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.
Prophet is Python 2 and 3 compatible. 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 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 git@github.com:Emsu/prophet.git
cd prophet
virtualenv env
. env/bin/activate
pip install -r 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.