Run this in Python kernel¶

In [1]:

%%html
<style>
body {
    font-family: "Arial", cursive, sans-serif; # font style of application
}
pre {
    font-family: "Courier New"; # font style of cell outputs
}
</style>

Syntax error compiling at (REPL:0:0).
Unable to resolve symbol: %%html in this context
Syntax error compiling at (REPL:0:0).
Unable to resolve symbol: <style> in this context
Syntax error compiling at (REPL:0:0).
Unable to resolve symbol: body in this context
Syntax error reading source at (REPL:4:17).
Invalid token: font-family:

      Util.java:   221 clojure.lang.Util/runtimeException
LispReader.java:   412 clojure.lang.LispReader/interpretToken
LispReader.java:   305 clojure.lang.LispReader/read
LispReader.java:  1398 clojure.lang.LispReader/readDelimitedList
LispReader.java:  1355 clojure.lang.LispReader$MapReader/invoke
LispReader.java:   285 clojure.lang.LispReader/read
       core.clj:  3768 clojure.core$read/invokeStatic
       core.clj:  3741 clojure.core$read/invoke
       main.clj:   433 clojure.main$repl$read_eval_print__9086$fn__9087/invoke
       main.clj:   432 clojure.main$repl$read_eval_print__9086/invoke
       main.clj:   458 clojure.main$repl$fn__9095/invoke
       main.clj:   368 clojure.main$repl/doInvoke
    RestFn.java:  1523 clojure.lang.RestFn/invoke
       AFn.java:    22 clojure.lang.AFn/run
       AFn.java:    22 clojure.lang.AFn/run
    Thread.java:   844 java.lang.Thread/run

Run below in the backtesting_clojure kernel¶

In [1]:

; import libraries from kernel
(ns clojure-backtesting.demo
  (:require [clojure.test :refer :all]
            [oz.notebook.clojupyter :as oz]
            [clojure-backtesting.data :refer :all]
            [clojure-backtesting.order :refer :all]
            [clojure-backtesting.evaluate :refer :all]
            [clojure-backtesting.plot :refer :all]
            [clojure-backtesting.counter :refer :all]
            ;;[clojure-backtesting.parameters :refer :all]
            [clojure.string :as str]
            [clojure.pprint :as pprint]
            [java-time :as t]
            [clojupyter.kernel.version :as ver]
            [clojupyter.misc.helper :as helper]
  ) ;; require all libriaries from core
  (:use clojure.pprint)
)

Out[1]:

nil

Import dataset¶

In [2]:

; path to dataset = "../resources/CRSP-extract.csv"
; change it to the relative to your own dataset
;
(reset! data-set (add-aprc (read-csv-row "../resources/CRSP-extract.csv")));

Initialise portfolio¶

In [3]:

;; initialise with current date and initial capital (= $10000)
(init-portfolio "1980-12-16" 10000);

Write a strategy¶

The following code implements a simple trading strategy:

In a timespan of 10 days (inclusive of today),

Buy 50 stocks of AAPL on the first day
Sell 10 stocks of AAPL on every other day

In [4]:

;; define the "time span", i.e. to trade in the coming 10 days 
(def num-of-days (atom 10))                              

(while (pos? @num-of-days)
    (do 
        ;; write your trading strategy here
        (if (= 10 @num-of-days)
            (do
                (order "AAPL" 50) ; buy 50 stocks
                (println ((fn [date] (str "Buy 50 stocks of AAPL on " date)) (get-date)))
            )
        )
        (if (odd? @num-of-days)
            (do
                (order "AAPL" -10) ; sell 10 stocks
                (println ((fn [date] (str "Sell 10 stocks of AAPL on " date)) (get-date)))
            )
        )
        
        (update-eval-report (get-date))
        
        ; move on to the next trading day
        (next-date)
        
        ; decrement counter
        (swap! num-of-days dec)
    )
)

; check whether counter == 0
(println ((fn [counter] (str "Counter: " counter)) @num-of-days))

Buy 50 stocks of AAPL on 1980-12-16
Sell 10 stocks of AAPL on 1980-12-17
Sell 10 stocks of AAPL on 1980-12-19
Sell 10 stocks of AAPL on 1980-12-23
Sell 10 stocks of AAPL on 1980-12-26
Sell 10 stocks of AAPL on 1980-12-30
Counter: 0

Out[4]:

nil

Check order record¶

In [5]:

(pprint/print-table (deref order-record))

|      :date | :tic |  :price | :quantity | :reference |
|------------+------+---------+-----------+------------|
| 1980-12-17 | AAPL | 25.9375 |        50 |          1 |
| 1980-12-18 | AAPL | 26.6875 |       -10 |          1 |
| 1980-12-22 | AAPL | 29.6875 |       -10 |          1 |
| 1980-12-24 | AAPL | 32.5625 |       -10 |          1 |
| 1980-12-29 | AAPL | 36.0625 |       -10 |          1 |
| 1980-12-31 | AAPL | 34.1875 |       -10 |          1 |

Out[5]:

nil

Check portfolio record¶

In [6]:

;; view final portfolio
(view-portfolio)

| :asset |  :price | :aprc | :quantity | :tot-val |
|--------+---------+-------+-----------+----------|
|   cash |     N/A |   N/A |       N/A |    10295 |
|   AAPL | 34.1875 | 29.42 |         0 |        0 |

Out[6]:

nil

In [7]:

;; view portfolio value and return
(view-portfolio-record)

|      :date | :tot-value | :daily-ret | :loan | :leverage |
|------------+------------+------------+-------+-----------|
| 1980-12-16 |     $10000 |      0.00% | $0.00 |     0.00% |
| 1980-12-17 |     $10007 |      0.00% | $0.00 |     0.00% |
| 1980-12-18 |     $10026 |      0.00% | $0.00 |     0.00% |
| 1980-12-22 |     $10096 |      0.01% | $0.00 |     0.00% |
| 1980-12-24 |     $10168 |      0.01% | $0.00 |     0.00% |
| 1980-12-29 |     $10254 |      0.01% | $0.00 |     0.00% |
| 1980-12-31 |     $10295 |      0.00% | $0.00 |     0.00% |

Out[7]:

nil

Generate evaluation report¶

In [8]:

(eval-report)

|      :date | :pnl-pt | :ret-da | :ret-r | :ret-tot | :sharpe-e | :sharpe-r | :tot-val | :vol-e | :vol-r |
|------------+---------+---------+--------+----------+-----------+-----------+----------+--------+--------|
| 1980-12-16 |      $7 |   0.08% |  0.00% |    0.08% |     1.41% |     0.22% |   $10007 |  0.06% |  0.01% |
| 1980-12-17 |     $13 |   0.19% |  0.01% |    0.27% |     2.81% |     0.45% |   $10026 |  0.10% |  0.02% |
| 1980-12-18 |     $13 |   0.19% |  0.01% |    0.27% |     2.81% |     0.45% |   $10026 |  0.10% |  0.02% |
| 1980-12-19 |     $32 |   0.70% |  0.00% |    0.96% |     3.07% |     0.10% |   $10096 |  0.31% |  0.05% |
| 1980-12-22 |     $32 |   0.70% |  0.00% |    0.96% |     3.07% |     0.10% |   $10096 |  0.31% |  0.05% |
| 1980-12-23 |     $42 |   0.71% |  0.01% |    1.67% |     4.88% |     0.11% |   $10168 |  0.34% |  0.05% |
| 1980-12-24 |     $42 |   0.71% |  0.01% |    1.67% |     4.88% |     0.11% |   $10168 |  0.34% |  0.05% |
| 1980-12-26 |     $50 |   0.84% |  0.01% |    2.51% |     6.80% |     0.09% |   $10254 |  0.37% |  0.06% |
| 1980-12-29 |     $50 |   0.84% |  0.01% |    2.51% |     6.80% |     0.09% |   $10254 |  0.37% |  0.06% |
| 1980-12-30 |     $49 |   0.40% |  0.01% |    2.91% |     8.62% |     0.10% |   $10295 |  0.34% |  0.05% |

Out[8]:

nil

Plot variables¶

Below are example codes that show how to plot different variables in the portfolio record / evaluation record.

1. Portfolio daily return¶

In [9]:

(def data (deref portfolio-value))

Out[9]:

#'clojure-backtesting.demo/data

In [10]:

; Add legend name to series
(def data-to-plot
 (map #(assoc % :plot "portfolio")
  data))

Out[10]:

#'clojure-backtesting.demo/data-to-plot

In [11]:

(first data-to-plot)

Out[11]:

{:date "1980-12-16", :tot-value 10000, :daily-ret 0.0, :loan 0.0, :leverage 0.0, :plot "portfolio"}

In [12]:

(plot-general data-to-plot :plot :date :daily-ret)

Out[12]:

2. Plot volatility (expanded window)¶

In [13]:

(def data (deref eval-record))

Out[13]:

#'clojure-backtesting.demo/data

In [14]:

(first data)

Out[14]:

{:date "1980-12-16", :pnl-pt 7.806415917975755, :ret-da 0.07803370496319298, :ret-r 0.0019683764070455023, :ret-tot 7.803370496319297E-4, :sharpe-e 1.4142135623730954, :sharpe-r 0.22471944370971253, :tot-val 10007.806415917976, :vol-e 0.05517816194058409, :vol-r 0.00875926165778608}

In [15]:

; Add legend name to series
(def data-to-plot
 (map #(assoc % :plot "volatility")
  data))

Out[15]:

#'clojure-backtesting.demo/data-to-plot

In [16]:

(eval-report)

|      :date | :pnl-pt | :ret-da | :ret-r | :ret-tot | :sharpe-e | :sharpe-r | :tot-val | :vol-e | :vol-r |
|------------+---------+---------+--------+----------+-----------+-----------+----------+--------+--------|
| 1980-12-16 |      $7 |   0.08% |  0.00% |    0.08% |     1.41% |     0.22% |   $10007 |  0.06% |  0.01% |
| 1980-12-17 |     $13 |   0.19% |  0.01% |    0.27% |     2.81% |     0.45% |   $10026 |  0.10% |  0.02% |
| 1980-12-18 |     $13 |   0.19% |  0.01% |    0.27% |     2.81% |     0.45% |   $10026 |  0.10% |  0.02% |
| 1980-12-19 |     $32 |   0.70% |  0.00% |    0.96% |     3.07% |     0.10% |   $10096 |  0.31% |  0.05% |
| 1980-12-22 |     $32 |   0.70% |  0.00% |    0.96% |     3.07% |     0.10% |   $10096 |  0.31% |  0.05% |
| 1980-12-23 |     $42 |   0.71% |  0.01% |    1.67% |     4.88% |     0.11% |   $10168 |  0.34% |  0.05% |
| 1980-12-24 |     $42 |   0.71% |  0.01% |    1.67% |     4.88% |     0.11% |   $10168 |  0.34% |  0.05% |
| 1980-12-26 |     $50 |   0.84% |  0.01% |    2.51% |     6.80% |     0.09% |   $10254 |  0.37% |  0.06% |
| 1980-12-29 |     $50 |   0.84% |  0.01% |    2.51% |     6.80% |     0.09% |   $10254 |  0.37% |  0.06% |
| 1980-12-30 |     $49 |   0.40% |  0.01% |    2.91% |     8.62% |     0.10% |   $10295 |  0.34% |  0.05% |

Out[16]:

nil

In [17]:

(plot-eval-record data-to-plot :plot :date :vol-e)

Out[17]:

3. Plot sharpe ratio (expanded window)¶

In [19]:

; Add rename legend
(def data-to-plot
 (map #(assoc % :plot "sharpe ratio")
  data))

(plot-eval-record data-to-plot :plot :date :sharpe-e)

Out[19]:

4. Plot stock price¶

In [20]:

(def data (deref order-record))

Out[20]:

#'clojure-backtesting.demo/data

In [21]:

(first data)

Out[21]:

{:date "1980-12-17", :tic "AAPL", :price 25.9375, :quantity 50, :reference 1}

In [22]:

; Add rename legend
(def data-to-plot
 (map #(assoc % :plot "price")
  data))

(plot-eval-record data-to-plot :plot :date :price)

Out[22]:

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