pwb-toolbox 0.1.9__tar.gz → 0.1.10__tar.gz

{pwb_toolbox-0.1.9 → pwb_toolbox-0.1.10}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: pwb-toolbox
-Version: 0.1.9
+Version: 0.1.10
 Summary: A toolbox library for quant traders
 Home-page: https://github.com/paperswithbacktest/pwb-toolbox
 Author: Your Name

{pwb_toolbox-0.1.9 → pwb_toolbox-0.1.10}/pwb_toolbox/backtest/__init__.py

@@ -1,3 +1,5 @@
 from .base_strategy import BaseStrategy
 from .engine import run_strategy
 from .ib_connector import IBConnector, run_ib_strategy
+from .portfolio import MonthlyEqualWeightPortfolio
+from .universe import get_most_liquid_symbols, get_least_volatile_symbols

{pwb_toolbox-0.1.9 → pwb_toolbox-0.1.10}/pwb_toolbox/backtest/engine.py

@@ -18,7 +18,7 @@ def run_strategy(signal, signal_kwargs, portfolio, symbols, start_date, leverage
     pivot_df.ffill(inplace=True)  # forward-fill holidays
     pivot_df.bfill(inplace=True)  # back-fill leading IPO gaps
     cerebro = bt.Cerebro()
-    for symbol in symbols:
+    for symbol in pivot_df.columns.levels[0]:
         data = bt.feeds.PandasData(dataname=pivot_df[symbol].copy())
         cerebro.adddata(data, name=symbol)
     cerebro.addstrategy(

pwb_toolbox-0.1.10/pwb_toolbox/backtest/portfolio.py

@@ -0,0 +1,30 @@
+from .base_strategy import BaseStrategy
+
+
+class MonthlyEqualWeightPortfolio(BaseStrategy):
+    params = (
+        ("leverage", 0.9),
+        ("signal_cls", None),
+        ("signal_kwargs", {}),
+    )
+
+    def __init__(self):
+        super().__init__()
+        self.sig = {
+            d._name: self.p.signal_cls(d, **self.p.signal_kwargs) for d in self.datas
+        }
+        self.last_month = -1
+
+    def next(self):
+        """Rebalance portfolio at the start of each month."""
+        super().next()
+        today = self.datas[0].datetime.date(0)
+        if today.month == self.last_month:
+            return
+        self.last_month = today.month
+        longs = [
+            d for d in self.datas if self.is_tradable(d) and self.sig[d._name][0] == 1
+        ]
+        wt = (self.p.leverage / len(longs)) if longs else 0.0
+        for d in self.datas:
+            self.order_target_percent(d, target=wt if d in longs else 0)

pwb_toolbox-0.1.10/pwb_toolbox/backtest/universe.py

@@ -0,0 +1,37 @@
+from typing import List
+import pandas as pd
+import pwb_toolbox.datasets as pwb_ds
+
+
+def get_most_liquid_symbols(n: int = 1_200) -> List[str]:
+    """Return the `n` most liquid stock symbols (volume × price on last bar)."""
+    df = pwb_ds.load_dataset("Stocks-Daily-Price", adjust=True, extend=True)
+    last_date = df["date"].max()
+    today = df[df["date"] == last_date].copy()
+    today["liquidity"] = today["volume"] * today["close"]
+    liquid = today.sort_values("liquidity", ascending=False)
+    return liquid["symbol"].tolist()[:n]
+
+
+def get_least_volatile_symbols(symbols=["sp500"], start="1990-01-01") -> List[str]:
+    pivot = pwb_ds.get_pricing(
+        symbol_list=symbols,
+        fields=["open", "high", "low", "close"],
+        start_date=start,
+        extend=True,
+    )
+    td = pd.bdate_range(pivot.index.min(), pivot.index.max())
+    pivot = pivot.reindex(td).ffill().bfill()
+    symbols = []
+    for sym in pivot.columns.levels[0]:
+        df = (
+            pivot[sym]
+            .copy()
+            .reset_index()
+            .rename(columns={"index": "date"})
+            .set_index("date")
+        )
+        if df.close.pct_change().abs().max() > 3:  # same volatility filter
+            continue
+        symbols.append(sym)
+    return symbols

{pwb_toolbox-0.1.9 → pwb_toolbox-0.1.10}/pwb_toolbox.egg-info/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: pwb-toolbox
-Version: 0.1.9
+Version: 0.1.10
 Summary: A toolbox library for quant traders
 Home-page: https://github.com/paperswithbacktest/pwb-toolbox
 Author: Your Name

{pwb_toolbox-0.1.9 → pwb_toolbox-0.1.10}/pwb_toolbox.egg-info/SOURCES.txt

@@ -12,6 +12,8 @@ pwb_toolbox/backtest/__init__.py
 pwb_toolbox/backtest/base_strategy.py
 pwb_toolbox/backtest/engine.py
 pwb_toolbox/backtest/ib_connector.py
+pwb_toolbox/backtest/portfolio.py
+pwb_toolbox/backtest/universe.py
 pwb_toolbox/datasets/__init__.py
 pwb_toolbox/performance/__init__.py
 pwb_toolbox/performance/metrics.py

{pwb_toolbox-0.1.9 → pwb_toolbox-0.1.10}/setup.cfg

@@ -1,6 +1,6 @@
 [metadata]
 name = pwb-toolbox
-version = 0.1.9
+version = 0.1.10
 author = Your Name
 author_email = hello@paperswithbacktest.com
 description = A toolbox library for quant traders