buy-and-hold

Buy, then never ever sell, until the end date :)

import datetime
import pandas as pd
import pinkfish as pf

# Format price data.
pd.options.display.float_format = '{:0.2f}'.format

Some global data

symbol = 'SPY'
capital = 10000
start = datetime.datetime(1900, 1, 1)
end = datetime.datetime.now()

Timeseries

# Fetch timeseries, select, finalize.
ts = pf.fetch_timeseries(symbol)
ts = pf.select_tradeperiod(ts, start, end, use_adj=True)
ts, start = pf.finalize_timeseries(ts, start)

# Create tradelog and daily balance objects.
tlog = pf.TradeLog(symbol)
dbal = pf.DailyBal()

Algorithm

pf.TradeLog.cash = capital

# Loop through timeseries.
for i, row in enumerate(ts.itertuples()):

    date = row.Index.to_pydatetime()
    end_flag = pf.is_last_row(ts, i)

    # Buy.
    if tlog.shares == 0:
        tlog.buy(date, row.close)
    # Sell.
    elif end_flag:
        tlog.sell(date, row.close)

    # Record daily balance.
    dbal.append(date, row.close)

Retrieve logs

tlog = tlog.get_log()
dbal = dbal.get_log(tlog)

tlog.tail()

	entry_date	entry_price	exit_date	exit_price	pl_points	pl_cash	qty	cumul_total	direction	symbol
0	1993-01-29	24.84	2023-12-21	471.23	446.39	179450.51	402	179450.51	LONG	SPY

Get stats

stats = pf.stats(ts, tlog, dbal, capital)

Summary

pf.summary(stats)

	strategy
annual_return_rate	9.99
max_closed_out_drawdown	-55.17
best_month	23.60
worst_month	-30.98
sharpe_ratio	0.60
sortino_ratio	0.77
monthly_std	4.48
annual_std	17.01