update requirements.txt

fja05680 · Nov 25, 2021 · 162d9e4 · 162d9e4
1 parent 1b3df08
commit 162d9e4
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diff --git a/TODO b/TODO
@@ -1,3 +1,8 @@
 (1) Implement other strategies from "Trading strategies that work.
 (2) What percent of time, if high/low price is closest to the open, then high/low price came first.
 Need minute data for this.
+(3) Integrate with Norgate Data.
+(4) Install via pip.
+(5) Update Documentation.
+(6) Provide example that doesn't use jupyter notebook, just straight Python.
+(7) Youtube video for portfolio.
diff --git a/examples/010.buy-and-hold/strategy.ipynb b/examples/010.buy-and-hold/strategy.ipynb
@@ -63,15 +63,7 @@
    "cell_type": "code",
    "execution_count": 3,
    "metadata": {},
-   "outputs": [
-    {
-     "name": "stdout",
-     "output_type": "stream",
-     "text": [
-      "dir_name data\n"
-     ]
-    }
-   ],
+   "outputs": [],
    "source": [
     "# Fetch timeseries, select, finalize.\n",
     "ts = pf.fetch_timeseries(symbol)\n",
@@ -190,12 +182,12 @@
        "      <th>0</th>\n",
        "      <td>1993-01-29</td>\n",
        "      <td>25.72</td>\n",
-       "      <td>2021-11-15</td>\n",
-       "      <td>467.00</td>\n",
-       "      <td>441.28</td>\n",
-       "      <td>171217.66</td>\n",
+       "      <td>2021-11-22</td>\n",
+       "      <td>472.97</td>\n",
+       "      <td>447.25</td>\n",
+       "      <td>173534.01</td>\n",
        "      <td>388</td>\n",
-       "      <td>171217.66</td>\n",
+       "      <td>173534.01</td>\n",
        "      <td>LONG</td>\n",
        "      <td>SPY</td>\n",
        "    </tr>\n",
@@ -205,10 +197,10 @@
       ],
       "text/plain": [
        "  entry_date  entry_price  exit_date  exit_price  pl_points   pl_cash  qty  \\\n",
-       "0 1993-01-29        25.72 2021-11-15      467.00     441.28 171217.66  388   \n",
+       "0 1993-01-29        25.72 2021-11-22      472.97     447.25 173534.01  388   \n",
        "\n",
        "   cumul_total direction symbol  \n",
-       "0    171217.66      LONG    SPY  "
+       "0    173534.01      LONG    SPY  "
       ]
      },
      "execution_count": 6,
@@ -281,7 +273,7 @@
        "  <tbody>\n",
        "    <tr>\n",
        "      <th>annual_return_rate</th>\n",
-       "      <td>10.58</td>\n",
+       "      <td>10.63</td>\n",
        "    </tr>\n",
        "    <tr>\n",
        "      <th>max_closed_out_drawdown</th>\n",
@@ -309,22 +301,22 @@
        "    </tr>\n",
        "    <tr>\n",
        "      <th>annual_std</th>\n",
-       "      <td>17.07</td>\n",
+       "      <td>17.08</td>\n",
        "    </tr>\n",
        "  </tbody>\n",
        "</table>\n",
        "</div>"
       ],
       "text/plain": [
        "                         strategy\n",
-       "annual_return_rate          10.58\n",
+       "annual_return_rate          10.63\n",
        "max_closed_out_drawdown    -55.16\n",
        "best_month                  23.60\n",
        "worst_month                -30.98\n",
        "sharpe_ratio                 0.63\n",
        "sortino_ratio                0.80\n",
        "monthly_std                  4.44\n",
-       "annual_std                  17.07"
+       "annual_std                  17.08"
       ]
      },
      "execution_count": 8,

diff --git a/pyproject.toml b/pyproject.toml
@@ -0,0 +1,6 @@
+[build-system]
+requires = [
+    "setuptools>=42",
+    "wheel"
+]
+build-backend = "setuptools.build_meta"
diff --git a/requirements.txt b/requirements.txt
@@ -1,69 +1,73 @@
-argon2-cffi==20.1.0
-async-generator==1.10
-attrs==20.3.0
+argon2-cffi==21.1.0
+attrs==21.2.0
 backcall==0.2.0
-bleach==3.3.0
-certifi==2020.12.5
-cffi==1.14.4
-chardet==3.0.4
-cycler==0.10.0
-decorator==4.4.2
-defusedxml==0.6.0
+bleach==4.1.0
+certifi==2021.10.8
+cffi==1.15.0
+charset-normalizer==2.0.8
+configparser==5.1.0
+cycler==0.11.0
+debugpy==1.5.1
+decorator==5.1.0
+defusedxml==0.7.1
 empyrical==0.5.5
 entrypoints==0.3
-idna==2.10
-ipykernel==5.4.1
-ipython==7.19.0
+fonttools==4.28.2
+idna==3.3
+importlib-resources==5.4.0
+ipykernel==6.5.1
+ipython==7.29.0
 ipython-genutils==0.2.0
-jedi==0.17.2
-Jinja2==2.11.3
-joblib==0.17.0
-jsonschema==3.2.0
-jupyter-client==6.1.7
-jupyter-core==4.7.0
+jedi==0.18.1
+Jinja2==3.0.3
+jsonschema==4.2.1
+jupyter-client==7.1.0
+jupyter-core==4.9.1
 jupyterlab-pygments==0.1.2
-kiwisolver==1.3.1
-lxml==4.6.3
-MarkupSafe==1.1.1
-matplotlib==3.3.3
+kiwisolver==1.3.2
+lxml==4.6.4
+MarkupSafe==2.0.1
+matplotlib==3.5.0
+matplotlib-inline==0.1.3
 mistune==0.8.4
-nbclient==0.5.1
-nbconvert==6.0.7
-nbformat==5.0.8
-nest-asyncio==1.4.3
-notebook==6.4.1
-numpy==1.19.4
-packaging==20.7
-pandas==1.1.5
-pandas-datareader==0.9.0
-pandocfilters==1.4.3
-parso==0.7.1
+multitasking==0.0.10
+nbclient==0.5.9
+nbconvert==6.3.0
+nbformat==5.1.3
+nest-asyncio==1.5.1
+notebook==6.4.6
+numpy==1.21.4
+packaging==21.3
+pandas==1.3.4
+pandas-datareader==0.10.0
+pandocfilters==1.5.0
+parso==0.8.2
 pexpect==4.8.0
 pickleshare==0.7.5
-Pillow==8.3.2
-prometheus-client==0.9.0
-prompt-toolkit==3.0.8
-ptyprocess==0.6.0
-pycparser==2.20
-Pygments==2.7.4
-pyparsing==2.4.7
-pyrsistent==0.17.3
-python-dateutil==2.8.1
-pytz==2020.4
-pyzmq==20.0.0
-requests==2.25.0
-scikit-learn==0.23.2
-scipy==1.5.4
-seaborn==0.11.0
-Send2Trash==1.5.0
-six==1.15.0
-terminado==0.9.1
-testpath==0.4.4
-threadpoolctl==2.1.0
+Pillow==8.4.0
+prometheus-client==0.12.0
+prompt-toolkit==3.0.22
+ptyprocess==0.7.0
+pycparser==2.21
+Pygments==2.10.0
+pyparsing==3.0.6
+pyrsistent==0.18.0
+python-dateutil==2.8.2
+pytz==2021.3
+pyzmq==22.3.0
+requests==2.26.0
+scipy==1.7.3
+seaborn==0.11.2
+Send2Trash==1.8.0
+setuptools-scm==6.3.2
+six==1.16.0
+terminado==0.12.1
+testpath==0.5.0
+tomli==1.2.2
 tornado==6.1
-traitlets==5.0.5
-urllib3==1.26.5
+traitlets==5.1.1
+urllib3==1.26.7
 wcwidth==0.2.5
 webencodings==0.5.1
-yfinance==0.1.63
-
+yfinance==0.1.67
+zipp==3.6.0