Julia – Download Free Data Using Alphavantage API

For those of you wanting to get started/familiar with the Julia language. I wrote a small script to import .csv data using the Alphavantage API.

In this example we demonstrate how to download a single .csv file as well as batch download multiple .csv files and export as .csv.

First lets download a single .csv. AAPL 1 minute data using the alphavantage API. You will need to insert your API key.


And plot the output:


If we wish to download multiple .csv files and export to .csv we may:


Those of you using R may visit: Free Data: Alternative to Yahoo Finance

Full Julia code on my github


Speed Check! Juilia Vs R Back Test Script

In a quest for speed enhancements over R. I opted to look at the Julia language. It is a high level programming language touting similar speed to C. I find the syntax not at all that different from Python and R. If you have knowledge of the ‘how’ to solve many problems using those languages, the same logic applies to using Julia only having to learn a slightly new but similar syntax.

I created a very simple back test script. The strategy is to stay long the ES mini when the close price is over the 200 period moving average applied to 30 minute bars (200 * 30 minutes is a 6000 minute moving average). Close the position when the ES crosses under the 6000 minute moving average.

I kept the functions and methods of calculation mostly similar between the two languages as stepped below:

1. Load .csv data, 30 minute ES time
2. Create a date and time column, convert to Date format
3. Create 200 Bar SMA
4. Create Long Signals
5. Lag the Long Signal forward +1 to avoid look ahead bias
6. For loop to calculate bar to bar returns
7. Subset Data to remove 200 missing data on SMA 200 creation
8. Calculate strategy returns and buy and hold returns

I excluded any plotting processes as right now I am plotting within the IDE. For R Im using R studio and for Julia I am using Atom – Juno.

Lets now get to the code showing the backtest script for both R and Julia:

Load Packages R:


Load Packages Julia:

using DataFrames using Indicators

Load .txt Data R

df <- read.csv("C:/Users/Andrew.Bannerman/Desktop/Julia/30.min.es.txt", header=TRUE,stringsAsFactors = FALSE)

Load txt Data Julia:

df = readtable("30.min.es.txt", header=true)

Lets check to see how many rows the ES 30 minute data has:

julia> nrow(df) 223571

Next lets make a Date Time Column and convert to Date Time format in R:

# Make date time column
df$Date_Time <- paste(df$Date,df$Time)
df$Date_Time <- mdy_hm(df$Date_Time)

Make Date Time Column Julia (Couldn't find a clean R paste() like Julia function!) and convert to DateTime format:

a = df[:Date] b = df[:Time] c = map(join,zip(a,b), " ") out = String[] temp = String[] for i in 1:length(a) temp = map(join,zip([a[i]],[b[i]]), " ") append!(out,temp) end df[:Date_Time] = out df[:Date_Time] = DateTime.(df[:Date_Time],Dates.DateFormat("mm/dd/yyyy H:M")

Next we can create the 200SMA and Calculate the Long Signal, first R:

# Create Sma
df$sma_200 <- SMA(df$Close,200)
# Create long signal
df$Long_Signal  df$sma_200,1,0)
df$Long_Signal <- dplyr::lag(df$Long_Signal,1) # lag forward avoid look ahead bias

And Julia:

# Create simple moving average # using Indicators Close = convert(Array, df[:Close]) sma_200 = sma(Close,n=200) df[:Close_200sma] = sma_200 # Create Signals # Stay long over 200sma # Exit positions below 200sma # use ifelse() function see - #https://en.wikibooks.org/wiki/Introducing_Julia/Controlling_the_flow # remember . in front of the (.>) for vectorization! df[:Signal_Long] = ifelse(df[:Close] .> df[:Close_200sma],1,0) # Lag data +1 forward # Avoid look ahead bias df[:Signal_Long] = [0; df[1:end-1,:Signal_Long]]

Next we can calculate Close to Close Returns. From this we multiply the returns by the strategy signal 1 or 0.

First R:

# For loop for returns
out <- vector()
for (i in 2:nrow(df)){
out[i] = df$Close[i]/df$Close[i-2+1] - 1.0
df <- cbind(df,out)
colnames(df)[12] = "Close_Ret"
# Calculate strategy Returns
df$Sig_Rets <- df$Long_Signal * df$Close_Ret
df[is.na(df)] <- 0

And same for Julia:

# Calculate Close to Close Returns Close = df[:Close] x = convert(Array, Close) out = zeros(x) for i in 2:size(Close,1) out[i] = Close[i]/Close[i-2+1] - 1.0 end df[:Close_Rets] = out # Calculate signal returns df[:Signal_Rets] = df[:Signal_Long] .* df[:Close_Rets]

And finally we calculate cumulative returns:

First R:

# Calculate Cumulative Returns
# Buy and hold and Strategy returns
# Subset Data To start after SMA creation
df = df[201:nrow(df),]
df$Signal_cum_ret <- cumprod(1+df$Sig_Rets)-1
df$BH_cum_ret <- cumprod(1+df$Close_Ret)-1

And Julia:

# Calculate Cumulative Returns df = df[201:end,:] df[:Cum_Rets] = cumprod(1+df[1:end, :Signal_Rets])-1 df[:BH_Cum_Rets] = cumprod(1+df[1:end, :Close_Rets])-1g] .* df[:Close_Rets]

Next lets wrap the script in a for loop and run it 100 times and take the mean time ( full code on my github)

The mean time result for a 100 iterations using R:

1 4.881509
2 4.550159
3 4.762161
4 4.847419
5 5.260049
6 4.715544
7 4.617849
8 4.642842
9 4.933652
10 4.660920

[1] 4.582826

And the mean time result for 100 iterations Julia:

julia> final_out
100-element Array{Int64,1}:

julia> print(mean(final_out))
julia> 1957.93/1000  # Convert milliseconds to seconds

We see on average that Julia took 1.95 seconds to complete each back test iteration. The Julia script contained two for loops vs 1x for loop in R. I didnt play to R’s vectorized strengths in this regard. But on a almost exact same code to code speed check Julia comes out on top beating R on average by 2.624896 seconds per script iteration.

After 100 iterations R total time for completion:

> sum(out_results$Time)
[1] 458.2826

or 7.6380433333 minutes.

And total Time for Julia:

julia> print(sum(final_out))
julia> 195793 / 1000

or 3.263216667 minutes.

In this example after running a back test script 100 times and taking the average time + sum time for completion we see Julia is 2.34 times faster than R.
It should be noted that each function is pretty standard to each language. I used Julias DataFrames package versus using straight Arrays. Using Arrays might be faster than working with dataframes. We see no slow down at all using for loops in Julia. My hunch is that removing the for loop in R would get the time closer to Julia but i’m too lazy to check this 🙂 (ok i’m not if we play to the vectored theme of R and remove the slow for loop for calculating returns and replacing with data.table:

df = data.table(df)
df[, Close_Ret := (Close / shift(Close))-1]

Speed improves with 1x script run taking:

Time difference of 2.614989 secs

This is my first Julia script so if spot anywhere I can make the code more efficient drop me a line.

A similar package to TTR for financial indicators is Julias Indicators package.

I like working with Rstudio and a similar IDE for Julia is Juno-Atom



Here is the back test results from R / Julia:

plot(df$Signal_cum_ret,type="l",main="R 200SMA Back Test Result")


# Plot
using StatPlots
gr(size=(1500 ,1000))
@df df plot(:Date_Time, [:Cum_Rets :BH_Cum_Rets], title = "SPY Long Over 200sma", xlab = "Date", ylab = "Cumulative Returns",colour = [:lightgreen :pink],legend = :topleft)


R Code = https://gist.github.com/flare9x/2d73e73218967699c035d6d70fa4ae8a
Julia Code = https://gist.github.com/flare9x/7d1d41856ffbe3106983d15885d8a0cc