stock_screener

README

Stock screener

Stock screener is a tool that scans through a list of assets and returns a list of assets that meet a predefined set of filter criteria. It also allows to rank results.

Description

While you might use the stock screener as a standalone tool (for example by extending one of the examples) it is meant to be used as a package to facilitate automatic trading. The idea then is to use the stock screener to find the most promising candidates for trading, according to strategy specific filter criteria.

Setting up a scanner is as easy as

scanner := stock_screener.NewScanner(assets, 10, filters, ranking)

where

• assets is a list of assets to scan,
• 10 is the look-back period, i.e. the number of bars used to compute filters
• filters is a list of filter functions to apply to the assets
• ranking is a ranking function to apply to the filtered assets

Filters

Filter functions must have the following signature

func(*providers.BarHistory) bool

where providers.BarHistory is a struct that contains the historical data for a given asset.

Ranking

Ranking functions must have the following signature

func(*[]stock_screener.Asset)

where []stock_screener.Asset is the list of assets that passed the filters.

Prerequisites

Before you begin, ensure you have met the following requirements:

• Go >= 1.20.5
• A valid subscription for any of the supported providers
  • FMP

Installation

$> go get -u github.com/d1l1x/stock-screener

Examples

In order to test any of the examples you require to have a valid subscriptions for any of the supported providers. It might be necessary to adjust the code to use another provider.

Simple example using FMP

This simple example sets up a scanner with a single asset and scans it using the FMP provider. The scanner will return the same list of assets as there are not filters defined.

package main

import (
	"fmt"
	stock_screener "github.com/d1l1x/stock-screener"
	providers "github.com/d1l1x/stock-screener/providers"
)

func main() {

	assets := []stock_screener.Asset{{Symbol: "AAPL"}}

	scanner := stock_screener.NewScanner(assets, 10, nil, nil)

	err := scanner.Init(providers.Fmp, "../../envs/fmp.env")
	if err != nil {
		panic(err)
	}

	watchlist := scanner.Scan()
	fmt.Println(watchlist[0].Symbol)
}

Advanced example using filters and ranking

Like for the simple example, this example uses FMP, sets up a scanner but this time with a list of four assets and scans it applying the provided filters.

package main

import (
	"fmt"
	stock_screener "github.com/d1l1x/stock-screener"
	"github.com/d1l1x/stock-screener/indicators"
	"github.com/d1l1x/stock-screener/providers"
)

func reverse(slice []float64) {
	for i := len(slice)/2 - 1; i >= 0; i-- {
		opp := len(slice) - 1 - i
		slice[i], slice[opp] = slice[opp], slice[i]
	}
}

func SetupFilters() []func(*providers.BarHistory) bool {
	var filters []func(*providers.BarHistory) bool

	filters = append(filters,
		func(bars *providers.BarHistory) bool {
			// Indicators assume the most recent value to be the last,
			// so we have to reverse fmp data
			reverse(bars.Close)
			roc := indicators.ROC(bars.Close, 10)
			return roc[len(roc)-1] < 0.0
		})

	return filters
}

func main() {

	assets := []stock_screener.Asset{
		{Symbol: "AAPL"},
		{Symbol: "GOOGL"},
		{Symbol: "MSFT"},
		{Symbol: "PG"},
	}

	filters := SetupFilters()

	scanner := stock_screener.NewScanner(assets, 100, filters, nil)

	err := scanner.Init(providers.Fmp, "./envs/fmp.env")
	if err != nil {
		panic(err)
	}

	watchlist := scanner.Scan()
	fmt.Println(watchlist)
}

Contributing

Pull requests are welcome. For major changes, please open an issue first to discuss what you would like to change.

License

BSD 3-Clause License

Documentation

Index

• type Asset
• type Scanner
  • func NewScanner(assets []Asset, lookBackPeriod int, filters []func(*providers.BarHistory) bool, ...) *Scanner
  • func (s *Scanner) Init(provider providers.Provider, providerConfigPath string) error
  • func (s *Scanner) Scan() []Asset

Types

type Asset

type Asset struct {
	Symbol string
	Name   string
	Id     string
}

type Scanner

type Scanner struct {
	Filters        []func(bars *providers.BarHistory) bool
	Ranking        func([]Asset)
	Assets         []Asset
	LookBackPeriod int
	// contains filtered or unexported fields
}

func NewScanner

func NewScanner(assets []Asset, lookBackPeriod int, filters []func(*providers.BarHistory) bool, ranking func([]Asset)) *Scanner

func (*Scanner) Init

func (s *Scanner) Init(provider providers.Provider, providerConfigPath string) error

func (*Scanner) Scan

func (s *Scanner) Scan() []Asset