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Various improvements around dividend handling #433

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Various improvements around dividend handling #433

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1d9f3df
Drop "Ticker" level from now-MultiIndex Yahoo Finance DataFrame
szotsaki Dec 13, 2024
ce33bfe
Remove time zone information from dividends
szotsaki Dec 13, 2024
ce98628
Add dividend as cash properly
szotsaki Dec 19, 2024
cfc1b3b
Fail if the stock could not be found on an exchange
szotsaki Dec 28, 2024
0981ee5
Remove "Adj Close" column since YFinance doesn't support it anymore
szotsaki Dec 28, 2024
7b6353f
All transactions should be treated with the same stop-loss mechanism
szotsaki Dec 28, 2024
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7 changes: 3 additions & 4 deletions python/fastquant/data/stocks/stocks.py
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Original file line number Diff line number Diff line change
Expand Up @@ -52,16 +52,15 @@ def get_stock_data(
if source == "yahoo":
# The query is run on 'yahoo', but if the symbol isn't found, the same query is run on 'phisix'.
df = get_yahoo_data(symbol, start_date, end_date, dividends)
if df is None or symbol == "JFC":
format = "c"
df = get_pse_data(symbol, start_date, end_date, format=format)
if df is None:
raise Exception(f"{symbol} could not be found on Yahoo")

elif source == "phisix":
# The query is run on 'phisix', but if the symbol isn't found, the same query is run on 'yahoo'.
format = "c"
df = get_pse_data(symbol, start_date, end_date, format=format)
if df is None:
df = get_yahoo_data(symbol, start_date, end_date, dividends)
raise Exception(f"{symbol} could not be found on Phisix")

else:
raise Exception("Source must be either 'phisix' or 'yahoo'")
Expand Down
12 changes: 9 additions & 3 deletions python/fastquant/data/stocks/yahoofinance.py
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Original file line number Diff line number Diff line change
Expand Up @@ -33,16 +33,23 @@ def get_yahoo_data(symbol, start_date, end_date, dividends=True):
"High": "high",
"Low": "low",
"Close": "close",
"Adj Close": "adj_close",
"Volume": "volume",
"Dividends": "dividend",
}

# Multi-index dataframes are not supported in fastquant
if "Ticker" in df.columns.names:
df.columns = df.columns.droplevel("Ticker")

# "Adj Close" is missing from the recent versions of YFinance
df = df.drop(['Adj Close'], errors='ignore')

if dividends:
ticker = yf.Ticker(symbol)
div_df = ticker.dividends

if div_df.shape[0] > 0:
df = df.join(div_df, how="left", on="Date")
df = df.join(div_df.tz_localize(None), how="left", on="Date")
else:
df["dividend"] = 0
else:
Expand All @@ -54,7 +61,6 @@ def get_yahoo_data(symbol, start_date, end_date, dividends=True):
"high",
"low",
"close",
"adj_close",
"volume",
"dividend",
]
Expand Down
49 changes: 21 additions & 28 deletions python/fastquant/strategies/base.py
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Expand Up @@ -186,10 +186,10 @@ def __init__(self):
self.price_bought = 0

# Initialize stoploss order
self.stoploss_order = None
self.stoploss_orders = []

# Initialize stoploss trail order
self.stoploss_trail_order = None
self.stoploss_trail_orders = []

def buy_signal(self):
return False
Expand Down Expand Up @@ -289,8 +289,8 @@ def start(self):
def next(self):

# add dividend to cash
if self.invest_div and self.datadiv is not None:
self.broker.add_cash(self.datadiv)
if self.invest_div and self.datadiv is not None and self.datadiv.get()[0] != 0:
self.broker.add_cash(self.datadiv.get()[0])

if self.add_cash_amount:
if self.first_timepoint:
Expand Down Expand Up @@ -400,25 +400,21 @@ def next(self):
stop_price = self.data.close[0] * (1.0 - self.stop_loss)
if self.transaction_logging:
self.log("Stop price: {}".format(stop_price))
self.stoploss_order = self.sell(
self.stoploss_orders.append(self.sell(
exectype=bt.Order.Stop,
price=stop_price,
size=final_size,
)
))

if self.stop_trail:
# Create a stoploss trail order if None
if self.stoploss_trail_order is None:
if self.transaction_logging:
self.log("Stop trail: {}".format(self.stop_trail))
self.stoploss_trail_order = self.sell(
exectype=bt.Order.StopTrail,
trailpercent=self.stop_trail,
size=final_size,
)
# Cancel existing stoploss trail order
else:
self.cancel(self.stoploss_trail_order)
if self.transaction_logging:
self.log("Stop trail: {}".format(self.stop_trail))
self.stoploss_trail_orders.append(self.sell(
exectype=bt.Order.StopTrail,
trailpercent=self.stop_trail,
size=final_size,
))

# Buy based on the opening price of the next closing day (only works "open" data exists in the dataset)
else:
Expand All @@ -443,20 +439,20 @@ def next(self):
stop_price = self.data.close[0] * (1.0 - self.stop_loss)
if self.transaction_logging:
self.log("Stop price: {}".format(stop_price))
self.stoploss_order = self.sell(
self.stoploss_orders.append(self.sell(
exectype=bt.Order.Stop,
price=stop_price,
size=final_size,
)
))

if self.stop_trail:
if self.transaction_logging:
self.log("Stop trail: {}".format(self.stop_trail))
self.stoploss_trail_order = self.sell(
self.stoploss_trail_orders.append(self.sell(
exectype=bt.Order.StopTrail,
trailpercent=self.stop_trail,
size=final_size,
)
))

elif self.sell_signal() and (self.strategy_position in [1, -1, None]):
self.strategy_position = 0 if self.strategy_position in [1, -1] else None
Expand Down Expand Up @@ -531,13 +527,10 @@ def next(self):
size=int((self.init_cash / self.dataopen[1]) * self.sell_prop)
)

# Explicitly cancel stoploss order
if self.stoploss_order:
self.cancel(self.stoploss_order)

# Explicitly cancel stoploss trail order
if self.stoploss_trail_order:
self.cancel(self.stoploss_trail_order)
# Explicitly cancel active stop-loss (trail) orders
for order in self.stoploss_orders + self.stoploss_trail_orders:
if order.status not in ["Completed", "Canceled", "Expired", "Rejected"]:
self.cancel(order)

elif self.take_profit_signal():
# Take profit
Expand Down