def getStrategyTrades(self, date=None):
if date is None:
date = self.end
print "Get Strategy Trades for date {0}".format(date.date())
x = self.getNextTradingDay(date)
filtered = [rate for rate in self.rateData if rate.date.date() == date.date()]
dailyReturns = []
for item in filtered:
if hasattr(item, 'dailyReturn'):
dailyReturns.append(item)
dailyReturns.sort(key=lambda r: r.dailyReturn, reverse=False)
# Get 5 worst returns
worstReturns = dailyReturns[:5]
for item in worstReturns:
trade = Trade("long", item.symbol, x)
database.saveTrade(trade)
def testEquityLine(self, initialInvestment):
print "testing strategy with investment {0} and percent invested {1}".format(investment, percentInv)
totalReturns = []
x = self.start
while x.date() < self.end.date():
dailyRates = [rate for rate in self.rateData if rate.date() == x.date()]
if len(dailyRates) == 0:
x = x + timedelta(days=1)
continue
else:
dailyReturns = []
for item in dailyRates:
if hasattr(item, 'dailyReturn'):
dailyReturns.append(item)
if len(dailyReturns) > 0:
dailyReturns.sort(key=lambda r: r.dailyReturn, reverse=False)
worstReturns = dailyReturns[:5]
# Worst Returns contains the rates that we are going to buy. We need a brute force algorithm to distribute
filtered = [rate for rate in self.rateData if rate.date.date() != self.start.date()]
dailyReturns = []
for item in filtered:
if hasattr(item, 'dailyReturn'):
dailyReturns.append(item)
dailyReturns.sort(key=lambda r: r.dailyReturn, reverse=False)
# Get 5 worst returns
worstReturns = dailyReturns[:5]
for item in worstReturns:
trade = Trade("long", item.symbol, x)
database.saveTrade(trade)
dailyReturns.sort(key=lambda r: r.dailyReturn, reverse=False)
for trade in trades:
openDate = trade["open_date"]
symbol = trade["stock_symbol"]
prevDate = self.getPreviousTradingDay(openDate)
x = None
y = None
for rate in self.rateData:
if rate['date'].date() == openDate.date() and rate['symbol'] == symbol:
x = rate
if rate['date'].date() == prevDate.date() and rate['symbol'] == symbol:
y = rate
if x is not None and y is not None:
break
if x is None:
print "NOT FOUND"
continue
if y is None:
print "NOT FOUND"
continue
dailyReturn = (x['adjClose'] - y['adjClose']) / y['adjClose']
returns.append(dailyReturn)
print "Finished with returns"
return returns