In [1]:

(ns clojure-backtesting.demo
  (: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
)

Out[1]:

nil

In [2]:

(load-dataset "/Volumes/T7/CRSP" "main" add-aprc)
(init-portfolio "1986-01-09" 2000)

The dataset is already furnished by add-aprc. No more modification is needed.

Out[2]:

"Date: 1986-01-09 Cash: $2000"

Limit Order¶

Stop Buy¶

In [3]:

(defn stop-buy
  "This function executes a stop buy order."
  [tic prc qty]
  (set-automation
  ; check if ticker adjusted price is greater than prc
   (condition #(and (get (deref portfolio) tic) (> (get-in (deref portfolio) [tic :aprc]) prc)))
   (action #(order tic qty))
   :max-dispatch nil
   :expiration nil))

(stop-buy "30154" 32 10)

Out[3]:

In [4]:

(defn limit-buy
  "This function executes a limit buy order."
  [tic prc qty]
  (set-automation
  ; check if ticker adjusted price is smaller than prc
   (condition #(and (get (deref portfolio) tic) (< (get-in (deref portfolio) [tic :aprc]) prc)))
   (action #(order tic qty))
   :max-dispatch nil
   :expiration nil))

(limit-buy "30155" 35 10)

Out[4]:

In [5]:

(defn stop-sell
  "This function executes a stop sell order."
  [tic prc qty]
  (set-automation
  ; check if ticker adjusted price is smaller than prc
   (condition #(and (get (deref portfolio) tic) (< (get-in (deref portfolio) [tic :aprc]) prc)))
   (action #(order tic (- qty)))
   :max-dispatch nil
   :expiration nil))

(stop-sell "30154" 35 10)

Out[5]:

In [6]:

(defn limit-sell
  "This function executes a limit sell order."
  [tic prc qty]
  (set-automation
  ; check if ticker adjusted price is smaller than prc
   (condition #(and (get (deref portfolio) tic) (> (get-in (deref portfolio) [tic :aprc]) prc)))
   (action #(order tic (- qty)))
   :max-dispatch nil
   :expiration nil))

(limit-sell "30155" 35 10)

Out[6]:

In [7]:

(print-automation-list)

| :id |                                                                                :condition |                      :action | :max-dispatch | :expire-date |
|-----+-------------------------------------------------------------------------------------------+------------------------------+---------------+--------------|
|   1 | (fn* [] (and (get (deref portfolio) tic) (> (get-in (deref portfolio) [tic :aprc]) prc))) |     (fn* [] (order tic qty)) |     Unlimited |        Never |
|   2 | (fn* [] (and (get (deref portfolio) tic) (< (get-in (deref portfolio) [tic :aprc]) prc))) |     (fn* [] (order tic qty)) |     Unlimited |        Never |
|   3 | (fn* [] (and (get (deref portfolio) tic) (< (get-in (deref portfolio) [tic :aprc]) prc))) | (fn* [] (order tic (- qty))) |     Unlimited |        Never |
|   4 | (fn* [] (and (get (deref portfolio) tic) (> (get-in (deref portfolio) [tic :aprc]) prc))) | (fn* [] (order tic (- qty))) |     Unlimited |        Never |

Out[7]:

nil

In [8]:

(next-date)

Out[8]:

"1986-01-10"

In [9]:

(print-order-record)

Out[9]:

nil

In [ ]: