Prophet is a Python microframework for financial markets. Prophet strives to let the programmer focus on modeling financial strategies, portfolio management, and analyzing backtests. It achieves this by having few functions to learn to hit the ground running, yet being flexible enough to accomodate sophistication.
See the documentation for more details.
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from datetime import datetime
from prophet import Prophet
from prophet.data import YahooCloseData
from prophet.analyze import default_analyzers
from prophet.orders import Orders
class OrderGenerator(object):
def __init__(self):
super(OrderGenerator, self).__init__()
self._data = dict()
def run(self, prices, timestamp, cash, **kwargs):
symbol = "AAPL"
orders = Orders()
if (prices.loc[timestamp, symbol] * 100) < cash:
orders.add_order(symbol, 100)
return orders
prophet = Prophet()
prophet.set_universe(['AAPL', 'XOM'])
prophet.register_data_generators(YahooCloseData())
prophet.set_order_generator(OrderGenerator())
backtest = prophet.run_backtest(start=datetime(2010, 1, 1))
prophet.register_portfolio_analyzers(default_analyzers)
analysis = prophet.analyze_backtest(backtest)
print analysis
# +--------------------------------------+
# | sharpe | 1.09754359611 |
# | average_return | 0.00105478425027 |
# | cumulative_return | 2.168833 |
# | volatility | 0.0152560508189 |
# +--------------------------------------+
# Generate orders for you to execute today
# Using Nov, 10 2014 as the date because there might be no data for today's
# date (Market might not be open) and we don't want examples to fail.
today = datetime(2014, 11, 10)
print prophet.generate_orders(today)
# Orders[Order(symbol='AAPL', shares=100)]Run the following to your development environment setup:
git clone [email protected]:Emsu/prophet.git
cd prophet
virtualenv env
pip install dev-requirements.txt
python setup.py developProphet wouldn't be possible without the wonderful pandas library and is inspired by QSTK and Zipline.
The trading calendar util in Prophet is from Zipline which is under the Apache 2.0 License.