def gain_over_time(ma, doPlot):
print "## moving average of %i" % ma
policy = TradingPolicySimpleMA(ma, Broker())
exe = TradeExecuter(startDate, policy )
exe.runAll(r)
res = (capitalYield, annualYield,
capitalYieldWCost, annualYieldWCost,
indexYield, annualIndexYield,
tradeEfficiencyWCost, tradeEfficiency,
tradeCost) = exe.getStat(1)
print "start time = %i" % exe.initialTradingTime
print "capitalHistory gain with cost = %.3f, annual yield = %.3f%s (%.2f years)" % (capitalYieldWCost, (annualYieldWCost-1)*100, "%", exe.nbTradeDay/365.0)
print "capitalHistory gain = %.3f, annual yield = %.3f%s (%.2f years)" % (capitalYield, (annualYield-1)*100, "%", exe.nbTradeDay/365.0)
print "index gain = %.3f, annual yield = %.3f%s (%.2f years)" % (indexYield, (annualIndexYield-1)*100, "%", exe.nbTradeDay/365.0)
print "EFFICIENCY = %.3f" % (tradeEfficiencyWCost)
print "number of trade = %i over %i trading day (%.2f%s), ie every %.2f days" % \
(exe.nbTrade, exe.nbTradeDay, float(exe.nbTrade)/exe.nbTradeDay*100, "%", exe.nbTradeDay/exe.nbTrade)
print "total trade cost = %.2f" % (tradeCost)
if doPlot:
# rect2 = [left, 0.1, width, 0.4]
# ax2 = fig.add_axes(rect2)
plt.plot(
range(len(prices[exe.initialTradingTime:])), prices[exe.initialTradingTime:],
range(len(policy.maLarge[exe.initialTradingTime:])), policy.maLarge[exe.initialTradingTime:],
# range(len(ma10[initialTradingTime:])), ma10[initialTradingTime:],
range(len(exe.capitalHistory)), exe.capitalHistory,
range(len(exe.tradeStatus)), exe.tradeStatus,
)
return [res, exe.nbTrade, exe.nbTradeDay]
def gain_versus_ma(startMA, endMA, stepMA):
res = []
effiency = []
effiencyWCost = []
maRange = range(startMA, endMA, stepMA)
for ma in maRange:
policy = TradingPolicySimpleMA(ma, Broker())
exe = TradeExecuter(startDate, policy )
exe.runAll(r)
( capitalYield, annualYield,
capitalYieldWCost, annualYieldWCost,
indexYield, annualIndexYield,
tradeEfficiencyWCost, tradeEfficiency,
tradeCost ) = exe.getStat(1)
res.append(capitalYieldWCost)
effiencyWCost.append(tradeEfficiencyWCost)
effiency.append(tradeEfficiency)
rect1 = [left, 0.55, width, 0.4]
ax = fig.add_axes(rect1)
ax.plot(
# maRange, res,
maRange, effiency,
maRange, effiencyWCost
)