程序员的金融市场分析框架：Prophet
jopen
9年前
Prophet是一个程序员的金融市场分析框架。它让程序员专注于金融策略模型，投资组合管理和分析backtests。
Prophet 兼容Python 2 和 3 。查看文档详细了解： documentation
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 __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']) 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)]