Metadata-Version: 2.1
Name: margot
Version: 0.5.34
Summary: An algorithmic trading framework for PyData.
Home-page: https://github.com/atkinson/margot
Author: Rich Atkinson
Author-email: rich@airteam.com.au
License: apache-2.0
Description: [![](https://img.shields.io/pypi/v/margot)](https://pypi.org/project/margot/)
        ![](https://img.shields.io/pypi/pyversions/margot)
        ![](https://img.shields.io/pypi/wheel/margot)
        [![](https://img.shields.io/github/license/atkinson/margot)](https://github.com/atkinson/margot/blob/master/LICENSE)
        [![](https://img.shields.io/travis/com/atkinson/margot)](https://travis-ci.com/github/atkinson/margot)
        [![](https://readthedocs.org/projects/margot/badge/?version=latest)](https://margot.readthedocs.io/en/latest/?badge=latest)
        [![](https://codecov.io/gh/atkinson/margot/branch/master/graph/badge.svg)](https://codecov.io/gh/atkinson/margot)
        
        # What is margot?
        Margot is a library of components that may be used together or separately. The first
        major component; _margot.data_ is now available for public preview. It should be
        considered an early-beta. It works, but may still have sharp edges.
        
        # What is margot data?
        Margot data makes it super easy to create neat and tidy Pandas dataframes for 
        time-series analysis.
        
        Margot data aims to manage data collection, caching, cleaning, feature generation,
        management and persistence using a clean, declarative API. If you've ever used
        Django you'll find this approach similar to the Django ORM.
        
        ## Columns
        The heart of any time-series dataframe is the original data. Margot can retrieve
        time-series data from external sources (currently AlphaVantage). To add a time-
        series from an original source, such as "closing_price" or "volume", we declare
        a *Column*:
        
        e.g. Let's get closing_price and volume from AlphaVantage:
        
            adjusted_close = av.Column(time_series='adjusted_close')
        
            daily_volume = av.Column(time_series='volume')
        
        ## Features
        Columns are useful, but we usually want to derive new time-series from them, such 
        as "log_returns" or "SMA20". Margot does this for you; we've called these derived
        time-series, *Features*.
        
            simple_returns = finance.SimpleReturns(column='adjusted_close')
            log_returns = finance.LogReturns(column='adjusted_close')
            sma20 = finance.SimpleMovingAverage(column='adjusted_close', window=20)
        
        Features can be piled on top of one another. For example, to create a time-series
        of realised volatility based on log_returns with a lookback of 30 trading days,
        simply add the following feature:
        
            realised_vol = finance.RealisedVolatility(column='log_returns', window=30)
        
        Margot includes many common financial Features, and we'll be adding more soon. It's 
        also very easy to add your own.
        
        
        ## Symbols
        Often, you want to make a dataframe combining a number of columns and features.
        Margot makes this very easy by providing the Symbol class e.g.
        
            class MyEquity(Symbol):
        
                adjusted_close = av.Column(time_series='adjusted_close')
                log_returns = finance.LogReturns(column='adjusted_close')
                realised_vol = finance.RealisedVolatility(column='log_returns', 
                                                          window=30)
                upper_band = finance.UpperBollingerBand(column='adjusted_close', 
                                                        window=20, 
                                                        width=2.0)
                sma20 = finance.SimpleMovingAverage(column='adjusted_close', 
                                                    window=20)
                lower_band = finance.LowerBollingerBand(column='adjusted_close', 
                                                        window=20, 
                                                        width=2.0)
        
            spy = MyEquity(symbol='SPY')
        
        ## MargotDataFrames
        You usually you want to look at more than one symbol. That's where
        MargotDataFrames come in. MargotDataFrames combine multiple
        Symbols with dataframe-wide Features and Ratios. For example:
        
            class MyEnsemble(MargotDataFrame):
                spy = MyEquity(symbol='SPY', trading_calendar='NYSE')
                iwm = MyEquity(symbol='IWM', trading_calendar='NYSE')
                spy_iwm_ratio = Ratio(numerator=spy.adjusted_close, 
                                      denominator=iwm.adjusted_close,
                                      label='spy_iwm_ratio')
        
            my_df = MyEnsemble().to_pandas() 
        
        The above code creates a Pandas DataFrame of two equities, and an additional
        feature that calculates a time-series of the ratio of their respective
        adjusted close prices.
        
        ## Margot's other parts
        **not yet released.**
        
        Margot aims to provide a simple framework for writing and backtesting trading
        signal generation algorithms using margot.data.
        
        Results from margot's trading algorithms can be analysed with pyfolio.
        
        # Getting Started
        
            pip install margot
        
        Next you need to make sure you have a couple of important environment variables set:
        
            export ALPHAVANTAGE_API_KEY=YOUR_API_KEY
            export DATA_CACHE=PATH_TO_FOLDER_TO_STORE_HDF5_FILES
        
        Once you've done that, try running the code in the [notebook](notebook.margot.data).
        
        # Status
        This is still an early stage software project, and should not be used for live trading.
        
        # Documentation
        
        in progress - for examples see the [notebook](notebook.margot.data).
        
        # Contributing
        
        Feel free to make a pull request or chat about your idea first using [issues](https://github.com/atkinson/margot/issues).
        
        Dependencies are kept to a minimum. Generally if there's a way to do something in the standard library (or numpy / Pandas), let's do it that way rather than add another library. 
        
        # License
        Margot is licensed for use under Apache 2.0. For details see [the License](https://github.com/atkinson/margot/blob/master/LICENSE).
        
Keywords: quant,trading,systematic
Platform: UNKNOWN
Classifier: Development Status :: 3 - Alpha
Classifier: Intended Audience :: Developers
Classifier: Topic :: Software Development :: Libraries :: Python Modules
Classifier: License :: OSI Approved :: Apache Software License
Classifier: Programming Language :: Python :: 3
Classifier: Programming Language :: Python :: 3.6
Classifier: Programming Language :: Python :: 3.7
Classifier: Programming Language :: Python :: 3.8
Description-Content-Type: text/markdown
