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prophet

★ 1,093 Open GitHub ↗

Financial markets analysis framework for programmers

// repository documentation

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![prophet](https://raw.githubusercontent.com/Emsu/prophet/master/docs/_static/img/logo.png)

> Prophet is a Python microframework for financial markets. Prophet strives to let the programmer focus on modeling financial strategies, portfolio management, and analyzing backtests. It achieves this by having few functions to learn to hit the ground running, yet being flexible enough to accomodate sophistication.

![build status](https://travis-ci.org/Emsu/prophet.svg?branch=master "Travis Build Status")

Prophet is Python 2 and 3 compatible. See the [documentation](http://prophet.michaelsu.io/) for more details.

Join the mailing list [here](https://groups.google.com/forum/#!forum/prophet-financial-framework) or join by [email](mailto:prophet-financial-framework+subscribe@googlegroups.com?subject=Subscribe). See the [development board](https://trello.com/b/aLJfeNhl/prophet) to see what's currently in the works.

## Installation

```bash
# sudo easy_install pip
pip install prophet
```

## Quickstart

```python
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 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)]
```

## Contribute

Run the following to your development environment setup:

```bash
git clone git@github.com:Emsu/prophet.git
cd prophet
virtualenv env
. env/bin/activate
pip install -r dev-requirements.txt
python setup.py develop
```

## Credits
Prophet wouldn't be possible without the wonderful [pandas](https://github.com/pydata/pandas) library and is inspired by [QSTK](https://github.com/tucker777/QSTK) and [Zipline](https://github.com/quantopian/zipline). The [trading calendar util](https://github.com/Emsu/prophet/blob/master/prophet/utils/tradingcalendar.py) in Prophet is from [Zipline](https://github.com/quantopian/zipline) which is under the [Apache 2.0 License](https://github.com/quantopian/zipline/blob/master/LICENSE).

prophet

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