Continuous Starter System

starter_system_continuous.py

# MultiSignalStarterSystem available here: 
# https://gist.github.com/raposatech/2d9f309e2a54fc9545d44eda821e29ad#file-starter_system_mult_sigs-py

class ContinuousStarterSystem(MultiSignalStarterSystem):
    '''
    Carver's Starter System without stop losses and multiple entry rules.
    Adapted from Rob Carver's Leveraged Trading: https://amzn.to/3C1owYn
    '''
    def __init__(self, ticker: str, signals: dict, target_risk: float = 0.12,
                starting_capital: float = 1000, margin_cost: float = 0.04,
                short_cost: float = 0.001, interest_on_balance: float = 0.0, 
                start: str = '2000-01-01', end: str = '2020-12-31', 
                shorts: bool = True, weights: list = [],
                *args, **kwargs):
        super().__init__(ticker=ticker, signals=signals, target_risk=target_risk,
            margin_cost=margin_cost, short_cost=short_cost, start=start, end=end,
            interest_on_balance=interest_on_balance, starting_capital=starting_capital,
            shorts=shorts, weights=weights)

    def run(self):
        position = np.zeros(self.data.shape[0])
        cash = position.copy()
        for i, (ts, row) in enumerate(self.data.iterrows()):
            if any(np.isnan(row.values)):
                cash[i] = self._calcCash(cash[i-1], position[i], 
                    row['Close'], row['Dividends']) if i > 0 \
                        else self.starting_capital
                continue

            # Propagate values forward
            position[i] = position[i-1]
            cash[i] = self._calcCash(cash[i-1], position[i], 
                                    row['Close'], row['Dividends'])
            signal = self._getSignal(row[self.signal_names].values)
            
            if signal > 0:
                if position[i] <= 0:
                    cash[i] += position[i] * row['Close']
                    position[i] = self._sizePosition(cash[i], row['Close'], row['STD'])
                    cash[i] -= position[i] * row['Close']
            elif signal < 0:
                if position[i] >= 0:
                    cash[i] += position[i] * row['Close']
                    if self.shorts:
                        position[i] = -self._sizePosition(cash[i], row['Close'], row['STD'])
                        cash[i] -= position[i] * row['Close']
                    else:
                        position[i] = 0
            else:
                # Remain neutral if signal == 0
                cash[i] += position[i] * row['Close']
                position[i] = 0

        self.data['position'] = position
        self.data['cash'] = cash
        self.data['portfolio'] = self.data['position'] * self.data['Close'] \
            + self.data['cash']
        self.data = calcReturns(self.data)