Simple simulator for investors
Project description
cvxsimulator
Given a universe of $m$ assets we are given prices for each of them at time $t_1, t_2, \ldots t_n$, e.g. we operate using an $n \times m$ matrix where each column corresponds to a particular asset.
In a backtest we iterate in time (e.g. row by row) through the matrix and allocate positions to all or some of the assets. This tool shall help to simplify the accounting. It keeps track of the available cash, the profits achieved, etc.
Creating portfolios
The simulator shall be completely agnostic as to the trading policy/strategy. Our approach follows a rather common pattern:
We demonstrate those steps with somewhat silly policies. They are never good strategies, but are always valid ones.
Of course, some users may know prices and weights in advance. In that case, the building procedure can be bypassed. We discuss this in
Create the builder object
The user defines a builder object by loading a frame of prices and initialize the amount of cash used in our experiment:
from pathlib import Path
import pandas as pd
from cvx.simulator.builder import builder
prices = pd.read_csv(Path("resources") / "price.csv",
index_col=0, parse_dates=True, header=0).ffill()
b = builder(prices=prices, initial_cash=1e6)
It is also possible to specify a model for trading costs. The builder helps to fill up the frame of positions. Only once done we construct the actual portfolio.
Loop through time
We have overloaded the __iter__
and __setitem__
methods
to create a custom loop. Let's start with a first strategy. Each day we choose
two names from the universe at random. Buy one (say 0.1 of your
portfolio wealth) and short one the same amount.
for t, state in b:
# pick two assets at random
pair = np.random.choice(b.assets, 2, replace=False)
# compute the pair
stocks = pd.Series(index=b.assets, data=0.0)
stocks[pair] = [state.nav, -state.nav] / state.prices[pair].values
# update the position
b[t[-1]] = 0.1 * stocks
Here t is the growing list of timestamps, e.g. in the first iteration t is $t1$, in the second iteration it will be $t1, t2$ etc.
A lot of magic is hidden in the state variable. The state gives access to the currently available cash, the current prices and the current valuation of all holdings.
Here's a slightly more realistic loop. Given a set of $4$ assets we want to implmenent the popular $1/n$ strategy.
for t, state in b:
# each day we invest a quarter of the capital in the assets
b[t[-1]] = 0.25 * state.nav / state.prices
Note that we update the position at the last element in the t list using a series of actual stocks rather than weights or cashpositions. The builder class also exposes setters for such alternative conventions.
for t, state in b:
# each day we invest a quarter of the capital in the assets
b.set_weights(t[-1], pd.Series(index=b.assets, data = 0.25))
Build the portfolio
Once finished it is possible to build the portfolio object
portfolio = b.build()
Bypassing the builder
Some may know the positions the portfolio shall enter for eternity. Running through a loop is rather non-pythonic waste of time in such a case. It is possible to completely bypass this step by submitting a frame of positions together with a frame of prices when creating the portfolio object.
from pathlib import Path
import pandas as pd
from cvx.simulator.portfolio import EquityPortfolio
prices = pd.read_csv(Path("resources") / "price.csv",
index_col=0, parse_dates=True, header=0).ffill()
stocks = pd.read_csv(Path("resources") / "stock.csv",
index_col=0, parse_dates=True, header=0)
portfolio = EquityPortfolio(prices=prices, stocks=stocks, initial_cash=1e6)
Analytics
The portfolio object supports further analysis and exposes a number of properties, e.g.
portfolio.nav
portfolio.cash
portfolio.equity
We have also integrated the quantstats package for further analysis. Hence it is possible to perform
portfolio.snapshot()
portfolio.metrics()
portfolio.plots()
portfolio.html()
We also added an enum
portfolio.plot(kind=Plot.DRAWDOWN)
supporting all plots defined in quantstats.
Poetry
We assume you share already the love for Poetry. Once you have installed poetry you can perform
make install
to replicate the virtual environment we have defined in pyproject.toml.
Jupyter
We install JupyterLab on fly within the aforementioned virtual environment. Executing
make jupyter
will install and start the jupyter lab.
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