flyingfox

The goal of flyingfox is to connect Quantopian’s zipline financial backtesting package with R.

Installation

You can install the released version of flyingfox from CRAN with:

# NO YOU CANNOT
install.packages("flyingfox")

And the development version from GitHub with:

# install.packages("devtools")
devtools::install_github("DavisVaughan/flyingfox")

Setup

(Using reticulate >= 1.7.1)

To get started with zipline, you’ll need the zipline Python module. Install it with:

install_zipline()

By default zipline will be installed into the virtualenv, r-reticulate, as recommended by reticulate.

Next, you’ll need data to run the backtest on. The easiest way to do this is to:

1. Create a free account on Quandl and find your API Key in Account Settings.

2. Add the API key as the R environment variable, QUANDL_API_KEY (access your .Renviron file with usethis::edit_r_environ()).

3. “Ingest” the Quandl data with flyingfox::fly_ingest().

fly_ingest()

Example

flyingfox backtests are run using a combination of two main functions. fly_initialize() sets up variables you might need during the backtest along with giving you a chance to schedule functions to run periodically. fly_handle_data() is called at a daily/minutely frequency and runs your algorithm, orders assets, and records data for future inspection.

Below, we are going to create a basic mean reversion strategy to demonstrate the basics of running an algorithm.

library(flyingfox)

First, set up an initialize function. It must take context as the argument. Think of context as a persistent environment where you can store variables and assets that you want to access at any point in the simulation.

fly_initialize <- function(context) {

  # We want to track what day we are on. The mean reversion algo we use
  # should have at least 300 days of data before doing anything
  context$i = 0L

  # We want to trade apple stock
  context$asset = fly_symbol("AAPL")
}

Next, create a data handling function that accepts context and data. Think of data as an environment containing functions for accessing historical and current price data about the assets you are using in your simulation.

The below implementation of fly_handle_data() demonstrates a mean reversion algorithm.

fly_handle_data <- function(context, data) {

  # Increment day
  context$i <- context$i + 1L

  # While < 300 days of data, return
  if(context$i < 300L) {
    return()
  }

  # Calculate a short term (100 day) moving average
  # by pulling history for the asset (apple) and taking an average
  short_hist <- fly_data_history(data, context$asset, "price", bar_count = 100L, frequency = "1d")
  short_mavg <- mean(short_hist)

  # Calculate a long term (300 day) moving average
  long_hist <- fly_data_history(data, context$asset, "price", bar_count = 300L, frequency = "1d")
  long_mavg <- mean(long_hist)

  # If short > long, go 100% in apple
  if(short_mavg > long_mavg) {
    fly_order_target_percent(asset = context$asset, target = 1)
  }
  # Else if we hit the crossover, dump all of apple
  else if (short_mavg < long_mavg) {
    fly_order_target_percent(asset = context$asset, target = 0)
  }

  # Record today's data
  # We record the current apple price, along with the value of the short and long
  # term moving average
  fly_record(
    AAPL = fly_data_current(data, context$asset, "price"),
    short_mavg = short_mavg,
    long_mavg = long_mavg
  )

}

Run the algo over a certain time period.

performance <- fly_run_algorithm(
  initialize  = fly_initialize,
  handle_data = fly_handle_data,
  start       = as.Date("2013-01-01"),
  end         = as.Date("2016-01-01")
)

tail(performance)
#> # A tibble: 6 x 41
#>   date      AAPL algo_volatility algorithm_period… alpha benchmark_period…
#>   <chr>    <dbl>           <dbl>             <dbl> <dbl>             <dbl>
#> 1 2015-12…  109.           0.181             0.550 0.161          -0.0121 
#> 2 2015-12…  108.           0.181             0.550 0.161          -0.0137 
#> 3 2015-12…  107.           0.181             0.550 0.161          -0.0159 
#> 4 2015-12…  109.           0.181             0.550 0.159          -0.00545
#> 5 2015-12…  107.           0.181             0.550 0.160          -0.0125 
#> 6 2015-12…  105.           0.181             0.550 0.162          -0.0224 
#> # ... with 35 more variables: benchmark_volatility <dbl>, beta <dbl>,
#> #   capital_used <dbl>, ending_cash <dbl>, ending_exposure <dbl>,
#> #   ending_value <dbl>, excess_return <dbl>, gross_leverage <dbl>,
#> #   long_exposure <dbl>, long_mavg <dbl>, long_value <dbl>,
#> #   longs_count <dbl>, max_drawdown <dbl>, max_leverage <dbl>,
#> #   net_leverage <dbl>, orders <list>, period_close <dttm>,
#> #   period_label <chr>, period_open <dttm>, pnl <dbl>,
#> #   portfolio_value <dbl>, positions <list>, returns <dbl>, sharpe <dbl>,
#> #   short_exposure <dbl>, short_mavg <dbl>, short_value <dbl>,
#> #   shorts_count <dbl>, sortino <dbl>, starting_cash <dbl>,
#> #   starting_exposure <dbl>, starting_value <dbl>, trading_days <dbl>,
#> #   transactions <list>, treasury_period_return <dbl>

From the performance tibble, we can look at the recorded value of Apple’s stock price.

library(ggplot2)
library(dplyr)
#> 
#> Attaching package: 'dplyr'
#> The following object is masked from 'package:ggplot2':
#> 
#>     vars
#> The following objects are masked from 'package:stats':
#> 
#>     filter, lag
#> The following objects are masked from 'package:base':
#> 
#>     intersect, setdiff, setequal, union
library(lubridate)
#> 
#> Attaching package: 'lubridate'
#> The following object is masked from 'package:base':
#> 
#>     date

performance <- performance %>%
  mutate(date = as.POSIXct(date, "UTC"))

performance %>%
  filter(date >= "2014-08-01") %>%
  ggplot(aes(x = date, y = AAPL)) +
  geom_line()

We can also look at the value of our portfolio over time.

first_order <- performance %>%
  filter(row_number() == 300) %>%
  pull(date)

performance %>%
  mutate(date = as.POSIXct(date, "UTC")) %>%
  ggplot(aes(x = date, y = portfolio_value)) +
  geom_line() +
  geom_vline(xintercept = first_order, color = "red") +
  annotate("text", x = first_order - days(50), y = 10500, 
           label = "First Order", color = "red")