Thanks for creating this simple to use framework. I have tested the framework for an I

Idea: Adding multiple stocks and re-balance each week. about pinkfish HOT 7 CLOSED

fja05680 commented on August 29, 2024

Idea: Adding multiple stocks and re-balance each week.

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scorpio155 commented on August 29, 2024

I was reading another code and Saw follow-trend (multiple securities) Sorry for creating the issue. Let me read up more and test to understand how it works.

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fja05680 commented on August 29, 2024

Hi, Thanks for checking out Pinkfish. Please be sure to git pull, since I merge some significant changes last night. On your question. Yes, you can rebalance every week. You can add calendar indicators to a dataframe to do the rebalance on any weekday you wish, see "sell-in-may-and-go-away" example. Look at the portfolio example for a backet of stocks. I briefly looked at your website, and i'll check it out more later. I see you are also a fan of Andreas Clenow. If I had his latest book when I started writing Pinkfish I may have not done it. I just couldn't find any information about how to get started and the toy examples were a poor guide. Please let me know how I can help, or any suggestions for improvement. I wrote Pinkfish as a single stock/ETF back tester. The portfolio and shorting capabilities are new additions, which I haven't done much with yet, besides the examples in github. Farrell

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On Tue, Jun 23, 2020 at 12:25 PM scorpio155 ***@***.***> wrote: I was reading another code and Saw follow-trend (multiple securities) Sorry for creating the issue. Let me read up more and test to understand how it works. — You are receiving this because you are subscribed to this thread. Reply to this email directly, view it on GitHub <#16 (comment)>, or unsubscribe <https://github.com/notifications/unsubscribe-auth/ACD3KHVPGLEXVDG7NE62OIDRYDJPZANCNFSM4OF2OXWQ> .

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fja05680 commented on August 29, 2024

https://github.com/fja05680/pinkfish/blob/master/pinkfish/calendar.py calendar --------- Adds calendar columns to a dataframe dotw: day of the week with Monday=0, Sunday=6 dotm: day of the month as 1,2,... doty: day of the year as 1,2, ... month: month as January=1,...,December=12 first_dotw: first trading day of the week last_dotw: last trading day of the week first_dotm: first trading day of the month last_dotm: last trading day of the month first_doty: first trading day of the year last_doty: last trading day of the year

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On Tue, Jun 23, 2020 at 12:36 PM Farrell Aultman ***@***.***> wrote: Hi, Thanks for checking out Pinkfish. Please be sure to git pull, since I merge some significant changes last night. On your question. Yes, you can rebalance every week. You can add calendar indicators to a dataframe to do the rebalance on any weekday you wish, see "sell-in-may-and-go-away" example. Look at the portfolio example for a backet of stocks. I briefly looked at your website, and i'll check it out more later. I see you are also a fan of Andreas Clenow. If I had his latest book when I started writing Pinkfish I may have not done it. I just couldn't find any information about how to get started and the toy examples were a poor guide. Please let me know how I can help, or any suggestions for improvement. I wrote Pinkfish as a single stock/ETF back tester. The portfolio and shorting capabilities are new additions, which I haven't done much with yet, besides the examples in github. Farrell On Tue, Jun 23, 2020 at 12:25 PM scorpio155 ***@***.***> wrote: > I was reading another code and Saw follow-trend (multiple securities) > Sorry for creating the issue. Let me read up more and test to understand > how it works. > > — > You are receiving this because you are subscribed to this thread. > Reply to this email directly, view it on GitHub > <#16 (comment)>, > or unsubscribe > <https://github.com/notifications/unsubscribe-auth/ACD3KHVPGLEXVDG7NE62OIDRYDJPZANCNFSM4OF2OXWQ> > . >

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scorpio155 commented on August 29, 2024

Thanks a lot Farrell. The framework is really good, appreciate it that you coded it. I am learning python and trying to understand the way you have used oops concept and also made is simple to debug if compared to backtrader.

I do follow momentum investing and am interested in testing more, so was looking for frameworks to try it out. Its been a month to learn and test :)

I used backtrader as well. The site link I provided is not mine, I found it and was testing using backtrader. I will surely reach out and will be testing a portfolio with pinkfish. For now no recommendations.

Andreas books have been great and he has shared the full code for retail investors to learn as well. Along with your code, its simple to test a few strategies on the index. Example - I tested the golden cross on a India index NSE500 and it under performed the buy and hold :)

-Ashish

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fja05680 commented on August 29, 2024

Ashish, Thank you for your kind words. Congratulations on your first pinkfish program. The golden cross is probably the most well known long term trading strategy for indexes, but not the best. Both the momentum and especially the sma-percent-band are better. Try it out with the sma-percent-band when you get a chance. The problem with the golden-cross is that the trade is made when the averages cross so you have no idea what the trade price is going to be. The other algorithms current price (not averages) to determine the trade timing. When analyzing backtest results, I put greater emphasis on the drawdown and the ratios (sharpe and sortino). The annual return rate should be viewed in light of the other metrics since it isn't rick adjusted. Farrell

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On Wed, Jun 24, 2020 at 1:06 AM scorpio155 ***@***.***> wrote: Thanks a lot Farrell. The framework is really good, appreciate it that you coded it. I am learning python and trying to understand the way you have used oops concept and also made is simple to debug if compared to backtrader. I do follow momentum investing and am interested in testing more, so was looking for frameworks to try it out. Its been a month to learn and test :) I used backtrader as well. The site link I provided is not mine, I found it and was testing using backtrader. I will surely reach out and will be testing a portfolio with pinkfish. For now no recommendations. Andreas books have been great and he has shared the full code for retail investors to learn as well. Along with your code, its simple to test a few strategies on the index. Example - I tested the golden cross on a India index NSE500 and it under performed the buy and hold :) -Ashish — You are receiving this because you commented. Reply to this email directly, view it on GitHub <#16 (comment)>, or unsubscribe <https://github.com/notifications/unsubscribe-auth/ACD3KHUKUSBVYKG74LQIYJDRYGCWJANCNFSM4OF2OXWQ> .

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scorpio155 commented on August 29, 2024

Hi Farrell,

Yes reducing the drawdown and time in drawdown will make the strategy much useful. Thanks again for the pointers and I did try out the SMA bands and it surely is much better than the Golden Cross. I am also working with the India top 500 market cap index and I used the below strategy on Nifty500

 Buy "CLOSE above EMA 5, RSI > 65, ADX > 25", Sell "Close below EMA 5

This resulted in a better profit than buy and hold for Nifty500, the returns were really poor on the SPY :)

I did look at the calendar and portfolio examples, trying to see how I can combine the tools here for multiple stocks. Example the trend following example does use multiple stocks, but was not able to see how I can add the buy and sell using that.

Example fixed portfolio of 10 stocks, we will need a ranking system to limit stocks, so we always have atleast 10 stocks. If you do get a chance and could put such an example will be helpful.

I will also work to understand the code better and see if I am able to do the same and share the example :)

Once again, thanks for sharing pinkfish.

Attached is the Nifty500 index data.
NIFTY500.zip

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fja05680 commented on August 29, 2024

Ashish, I'm glad you are having success using pinkfish. It's an eye opener to see what really works and what doesn't. May I suggest that you look at trying to determine what are the best values to use for your algorithm? I have many examples of how to write an optimizer. My method, which shouldn't result in overfitting the data, involves trying each technical indicator in turn, and after deciding which are the best values individually, use those values for the overall algorithm. For example, write an optimizer that uses only EMA. Then another that uses EMA and RSI, fixing EMA to the value determined from last optimization. Then use EMA and ADX. Finally, test the entire algorithm. In this case, indicators couldn't be tested individually because only EMA is used for the Sell. If you are able to determine that an indicator adds little value then eliminate it. The fewer indicators and less complicated the algorithm, the less likely you are overfitting the data. I plan to write a S&P500 ETF sector ranker soon. That should assist you with what you are trying to achieve. cheers, Farrell

…

On Sun, Jun 28, 2020 at 11:51 AM scorpio155 ***@***.***> wrote: Hi Farrell, Yes reducing the drawdown and time in drawdown will make the strategy much useful. Thanks again for the pointers and I did try out the SMA bands and it surely is much better than the Golden Cross. I am also working with the India top 500 market cap index and I used the below strategy on Nifty500 Buy "CLOSE above EMA 5, RSI > 65, ADX > 25", Sell "Close below EMA 5 This resulted in a better profit than buy and hold for Nifty500, the returns were really poor on the SPY :) I did look at the calendar and portfolio examples, trying to see how I can combine the tools here for multiple stocks. Example the trend following example does use multiple stocks, but was not able to see how I can add the buy and sell using that. Example fixed portfolio of 10 stocks, we will need a ranking system to limit stocks, so we always have atleast 10 stocks. If you do get a chance and could put such an example will be helpful. I will also work to understand the code better and see if I am able to do the same and share the example :) Once again, thanks for sharing pinkfish. Attached is the Nifty500 index data. NIFTY500.zip <https://github.com/fja05680/pinkfish/files/4842534/NIFTY500.zip> — You are receiving this because you commented. Reply to this email directly, view it on GitHub <#16 (comment)>, or unsubscribe <https://github.com/notifications/unsubscribe-auth/ACD3KHR4W2SPEZJXL6GPFLDRY5RJVANCNFSM4OF2OXWQ> .

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Idea: Adding multiple stocks and re-balance each week. about pinkfish HOT 7 CLOSED

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