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# Stock Technical Analysis with Python #

# Simple Moving Average SMA(5) and Commodity Channel Index CCI(20,0.015) #
# (c) Diego Fernandez Garcia 2015-2017 #
# www.exfinsis.com #
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# 1. Packages and Data

# Packages Importing
import numpy as np
import pandas as pd
# import pandas_datareader.data as web
import matplotlib.pyplot as plt
import talib as ta

# Data Downloading or Reading

# Google Finance
# No Adjusted Close Prices
# spy = web.DataReader('SPY', 'google', '2016-01-01', '2017-01-01')
# spy['Adj Close'] = spy['Close']

# Yahoo Finance
# spy = web.DataReader('SPY', 'yahoo', '2016-01-01', '2017-01-01')

# Data Reading
spy = pd.read_csv("Data//Stock-Technical-Analysis-Data.txt", index_col='Date',
parse_dates=True)

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# 2. Simple Moving Average SMA(5) and Commodity Channel Index CCI(20,0.015)

Calculation and Chart
# Technical Indicators Calculation
spy['sma5'] = ta.SMA(np.asarray(spy['Close']), 5)
spy['cci'] = ta.CCI(np.asarray(spy['High']), np.asarray(spy['Low']),
np.asarray(spy['Close']), timeperiod=20)
# Technical Indicators Chart
fig1, ax = plt.subplots(2, sharex=True)
ax[0].plot(spy['Close'])
ax[0].plot(spy['sma5'])
ax[0].legend(loc='upper left')
ax[1].plot(spy['cci'], color='green')
ax[1].legend(loc='upper left')
plt.suptitle('SPY Close Prices, Simple Moving Average SMA(5) & Commodity Channel
Index CCI(20,0.015)')
plt.show()

##########

# 3. Price and Bands Crossover Trading Signals

# Previous Periods Data (avoid backtesting bias)
spy['Close(-1)'] = spy['Close'].shift(1)
spy['sma5(-1)'] = spy['sma5'].shift(1)
spy['cci(-1)'] = spy['cci'].shift(1)
spy['Close(-2)'] = spy['Close'].shift(2)
spy['sma5(-2)'] = spy['sma5'].shift(2)
# Generate Trading Signals (buy=1 , sell=-1, do nothing=0)
spy['ccismasig'] = 0
ccismasig = 0
for i, r in enumerate(spy.iterrows()):
if r[1]['Close(-2)'] < r[1]['sma5(-2)'] and r[1]['Close(-1)'] > r[1]['sma5(-
1)'] and r[1]['cci(-1)'] < -100:
ccismasig = 1
elif r[1]['Close(-2)'] > r[1]['sma5(-2)'] and r[1]['Close(-1)'] < r[1]['sma5(-
1)'] and r[1]['cci(-1)'] > 100:
ccismasig = -1
else:
ccismasig = 0
spy.iloc[i, 13] = ccismasig
# Trading Signals Chart
fig2, ax = plt.subplots(3, sharex=True)
ax[0].plot(spy['Close'])
ax[0].plot(spy['sma5'])
ax[0].legend(loc='upper left')
ax[1].plot(spy['cci'], color='green')
ax[1].legend(loc='upper left')
ax[2].plot(spy['ccismasig'], marker='o', linestyle='')
ax[2].legend(loc='upper left')
plt.suptitle('SPY Close Prices, Simple Moving Average SMA(5) & Commodity Channel
Index CCI(20,0.015)')
plt.show()

##########

# 4. Price and Bands Crossover Trading Strategy

# Generate Trading Strategy (own stock=1 , not own stock=0, short-selling not
available)
spy['ccismastr'] = 1
ccismastr = 0
for i, r in enumerate(spy.iterrows()):
if r[1]['ccismasig'] == 1:
ccismastr = 1
elif r[1]['ccismasig'] == -1:
ccismastr = 0
else:
ccismastr = spy['ccismastr'][i-1]
spy.iloc[i, 14] = ccismastr
# Trading Strategy Chart
fig3, ax = plt.subplots(3, sharex=True)
ax[0].plot(spy['Close'])
ax[0].plot(spy['sma5'])
ax[0].legend(loc='upper left')
ax[1].plot(spy['cci'], color='green')
ax[1].legend(loc='upper left')
ax[2].plot(spy['ccismastr'], marker='o', linestyle='')
ax[2].legend(loc='upper left')
plt.suptitle('SPY Close Prices, Simple Moving Average SMA(5) & Commodity Channel
Index CCI(20,0.015)')
plt.show()

##########

# 5. Price and Bands Crossover Strategy Performance Comparison

# 5.1. Strategies Daily Returns

# Price and Bands Crossover Strategy Without Trading Commissions
spy['ccismadrt'] = ((spy['Close']/spy['Close'].shift(1))-1)*spy['ccismastr']
spy.iloc[0, 15] = 0
# Price and Bands Crossover Strategy With Trading Commissions (1% Per Trade)
spy['ccismastr(-1)'] = spy['ccismastr'].shift(1)
spy['ccismatc'] = spy['ccismasig']
ccismatc = 0
for i, r in enumerate(spy.iterrows()):
if (r[1]['ccismasig'] == 1 or r[1]['ccismasig'] == -1) and r[1]['ccismastr'] !=
r[1]['ccismastr(-1)']:
ccismatc = 0.01
else:
ccismatc = 0.00
spy.iloc[i, 17] = ccismatc
spy['ccismadrtc'] = (((spy['Close']/spy['Close'].shift(1))-1)-
spy['ccismatc'])*spy['ccismastr']
spy.iloc[0, 18] = 0
# Buy and Hold Strategy
spy['bhdrt'] = (spy['Close']/spy['Close'].shift(1))-1
spy.iloc[0, 19] = 0

# 5.2. Strategies Cumulative Returns

# Cumulative Returns Calculation
spy['ccismacrt'] = np.cumprod(spy['ccismadrt']+1)-1
spy['ccismacrtc'] = np.cumprod(spy['ccismadrtc']+1)-1
spy['bhcrt'] = np.cumprod(spy['bhdrt']+1)-1
# Cumulative Returns Chart
spy.plot(y=['ccismacrt', 'ccismacrtc', 'bhcrt'])
plt.title('Simple Moving Average SMA(5) & Commodity Channel Index CCI(20,0.015) vs
Buy & Hold')
plt.legend(loc='upper left')
plt.show()

# 5.3. Strategies Performance Metrics

# Annualized Returns
ccismayrt = spy.iloc[251, 20]
ccismayrtc = spy.iloc[251, 21]
bhyrt = spy.iloc[251, 22]
# Annualized Standard Deviation
ccismastd = np.std(spy['ccismadrt'])*np.sqrt(252)
ccismastdc = np.std(spy['ccismadrtc'])*np.sqrt(252)
bhstd = np.std(spy['bhdrt'])*np.sqrt(252)
# Annualized Sharpe Ratio
ccismasr = ccismayrt/ccismastd
ccismasrc = ccismayrtc/ccismastdc
bhsr = bhyrt/bhstd
# Summary Results Data Table
data = [{'0': '', '1': 'SMA(5) &', '2': 'SMA(5) &', '3': 'B&H'},
{'0': '', '1': 'CCI(20,0.015)', '2': 'CCI(20,0.015)TC', '3': ''},
{'0': 'Annualized Return', '1': ccismayrt, '2': ccismayrtc, '3': bhyrt},
{'0': 'Annualized Standard Deviation', '1': ccismastd, '2': ccismastdc,
'3': bhstd},
{'0': 'Annualized Sharpe Ratio (Rf=0%)', '1': ccismasr, '2': ccismasrc,
'3': bhsr}]
table = pd.DataFrame(data)
print(spy)
print(table)