def eventStudyToTrades(dfEventStudy, holdDays, fileName, filePath):
logFile = filePath + "\\" + fileName
lgCnt = 0
for ky in dfEventStudy.keys():
if len(dfEventStudy[ky][dfEventStudy[ky] == 1]) > 0:
print ky
eventsIdx = find(dfEventStudy[ky] == 1)
for i in range(0, (eventsIdx.size)):
shares = 100
buyDtStr = str(dfEventStudy[ky].index[eventsIdx[i]])
print buyDtStr
yearInt = int(buyDtStr.split(' ')[0].split('-')[0])
monInt = int(buyDtStr.split(' ')[0].split('-')[1])
dayInt = int(buyDtStr.split(' ')[0].split('-')[2])
logStr = str(yearInt) + "," + str(monInt) + "," + str(
dayInt) + "," + ky + "," + "Buy" + "," + str(shares) + "\n"
gen.write_log(logFile, logStr)
buyTS = dfEventStudy[ky].index[eventsIdx[i]]
sellIdx = (find(dfEventStudy.index == buyTS) + holdDays) - 1
print sellIdx
if sellIdx >= len(dfEventStudy.index):
print "Need Last Day"
sellIdx = (len(dfEventStudy.index)) - 1
print "Not last day"
sellDtStr = str(dfEventStudy[ky].index[int(sellIdx)])
print sellDtStr
yearInt = int(sellDtStr.split(' ')[0].split('-')[0])
monInt = int(sellDtStr.split(' ')[0].split('-')[1])
dayInt = int(sellDtStr.split(' ')[0].split('-')[2])
logStr = str(yearInt) + "," + str(monInt) + "," + str(
dayInt) + "," + ky + "," + "Sell" + "," + str(
shares) + "\n"
gen.write_log(logFile, logStr)
lgCnt = lgCnt + 2
print lgCnt
def log180Sells(histPriceDF, curDtRng, curPos, logFile):
for i in range(0, len(curPos.keys())):
sym = curPos.keys()[i]
numShares = curPos[sym]
lastIdx = len(histPriceDF['close'][sym][curDtRng[0]:(
curDtRng[1] + dt.timedelta(days=1))]) - 1
sellPrice = histPriceDF['close'][sym][curDtRng[0]:(
curDtRng[1] + dt.timedelta(days=1))][lastIdx]
cashOut = numShares * sellPrice
print cashOut
sellDtStr = str(histPriceDF['close'][sym][curDtRng[0]:(
curDtRng[1] + dt.timedelta(days=1))].index[lastIdx])
yearInt = int(sellDtStr.split(' ')[0].split('-')[0])
monInt = int(sellDtStr.split(' ')[0].split('-')[1])
dayInt = int(sellDtStr.split(' ')[0].split('-')[2])
logStr = str(yearInt) + "," + str(monInt) + "," + str(
dayInt) + "," + sym + "," + "Sell" + "," + str(numShares) + "\n"
print logStr
gen.write_log(logFile, logStr)
def log180Buys(histPriceDF, futDtRng, cash, eqWts, logFile):
curPos = {}
for i in range(0, len(histPriceDF['close'].keys())):
sym = histPriceDF['close'].keys()[i]
beginPrice = histPriceDF['close'][sym][futDtRng[0]:(
futDtRng[1] + dt.timedelta(days=1))][0]
numShares = math.floor((eqWts[i] * cash[0]) / beginPrice)
buyDtStr = str(
histPriceDF['close'][sym][futDtRng[0]:futDtRng[1]].index[0])
yearInt = int(buyDtStr.split(' ')[0].split('-')[0])
monInt = int(buyDtStr.split(' ')[0].split('-')[1])
dayInt = int(buyDtStr.split(' ')[0].split('-')[2])
logStr = str(yearInt) + "," + str(monInt) + "," + str(
dayInt) + "," + sym + "," + "Buy" + "," + str(numShares) + "\n"
if numShares > 0:
print logStr
curPos.update({sym: numShares})
print curPos
gen.write_log(logFile, logStr)
return curPos
def log180Buys(futDtRng,cash,eqWts):
logFile = "C:\\Users\\Ben\\Documents\\ci\\hw\\MarketTest\\Test180_01.txt"
##Market simulation.
beginDT = dt.datetime(2000,1,1)
endDT = dt.datetime(2012,12,31)
#SPY not listed becasue it gets appended
secSyms = ['QQQ','DIA']
#'close' is adjusted close
dataLst = ['close']
priceDF = ci.readHistDataToDF(beginDT,endDT,secSyms,dataLst)
wtOpt = [[0.55,0.30,0.15],[0.333,0.333,0.333],[0,0,1.0]]
initCash = [100000]
secRets = np.zeros((1,len(wtOpt[0])))
maxRets = np.zeros((1,len(wtOpt[0])))
sampleDates = ci.generateAnnualDT(2000,2013)
allRets = np.zeros((len(sampleDates),5))
prvWts = -1
for j in range(0,(len(sampleDates)-1)):
dtRng = sampleDates[j]
drPlus = sampleDates[j + 1]
#calculate SPY return past 180 days
past180 = dtRng[1] - dt.timedelta(days=180)
begin180 = priceDF['close']['SPY'][past180:(dtRng[1] + dt.timedelta(days=1))][0]
lastIdx = len(priceDF['close']['SPY'][past180:(dtRng[1] + dt.timedelta(days=1))]) - 1
end180 = priceDF['close']['SPY'][past180:(dtRng[1] + dt.timedelta(days=1))][lastIdx]
return180 = ((end180 - begin180) / begin180) * 100
#calculate SPY return past 45 days
past60 = dtRng[1] - dt.timedelta(days=60)
begin60 = priceDF['close']['SPY'][past60:(dtRng[1] + dt.timedelta(days=1))][0]
lastIdx = len(priceDF['close']['SPY'][past60:(dtRng[1] + dt.timedelta(days=1))]) - 1
end60 = priceDF['close']['SPY'][past60:(dtRng[1] + dt.timedelta(days=1))][lastIdx]
return60 = ((end60 - begin60) / begin60) * 100
#Select Wt Opt
if return180 >= 0 and return60 >= -2.0:
secWts = wtOpt[0]
allRets[j+1,4] = 0
curWts = 0
elif return180 <= 0 and return60 >= 7.5:
secWts = wtOpt[0]
allRets[j+1,4] = 0
curWts = 0
elif return180 < 0 and return60 < 0:
secWts = wtOpt[2]
allRets[j+1,4] = 2
curWts = 2
else:
secWts = wtOpt[2]
allRets[j+1,4] = 2
curWts = 2
#Handle buys
print curWts
print prvWts
if prvWts == -1 or (prvWts == curWts) == False:
for i in range(0,len(priceDF['close'].keys())):
sym = priceDF['close'].keys()[i]
beginPrice = priceDF['close'][sym][drPlus[0]:(drPlus[1] + dt.timedelta(days=1))][0]
numShares = math.floor((secWts[i] * initCash[0]) / beginPrice)
buyDtStr = str(priceDF['close'][sym][drPlus[0]:drPlus[1]].index[0])
yearInt = int(buyDtStr.split(' ')[0].split('-')[0])
monInt = int(buyDtStr.split(' ')[0].split('-')[1])
dayInt = int(buyDtStr.split(' ')[0].split('-')[2])
logStr = str(yearInt) + "," + str(monInt) + "," + str(dayInt) + "," + sym + "," + "Buy" + "," + str(numShares) + "\n"
if numShares > 0:
print logStr
gen.write_log(logFile,logStr)
lastIdx = len(priceDF['close'][sym][drPlus[0]:(drPlus[1] + dt.timedelta(days=1))]) - 1
sellDtStr = str(priceDF['close'][sym][drPlus[0]:(drPlus[1] + dt.timedelta(days=1))].index[lastIdx])
yearInt = int(sellDtStr.split(' ')[0].split('-')[0])
monInt = int(sellDtStr.split(' ')[0].split('-')[1])
dayInt = int(sellDtStr.split(' ')[0].split('-')[2])
logStr = str(yearInt) + "," + str(monInt) + "," + str(dayInt) + "," + sym + "," + "Sell" + "," + str(numShares) + "\n"
print logStr
gen.write_log(logFile,logStr)
prvWts = curWts