testing.ipynb

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   "id": "f046dacb-7bdb-4a3a-aaef-d2fe8d9b3a2d",
   "metadata": {},
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   "source": [
    "import numpy as np\n",
    "import pandas as pd\n",
    "import yfinance as yf\n",
    "import datetime\n",
    "import matplotlib.pyplot as plt"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 4,
   "id": "48f59cc0-d851-4fa9-9997-5ac29a776718",
   "metadata": {},
   "outputs": [],
   "source": [
    "class FTS_profile:\n",
    "    def __init__(self):\n",
    "        self.portfolio = {}\n",
    "        self.start_date = None\n",
    "        self.end_date = None\n",
    "        self.current_date = None\n",
    "        self.invested = False\n",
    "        self.uninvested_cash = 0\n",
    "        \n",
    "    def add_equity(self,ticker):\n",
    "        self.portfolio[ticker] = [yf.Ticker(ticker),0] # [Ticker Object, number of shares owned]\n",
    "        \n",
    "    def set_uninvested_cash(self,uninvested_cash):\n",
    "        self.uninvested_cash = uninvested_cash\n",
    "        \n",
    "    def set_start_date(self,date):\n",
    "        self.start_date = date\n",
    "        self.current_date = date\n",
    "        \n",
    "    def set_end_date(self,date):\n",
    "        self.end_date = date\n",
    "        \n",
    "    def get_basic_data(self,ticker,start_date = None,end_date = None): \n",
    "        return self.portfolio[ticker][0].history(start = start_date,end = end_date)\n",
    "    \n",
    "    def calculate_sharpe_ratio(self,ticker, risk_free_rate = 0, start_date = None, end_date = None):\n",
    "        daily_return = myFTS.get_basic_data('MSFT')['Close'].pct_change(1)\n",
    "        mean_return = abs(daily_return.mean())\n",
    "        std = daily_return.std()\n",
    "        sharpe_ratio = (mean_return-risk_free_rate)/std\n",
    "        return sharpe_ratio*np.sqrt(253)\n",
    "    \n",
    "    def calculate_sortino_ratio(self,ticker, risk_free_rate = 0, start_date = None, end_date = None):\n",
    "        pass\n",
    "    def view_portfolio(self):\n",
    "     \n",
    "        for i in self.portfolio.keys():\n",
    "            print(f\"Ticker: {i}, # shares owned: {self.portfolio[i][1]}\")\n",
    "    def set_holdings(self,tickers = [],weights = []):\n",
    "  \n",
    "        invested_amount = 0\n",
    "        for i in range(len(tickers)):\n",
    "            cost = (weights[i]*self.uninvested_cash) \n",
    "            num_shares = cost/self.portfolio[tickers[i]][0].history(period = \"max\").T[self.current_date]['Close']\n",
    "            self.portfolio[tickers[i]][1] = num_shares\n",
    "            invested_amount += cost\n",
    "        self.uninvested_cash-=invested_amount\n",
    "        \n",
    "        for j in range(len(tickers)):\n",
    "            print(f\"bought {self.portfolio[tickers[j]][1]} of {tickers[j]} at {self.portfolio[tickers[j]][0].history(period = 'max').T[self.current_date]['Close']}\")\n",
    "    def price_at_date(self,ticker,time,date):\n",
    "\n",
    "        return self.portfolio[ticker][0].history().T[date][time]\n",
    "    \n",
    "    def liquidate_holdings(self,tickets = []):\n",
    "\n",
    "        for i in tickets:\n",
    "            self.uninvested_cash+=self.portfolio[i][1]*self.price_at_date(i,'Close',self.current_date)\n",
    "            self.portfolio[i][1] = 0\n",
    "            "
   ]
  },
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   "cell_type": "code",
   "execution_count": 5,
   "id": "81f08e64-d765-4f2e-b8d3-7646fbc31b00",
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   "source": [
    "def convert_to_datetime(date) -> datetime.date:\n",
    "    \"\"\"\n",
    "    takes input as string in form of yyyy-mm-dd and outputs a datetime date\n",
    "    \"\"\"\n",
    "    y = int(date[:4])\n",
    "    m = int(date[5:7])\n",
    "    d = int(date[8:10])\n",
    "    \n",
    "    return datetime.date(y,m,d)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 6,
   "id": "5b028cc3-c8ba-4876-ba88-94a24cfc4538",
   "metadata": {},
   "outputs": [],
   "source": [
    "myFTS = FTS_profile()"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 7,
   "id": "f2161aed-4daf-437f-a2a6-786519973c76",
   "metadata": {},
   "outputs": [],
   "source": [
    "#EXAMPLE TESTING CODE\n",
    "myFTS.add_equity('MSFT') #Adds MSFT to portfolio\n",
    "myFTS.add_equity('GOOG') #Adds GOOG to portfolio\n",
    "myFTS.set_uninvested_cash(10000) #Sets available uninvested_cash to 10000\n",
    "myFTS.set_start_date('2010-12-15') #Sets start date of algorithm to December 15, 2010\n",
    "myFTS.set_end_date('2020-12-15')"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 500,
   "id": "82ae0c51-e850-4bf3-a233-9c7cb3ea9f95",
   "metadata": {},
   "outputs": [],
   "source": [
    "def run_backtest(myFTS = FTS_profile):\n",
    "    \"\"\"Will loop from given start date to end date\"\"\"\n",
    "    \n",
    "    if not myFTS.invested:\n",
    "        #Edit here\n",
    "        pass\n",
    "    delta = datetime.timedelta(days = 1)\n",
    "    \n",
    "    current_date = convert_to_datetime(myFTS.current_date)\n",
    "    end_date = convert_to_datetime(myFTS.end_date)\n",
    "    \n",
    "    while current_date != end_date:\n",
    "        #Write backtest code here\n",
    "        current_date += delta"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 534,
   "id": "1732e93d-8862-45c0-b1eb-16e297637464",
   "metadata": {},
   "outputs": [],
   "source": [
    "class BacktestNode:\n",
    "    \"\"\"NOT YET WORKING\"\"\"\n",
    "    \n",
    "    def __init__(self,fts_prof = FTS_profile()):\n",
    "        self.fts_prof = fts_prof\n",
    "        self.unrealized_profit = 0\n",
    "        self.percent_return = 0\n",
    "        self.starting_cash = fts_prof.uninvested_cash\n",
    "        \n",
    "    def run_backtest(self):\n",
    "        if not self.fts_prof.invested:\n",
    "            #Edit here\n",
    "            pass #Take out pass and set investments\n",
    "        \n",
    "        delta = datetime.timedelta(days = 1) #Time increment is set to one day\n",
    "        current_date = convert_to_datetime(myFTS.current_date)\n",
    "        end_date = convert_to_datetime(myFTS.end_date)\n",
    "    \n",
    "        while current_date != end_date:\n",
    "            #Write backtest code here\n",
    "        \n",
    "            current_date += delta\n",
    "            \n",
    "    def view_backtest_metrics(self):\n",
    "        print(f\"Unrealized profit: {self.unrealized_profit} \\n Percent return: {self.percent_return}\")\n"
   ]
  }
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