end, | |
# 'rs_lookback': 1, 'risk_lookback': 1, 'n_top': 1, 'frequency': 'Q', | |
# 'cash_proxy': 'CASHX', 'risk_free': 0}, | |
# 'DM0001': {'assets': ['VCVSX','VWINX','VWEHX','VGHCX','VUSTX','VFIIX','VWAHX','FGOVX','FFXSX'], | |
# 'start':start, 'end':end, | |
# 'rs_lookback': 1, 'risk_lookback': 1, 'n_top': 3, 'frequency': 'M', | |
# 'cash_proxy': 'CASHX', 'risk_free': 'FFXSX'}, | |
# 'DM0002': {'assets': ['VCVSX','VUSTX','VWEHX','VFIIX','VGHCX','FRESX'], | |
# 'start':start, 'end':end, | |
# 'rs_lookback': 1, 'risk_lookback': 1, 'n_top': 5, 'frequency': 'M', | |
# 'cash_proxy': 'VFIIX', 'risk_free': 'FFXSX'}, | |
# 'PMA001': {'assets': ['VCVSX', 'VFIIX'], | |
# 'start':start, 'end':end, | |
# 'risk_lookback': 3, 'frequency': 'M', 'allocations': [0.6, 0.4], | |
# 'cash_proxy': 'VUSTX'}, | |
# 'PMA002': {'assets': ['VCVSX', 'VWINX', 'VWEHX'], | |
# 'start':start, 'end':end, | |
# 'risk_lookback': 3, 'frequency': 'M', 'allocations': [0.6, 0.2, 0.2], | |
# 'cash_proxy': 'VUSTX'}, | |
# 'PMA003': {'assets': ['VCVSX', 'FAGIX', 'VGHCX'], | |
# 'start':start, 'end':end, | |
# 'risk_lookback': 2, 'frequency': 'M', 'allocations': [1./3., 1./3., 1./3.], | |
# 'cash_proxy': 'VUSTX'} | |
} | |
if len(strategies) == 1: | |
name = [k for k in strategies.keys()][0] | |
if 'PMA' in name: | |
p_value, p_holdings, p_weights, prices = compute_weights_PMA(name, strategies[name]) | |
else: | |
p_value, p_holdings, p_weights, prices = compute_weights_RS_DM(name, strategies[name]) | |
p_value.plot(figsize=(15, 10), grid=True) | |
else: | |
print('***** ERROR : ', 'ONLY ONE STRATEGY ALLOWED') | |
ffn.calc_perf_stats(p_value).display() | |
# show_return_table(p_value) | |
# show_annual_returns(p_value) | |
Sign up for free
to join this conversation on GitHub.
Already have an account?
Sign in to comment