Merge pull request #133 from amor71/anchor-vwap

Anchor vwap

README.md

@@ -51,6 +51,13 @@ LiuAlgoTrader `quickstart` wizard installs samples allowing a first-time experie
 
 Additional samples can we found in the [examples](examples) directory. 
 
+## Analysis & Analytics
+
+The framework includes a wide ranges of analysis `Jupyter Notebooks`, as well as `streamlit` applications for analysis for both trading and back-testing sessions. To name a few of the visual analytical tools:
+* tear-sheet analysis,
+* anchored-vwaps, 
+* indicators & distributions
+
 ## What's Next?
 
 Read the [documentation](https://liualgotrader.readthedocs.io/en/latest/) and learn how to use LiuAlgoTrader to develop, deploy & testing money making strategies.

analysis/notebooks/anchored-vwap-lab.ipynb

@@ -0,0 +1,232 @@
+{
+ "cells": [
+  {
+   "cell_type": "markdown",
+   "metadata": {},
+   "source": [
+    "## Select stock symbol and date range"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "symbol = 'AAPL'\n",
+    "start_date = \"2020-11-12\"\n",
+    "end_date = \"2020-11-12\"\n",
+    "anchored_vwaps_start = ['2020-11-12 11:00:00', '2020-11-12 14:00:00']"
+   ]
+  },
+  {
+   "cell_type": "markdown",
+   "metadata": {},
+   "source": [
+    "#### Imports"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "# silence warnings\n",
+    "import warnings\n",
+    "import liualgotrader.analytics.analysis as ana\n",
+    "import matplotlib.pyplot as plt\n",
+    "import nest_asyncio\n",
+    "import numpy as np\n",
+    "import pandas as pd\n",
+    "import pytz\n",
+    "from empyrical import roll_max_drawdown\n",
+    "from scipy.stats import kurtosis, skew\n",
+    "import plotly.graph_objects as go\n",
+    "from plotly.subplots import make_subplots\n",
+    "import chart_studio.plotly as py\n",
+    "from datetime import datetime\n",
+    "import alpaca_trade_api as tradeapi\n",
+    "from liualgotrader.common.market_data import get_symbol_data\n",
+    "from liualgotrader.fincalcs.vwap import anchored_vwap\n",
+    "%matplotlib inline\n",
+    "warnings.filterwarnings(\"ignore\")\n",
+    "\n",
+    "\n",
+    "nest_asyncio.apply()\n",
+    "est = pytz.timezone(\"US/Eastern\")"
+   ]
+  },
+  {
+   "cell_type": "markdown",
+   "metadata": {},
+   "source": [
+    "#### Load symbol data"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "start_date = datetime.strptime(start_date, \"%Y-%m-%d\")\n",
+    "end_date = datetime.strptime(end_date, \"%Y-%m-%d\")"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "api = tradeapi.REST(base_url=\"https://api.alpaca.markets\")\n",
+    "ohlc_data = get_symbol_data(api, symbol, start_date, end_date)"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "if ohlc_data is None or ohlc_data.empty:\n",
+    "    assert False, \"No data loaded\""
+   ]
+  },
+  {
+   "cell_type": "markdown",
+   "metadata": {},
+   "source": [
+    "#### Calculate indicators"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "anchored_vwap_starts = [\n",
+    "    datetime.strptime(anchored_vwap_start, \"%Y-%m-%d %H:%M:%S\").replace(tzinfo=est)\n",
+    "    for anchored_vwap_start in anchored_vwaps_start\n",
+    "]\n",
+    "anchored_vwap_indicators = [\n",
+    "    anchored_vwap(ohlc_data, anchored_vwap_start)\n",
+    "    for anchored_vwap_start in anchored_vwap_starts\n",
+    "]"
+   ]
+  },
+  {
+   "cell_type": "markdown",
+   "metadata": {},
+   "source": [
+    "## Visuals"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "trace1 = {\n",
+    "    \"x\": ohlc_data.index,\n",
+    "    \"open\": ohlc_data.open,\n",
+    "    \"high\": ohlc_data.high,\n",
+    "    \"low\": ohlc_data.low,\n",
+    "    \"close\": ohlc_data.close,\n",
+    "    \"type\": \"candlestick\",\n",
+    "    \"name\": symbol,\n",
+    "    \"yaxis\": \"y2\",\n",
+    "    \"showlegend\": True,\n",
+    "}\n",
+    "trace2 = [{\n",
+    "    \"x\": anchored_vwap_indicator.index,\n",
+    "    \"y\": anchored_vwap_indicator,\n",
+    "    \"type\": \"scatter\",\n",
+    "    \"mode\": \"lines\",\n",
+    "    \"line\": {\"width\": 2, \"color\": \"black\"},\n",
+    "    \"yaxis\": \"y2\",\n",
+    "    \"name\": f\"VWAP-{indx+1}\",\n",
+    "    \"showlegend\": True,\n",
+    "} for indx, anchored_vwap_indicator in enumerate(anchored_vwap_indicators)]\n",
+    "fig = dict ( data = [trace1], layout = dict())\n",
+    "\n",
+    "fig['layout']['plot_bgcolor'] = 'rgb(200, 200, 200)'\n",
+    "fig['layout']['xaxis'] = dict( rangeselector = dict( visible = True ) )\n",
+    "fig['layout']['yaxis'] = dict( domain = [0, 0.2], showticklabels = False )\n",
+    "fig['layout']['yaxis2'] = dict( domain = [0.2, 0.8] )\n",
+    "fig['layout']['legend'] = dict( orientation = 'h', y=0.9, x=0.3, yanchor='bottom' )\n",
+    "fig['layout']['margin'] = dict( t=40, b=40, r=40, l=40 )\n",
+    "\n",
+    "rangeselector=dict(\n",
+    "    #visibe = True,\n",
+    "    x = 0, y = 0.9,\n",
+    "    bgcolor = 'rgba(150, 200, 250, 0.4)',\n",
+    "    font = dict( size = 13 ),\n",
+    "    buttons=list([\n",
+    "        dict(count=1,\n",
+    "             label='1 yr',\n",
+    "             step='year'),\n",
+    "        dict(count=3,\n",
+    "             label='3 mo',\n",
+    "             step='month',\n",
+    "             stepmode='backward'),\n",
+    "        dict(count=1,\n",
+    "            label='1 mo',\n",
+    "            step='month',\n",
+    "            stepmode='backward'),\n",
+    "        dict(count=7,\n",
+    "            label='1 wk',\n",
+    "            step='day',\n",
+    "            stepmode='backward'),\n",
+    "        dict(step='all')\n",
+    "    ]))\n",
+    "    \n",
+    "fig['layout']['xaxis']['rangeselector'] = rangeselector\n",
+    "\n",
+    "fig['data'] += trace2\n",
+    "\n",
+    "colors = []\n",
+    "\n",
+    "for i in range(len(ohlc_data.close)):\n",
+    "    if i != 0:\n",
+    "        if ohlc_data.close[i] > ohlc_data.close[i-1]:\n",
+    "            colors.append(\"green\")\n",
+    "        else:\n",
+    "            colors.append(\"red\")\n",
+    "    else:\n",
+    "        colors.append(\"red\")\n",
+    "\n",
+    "fig['data'].append( dict( x=ohlc_data.index, y=ohlc_data.volume,                         \n",
+    "                         marker=dict( color=colors ),\n",
+    "                         type='bar', yaxis='y', name='Volume' ) )\n",
+    "\n",
+    "f = go.Figure(data=fig['data'], layout=fig['layout'])\n",
+    "f.show()"
+   ]
+  }
+ ],
+ "metadata": {
+  "kernelspec": {
+   "display_name": "Python 3",
+   "language": "python",
+   "name": "python3"
+  },
+  "language_info": {
+   "codemirror_mode": {
+    "name": "ipython",
+    "version": 3
+   },
+   "file_extension": ".py",
+   "mimetype": "text/x-python",
+   "name": "python",
+   "nbconvert_exporter": "python",
+   "pygments_lexer": "ipython3",
+   "version": "3.8.0"
+  }
+ },
+ "nbformat": 4,
+ "nbformat_minor": 4
+}

docs/source/Analysis.rst

@@ -5,7 +5,7 @@ Liu Analysis Tool-box
 for analysing portfolio, trader, and back-testing sessions.
 
 .. _notebooks:
-    https://github.com/amor71/LiuAlgoTrader/blob/master/analyis_notebooks/portfolio_performance_analysis.ipynb
+    https://github.com/amor71/LiuAlgoTrader/blob/master/analysis/notebooks/portfolio_performance_analysis.ipynb
 
 .. # define a hard line break for HTML
 .. |br| raw:: html
@@ -18,14 +18,52 @@ prerequisites
 1. Both `APCA_API_KEY_ID` and `APCA_API_SECRET_KEY` environment variables should be properly set and include the credentials to Alpaca Markets account (can be either PAPER or LIVE),
 2. Environment variable `DSN` holds valid DB connection string,
 
+Anchored-VWAP Notebook
+----------------------
 
-Tear Sheet
-----------
+The `anchored vwap`_ analysis notebook calculates and visualizes anchored vwaps on top of an interactive stock candlestick diagram, with volume .
+
+.. _anchored vwap:
+    https://github.com/amor71/LiuAlgoTrader/tree/master/analysis/notebooks/anchored-vwap-lab.ipynb
+
+prerequisites
+*************
+if you do not have `pyplot` installed:
+
+.. code-block:: bash
+
+   pip install pyplot
+
+running the notebook
+********************
+
+once loaded, the top of the notebook looks like:
+
+
+.. image:: /images/anchored-1.png
+    :width: 1000
+    :align: left
+    :alt: anchored vwap top of notebook
+
+
+The list `anchored_vwaps_start` holds start timestamps for anchored VWAPs, per `symbol` between the `start_date` and `end_date`.
+
+Once executed, the output generated includes an interactive candlestick diagram including the selected anchored VWAPs:
+
+.. image:: /images/anchored-2.png
+    :width: 1000
+    :align: left
+    :alt: anchored vwaps example
+
+
+
+Tear Sheet Notebook
+-------------------
 
 The `tear sheet`_ analysis notebook provide basic means to analyze your portfolio performance over time.
 
 .. _tear sheet:
-    https://github.com/amor71/LiuAlgoTrader/tree/master/analyis/notebooks/tear_sheet.ipynb
+    https://github.com/amor71/LiuAlgoTrader/tree/master/analysis/notebooks/tear_sheet.ipynb
 
 The top of the notebook looks like:
 
@@ -137,7 +175,7 @@ Prerequisites
 3. Download the latest version of backtester analysis notebook_.
 
 .. _notebook :
-    https://github.com/amor71/LiuAlgoTrader/blob/master/analyis_notebooks/backtest_performance_analysis.ipynb
+    https://github.com/amor71/LiuAlgoTrader/blob/master/analysis/notebooks/backtest_performance_analysis.ipynb
 
 Usage
 *****

docs/source/Quickstart.rst

@@ -50,7 +50,7 @@ if you follow the installation till the end, the wizard will direct you how to r
 
 .. code-block:: bash
 
-    streamlit run https://raw.github.com/amor71/LiuAlgoTrader/master/analyis/backtester_ui.py
+    streamlit run https://raw.github.com/amor71/LiuAlgoTrader/master/analysis/backtester_ui.py
 
 Once executed, your screen should look like this:
 
@@ -63,8 +63,8 @@ Once executed, your screen should look like this:
 Select the `Analyzer` app on the upper-right drop-down and enter
 '2398380c-5146-4b58-843a-a50c458c8071' as a pre-loaded batch-id.
 
-Voila!
-^^^^^^
+`Voila!`
+^^^^^^^^
 You should be now seeing a pre-loaded session from your local database.
 You're all set now.
 

docs/source/Usage.rst

@@ -253,7 +253,7 @@ To run the tool type:
 
 .. code-block:: bash
 
-    streamlit run https://raw.github.com/amor71/LiuAlgoTrader/master/analyis/backtester_ui.py
+    streamlit run https://raw.github.com/amor71/LiuAlgoTrader/master/analysis/backtester_ui.py
 
 Once the browser opens, it would look like:
 

docs/source/What's New.rst

@@ -4,6 +4,9 @@ What's New
 +------------------+----------------------------------------------+
 | Release          | Notes                                        |
 +------------------+----------------------------------------------+
+| 0.0.76           | adding `anchored-vwap` calculation, and      |
+|                  | notebook w/ advanced visuals.                |
++------------------+----------------------------------------------+
 | 0.0.74           | 1. adding `symbol` and `duration` parameters |
 |                  |    to `backtester`, updated documentation,   |
 |                  | 2. clean-ups to back-testing notebook.       |

liualgotrader/__init__.py

@@ -1 +1 @@
-__version__ = "0.0.75"
+__version__ = "0.0.76"

liualgotrader/liu

@@ -265,7 +265,7 @@ def quickstart():
             print("2. run the env-vars script ('env_vars.bat'),")
         else:
             print("2. run the env-vars script ('source env_vars.sh'),")
-        print(f"3.`streamlit run https://raw.github.com/amor71/LiuAlgoTrader/master/analyis/backtester_ui.py`")
+        print(f"3.`streamlit run https://raw.github.com/amor71/LiuAlgoTrader/master/analysis/backtester_ui.py`")
         if restore_sample_db:
             print("4. On the app selection select the 'analyzer` app")
             print("5. copy and paste the batch-id '2398380c-5146-4b58-843a-a50c458c8071' and press <enter>")