def testCo(co):
xagPrices = dataloader.importToArray('XAGUSD5_201307')
xags = [p['close'] for p in xagPrices]
usdxPrices = dataloader.importToArray('_USDX5_201307')
usdxs = [p['close'] for p in usdxPrices]
us500Prices = dataloader.importToArray('_US5005_201307')
us500s = [p['close'] for p in us500Prices]
us30Prices = dataloader.importToArray('_US305_201307')
us30s = [p['close'] for p in us30Prices]
nq100Prices = dataloader.importToArray('_NQ1005_201307')
nq100s = [p['close'] for p in nq100Prices]
l = len(xagPrices)
xs = []
ys = []
yps = []
typs = []
#for i in range(10, l - 1):
for i in range(100, 200):
xag = xagPrices[i]
xagd = xags[i-10+1 : i+1]
dtlong = xag['dtlong']
usdxd = findData(dtlong, usdxPrices, usdxs)
us500d = findData(dtlong, us500Prices, us500s)
us30d = findData(dtlong, us30Prices, us30s)
nq100d = findData(dtlong, nq100Prices, nq100s)
if not (usdxd and us500d and us30d and nq100d):
log.debug('Insufficient Data. ' + xag['date'] + ' ' + xag['time'])
continue
xs.append([xags[i], slope(xagd), std(xagd), slope(usdxd), std(usdxd), slope(us500d), std(us500d), slope(us30d), std(us30d), slope(nq100d), std(nq100d)])
typs.append(xags[i])
ys.append(xags[i+1])
for i in range(len(xs)):
yp = co[0] + xs[i][0] * co[1]
yp += xs[i][1] * co[2] + xs[i][2] * co[3] + xs[i][3] * co[4]
yp += xs[i][4] * co[5] + xs[i][5] * co[6] + xs[i][6] * co[7] + xs[i][7] * co[8]
yp += xs[i][8] * co[9] + xs[i][9] * co[10] + xs[i][10] * co[11]
yps.append(typs[i] + yp)
print co
ts = range(len(xs))
plt.plot(ts, ys, 'o', label='Original data', linestyle='-', markersize=2)
plt.plot(ts, yps, 'ro', label='Fitted line', linestyle='-', markersize=2)
plt.legend()
plt.show()
'main.log',
]
for logfile in logfiles:
with open(os.path.join(logdir, logfile), 'w'):
pass
#print logdir, lsdir
#shutil.rmtree(logdir)
#os.mkdir(logdir)
if __name__ == "__main__":
#XAGUSD1440_FLUC, XAGUSD1440_UP, XAGUSD1440_DOWN, XAGUSD1440_V, XAGUSD1440_RV,
#XAGUSD1440_FLAT, XAGUSD1440_FLU
#XAGUSD1440_2013, XAGUSD1440_2012, XAGUSD1440_2011, XAGUSD1440_ALL, XAGUSD1440_AFTER08
clearLog()
prices = dataloader.importToArray('XAUUSD1440_AFTER08')
maStrategy.runStrategy(prices)
#drawStats(prices)
#l3Trader.runStrategy(prices)
#part = prices[109:]
#
#ps = [p['close'] for p in part]
#ps.reverse()
#pr = [p['rmb'] for p in part]
#pr.reverse()
#
#for i in range(len(part)):
# part[i]['close'] = ps[i]
# part[i]['rmb'] = pr[i]
'main.log',
]
for logfile in logfiles:
with open(os.path.join(logdir, logfile), 'w'):
pass
#print logdir, lsdir
#shutil.rmtree(logdir)
#os.mkdir(logdir)
if __name__ == "__main__":
#XAGUSD1440_FLUC, XAGUSD1440_UP, XAGUSD1440_DOWN, XAGUSD1440_V, XAGUSD1440_RV,
#XAGUSD1440_FLAT, XAGUSD1440_FLU
#XAGUSD1440_2013, XAGUSD1440_2012, XAGUSD1440_2011, XAGUSD1440_ALL, XAGUSD1440_AFTER08
clearLog()
prices = dataloader.importToArray('XAGUSD60_2012')
fmaStrategy.runStrategy(prices)
#s6Trader.runStrategy(prices)
#l5Trader.runStrategy(prices)
#maTrader.runStrategy(prices)
#drawStats(prices)
#oneTrader.runStrategy(prices)
#part = prices[109:]
#ps = [p['close'] for p in part]
#ps.reverse()
#pr = [p['rmb'] for p in part]
#pr.reverse()
#
#for i in range(len(part)):
# part[i]['close'] = ps[i]
# part[i]['rmb'] = pr[i]
logfiles =['trader.csv', 'balance.csv', 'trades.csv', 'strategy.csv', 'main.log',]
for logfile in logfiles:
with open(os.path.join(logdir, logfile), 'w'):
pass
#print logdir, lsdir
#shutil.rmtree(logdir)
#os.mkdir(logdir)
if __name__ == "__main__":
#XAGUSD1440_FLUC, XAGUSD1440_UP, XAGUSD1440_DOWN, XAGUSD1440_V, XAGUSD1440_RV,
#XAGUSD1440_FLAT, XAGUSD1440_FLU
#XAGUSD1440_2013, XAGUSD1440_2012, XAGUSD1440_2011, XAGUSD1440_ALL, XAGUSD1440_AFTER08
clearLog()
prices = dataloader.importToArray('XAGUSD1440_AFTER08')
fmaStrategy.runStrategy(prices)
#drawStats(prices)
#l3Trader.runStrategy(prices)
#part = prices[109:]
#
#ps = [p['close'] for p in part]
#ps.reverse()
#pr = [p['rmb'] for p in part]
#pr.reverse()
#
#for i in range(len(part)):
# part[i]['close'] = ps[i]
# part[i]['rmb'] = pr[i]
'main.log',
]
for logfile in logfiles:
with open(os.path.join(logdir, logfile), 'w'):
pass
#print logdir, lsdir
#shutil.rmtree(logdir)
#os.mkdir(logdir)
if __name__ == "__main__":
#XAGUSD1440_FLUC, XAGUSD1440_UP, XAGUSD1440_DOWN, XAGUSD1440_V, XAGUSD1440_RV,
#XAGUSD1440_FLAT, XAGUSD1440_FLU
#XAGUSD1440_2013, XAGUSD1440_2012, XAGUSD1440_2011, XAGUSD1440_ALL, XAGUSD1440_AFTER08
clearLog()
prices = dataloader.importToArray('XAUUSD60_20122013')
maStrategy.runStrategy(prices)
#s6Trader.runStrategy(prices)
#l5Trader.runStrategy(prices)
#maTrader.runStrategy(prices)
#drawStats(prices)
#oneTrader.runStrategy(prices)
#part = prices[109:]
#ps = [p['close'] for p in part]
#ps.reverse()
#pr = [p['rmb'] for p in part]
#pr.reverse()
#
#for i in range(len(part)):
# part[i]['close'] = ps[i]
# part[i]['rmb'] = pr[i]
def clearLog():
logdir = os.path.join(path, 'logs')
rsdir = os.path.join(path, 'result')
rslist = os.listdir(rsdir)
for f in rslist:
fp = os.path.join(rsdir, f)
if os.path.isfile(fp):
os.remove(fp)
#log.debug('del' + fp)
elif os.path.isdir(fp):
shutil.rmtree(fp)
logfiles =['trader.csv', 'balance.csv', 'trades.csv', 'strategy.csv', 'main.log',]
for logfile in logfiles:
with open(os.path.join(logdir, logfile), 'w'):
pass
if __name__ == "__main__":
clearLog()
prices = dataloader.importToArray('XAGUSD60_20130708')
drawStat(prices)
#masVoter.runVoter(prices)
#macdVoter.runVoter(prices)
#rsiVoter.runVoter(prices)
#l2voter.runVoter(prices)
def regression():
xagPrices = dataloader.importToArray('XAGUSD5_2013070809')
xags = [p['close'] for p in xagPrices]
usdxPrices = dataloader.importToArray('_USDX5_2013070809')
usdxs = [p['close'] for p in usdxPrices]
us500Prices = dataloader.importToArray('_US5005_2013070809')
us500s = [p['close'] for p in us500Prices]
us30Prices = dataloader.importToArray('_US305_2013070809')
us30s = [p['close'] for p in us30Prices]
nq100Prices = dataloader.importToArray('_NQ1005_2013070809')
nq100s = [p['close'] for p in nq100Prices]
l = len(xagPrices)
xs = []
ys = []
for i in range(10, l - 1):
xag = xagPrices[i]
xagd = xags[i-10+1 : i+1]
dtlong = xag['dtlong']
usdxd = findData(dtlong, usdxPrices, usdxs)
us500d = findData(dtlong, us500Prices, us500s)
us30d = findData(dtlong, us30Prices, us30s)
nq100d = findData(dtlong, nq100Prices, nq100s)
if not (usdxd and us500d and us30d and nq100d):
log.debug('Insufficient Data. ' + xag['date'] + ' ' + xag['time'])
continue
xs.append([xags[i], slope(xagd), std(xagd), slope(usdxd), std(usdxd), slope(us500d), std(us500d), slope(us30d), std(us30d), slope(nq100d), std(nq100d)])
ys.append(xags[i+1] - xags[i])
#print xs
#print ys
xxs = np.array(xs)
#print xsT
yys = np.array(ys)
mymodel = multipolyfit(xxs.T, yys, 20, model_out = False)
#mymodel = ols.ols(yys, xxs, 'y',['x1', 'x2', 'x3', 'x4', 'x5', 'x6', 'x7', 'x8', 'x9', 'x10', 'x11'])
#print mymodel.b
print mymodel
#print mymodel.summary()
return mymodel
yps = []
co = mymodel.b
for i in range(len(xs)):
yp = co[0] + xs[i][0] * co[1] + xs[i][1] * co[2] + xs[i][2] * co[3] + xs[i][3] * co[4]
yp += xs[i][4] * co[5] + xs[i][5] * co[6] + xs[i][6] * co[7] + xs[i][7] * co[8]
yp += xs[i][8] * co[9] + xs[i][9] * co[10] + xs[i][10] * co[11]
yps.append(yp)
ts = range(len(xs))
plt.plot(ts, ys, 'o', label='Original data', linestyle='-', marker='')
plt.plot(ts, yps, 'r', label='Fitted line')
plt.legend()
plt.show()
logfiles = ["trader.csv", "balance.csv", "trades.csv", "strategy.csv", "main.log"]
for logfile in logfiles:
with open(os.path.join(logdir, logfile), "w"):
pass
# print logdir, lsdir
# shutil.rmtree(logdir)
# os.mkdir(logdir)
if __name__ == "__main__":
# XAGUSD1440_FLUC, XAGUSD1440_UP, XAGUSD1440_DOWN, XAGUSD1440_V, XAGUSD1440_RV,
# XAGUSD1440_FLAT, XAGUSD1440_FLU
# XAGUSD1440_2013, XAGUSD1440_2012, XAGUSD1440_2011, XAGUSD1440_ALL, XAGUSD1440_AFTER08
clearLog()
prices = dataloader.importToArray("XAGUSD60_2012")
fmaStrategy.runStrategy(prices)
# s6Trader.runStrategy(prices)
# l5Trader.runStrategy(prices)
# maTrader.runStrategy(prices)
# drawStats(prices)
# oneTrader.runStrategy(prices)
# part = prices[109:]
# ps = [p['close'] for p in part]
# ps.reverse()
# pr = [p['rmb'] for p in part]
# pr.reverse()
#
# for i in range(len(part)):
# part[i]['close'] = ps[i]
# part[i]['rmb'] = pr[i]
os.remove(fp)
#log.debug('del' + fp)
elif os.path.isdir(fp):
shutil.rmtree(fp)
logfiles = [
'trader.csv',
'balance.csv',
'trades.csv',
'strategy.csv',
'main.log',
]
for logfile in logfiles:
with open(os.path.join(logdir, logfile), 'w'):
pass
if __name__ == "__main__":
#return
#XAGUSD1440_FLUC, XAGUSD1440_UP, XAGUSD1440_DOWN, XAGUSD1440_V, XAGUSD1440_RV,
#XAGUSD1440_FLAT, XAGUSD1440_FLU
#XAGUSD1440_2013, XAGUSD1440_2012, XAGUSD1440_2011, XAGUSD1440_ALL, XAGUSD1440_AFTER09
clearLog()
prices = dataloader.importToArray('XAGUSD1440_2013')
#drawStat(prices)
#maVoter.runVoter(prices)
#macdVoter.runVoter(prices)
#rsiVoter.runVoter(prices)
l2voter.runVoter(prices)
shutil.rmtree(fp)
logfiles =['trader.csv', 'balance.csv', 'trades.csv', 'strategy.csv', 'main.log',]
for logfile in logfiles:
with open(os.path.join(logdir, logfile), 'w'):
pass
#print logdir, lsdir
#shutil.rmtree(logdir)
#os.mkdir(logdir)
if __name__ == "__main__":
#XAGUSD1440_FLUC, XAGUSD1440_UP, XAGUSD1440_DOWN, XAGUSD1440_V, XAGUSD1440_RV,
#XAGUSD1440_FLAT, XAGUSD1440_FLU
#XAGUSD1440_2013, XAGUSD1440_2012, XAGUSD1440_2011, XAGUSD1440_ALL, XAGUSD1440_AFTER08
clearLog()
prices = dataloader.importToArray('XAUUSD60_20122013')
maStrategy.runStrategy(prices)
#s6Trader.runStrategy(prices)
#l5Trader.runStrategy(prices)
#maTrader.runStrategy(prices)
#drawStats(prices)
#oneTrader.runStrategy(prices)
#part = prices[109:]
#ps = [p['close'] for p in part]
#ps.reverse()
#pr = [p['rmb'] for p in part]
#pr.reverse()
#
#for i in range(len(part)):
# part[i]['close'] = ps[i]
# part[i]['rmb'] = pr[i]
rsdir = os.path.join(path, 'result')
rslist = os.listdir(rsdir)
for f in rslist:
fp = os.path.join(rsdir, f)
if os.path.isfile(fp):
os.remove(fp)
#log.debug('del' + fp)
elif os.path.isdir(fp):
shutil.rmtree(fp)
logfiles =['trader.csv', 'balance.csv', 'trades.csv', 'strategy.csv', 'main.log',]
for logfile in logfiles:
with open(os.path.join(logdir, logfile), 'w'):
pass
if __name__ == "__main__":
#return
#XAGUSD1440_FLUC, XAGUSD1440_UP, XAGUSD1440_DOWN, XAGUSD1440_V, XAGUSD1440_RV,
#XAGUSD1440_FLAT, XAGUSD1440_FLU
#XAGUSD1440_2013, XAGUSD1440_2012, XAGUSD1440_2011, XAGUSD1440_ALL, XAGUSD1440_AFTER09
clearLog()
prices = dataloader.importToArray('XAGUSD1440_2013')
#drawStat(prices)
#maVoter.runVoter(prices)
#macdVoter.runVoter(prices)
#rsiVoter.runVoter(prices)
l2voter.runVoter(prices)
