ta.trade notebooks

clojure-quant · Apr 24, 2024 · d97585d · d97585d
1 parent dda3a24
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diff --git a/lib/trade/resources/quanta/notebook/trade_entry_exit.clj b/lib/trade/resources/quanta/notebook/trade_entry_exit.clj
@@ -0,0 +1,29 @@
+(ns quanta.notebook.trade-entry-exit
+  (:require
+   [tick.core :as t]
+   [tablecloth.api :as tc]
+   [ta.trade.signal.core :refer [create-positions]]
+   [ta.trade.metrics :refer [metrics]]
+   [ta.viz.ds.metrics :refer [metrics-render-spec-impl]]))
+
+(def ds (tc/dataset {:date (repeatedly 6 #(t/instant))
+                     :close [100.0 104.0 106.0 103.0 102.0 108.0]
+                     :high [100.0 104.0 106.0 103.0 102.0 108.0]
+                     :low [100.0 104.0 106.0 103.0 102.0 108.0]
+                     :entry [:long :nil nil :short :nil :nil]}))
+
+ds
+
+(def rts (-> (create-positions {:asset "QQQ"
+                                :entry [:fixed-qty 3.1]
+                                :exit [:time 2
+                                       :loss-percent 2.5
+                                       :profit-percent 5.0]}
+                               ds)
+             :roundtrips))
+
+rts
+
+(-> (metrics rts)
+    (metrics-render-spec-impl)
+ )
diff --git a/lib/trade/resources/quanta/notebook/trade_position.clj b/lib/trade/resources/quanta/notebook/trade_position.clj
@@ -0,0 +1,32 @@
+(ns quanta.notebook.trade-position
+  (:require
+   [tick.core :as t]
+   [tablecloth.api :as tc]
+   [ta.trade.position :refer [signal->roundtrips]]
+   [ta.trade.metrics :refer [metrics]]
+   [ta.viz.ds.metrics :refer [metrics-render-spec-impl]]))
+
+(def signal-ds (tc/dataset {:date [(t/instant "2020-01-01T00:00:00Z")
+                                   (t/instant "2020-01-02T00:00:00Z")
+                                   (t/instant "2020-01-03T00:00:00Z")
+                                   (t/instant "2020-02-04T00:00:00Z")
+                                   (t/instant "2020-03-05T00:00:00Z")
+                                   (t/instant "2020-04-06T00:00:00Z")
+                                   (t/instant "2020-05-07T00:00:00Z")]
+                            :close [1.0 2.0 3.0 4.0 5.0 6.0 7.0]
+                            :signal [:long :hold :flat ;rt1 
+                                     :short :hold :hold :flat ; rt2
+                                     ]}))
+signal-ds
+
+(def rts (signal->roundtrips signal-ds))
+
+(def r (metrics rts))
+
+(:roundtrip-ds r)
+(:metrics r)
+(:nav-ds r)
+
+(metrics-render-spec-impl r)
+
+
diff --git a/lib/trade/src/ta/trade/core.clj b/lib/trade/src/ta/trade/core.clj
@@ -7,30 +7,3 @@
   (let [roundtrip-ds (signal->roundtrips bar-signal-ds)]
     (m/metrics roundtrip-ds)))
 
-(comment
-  (require '[tick.core :as t])
-  (require '[tablecloth.api :as tc])
-
-  (def signal-ds (tc/dataset {:date [(t/instant "2020-01-01T00:00:00Z")
-                                     (t/instant "2020-01-02T00:00:00Z")
-                                     (t/instant "2020-01-03T00:00:00Z")
-                                     (t/instant "2020-02-04T00:00:00Z")
-                                     (t/instant "2020-03-05T00:00:00Z")
-                                     (t/instant "2020-04-06T00:00:00Z")
-                                     (t/instant "2020-05-07T00:00:00Z")]
-                              :close [1.0 2.0 3.0 4.0 5.0 6.0 7.0]
-                              :signal [:long :hold :flat ;rt1 
-                                       :short :hold :hold :flat ; rt2
-                                       ]}))
-  signal-ds
-
-  (signal->roundtrips signal-ds)
-
-  (def r (trade-summary signal-ds))
-
-  (:roundtrip-ds r)
-  (:metrics r)
-  (:nav-ds r)
-
-;
-  )
diff --git a/lib/trade/src/ta/trade/nav/metrics.clj b/lib/trade/src/ta/trade/nav/metrics.clj
@@ -5,11 +5,9 @@
 (defn calc-nav-metrics [roundtrip-perf-ds]
   (assert (:cum-ret-log roundtrip-perf-ds) "to calc nav-metrics :cum-ret-log column needs to be present!")
   (assert (:nav  roundtrip-perf-ds) "to calc nav-metrics :nav column needs to be present!")
-  ;(println "NAV metrics...")
   (let [nav (:nav roundtrip-perf-ds)
         cum-ret-log (:cum-ret-log roundtrip-perf-ds)
         dd (drawdowns-from-value nav)]
-    ;(println "NAV-metrics .. done!")
     {:cum-pl (last cum-ret-log)
      :max-dd (apply max dd)}))
 

diff --git a/lib/trade/src/ta/trade/roundtrip/metrics.clj b/lib/trade/src/ta/trade/roundtrip/metrics.clj
@@ -68,7 +68,7 @@
   (assert (:bars  roundtrips-ds) "to calc metrics :bars column needs to be present!")
   (assert (:win?  roundtrips-ds) "to calc metrics :win? column needs to be present!")
   ;(println (tc/select-columns roundtrips-ds [:win? :ret-log :bars]))
-  (println "calc-roundtrip-metrics " roundtrips-ds)
+  (println "calc-roundtrip-metrics ..")
   (let [wl-stats (win-loss-stats roundtrips-ds)
         metrics (win-loss-performance-metrics wl-stats)]
     metrics))

diff --git a/lib/trade/src/ta/trade/roundtrip/performance.clj b/lib/trade/src/ta/trade/roundtrip/performance.clj
@@ -14,13 +14,13 @@
   (dtype/emap sign-switch :float64 side-vec val-vec))
 
 (defn add-performance [roundtrip-ds]
-  (println "add-performance roundtrips: " roundtrip-ds)
+  (println "add-performance roundtrips .. ")
   (let [{:keys [side entry-price exit-price exit-idx entry-idx]} roundtrip-ds
         _ (assert side)
         _ (assert entry-price)
         _ (assert entry-idx)
         _ (assert exit-price)
-        _ (assert exit-price)
+        _ (assert exit-idx)
         ret-abs (adjust (dfn/- exit-price entry-price) side)
         ret-prct (-> 100.0 (dfn/* ret-abs) (dfn// entry-price))
         ret-log (adjust (dfn/- (dfn/log10 entry-price) (dfn/log10 exit-price)) side)
@@ -42,8 +42,8 @@
                  :exit-idx [2 3 4 5]
                  :entry-date [:d1 :d2 :d3 :d4]
                  :exit-date [:d2 :d3 :d4 :d5]
-                 :entry-price [1 2 3 4]
-                 :exit-price [2 3 4 5]}))
+                 :entry-price [1.0 2.0 3.0 4.0]
+                 :exit-price [2.0 3.0 4.0 5.0]}))
 
   (add-performance ds)
    ;; => _unnamed [4 14]:
@@ -55,6 +55,9 @@
    ;;    |  :long |          3 |         4 |         :d3 |        :d4 |            3 |           4 |        1 |  33.33333333 | -0.12493874 |  true |     1 |  -0.24987747 | 1.75012253 |
    ;;    | :short |          4 |         5 |         :d4 |        :d5 |            4 |           5 |       -1 | -25.00000000 |  0.09691001 | false |     1 |  -0.15296746 | 1.84703254 |
 
+  (-> (add-performance ds)
+      (tc/info))
+
   (Math/pow 10 2.8132)
 
   (dfn/cumsum [1 2 3])

diff --git a/lib/trade/src/ta/trade/signal/core.clj b/lib/trade/src/ta/trade/signal/core.clj
@@ -62,24 +62,3 @@
     {:roundtrips (tc/dataset @roundtrips)
      :exit exit-signal
      :ds bar-entry-exit-ds}))
-
-(comment
-  (require '[tick.core :as t])
-
-  (def ds (tc/dataset {:date (repeatedly 6 #(t/instant))
-                       :close [100.0 104.0 106.0 103.0 102.0 108.0]
-                       :high [100.0 104.0 106.0 103.0 102.0 108.0]
-                       :low [100.0 104.0 106.0 103.0 102.0 108.0]
-                       :entry [:long :nil nil :short :nil :nil]}))
-
-  ds
-
-  (create-positions {:asset "QQQ"
-                     :entry [:fixed-qty 3.1]
-                     :exit [:time 15
-                            :loss-percent 2.5
-                            :profit-percent 5.0]}
-                    ds)
-
-; 
-  )
diff --git a/lib/trade/src/ta/trade/signal/exit.clj b/lib/trade/src/ta/trade/signal/exit.clj
@@ -5,7 +5,7 @@
 (defn- create-exit [position rule row]
   (assoc position
          :exit-rule rule
-         :exit-index  (:idx row)
+         :exit-idx  (:idx row)
          :exit-date (:date row)))
 
 (defmulti exit