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https://github.com/Emsu/prophet
Financial markets analysis framework for programmers
https://github.com/Emsu/prophet
Last synced: about 2 months ago
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Financial markets analysis framework for programmers
- Host: GitHub
- URL: https://github.com/Emsu/prophet
- Owner: Emsu
- License: bsd-3-clause
- Created: 2014-11-14T00:40:22.000Z (about 10 years ago)
- Default Branch: master
- Last Pushed: 2019-07-13T21:21:21.000Z (over 5 years ago)
- Last Synced: 2024-07-31T19:16:06.723Z (5 months ago)
- Language: Python
- Homepage: http://prophet.michaelsu.io
- Size: 139 KB
- Stars: 1,077
- Watchers: 64
- Forks: 123
- Open Issues: 6
-
Metadata Files:
- Readme: README.md
- License: LICENSE
Awesome Lists containing this project
- my-awesome-starred - prophet - Financial markets analysis framework for programmers (Python)
README
> 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.
Prophet is Python 2 and 3 compatible. See the [documentation](http://prophet.michaelsu.io/) for more details.
Join the mailing list [here](https://groups.google.com/forum/#!forum/prophet-financial-framework) or join by [email](mailto:[email protected]?subject=Subscribe). See the [development board](https://trello.com/b/aLJfeNhl/prophet) to see what's currently in the works.
## Installation
```bash
# sudo easy_install pip
pip install prophet
```
## Quickstart
```python
from datetime import datetime
from prophet import Prophet
from prophet.data import YahooCloseData
from prophet.analyze import default_analyzers
from prophet.orders import Orders
class OrderGenerator(object):
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'])
prophet.register_data_generators(YahooCloseData())
prophet.set_order_generator(OrderGenerator())
backtest = prophet.run_backtest(start=datetime(2010, 1, 1))
prophet.register_portfolio_analyzers(default_analyzers)
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)]
```
## Contribute
Run the following to your development environment setup:
```bash
git clone [email protected]:Emsu/prophet.git
cd prophet
virtualenv env
. env/bin/activate
pip install -r dev-requirements.txt
python setup.py develop
```
## Credits
Prophet wouldn't be possible without the wonderful [pandas](https://github.com/pydata/pandas) library and is inspired by [QSTK](https://github.com/tucker777/QSTK) and [Zipline](https://github.com/quantopian/zipline). The [trading calendar util](https://github.com/Emsu/prophet/blob/master/prophet/utils/tradingcalendar.py) in Prophet is from [Zipline](https://github.com/quantopian/zipline) which is under the [Apache 2.0 License](https://github.com/quantopian/zipline/blob/master/LICENSE).