def runStrategy(prices, front):
#prices = SqliteDB().getAllPrices(table)
ps = [p['close'] for p in prices]
pool = StrategyPool(100)
doMaTrade(pool, prices, ps, front, 'MA', 6, 9, 35)
pool.showStrategies()
return
for i in range(2, 9):
for j in range(4, 20):
if i >= j: continue
doMaTrade(pool, prices, ps, front, 'MA', i, j)
doMaTrade(pool, prices, ps, front, 'EMA', i, j)
doMaTrade(pool, prices, ps, front, 'SMA', i, j)
log.debug(' ========= ' + str(i) + ',' + str(j) + ' ===========')
for k in range(6, 40):
if j >= k: continue
doMaTrade(pool, prices, ps, front, 'MA', i, j, k)
doMaTrade(pool, prices, ps, front, 'EMA', i, j, k)
doMaTrade(pool, prices, ps, front, 'SMA', i, j, k)
continue
for l in range(8, 60):
if k >= l: continue
doMaTrade(pool, prices, ps, front, 'MA', i, j, k, l)
doMaTrade(pool, prices, ps, front, 'EMA', i, j, k, l)
doMaTrade(pool, prices, ps, front, 'SMA', i, j, k, l)
pool.showStrategies()
def runStrategy(in_prices):
global prices, ps, phs, pls, rsis
log.debug('beginning s5 strategy ...')
prices = in_prices
ps = [p['close'] for p in prices]
phs = [p['high'] for p in prices]
pls = [p['low'] for p in prices]
rsis = rsi.calc_rsi(prices, 14)
pool = StrategyPool(50)
doTrade(pool, 1, 180, 12, 0.5, -0.6)
pool.showStrategies()
return
direction = 1
starttime = time.time()
for i in range(30, 150)[::10]:
for j in range(2, 30)[::5]:
if i < j: continue
elapsed = long(time.time() - starttime)
log.debug('== ' + str(elapsed) + ', ' + str(i) + ',' + str(j) + ' ==')
for kp in [0.5, 0.6, 0.7, 0.8, 0.9, 1.0, 1.1, 1.2, 1.3]:
for kl in [0.5, 0.6, 0.7, 0.8, 0.9, 1.0, 1.1, 1.2, 1.3]:
doTrade(pool, direction, i, j, kp, -kl)
pool.showStrategies()
return
def runStrategy_2(in_prices):
global mas, emas, smas, std, prices
log.debug('beginning first strategy ...')
prices = in_prices
ps = [p['close'] for p in prices]
std = [0] * 51
l = len(prices)
for period in range(2, 51):
std[period] = [0] * l
for i in range(period - 1, l):
std[period][i] = round(
np.std(ps[i - period + 1:i + 1], dtype=np.float64, ddof=0), 3)
mas = [0] * 61
emas = [0] * 61
smas = [0] * 61
for period in range(2, 61):
mas[period] = ma.calc_ma(ps, period)
emas[period] = ma.calc_ema(ps, period)
smas[period] = ma.calc_sma(ps, period)
log.debug('running first strategy ...')
starttime = datetime.datetime.now()
strat_as = [
['MA', 7, 'SMA', 10, 'SMA', 12],
['MA', 7, 'SMA', 14, 'EMA', 33],
['MA', 7, 'SMA', 16, 'EMA', 27],
]
strat_bs = [
['SMA', 7, 'MA', 12, 'MA', 12],
['SMA', 7, 'MA', 12, 'MA', 36],
['MA', 7, 'SMA', 14, 'EMA', 33],
]
pool = StrategyPool(100)
for stdPeriod in [25]:
stdGuage = 1.3
while stdGuage <= 1.3:
elapsed = (datetime.datetime.now() - starttime).seconds
log.debug('== ' + str(elapsed) + ',' + str(stdPeriod) + ',' +
str(stdGuage) + ' ==')
for sa in strat_as:
for sb in strat_bs:
doTrade(pool, stdPeriod, stdGuage, sa[0], sa[1], sa[2],
sa[3], sa[4], sa[5], sb[0], sb[1], sb[2], sb[3],
sb[4], sb[5])
stdGuage += 0.02
pool.showStrategies()
return
def runStrategy_2(in_prices):
global mas, emas, smas, std, prices
log.debug('beginning first strategy ...')
prices = in_prices
ps = [p['close'] for p in prices]
std = [0] * 51
l = len(prices)
for period in range(2, 51):
std[period] = [0] * l
for i in range(period - 1, l):
std[period][i] = round(np.std(ps[i-period+1 : i+1], dtype=np.float64, ddof=0), 3)
mas = [0] * 61
emas = [0] * 61
smas = [0] * 61
for period in range(2, 61):
mas[period] = ma.calc_ma(ps, period)
emas[period] = ma.calc_ema(ps, period)
smas[period] = ma.calc_sma(ps, period)
log.debug('running first strategy ...')
starttime = datetime.datetime.now()
strat_as = [
['MA',7,'SMA',10,'SMA',12],
['MA',7,'SMA',14,'EMA',33],
['MA',7,'SMA',16,'EMA',27],
]
strat_bs = [
['SMA',7,'MA',12,'MA',12 ],
['SMA',7,'MA',12,'MA',36 ],
['MA',7,'SMA',14,'EMA',33],
]
pool = StrategyPool(100)
for stdPeriod in [25]:
stdGuage = 1.3
while stdGuage <= 1.3:
elapsed = (datetime.datetime.now() - starttime).seconds
log.debug('== ' + str(elapsed) + ',' + str(stdPeriod) + ',' + str(stdGuage) + ' ==')
for sa in strat_as:
for sb in strat_bs:
doTrade(pool, stdPeriod, stdGuage, sa[0], sa[1], sa[2], sa[3], sa[4], sa[5], sb[0], sb[1], sb[2], sb[3], sb[4], sb[5])
stdGuage += 0.02
pool.showStrategies()
return
def runStrategy(prices):
logs.info('STRATEGY,BUY TIMES, SELL TIMES, FINAL EQUITY')
#prices = SqliteDB().getAllPrices(table)
ps = [p['close'] for p in prices]
pool = StrategyPool(100)
doRSITrade(pool, prices, 14, 70, 30)
pool.showStrategies()
return
for i in range(3, 30):
for j in range(70, 100):
for k in range(1, 31):
doRSITrade(pool, prices, i, j, k)
def runStrategy(prices):
logs.info('STRATEGY,BUY TIMES, SELL TIMES, FINAL EQUITY')
#prices = SqliteDB().getAllPrices(table)
ps = [p['close'] for p in prices]
pool = StrategyPool(100)
doRSITrade(pool, prices, 14, 70, 30)
pool.showStrategies()
return
for i in range(3, 30):
for j in range(70, 100):
for k in range(1, 31):
doRSITrade(pool, prices, i, j, k)
def runStrategy(prices):
log.debug('beginning l4 strategy ...')
ps = [p['close'] for p in prices]
pool = StrategyPool(50)
#doTrade(pool, prices, ps, 3, 9)
#pool.showStrategies()
#return
for i in range(5, 40)[::2]:
for j in range(3, 30)[::2]:
doTrade(pool, prices, ps, i, j)
pool.showStrategies()
def runStrategy(prices):
log.debug('beginning l3 strategy ...')
ps = [p['close'] for p in prices]
pool = StrategyPool(50)
#doTrade(pool, prices, ps, 3, 9)
#pool.showStrategies()
#return
for i in range(5, 40)[::2]:
for j in range(3, 30)[::2]:
doTrade(pool, prices, ps, i, j)
pool.showStrategies()
def runStrategy(prices):
logs.info('STRATEGY,BUY TIMES, SELL TIMES, FINAL EQUITY')
#prices = SqliteDB().getAllPrices(table)
ps = [p['close'] for p in prices]
pool = StrategyPool(100)
#doBollingTrade(pool, prices, ps, 12, 2.4)
#pool.showStrategies()
#return
for i in range(2, 40):
j = 0
log.debug(i)
while j <= 5:
doBollingTrade(pool, prices, ps, i, j)
j += 0.1
pool.showStrategies()
def runStrategy(prices):
log.debug('beginning l2 strategy ...')
ps = [p['close'] for p in prices]
pool = StrategyPool(50)
#doTrade(pool, prices, ps, 14, 21, 14)
#pool.showStrategies()
#return
for i in range(5, 20)[::2]:
for j in range(12, 50)[::2]:
if i >= j: continue
for k in range(10, 40)[::3]:
for l in [20, 30, 40, 50, 60, 70]:
doTrade(pool, prices, ps, i, j, k, l)
#doMacdTrade(pool, prices, ps, i, j, k)
pool.showStrategies()
def runStrategy(prices):
logs.info('STRATEGY,BUY TIMES, SELL TIMES, FINAL EQUITY')
#prices = SqliteDB().getAllPrices(table)
ps = [p['close'] for p in prices]
pool = StrategyPool(100)
#doBollingTrade(pool, prices, ps, 12, 2.4)
#pool.showStrategies()
#return
for i in range(2, 40):
j = 0
log.debug(i)
while j <= 5:
doBollingTrade(pool, prices, ps, i, j)
j += 0.1
pool.showStrategies()
def runStrategy(in_prices):
log.debug("beginning s3 strategy ...")
prices = in_prices
ps = [p["close"] for p in prices]
pool = StrategyPool(50)
doTrade(pool, prices, ps, 90, 17, 45)
pool.showStrategies()
return
for i in range(10, 100)[::10]:
for j in range(2, 30)[::5]:
log.debug("== " + str(i) + " , " + str(j) + " ==")
for k in range(5, 100)[::20]:
doTrade(pool, prices, ps, i, j, k)
pool.showStrategies()
return
def runStrategy(prices):
log.debug('beginning l2 strategy ...')
ps = [p['close'] for p in prices]
pool = StrategyPool(50)
#doTrade(pool, prices, ps, 14, 21, 14)
#pool.showStrategies()
#return
for i in range(5, 20)[::2]:
for j in range(12, 50)[::2]:
if i >= j: continue
for k in range(10, 40)[::3]:
for l in [20, 30, 40, 50, 60, 70]:
doTrade(pool, prices, ps, i, j, k, l)
#doMacdTrade(pool, prices, ps, i, j, k)
pool.showStrategies()
def runStrategy(prices, front):
#prices = SqliteDB().getAllPrices(table)
ps = [p['close'] for p in prices]
pool = StrategyPool(100)
doMaTrade(pool, prices, ps, front, 'MA', 6, 9, 35)
pool.showStrategies()
return
for i in range(2, 9):
for j in range(4, 20):
if i >= j: continue
doMaTrade(pool, prices, ps, front, 'MA', i, j)
doMaTrade(pool, prices, ps, front, 'EMA', i, j)
doMaTrade(pool, prices, ps, front, 'SMA', i, j)
log.debug(' ========= ' + str(i) + ',' + str(j) + ' ===========')
for k in range(6, 40):
if j >= k: continue
doMaTrade(pool, prices, ps, front, 'MA', i, j, k)
doMaTrade(pool, prices, ps, front, 'EMA', i, j, k)
doMaTrade(pool, prices, ps, front, 'SMA', i, j, k)
continue
for l in range(8, 60):
if k >= l: continue
doMaTrade(pool, prices, ps, front, 'MA', i, j, k, l)
doMaTrade(pool, prices, ps, front, 'EMA', i, j, k, l)
doMaTrade(pool, prices, ps, front, 'SMA', i, j, k, l)
pool.showStrategies()
def runStrategy(in_prices):
global prices, ps, phs, pls, rsis
log.debug('beginning s5 strategy ...')
prices = in_prices
ps = [p['close'] for p in prices]
phs = [p['high'] for p in prices]
pls = [p['low'] for p in prices]
rsis = rsi.calc_rsi(prices, 14)
pool = StrategyPool(50)
doTrade(pool, 1, 180, 12, 0.5, -0.6)
pool.showStrategies()
return
direction = 1
starttime = time.time()
for i in range(30, 150)[::10]:
for j in range(2, 30)[::5]:
if i < j: continue
elapsed = long(time.time() - starttime)
log.debug('== ' + str(elapsed) + ', ' + str(i) + ',' + str(j) +
' ==')
for kp in [0.5, 0.6, 0.7, 0.8, 0.9, 1.0, 1.1, 1.2, 1.3]:
for kl in [0.5, 0.6, 0.7, 0.8, 0.9, 1.0, 1.1, 1.2, 1.3]:
doTrade(pool, direction, i, j, kp, -kl)
pool.showStrategies()
return
def runStrategy(in_prices):
global prices, ps, phs, pls
log.debug('beginning s4 strategy ...')
prices = in_prices
ps = [p['close'] for p in prices]
phs = [p['high'] for p in prices]
pls = [p['low'] for p in prices]
pool = StrategyPool(100)
doTrade(pool, 110, 17, 17)
pool.showStrategies()
return
starttime = time.time()
for i in range(10, 250)[::10]:
for j in range(2, 50)[::5]:
if i < j: continue
elapsed = long(time.time() - starttime)
log.debug('== ' + str(elapsed) + ', ' + str(i) + ',' + str(j) + ' ==')
for k in range (2, 50)[::5]:
if i < k: continue
doTrade(pool, i, j, k)
pool.showStrategies()
return
def runStrategy(in_prices):
global mas, emas, smas, lwmas, prices
log.debug('beginning ma strategy ...')
prices = in_prices
ps = [p['close'] for p in prices]
log.debug('generating mas ...')
mas = [0] * 61
emas = [0] * 61
smas = [0] * 61
lwmas = [0] * 61
for period in range(2, 61):
mas[period] = ma.calc_ma(ps, period)
emas[period] = ma.calc_ema(ps, period)
smas[period] = ma.calc_sma(ps, period)
lwmas[period] = ma.calc_lwma(ps, period)
pool = StrategyPool(20)
doMaTrade(pool, 'SMA', 19, 'MA', 40, 'LWMA', 60)
pool.showStrategies()
return
log.debug('running ma strategy ...')
starttime = datetime.datetime.now()
matypes = ['MA', 'EMA', 'SMA', 'LWMA']
pool = StrategyPool(100)
for ft, f in [(matype, period) for matype in matypes for period in range(2, 10)]:
for s1t, s1 in [(matype, period) for matype in matypes for period in range(4, 21)]:
elapsed = (datetime.datetime.now() - starttime).seconds
log.debug('== ' + str(elapsed) + ',' + ft + '_' + str(f) + ',' + s1t + '_' + str(s1) + ' ==')
for s2t, s2 in [(matype, period) for matype in matypes for period in range(0, 41)]:
if s2 != 0 and s2 <= s1: continue
if s2 == 0 and (s2t == 'EMA' or s2t == 'SMA' or s2t == 'LWMA'): continue
doMaTrade(pool, ft, f, s1t, s1, s2t, s2)
pool.showStrategies()
def runStrategy(in_prices):
log.debug('beginning s3 strategy ...')
prices = in_prices
ps = [p['close'] for p in prices]
pool = StrategyPool(50)
doTrade(pool, prices, ps, 90, 17, 45)
pool.showStrategies()
return
for i in range(10, 100)[::10]:
for j in range(2, 30)[::5]:
log.debug('== ' + str(i) + ' , ' + str(j) + ' ==')
for k in range(5, 100)[::20]:
doTrade(pool, prices, ps, i, j, k)
pool.showStrategies()
return
def runStrategy(prices):
logs.info('STRATEGY,BUY TIMES, SELL TIMES, FINAL EQUITY')
ps = [p['close'] for p in prices]
pool = StrategyPool(100)
doMacdTrade(pool, prices, ps, 12, 26, 9)
pool.showStrategies()
return
for i in range(5, 20):
for j in range(12, 50):
if i >= j: continue
for k in range(2, 20):
doMacdTrade(pool, prices, ps, i, j, k)
pool.showStrategies()
def runStrategy_1(in_prices):
global mas, emas, smas, std, prices
log.debug("beginning first strategy ...")
prices = in_prices
ps = [p["close"] for p in prices]
std = [0] * 51
l = len(prices)
for period in range(2, 51):
std[period] = [0] * l
for i in range(period - 1, l):
std[period][i] = round(np.std(ps[i - period + 1 : i + 1], dtype=np.float64, ddof=0), 3)
mas = [0] * 61
emas = [0] * 61
smas = [0] * 61
for period in range(2, 61):
mas[period] = ma.calc_ma(ps, period)
emas[period] = ma.calc_ema(ps, period)
smas[period] = ma.calc_sma(ps, period)
log.debug("running first strategy ...")
starttime = datetime.datetime.now()
strat_as = [
["MA", 6, "SMA", 14, "EMA", 39],
["MA", 7, "SMA", 10, "SMA", 12],
["MA", 7, "SMA", 12, "EMA", 18],
["MA", 7, "SMA", 12, "MA", 27],
["MA", 7, "SMA", 12, "SMA", 12],
["MA", 7, "SMA", 14, "EMA", 27],
["MA", 7, "SMA", 14, "EMA", 30],
["MA", 7, "SMA", 14, "EMA", 33],
["MA", 7, "SMA", 14, "EMA", 45],
["MA", 7, "SMA", 14, "MA", 27],
["MA", 7, "SMA", 14, "SMA", 15],
["MA", 7, "SMA", 14, "SMA", 30],
["MA", 7, "SMA", 16, "EMA", 24],
["MA", 7, "SMA", 16, "EMA", 27],
["MA", 7, "SMA", 16, "EMA", 30],
["MA", 7, "SMA", 16, "MA", 30],
]
strat_bs = [
["EMA", 3, "EMA", 16, "MA", 42],
["EMA", 3, "EMA", 16, "MA", 45],
["EMA", 6, "SMA", 6, "MA", 30],
["EMA", 7, "MA", 4, "EMA", 51],
["MA", 6, "SMA", 16, "EMA", 45],
["MA", 6, "SMA", 18, "MA", 36],
["MA", 6, "SMA", 20, "MA", 36],
["MA", 6, "SMA", 20, "MA", 39],
["MA", 7, "EMA", 18, "EMA", 45],
["MA", 7, "SMA", 12, "EMA", 42],
["MA", 7, "SMA", 12, "SMA", 21],
["MA", 7, "SMA", 14, "EMA", 42],
["MA", 7, "SMA", 14, "MA", 45],
["MA", 7, "SMA", 14, "SMA", 21],
["SMA", 2, "EMA", 16, "MA", 42],
["SMA", 4, "MA", 4, "EMA", 51],
["SMA", 5, "MA", 4, "MA", 15],
["SMA", 5, "MA", 6, "MA", 42],
["SMA", 6, "EMA", 10, "MA", 36],
["SMA", 6, "MA", 12, "MA", 12],
["SMA", 7, "MA", 12, "EMA", 18],
["SMA", 7, "MA", 12, "EMA", 27],
["SMA", 7, "MA", 12, "EMA", 36],
["SMA", 7, "MA", 12, "EMA", 45],
["SMA", 7, "MA", 12, "EMA", 48],
["SMA", 7, "MA", 12, "MA", 12],
["SMA", 7, "MA", 12, "MA", 18],
["SMA", 7, "MA", 12, "MA", 33],
["SMA", 7, "MA", 12, "MA", 36],
["SMA", 7, "MA", 12, "MA", 51],
["SMA", 7, "MA", 12, "SMA", 15],
]
pool = StrategyPool(100)
for stdPeriod in [5, 8, 10, 12, 15, 18, 19, 20, 21, 22, 25, 30, 32, 34, 38, 40]:
stdGuage = 0.6
while stdGuage <= 2:
elapsed = (datetime.datetime.now() - starttime).seconds
log.debug("== " + str(elapsed) + "," + str(stdPeriod) + "," + str(stdGuage) + " ==")
for sa in strat_as:
for sb in strat_bs:
doTrade(
pool,
stdPeriod,
stdGuage,
sa[0],
sa[1],
sa[2],
sa[3],
sa[4],
sa[5],
sb[0],
sb[1],
sb[2],
sb[3],
sb[4],
sb[5],
)
stdGuage += 0.1
pool.showStrategies()
return
def runStrategy(in_prices):
global mas, emas, smas, std, prices
log.debug('beginning first strategy ...')
prices = in_prices
ps = [p['close'] for p in prices]
std = [0] * 51
l = len(prices)
for period in range(2, 51):
std[period] = [0] * l
for i in range(period - 1, l):
std[period][i] = round(np.std(ps[i-period+1 : i+1], dtype=np.float64, ddof=0), 3)
mas = [0] * 61
emas = [0] * 61
smas = [0] * 61
for period in range(2, 61):
mas[period] = ma.calc_ma(ps, period)
emas[period] = ma.calc_ema(ps, period)
smas[period] = ma.calc_sma(ps, period)
pool = StrategyPool(100)
#t = doTrade(pool, 25, 1.0, 'MA', 7, 'SMA', 12, 'EMA', 31, 'SMA', 7, 'MA', 12, 'MA', 13)
t = doTrade(pool, 25, 1.3, 'MA', 7, 'SMA', 13, 'EMA', 31, 'SMA', 7, 'MA', 12, 'MA', 13)
#t = doTrade(pool, 25, 1.0, 'MA', 7, 'SMA', 13, 'EMA', 26, 'SMA', 7, 'MA', 12, 'MA', 13)
#t = doTrade(pool, 25, 1.0, 'MA', 7, 'SMA', 12, 'EMA', 26, 'SMA', 7, 'MA', 12, 'MA', 13)
#
#t = doTrade(pool, 25, 1.1, 'MA', 7, 'SMA', 12, 'EMA', 31, 'SMA', 7, 'MA', 12, 'MA', 13)
#t = doTrade(pool, 25, 1.1, 'MA', 7, 'SMA', 13, 'EMA', 31, 'SMA', 7, 'MA', 12, 'MA', 13)
#t = doTrade(pool, 25, 1.1, 'MA', 7, 'SMA', 13, 'EMA', 26, 'SMA', 7, 'MA', 12, 'MA', 13)
#t = doTrade(pool, 25, 1.1, 'MA', 7, 'SMA', 12, 'EMA', 26, 'SMA', 7, 'MA', 12, 'MA', 13)
#
#t = doTrade(pool, 25, 1.2, 'MA', 7, 'SMA', 12, 'EMA', 31, 'SMA', 7, 'MA', 12, 'MA', 13)
#t = doTrade(pool, 25, 1.2, 'MA', 7, 'SMA', 13, 'EMA', 31, 'SMA', 7, 'MA', 12, 'MA', 13)
#t = doTrade(pool, 25, 1.2, 'MA', 7, 'SMA', 13, 'EMA', 26, 'SMA', 7, 'MA', 12, 'MA', 13)
#t = doTrade(pool, 25, 1.2, 'MA', 7, 'SMA', 12, 'EMA', 26, 'SMA', 7, 'MA', 12, 'MA', 13)
#
#t = doTrade(pool, 25, 1.3, 'MA', 7, 'SMA', 12, 'EMA', 31, 'SMA', 7, 'MA', 12, 'MA', 13)
#t = doTrade(pool, 25, 1.3, 'MA', 7, 'SMA', 13, 'EMA', 31, 'SMA', 7, 'MA', 12, 'MA', 13)
#t = doTrade(pool, 25, 1.3, 'MA', 7, 'SMA', 13, 'EMA', 26, 'SMA', 7, 'MA', 12, 'MA', 13)
#t = doTrade(pool, 25, 1.3, 'MA', 7, 'SMA', 12, 'EMA', 26, 'SMA', 7, 'MA', 12, 'MA', 13)
#t = doTrade(pool, 25, 1.0, 'MA', 7, 'SMA', 13, 'EMA', 26, 'SMA', 7, 'MA', 12, 'MA', 12)
pool.showStrategies()
return
log.debug('running first strategy ...')
starttime = datetime.datetime.now()
matypes = ['MA', 'EMA', 'SMA']
#farr = [2, 3, 4, 5, 6, 7, ]
#s1arr = [4, 6, 8, 10, 12, 14, 16, 18, 20, ]
#s2arr = [0, 6, 9, 12, 15, 18, 21, 24, 27, 30, 33, 36, 39, 42, 45, 48, 51, ]
farr = [2,]
s1arr = [4, ]
s2arr = [0, ]
pool = StrategyPool(100)
for stdPeriod in [20, ]:
stdGuage = 0.5
for stdGuage in [1.3, ]:
maxAEquity = maxBEquity = 0
poola = StrategyPool(5)
poolb = StrategyPool(5)
for ft, f in [(matype, period) for matype in matypes for period in farr]:
for s1t, s1 in [(matype, period) for matype in matypes for period in s1arr]:
elapsed = (datetime.datetime.now() - starttime).seconds
log.debug('== ' + str(elapsed) + ',' + ft + '_' + str(f) + ',' + s1t + '_' + str(s1) + ' ==')
for s2t, s2 in [(matype, period) for matype in matypes for period in s2arr]:
if s2 != 0 and s2 < s1: continue
if s2 == 0 and (s2t == 'EMA' or s2t == 'SMA'): continue
t = doTrade(poola, stdPeriod, stdGuage, ft, f, s1t, s1, s2t, s2, '', 0, '', 0, '', 0)
if t.equity > maxAEquity:
maxAEquity = t.equity
maxEAs = [ft, f, s1t, s1, s2t, s2]
elapsed = (datetime.datetime.now() - starttime).seconds
log.info('find A time: ' + str(elapsed) + ' ')
#poola.showStrategies()
for ft, f in [(matype, period) for matype in matypes for period in farr]:
for s1t, s1 in [(matype, period) for matype in matypes for period in s1arr]:
elapsed = (datetime.datetime.now() - starttime).seconds
log.debug('== ' + str(elapsed) + ',' + ft + '_' + str(f) + ',' + s1t + '_' + str(s1) + ' ==')
for s2t, s2 in [(matype, period) for matype in matypes for period in s2arr]:
if s2 != 0 and s2 < s1: continue
if s2 == 0 and (s2t == 'EMA' or s2t == 'SMA'): continue
t = doTrade(poolb, stdPeriod, stdGuage, '', 0, '', 0, '', 0, ft, f, s1t, s1, s2t, s2)
if t.equity > maxBEquity:
maxBEquity = t.equity
maxEBs = [ft, f, s1t, s1, s2t, s2]
elapsed = (datetime.datetime.now() - starttime).seconds
log.info('find B time: ' + str(elapsed) + ' ')
#poolb.showStrategies()
logb.info(str(stdPeriod) + ',' + str(stdGuage) + ',' + str(maxAEquity) + ',' + str(maxBEquity))
logb.info(str(maxEAs))
logb.info(str(maxEBs))
for i in range(5):
sa = poola.strategies[i]
sb = poolb.strategies[i]
t = doTrade(pool, stdPeriod, stdGuage, sa[0].args[2], sa[0].args[3], sa[0].args[4], sa[0].args[5], sa[0].args[6], sa[0].args[7], sb[0].args[8], sb[0].args[9], sb[0].args[10], sb[0].args[11], sb[0].args[12], sb[0].args[13])
t.generateGraph()
#pool.estimate(t)
#stdGuage += 0.1
pool.showStrategies()
def runStrategy_0(in_prices):
global mas, emas, smas, std, prices
log.debug('beginning first strategy ...')
prices = in_prices
ps = [p['close'] for p in prices]
std = [0] * 51
l = len(prices)
for period in range(2, 51):
std[period] = [0] * l
for i in range(period - 1, l):
std[period][i] = round(
np.std(ps[i - period + 1:i + 1], dtype=np.float64, ddof=0), 3)
mas = [0] * 61
emas = [0] * 61
smas = [0] * 61
for period in range(2, 61):
mas[period] = ma.calc_ma(ps, period)
emas[period] = ma.calc_ema(ps, period)
smas[period] = ma.calc_sma(ps, period)
log.debug('running first strategy ...')
starttime = datetime.datetime.now()
matypes = ['MA', 'EMA', 'SMA']
farr = [
2,
3,
4,
5,
6,
7,
]
s1arr = [
4,
6,
8,
10,
12,
14,
16,
18,
20,
]
s2arr = [
0,
6,
9,
12,
15,
18,
21,
24,
27,
30,
33,
36,
39,
42,
45,
48,
51,
]
pool = StrategyPool(100)
for stdPeriod in [20, 30, 40]:
stdGuage = 1.0
while stdGuage <= 1.3:
maxAEquity = maxBEquity = 0
poola = StrategyPool(5)
poolb = StrategyPool(5)
for ft, f in [(matype, period) for matype in matypes
for period in farr]:
for s1t, s1 in [(matype, period) for matype in matypes
for period in s1arr]:
elapsed = (datetime.datetime.now() - starttime).seconds
log.debug('== ' + str(elapsed) + ',' + ft + '_' + str(f) +
',' + s1t + '_' + str(s1) + ' ==')
for s2t, s2 in [(matype, period) for matype in matypes
for period in s2arr]:
if s2 != 0 and s2 < s1: continue
if s2 == 0 and (s2t == 'EMA' or s2t == 'SMA'): continue
t = doTrade(poola, stdPeriod, stdGuage, ft, f, s1t, s1,
s2t, s2, '', 0, '', 0, '', 0)
if t.equity > maxAEquity:
maxAEquity = t.equity
maxEAs = [ft, f, s1t, s1, s2t, s2]
elapsed = (datetime.datetime.now() - starttime).seconds
log.info('find A time: ' + str(elapsed) + ' ')
poola.showStrategies()
for ft, f in [(matype, period) for matype in matypes
for period in farr]:
for s1t, s1 in [(matype, period) for matype in matypes
for period in s1arr]:
elapsed = (datetime.datetime.now() - starttime).seconds
log.debug('== ' + str(elapsed) + ',' + ft + '_' + str(f) +
',' + s1t + '_' + str(s1) + ' ==')
for s2t, s2 in [(matype, period) for matype in matypes
for period in s2arr]:
if s2 != 0 and s2 < s1: continue
if s2 == 0 and (s2t == 'EMA' or s2t == 'SMA'): continue
t = doTrade(poolb, stdPeriod, stdGuage, '', 0, '', 0,
'', 0, ft, f, s1t, s1, s2t, s2)
if t.equity > maxBEquity:
maxBEquity = t.equity
maxEBs = [ft, f, s1t, s1, s2t, s2]
elapsed = (datetime.datetime.now() - starttime).seconds
log.info('find B time: ' + str(elapsed) + ' ')
poolb.showStrategies()
logb.info(
str(stdPeriod) + ',' + str(stdGuage) + ',' + str(maxAEquity) +
',' + str(maxBEquity))
logb.info(str(maxEAs))
logb.info(str(maxEBs))
for i in range(5):
sa = poola.strategies[i]
sb = poolb.strategies[i]
t = doTrade(pool, stdPeriod, stdGuage, sa[0].args[2],
sa[0].args[3], sa[0].args[4], sa[0].args[5],
sa[0].args[6], sa[0].args[7], sb[0].args[8],
sb[0].args[9], sb[0].args[10], sb[0].args[11],
sb[0].args[12], sb[0].args[13])
t.generateGraph()
pool.estimate(t)
stdGuage += 0.1
pool.showStrategies()
def runStrategy(in_prices):
global mas, emas, smas, lwmas, std, prices
log.debug('beginning one strategy ...')
prices = in_prices
ps = [p['close'] for p in prices]
std = [0] * 51
l = len(prices)
for period in range(20, 21):
std[period] = [0] * l
for i in range(period - 1, l):
std[period][i] = round(np.std(ps[i-period+1 : i+1], dtype=np.float64, ddof=0), 3)
mas = [0] * 181
emas = [0] * 181
smas = [0] * 181
lwmas = [0] * 181
for period in range(2, 181):
mas[period] = ma.calc_ma(ps, period)
emas[period] = ma.calc_ema(ps, period)
smas[period] = ma.calc_sma(ps, period)
lwmas[period] = ma.calc_lwma(ps, period)
#pool = StrategyPool(100)
#t = doTrade(pool, 20, 0.1, 0.2, 'SMA', 20, 'SMA', 34, 'LWMA', 40, 'SMA', 20, 'SMA', 34, 'LWMA', 120)
#pool.showStrategies()
#return
log.debug('running first strategy ...')
starttime = time.time()
matypes = ['MA', 'EMA', 'SMA', 'LWMA']
#farr = [2, 3, 4, 5, 6, 7, ]
#s1arr = [4, 6, 8, 10, 12, 14, 16, 18, 20, ]
#s2arr = [0, 6, 9, 12, 15, 18, 21, 24, 27, 30, 33, 36, 39, 42, 45, 48, 51, ]
#farr = [20,]
#s1arr = [40, ]
#s2arr = [0, ]
farr = range(40, 41)[::3]
s1arr = range(4, 121)[::6]
s2arr = range(0, 181)[::15]
stdGuage1, stdGuage2 = 0.1, 0.2
pool = StrategyPool(50)
poola = StrategyPool(10)
poolb = StrategyPool(10)
for stdPeriod in [20, ]:
for no in ['A', 'B', ]:
for ft, f in [(matype, period) for matype in matypes for period in farr]:
for s1t, s1 in [(matype, period) for matype in matypes for period in s1arr]:
if s1 < f: continue
elapsed = long(time.time() - starttime)
log.debug('== ' + str(elapsed) + ',' + ft + '_' + str(f) + ',' + s1t + '_' + str(s1) + ' ==')
for s2t, s2 in [(matype, period) for matype in matypes for period in s2arr]:
if s2 != 0 and s2 <= s1: continue
if s2 == 0 and (s2t == 'EMA' or s2t == 'SMA' or s2t == 'LWMA'): continue
if no == 'A':
doTrade(poola, stdPeriod, stdGuage1, stdGuage2, ft, f, s1t, s1, s2t, s2, '', 0, '', 0, '', 0)
elif no == 'B':
doTrade(poolb, stdPeriod, stdGuage1, stdGuage2, '', 0, '', 0, '', 0, ft, f, s1t, s1, s2t, s2)
elapsed = long(time.time() - starttime)
log.info('find ' + no + ' time: ' + str(elapsed) + ' ')
for i in range(10):
sa = poola.strategies[i]
sb = poolb.strategies[i]
t = doTrade(pool, stdPeriod, stdGuage1, stdGuage2, sa[0].args[0], sa[0].args[1], sa[0].args[2], sa[0].args[3], sa[0].args[4], sa[0].args[5], sb[0].args[6], sb[0].args[7], sb[0].args[8], sb[0].args[9], sb[0].args[10], sb[0].args[11])
#t.generateGraph()
pool.showStrategies()
def runStrategy_0(in_prices):
global mas, emas, smas, std, prices
log.debug("beginning first strategy ...")
prices = in_prices
ps = [p["close"] for p in prices]
std = [0] * 51
l = len(prices)
for period in range(2, 51):
std[period] = [0] * l
for i in range(period - 1, l):
std[period][i] = round(np.std(ps[i - period + 1 : i + 1], dtype=np.float64, ddof=0), 3)
mas = [0] * 61
emas = [0] * 61
smas = [0] * 61
for period in range(2, 61):
mas[period] = ma.calc_ma(ps, period)
emas[period] = ma.calc_ema(ps, period)
smas[period] = ma.calc_sma(ps, period)
log.debug("running first strategy ...")
starttime = datetime.datetime.now()
matypes = ["MA", "EMA", "SMA"]
farr = [2, 3, 4, 5, 6, 7]
s1arr = [4, 6, 8, 10, 12, 14, 16, 18, 20]
s2arr = [0, 6, 9, 12, 15, 18, 21, 24, 27, 30, 33, 36, 39, 42, 45, 48, 51]
pool = StrategyPool(100)
for stdPeriod in [20, 30, 40]:
stdGuage = 1.0
while stdGuage <= 1.3:
maxAEquity = maxBEquity = 0
poola = StrategyPool(5)
poolb = StrategyPool(5)
for ft, f in [(matype, period) for matype in matypes for period in farr]:
for s1t, s1 in [(matype, period) for matype in matypes for period in s1arr]:
elapsed = (datetime.datetime.now() - starttime).seconds
log.debug("== " + str(elapsed) + "," + ft + "_" + str(f) + "," + s1t + "_" + str(s1) + " ==")
for s2t, s2 in [(matype, period) for matype in matypes for period in s2arr]:
if s2 != 0 and s2 < s1:
continue
if s2 == 0 and (s2t == "EMA" or s2t == "SMA"):
continue
t = doTrade(poola, stdPeriod, stdGuage, ft, f, s1t, s1, s2t, s2, "", 0, "", 0, "", 0)
if t.equity > maxAEquity:
maxAEquity = t.equity
maxEAs = [ft, f, s1t, s1, s2t, s2]
elapsed = (datetime.datetime.now() - starttime).seconds
log.info("find A time: " + str(elapsed) + " ")
poola.showStrategies()
for ft, f in [(matype, period) for matype in matypes for period in farr]:
for s1t, s1 in [(matype, period) for matype in matypes for period in s1arr]:
elapsed = (datetime.datetime.now() - starttime).seconds
log.debug("== " + str(elapsed) + "," + ft + "_" + str(f) + "," + s1t + "_" + str(s1) + " ==")
for s2t, s2 in [(matype, period) for matype in matypes for period in s2arr]:
if s2 != 0 and s2 < s1:
continue
if s2 == 0 and (s2t == "EMA" or s2t == "SMA"):
continue
t = doTrade(poolb, stdPeriod, stdGuage, "", 0, "", 0, "", 0, ft, f, s1t, s1, s2t, s2)
if t.equity > maxBEquity:
maxBEquity = t.equity
maxEBs = [ft, f, s1t, s1, s2t, s2]
elapsed = (datetime.datetime.now() - starttime).seconds
log.info("find B time: " + str(elapsed) + " ")
poolb.showStrategies()
logb.info(str(stdPeriod) + "," + str(stdGuage) + "," + str(maxAEquity) + "," + str(maxBEquity))
logb.info(str(maxEAs))
logb.info(str(maxEBs))
for i in range(5):
sa = poola.strategies[i]
sb = poolb.strategies[i]
t = doTrade(
pool,
stdPeriod,
stdGuage,
sa[0].args[2],
sa[0].args[3],
sa[0].args[4],
sa[0].args[5],
sa[0].args[6],
sa[0].args[7],
sb[0].args[8],
sb[0].args[9],
sb[0].args[10],
sb[0].args[11],
sb[0].args[12],
sb[0].args[13],
)
t.generateGraph()
pool.estimate(t)
stdGuage += 0.1
pool.showStrategies()
def runStrategy(in_prices):
global mas, emas, smas, lwmas, std, prices
log.debug('beginning one strategy ...')
prices = in_prices
ps = [p['close'] for p in prices]
std = [0] * 51
l = len(prices)
for period in range(5, 41):
std[period] = [0] * l
for i in range(period - 1, l):
std[period][i] = round(
np.std(ps[i - period + 1:i + 1], dtype=np.float64, ddof=0), 3)
mas = [0] * 181
emas = [0] * 181
smas = [0] * 181
lwmas = [0] * 181
for period in range(2, 181):
mas[period] = ma.calc_ma(ps, period)
emas[period] = ma.calc_ema(ps, period)
smas[period] = ma.calc_sma(ps, period)
lwmas[period] = ma.calc_lwma(ps, period)
#pool = StrategyPool(100)
#t = doTrade(pool, 20, 0.1, 0.2, 'SMA', 20, 'SMA', 34, 'LWMA', 40, 'SMA', 20, 'SMA', 34, 'LWMA', 120, 'MA', 20, 'SMA', 34, 'LWMA', 120)
#pool.showStrategies()
#return
log.debug('running first strategy ...')
starttime = time.time()
matypes = ['MA', 'EMA', 'SMA', 'LWMA']
#farr = [2, 3, 4, 5, 6, 7, ]
#s1arr = [4, 6, 8, 10, 12, 14, 16, 18, 20, ]
#s2arr = [0, 6, 9, 12, 15, 18, 21, 24, 27, 30, 33, 36, 39, 42, 45, 48, 51, ]
#farr = [20,]
#s1arr = [40, ]
#s2arr = [0, ]
farr = range(40, 41)[::3]
s1arr = range(4, 121)[::6]
s2arr = range(0, 181)[::15]
stdGuage1, stdGuage2 = 0.1, 0.2
pool = StrategyPool(50)
poola = StrategyPool(10)
poolb = StrategyPool(10)
poolc = StrategyPool(10)
for stdPeriod in [
20,
]:
for no in ['A', 'B', 'C']:
for ft, f in [(matype, period) for matype in matypes
for period in farr]:
for s1t, s1 in [(matype, period) for matype in matypes
for period in s1arr]:
if s1 < f: continue
elapsed = long(time.time() - starttime)
log.debug('== ' + str(elapsed) + ',' + ft + '_' + str(f) +
',' + s1t + '_' + str(s1) + ' ==')
for s2t, s2 in [(matype, period) for matype in matypes
for period in s2arr]:
if s2 != 0 and s2 <= s1: continue
if s2 == 0 and (s2t == 'EMA' or s2t == 'SMA'
or s2t == 'LWMA'):
continue
if no == 'A':
doTrade(poola, stdPeriod, stdGuage1, stdGuage2, ft,
f, s1t, s1, s2t, s2, '', 0, '', 0, '', 0,
'', 0, '', 0, '', 0)
elif no == 'B':
doTrade(poolb, stdPeriod, stdGuage1, stdGuage2, '',
0, '', 0, '', 0, ft, f, s1t, s1, s2t, s2,
'', 0, '', 0, '', 0)
elif no == 'C':
doTrade(poolc, stdPeriod, stdGuage1, stdGuage2, '',
0, '', 0, '', 0, '', 0, '', 0, '', 0, ft,
f, s1t, s1, s2t, s2)
elapsed = long(time.time() - starttime)
log.info('find ' + no + ' time: ' + str(elapsed) + ' ')
for i in range(10):
sa = poola.strategies[i]
sb = poolb.strategies[i]
sc = poolc.strategies[i]
t = doTrade(pool, stdPeriod, stdGuage1, stdGuage2, sa[0].args[0],
sa[0].args[1], sa[0].args[2], sa[0].args[3],
sa[0].args[4], sa[0].args[5], sb[0].args[6],
sb[0].args[7], sb[0].args[8], sb[0].args[9],
sb[0].args[10], sb[0].args[11], sc[0].args[12],
sc[0].args[13], sc[0].args[14], sc[0].args[15],
sc[0].args[16], sc[0].args[17])
#t.generateGraph()
pool.showStrategies()
