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README.md

prophet

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.

build status

Prophet is Python 2 and 3 compatible. See the documentation for more details.

Join the mailing list here or join by email. See the development board to see what's currently in the works.

Installation

# sudo easy_install pip
pip install prophet

Quickstart

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:

git clone git@github.com: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 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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Financial markets analysis framework for programmers

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