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Microframework for analyzing financial markets.

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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.
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from datetime import datetime

from prophet import Prophet
from 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'])

backtest = prophet.run_backtest(start=datetime(2010, 1, 1))

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
cd prophet
virtualenv env
pip install dev-requirements.txt
python develop


Prophet 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.

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