def manual_bb_indicator(symbol, sd, ed):
symbol = ['JPM'] # not used here... since only one stock
dates = pd.date_range(sd, ed)
window_size = 19
df = get_data(['JPM'], dates) # automatically adds SPY
price_JPM = df['JPM']
# Compute Bollinger Bands
# 1. Compute rolling mean
rm_JPM = indic.get_rolling_mean(price_JPM, window=window_size)
# 2. Compute rolling standard deviation
rstd_JPM = indic.get_rolling_std(price_JPM, window=window_size)
# B-band index = (stock price - rolling_mean)/(2*std)
bb_index = (price_JPM - rm_JPM) / (1.2 * rstd_JPM)
bb_index.fillna(0, inplace=True)
trades_df = price_JPM.copy()
trades_df[:] = 0
# Strategy based on bb_index, fill in trades_df
trades_df[bb_index > 1] = -1000
trades_df[bb_index < -1] = +1000
# trades_df.plot(title = "trades", label="trades" )
trades_df = trades_df.to_frame()
# print trades_df # will be passed into marketSim
return trades_df
def discretize(self,
symbol="IBM",
sd=dt.datetime(2008, 1, 1),
ed=dt.datetime(2009, 12, 31)):
syms = [symbol]
dates = pd.date_range(sd, ed)
indicator_dates = pd.date_range(sd - dt.timedelta(days=28), ed)
prices_all = ut.get_data(syms, dates) # automatically adds SPY
prices = prices_all[syms] # only portfolio symbols
indicator_prices_all = ut.get_data(
syms, indicator_dates
) #will this be the same size as the number of days traded?
indicator_prices = indicator_prices_all[syms]
prices_SPY = prices_all["SPY"] # only SPY, for comparison later
#get 3 indicators using passed in start date minus window required for each
rm = ind.get_rolling_mean(indicator_prices[symbol], window=20)
percent_bb = ind.get_rolling_std(indicator_prices[symbol],
window=20) #aka rstd
upper_band, lower_band = ind.get_bollinger_bands(rm, percent_bb)
percent_bb = percent_bb.iloc[19:]
rm = rm.iloc[19:]
upper_band = upper_band.iloc[19:]
lower_band = lower_band.iloc[19:]
for x in range(rm.size): #did i format that right??
#print(prices.iloc[x])
#print(type(rm.iloc[x]))
if (prices.iloc[x][0] == rm.iloc[x]):
percent_bb.iloc[x] = 0.0
elif (prices.iloc[x][0] > rm.iloc[x]):
percent_bb.iloc[x] = (prices.iloc[x][0] - rm.iloc[x]) / (
upper_band.iloc[x] - rm.iloc[x])
elif (prices.iloc[x][0] < rm.iloc[x]):
percent_bb.iloc[x] = (rm.iloc[x] - prices.iloc[x][0]) / (
lower_band.iloc[x] - rm.iloc[x])
percent_bb = pd.Series(percent_bb)
#print(percent_bb)
indicator_prices = indicator_prices.iloc[9:]
#print(indicator_prices)
momentum = pd.Series(
ind.get_momentum(indicator_prices[symbol], window=10))
momentum = momentum.iloc[10:]
#print(momentum)
volatility = pd.Series(
ind.get_volatility(indicator_prices[symbol], window=10))
volatility = volatility.iloc[10:]
#print(volatility.values.shape)
uglystupidnobodylikesyouvol, vol = pd.qcut(volatility.values,
10,
retbins=True)
esrfergs, momnt = pd.qcut(momentum.values, 10, retbins=True)
rgefsegrf, bb = pd.qcut(percent_bb.values, 10, retbins=True)
vol = vol[1:-1]
momnt = momnt[1:-1]
bb = bb[1:-1]
return vol, momnt, bb
def manual_sma_indicator(symbol, sd, ed):
dates = pd.date_range(sd, ed)
window_size = 21
df = get_data(['JPM'], dates) # automatically adds SPY
price_JPM = df['JPM']
rm_JPM = indic.get_rolling_mean(price_JPM, window=window_size)
# sma index = (stock price - rolling_mean)/rolling_mean
sma_index = (price_JPM - rm_JPM) / rm_JPM
sma_index.fillna(0, inplace=True)
# print sma_index
trades_df = price_JPM.copy()
trades_df[:] = 0
# Strategy based on sma_index, fill in trades_df
trades_df[sma_index > 0.10] = -1000
trades_df[sma_index < -0.10] = +1000
# trades_df.plot(title = "trades", label="trades" )
trades_df = trades_df.to_frame()
# print trades_df # will be passed into marketSim
return trades_df
def bb_indicator(symbol, sd, ed):
dates = pd.date_range(sd, ed)
window_size = 19
df = get_data([symbol], dates) # automatically adds SPY
price = df[symbol]
# Compute Bollinger Bands
# 1. Compute rolling mean
rm = indic.get_rolling_mean(price, window=window_size)
# 2. Compute rolling standard deviation
rstd = indic.get_rolling_std(price, window=window_size)
# B-band index = (stock price - rolling_mean)/(2*std)
bb_index = (price - rm) / (1.2 * rstd)
bb_index.name = "X_bb"
bb_index.fillna(0, inplace=True)
bb_index = bb_index.to_frame()
#print bb_index
return bb_index
def sma_indicator(symbol, sd, ed):
dates = pd.date_range(sd, ed)
window_size = 21
df = get_data([symbol], dates) # automatically adds SPY
price = df[symbol]
rm = indic.get_rolling_mean(price, window=window_size)
# sma index = (stock price - rolling_mean)/rolling_mean
sma_index = (price - rm) / rm
sma_index.name = "X_sma"
sma_index.fillna(0, inplace=True)
#print sma_index
#trades_df = price.copy()
#trades_df[:] = 0
# Strategy based on sma_index, fill in trades_df
#trades_df[sma_index > 0.10] = -1000
#trades_df[sma_index < -0.10] = +1000
#trades_df.plot(title = "trades", label="trades" )
#trades_df = trades_df.to_frame()
#print trades_df # will be passed into marketSim
return sma_index
def get_features1(self, prices, symbol, print=False):
'''
Compute technical indicators and use them as features to be fed
into a Q-learner.
:param: prices: Adj Close prices dataframe
:param: Whether adding data for printing to dataframe or not
:return: Normalize Features dataframe
'''
# Fill NAN values if any
prices.fillna(method="ffill", inplace=True)
prices.fillna(method="bfill", inplace=True)
prices.fillna(1.0, inplace=True)
# Price
adj_close = prices[symbol]
# Compute Momentum
mom = get_momentum(adj_close, window=10)
# Compute RSI
rsi = get_RSI(adj_close)
# Compute rolling mean
rm = get_rolling_mean(adj_close, window=10)
# Compute rolling standard deviation
rstd = get_rolling_std(adj_close, window=10)
# Compute upper and lower bands
upper_band, lower_band = get_bollinger_bands(rm, rstd)
# Compute SMA
sma = get_sma_indicator(adj_close, rm)
df = prices.copy()
df['Momentum'] = mom
df['Adj. Close/SMA'] = adj_close/sma
df['middle_band'] = rm
# Delete 'Adj Close' column
del df[symbol]
if set(['cash']).issubset(df.columns):
del df['cash']
# Normalize dataframe
df_norm = normalize_data(df)
# Add Adj Close, Bollinrt Bands and RSY if printing
if print:
df_norm['Adj Close'] = prices[symbol]
df_norm['upper_band'] = upper_band
df_norm['lower_band'] = lower_band
df_norm['middle_band'] = rm
df_norm['RSI'] = rsi
# Drop NaN
df_norm.dropna(inplace=True)
return df_norm
def usePossibleStrategy(df_prices, symbols, sd, ed, start_val):
orders = []
short_Xs = []
long_Xs = []
trade_num = 1000
shares_min = -1000
shares_max = 1000
# rm = get_rolling_mean(df_prices['SPY'], window=20)
# rstd = get_rolling_std(df_prices['SPY'], window=20)
#
# market = get_bollinger_bands(rm, rstd)
# market['SPY'] = df_prices['SPY']
# market = market.fillna(method='bfill')
# market = market.fillna(method='ffill')
# Get the Rolling Mean
rm = get_rolling_mean(df_prices['JPM'], window=10)
# Get the Rolling Standard Deviation
rstd = get_rolling_std(df_prices['JPM'], window=10)
bband = get_bollinger_bands(rm, rstd)
bband[symbols] = df_prices[symbols]
bband = bband.fillna(method='bfill')
current_number_of_shares = 0
for i in range(1, bband.shape[0]):
if (bband.iloc[i - 1][symbols] > bband.iloc[i - 1]['Upper'])[0] and (
bband.iloc[i][symbols] < bband.iloc[i]['Upper']
)[0] and current_number_of_shares - trade_num >= shares_min:
short_Xs.append([bband.index[i]])
orders.append([bband.index[i], symbols, 'SELL', trade_num])
current_number_of_shares -= trade_num
elif (bband.iloc[i - 1][symbols] < bband.iloc[i - 1]['Lower'])[0] and (
bband.iloc[i][symbols] > bband.iloc[i]['Lower']
)[0] and current_number_of_shares + trade_num <= shares_max:
long_Xs.append([bband.index[i]])
orders.append([bband.index[i], symbols, 'BUY', trade_num])
current_number_of_shares += trade_num
orders.append([ed - dt.timedelta(days=1), symbols, 'BUY', 0])
df_trades = pd.DataFrame(orders,
columns=['Date', 'Symbol', 'Order', 'Shares'])
df_shortXs = pd.DataFrame(short_Xs, columns=['Shorts'])
df_longXs = pd.DataFrame(long_Xs, columns=['Longs'])
df_benchmark_orders = pd.DataFrame(
[[min(df_prices.index), symbols, 'BUY', 1000],
[max(df_prices.index), symbols, 'BUY', 0]],
columns=['Date', 'Symbol', 'Order', 'Shares'])
df_ms_value = get_portfolio_value(df_prices,
df_trades,
start_val,
commission=9.95,
impact=0.005)
df_benchmark_value = get_portfolio_value(df_prices,
df_benchmark_orders,
start_val,
commission=9.95,
impact=0.005)
fig, ax = plt.subplots()
ax.set_title('Manual vs Benchmark Strategy', fontsize=20)
ax.plot(df_ms_value.index,
df_ms_value / df_ms_value.ix[0],
color='black',
label='Manual Strategy')
ax.plot(df_benchmark_value.index,
df_benchmark_value / df_benchmark_value.ix[0],
color='blue',
label='Benchmark Strategy')
ax.legend(loc='best')
plt.xticks(rotation=45)
for i in range(0, df_shortXs.shape[0]):
plt.axvline(x=pd.to_datetime(df_shortXs.iloc[i]['Shorts']),
color='red')
for i in range(0, df_longXs.shape[0]):
plt.axvline(x=pd.to_datetime(df_longXs.iloc[i]['Longs']),
color='green')
plt.show()
avg_daily_ret, std_daily_ret, sharpe_ratio, cum_ret = get_stats(
df_ms_value)
# Comparative Analysis Stuff
print('Manual Strategy Performance Data; ')
print('Cumulative Return of Fund: {}'.format(cum_ret))
print('Standard Deviation of Fund: {}'.format(std_daily_ret))
print('Average Daily Return of Fund: {}\n'.format(avg_daily_ret))
return df_trades, df_shortXs, df_longXs, bband
def testPolicy(self, symbol = "AAPL", sd=dt.datetime(2010,1,1), ed=dt.datetime(2011,12,31), sv = 100000): start_date = sd end_date = ed dates = pd.date_range(start_date, end_date) symbols = symbol window = 20 df = get_data([symbols],dates) df = df.fillna(method='ffill') df = df.fillna(method='bfill') rm = get_rolling_mean(df[symbols],window) rstd = get_rolling_std(df[symbols],window) upper_band, lower_band = get_bollinger_bands(rm,rstd) SMA = get_rolling_mean(df[symbols],window) BB = get_bollinger_value(df[symbols],window) Momentum = get_momentum_value(df[symbols],window) mom_max = Momentum.max() mom_min = Momentum.min() #print mom_max,mom_min nethold = 0 share = [] date = [] position = 0 # -1,0,1 stand for short, out, long for i in range(len(upper_band.index)): if df[symbols][i-1] > upper_band.loc[upper_band.index[i-1]] and df[symbols][i] < upper_band.loc[upper_band.index[i]] and nethold != -1000: share.append(-1000-nethold) date.append(df.index[i]) nethold = -1000 position = -1 self.short_entry.append(df.index[i]) elif df[symbols][i-1] > rm.loc[upper_band.index[i-1]] and df[symbols][i] < rm.loc[upper_band.index[i]] and nethold == -1000: share.append(1000) date.append(df.index[i]) nethold = 0 position = 0 elif df[symbols][i-1] < lower_band.loc[upper_band.index[i-1]] and df[symbols][i] > lower_band.loc[upper_band.index[i]] and nethold != 1000: share.append(1000-nethold) date.append(df.index[i]) nethold = 1000 position = 1 self.long_entry.append(df.index[i]) elif df[symbols][i-1] < rm.loc[upper_band.index[i-1]] and df[symbols][i] > rm.loc[upper_band.index[i]] and nethold == 1000: share.append(-1000) date.append(df.index[i]) nethold = 0 position = 0 elif Momentum.loc[upper_band.index[i]] > 0.6 and nethold != 1000: share.append(1000-nethold) date.append(df.index[i]) nethold = 1000 position = 1 self.long_entry.append(df.index[i]) elif Momentum.loc[upper_band.index[i]] < -0.5 and nethold != -1000: share.append(-1000-nethold) date.append(df.index[i]) nethold = -1000 position = -1 self.short_entry.append(df.index[i]) if nethold != 0: share.append(-nethold) date.append(df.index[len(df.index)-1]) df_trades = pd.DataFrame(data = share, index = date, columns = ['orders']) #print df_trades return df_trades
def showvalues():
# Specify the start and end dates for this period.
start_d = dt.date(2008, 1, 1)
#end_d = dt.datetime(2018, 10, 30)
yesterday = dt.date.today() - dt.timedelta(1)
# Get portfolio values from Yahoo
symbol = request.form['symbol']
portf_value = fetchOnlineData(start_d, yesterday, symbol)
# ****Stock prices chart****
plot_prices = plot_stock_prices(portf_value.index,
portf_value['Adj Close'], symbol)
# ****Momentum chart****
# Normalize the prices Dataframe
normed = pd.DataFrame()
normed['Adj Close'] = portf_value['Adj Close'].values / portf_value[
'Adj Close'].iloc[0]
# Compute momentum
sym_mom = get_momentum(normed['Adj Close'], window=10)
# Create momentum chart
plot_mom = plot_momentum(portf_value.index, normed['Adj Close'], sym_mom,
"Momentum Indicator", (12, 8))
# ****Bollinger Bands****
# Compute rolling mean
rm_JPM = get_rolling_mean(portf_value['Adj Close'], window=10)
# Compute rolling standard deviation
rstd_JPM = get_rolling_std(portf_value['Adj Close'], window=10)
# Compute upper and lower bands
upper_band, lower_band = get_bollinger_bands(rm_JPM, rstd_JPM)
# Plot raw symbol values, rolling mean and Bollinger Bands
dates = pd.date_range(start_d, yesterday)
plot_boll = plot_bollinger(dates,
portf_value.index,
portf_value['Adj Close'],
symbol,
upper_band,
lower_band,
rm_JPM,
num_std=1,
title="Bollinger Indicator",
fig_size=(12, 6))
# ****Simple moving average (SMA)****
# Compute SMA
sma_JPM, q = get_sma(normed['Adj Close'], window=10)
# Plot symbol values, SMA and SMA quality
plot_sma = plot_sma_indicator(dates, portf_value.index,
normed['Adj Close'], symbol, sma_JPM, q,
"Simple Moving Average (SMA)")
# ****Relative Strength Index (RSI)****
# Compute RSI
rsi_value = get_RSI(portf_value['Adj Close'])
# Plot RSI
plot_rsi = plot_rsi_indicator(dates,
portf_value.index,
portf_value['Adj Close'],
symbol,
rsi_value,
window=14,
title="RSI Indicator",
fig_size=(12, 6))
# Session variables
session['start_val'] = request.form['start_val']
session['symbol'] = request.form['symbol']
session['start_d'] = start_d.strftime('%Y/%m/%d')
session['num_shares'] = request.form['num_shares']
session['commission'] = request.form['commission']
session['impact'] = request.form['impact']
return render_template(
# name of template
"stockpriceschart.html",
# now we pass in our variables into the template
start_val=request.form['start_val'],
symbol=request.form['symbol'],
commission=request.form['commission'],
impact=request.form['impact'],
num_shares=request.form['num_shares'],
start_date=start_d,
end_date=yesterday,
tables=[portf_value.to_html(classes=symbol)],
titles=['na', 'Stock Prices '],
div_placeholder_stock_prices=Markup(plot_prices),
div_placeholder_momentum=Markup(plot_mom),
div_placeholder_bollinger=Markup(plot_boll),
div_placeholder_sma=Markup(plot_sma),
div_placeholder_rsi=Markup(plot_rsi))
def add_evidence( #this is where you could use the inspiration for the grading function from project 7
self,
symbol="JPM",
sd=dt.datetime(2008, 1, 1),
ed=dt.datetime(2009, 1, 1),
sv=10000,
):
"""
Trains your strategy learner over a given time frame.
:param symbol: The stock symbol to train on
:type symbol: str
:param sd: A datetime object that represents the start date, defaults to 1/1/2008
:type sd: datetime
:param ed: A datetime object that represents the end date, defaults to 1/1/2009
:type ed: datetime
:param sv: The starting value of the portfolio
:type sv: int
"""
# add your code to do learning here
syms = [symbol]
dates = pd.date_range(sd, ed)
indicator_dates = pd.date_range(sd - dt.timedelta(days=28), ed)
prices_all = ut.get_data(syms, dates) # automatically adds SPY
prices = prices_all[syms] # only portfolio symbols
indicator_prices_all = ut.get_data(
syms, indicator_dates
) #will this be the same size as the number of days traded?
indicator_prices = indicator_prices_all[syms]
prices_SPY = prices_all["SPY"] # only SPY, for comparison later
#get 3 indicators using passed in start date minus window required for each
rm = ind.get_rolling_mean(indicator_prices[symbol], window=20)
percent_bb = ind.get_rolling_std(indicator_prices[symbol],
window=20) #aka rstd
upper_band, lower_band = ind.get_bollinger_bands(rm, percent_bb)
percent_bb = percent_bb.iloc[19:]
rm = rm.iloc[19:]
upper_band = upper_band.iloc[19:]
lower_band = lower_band.iloc[19:]
for x in range(rm.size): #did i format that right??
#print(prices.iloc[x])
#print(type(rm.iloc[x]))
if (prices.iloc[x][0] == rm.iloc[x]):
percent_bb.iloc[x] = 0.0
elif (prices.iloc[x][0] > rm.iloc[x]):
percent_bb.iloc[x] = (prices.iloc[x][0] - rm.iloc[x]) / (
upper_band.iloc[x] - rm.iloc[x])
elif (prices.iloc[x][0] < rm.iloc[x]):
percent_bb.iloc[x] = (rm.iloc[x] - prices.iloc[x][0]) / (
lower_band.iloc[x] - rm.iloc[x])
percent_bb = pd.Series(percent_bb)
#print(percent_bb)
indicator_prices = indicator_prices.iloc[9:]
#print(indicator_prices)
momentum = pd.Series(
ind.get_momentum(indicator_prices[symbol], window=10))
momentum = momentum.iloc[10:]
#print(momentum)
volatility = pd.Series(
ind.get_volatility(indicator_prices[symbol], window=10))
volatility = volatility.iloc[10:]
#print(volatility.values.shape)
uglystupidnobodylikesyouvol, vol = pd.qcut(volatility.values,
10,
retbins=True)
esrfergs, momnt = pd.qcut(momentum.values, 10, retbins=True)
rgefsegrf, bb = pd.qcut(percent_bb.values, 10, retbins=True)
vol = vol[1:-1]
momnt = momnt[1:-1]
bb = bb[1:-1]
#print(volatility.iloc[0])
#print(vol)
#print(volatility.iloc[0] in vol[0])
total_reward = 0
performance_list = np.zeros(10)
for z in range(10):
cash_value = float(sv)
stock_value = 0.0
portfolio_value = cash_value + stock_value
#figure out state
vol_set = False
mo_set = False
bb_set = False
vol_bin = ""
mo_bin = ""
bb_bin = ""
for x in range(vol.size):
if (volatility.iloc[0] <= vol[x] and vol_set == False):
vol_bin = str(x)
vol_set = True
elif (x == vol.size - 1 and vol_set == False):
vol_bin = str(x + 1)
vol_set = True
if (momentum.iloc[0] <= momnt[x] and mo_set == False):
mo_bin = str(x)
mo_set = True
elif (x == momnt.size - 1 and mo_set == False):
mo_bin = str(x + 1)
mo_set = True
if (percent_bb.iloc[0] <= bb[x] and bb_set == False):
bb_bin = str(x)
bb_set = True
elif (x == bb.size - 1 and bb_set == False):
bb_bin = str(x + 1)
bb_set = True
#print(volatility.iloc[0])
#position = 0 actually this could be action variable below
final_str = vol_bin + mo_bin + bb_bin
state = int(final_str)
#print(state)
action = self.learner.querysetstate(state) - 1
old_action = action
same_action = False
count = 0
stock_value = action * 1000.0 * prices.iloc[0]
cash_value -= stock_value
#print("Daily Value for end of Day 1" + ": " + str(portfolio_value))
for x in range(
1, prices.size
): #while the trading simualtion hasnt reached last day
#at this point assume day 1 or x is over and now calculate the reward of the prior day's
#decision to pass in next action call as r. also calculate the
# holdings of the bot(maybe just check the action variable for this)
daily_gain = (prices.values[x, 0] - prices.values[x - 1, 0]
) / prices.values[x - 1,
0] #daily percentage gain
#print(type(daily_gain))
portfolio_value = (
(1.0 + daily_gain) * stock_value) + cash_value
#print(portfolio_value)
if (action == 1):
if (daily_gain - self.impact > 0.02):
reward = 35.0
elif (daily_gain - self.impact > 0.012):
reward = 20.0
elif (daily_gain - self.impact > 0.004):
reward = 7.5
elif (daily_gain - self.impact < -0.019):
reward = -25.0
elif (daily_gain - self.impact < -0.009):
reward = -10.0
else:
reward = daily_gain * 10.0
elif (action == 0):
reward = abs(daily_gain - self.impact) * 3.5
elif (action == -1):
if (daily_gain - self.impact < -0.026):
reward = 35.0
elif (daily_gain - self.impact < -0.015):
reward = 20.0
elif (daily_gain - self.impact < -0.004):
reward = 7.5
elif (daily_gain - self.impact > 0.019):
reward = -25.0
elif (daily_gain - self.impact > 0.007):
reward = -10.0
else:
reward = daily_gain * -10.0
if (same_action == True):
reward += (7.5 + self.impact)
#determine state
vol_set = False
mo_set = False
bb_set = False
vol_bin = ""
mo_bin = ""
bb_bin = ""
for y in range(vol.size):
if (volatility.iloc[x] <= vol[y] and vol_set == False):
#print(x)
vol_bin = str(y)
vol_set = True
elif (y == vol.size - 1 and vol_set == False):
vol_bin = str(y + 1)
vol_set = True
if (momentum.iloc[x] <= momnt[y] and mo_set == False):
mo_bin = str(y)
mo_set = True
elif (y == momnt.size - 1 and mo_set == False):
mo_bin = str(y + 1)
mo_set = True
if (percent_bb.iloc[x] <= bb[y] and bb_set == False):
bb_bin = str(y)
bb_set = True
elif (y == bb.size - 1 and bb_set == False):
bb_bin = str(y + 1)
bb_set = True
state = int(vol_bin + mo_bin + bb_bin)
old_action = action
action = self.learner.query(state, reward) - 1
same_action = False
if (old_action == action and reward > 0.0):
same_action = True
stock_value = action * 1000.0 * prices.iloc[x]
cash_value = portfolio_value - stock_value
total_reward += reward
#print("Daily Value for end of Day " + str(x+1) + ": " + str(portfolio_value))
#print("Ending value for test phase " + str(z+1) + ": " + str(portfolio_value))
performance_list[z] = portfolio_value
mat.pyplot.plot(performance_list)
def testPolicy(
self,
symbol="IBM",
sd=dt.datetime(2008, 1, 1),
ed=dt.datetime(2009, 1, 31),
sv=10000,
):
"""
Tests your learner using data outside of the training data
:param symbol: The stock symbol that you trained on on
:type symbol: str
:param sd: A datetime object that represents the start date, defaults to 1/1/2008
:type sd: datetime
:param ed: A datetime object that represents the end date, defaults to 1/1/2009
:type ed: datetime
:param sv: The starting value of the portfolio
:type sv: int
:return: A DataFrame with values representing trades for each day. Legal values are +1000.0 indicating
a BUY of 1000 shares, -1000.0 indicating a SELL of 1000 shares, and 0.0 indicating NOTHING.
Values of +2000 and -2000 for trades are also legal when switching from long to short or short to
long so long as net holdings are constrained to -1000, 0, and 1000.
:rtype: pandas.DataFrame
"""
syms = [symbol]
dates = pd.date_range(sd, ed)
indicator_dates = pd.date_range(sd - dt.timedelta(days=28), ed)
prices_all = ut.get_data(syms, dates) # automatically adds SPY
prices = prices_all[syms] # only portfolio symbols
indicator_prices_all = ut.get_data(
syms, indicator_dates
) #will this be the same size as the number of days traded?
indicator_prices = indicator_prices_all[syms]
prices_SPY = prices_all["SPY"] # only SPY, for comparison later
rm = ind.get_rolling_mean(indicator_prices[symbol], window=20)
percent_bb = ind.get_rolling_std(indicator_prices[symbol],
window=20) #aka rstd
upper_band, lower_band = ind.get_bollinger_bands(rm, percent_bb)
percent_bb = percent_bb.iloc[19:]
rm = rm.iloc[19:]
upper_band = upper_band.iloc[19:]
lower_band = lower_band.iloc[19:]
for x in range(rm.size): #did i format that right??
#print(prices.iloc[x])
#print(type(rm.iloc[x]))
if (prices.iloc[x][0] == rm.iloc[x]):
percent_bb.iloc[x] = 0.0
elif (prices.iloc[x][0] > rm.iloc[x]):
percent_bb.iloc[x] = (prices.iloc[x][0] - rm.iloc[x]) / (
upper_band.iloc[x] - rm.iloc[x])
elif (prices.iloc[x][0] < rm.iloc[x]):
percent_bb.iloc[x] = (rm.iloc[x] - prices.iloc[x][0]) / (
lower_band.iloc[x] - rm.iloc[x])
percent_bb = pd.Series(percent_bb)
#print(percent_bb)
indicator_prices = indicator_prices.iloc[9:]
#print(indicator_prices)
momentum = pd.Series(
ind.get_momentum(indicator_prices[symbol], window=10))
momentum = momentum.iloc[10:]
#print(momentum)
volatility = pd.Series(
ind.get_volatility(indicator_prices[symbol], window=10))
volatility = volatility.iloc[10:]
# here we build a fake set of trades
# your code should return the same sort of data
dates = pd.date_range(sd, ed)
prices_all = ut.get_data([symbol], dates) # automatically adds SPY
trades = prices_all[[
symbol,
]] # only portfolio symbols
trades_SPY = prices_all["SPY"] # only SPY, for comparison later
trades.values[:, :] = 0 # set them all to nothing
vol, momnt, bb = self.discretize(symbol)
#print(volatility.iloc[0])
#print(vol)
vol_bin = ""
mo_bin = ""
bb_bin = ""
holdings = 0
for x in range(trades.size):
vol_set = False
mo_set = False
bb_set = False
for y in range(vol.size):
if (volatility.iloc[x] <= vol[y] and vol_set == False):
#print(x)
vol_bin = str(y)
vol_set = True
elif (y == vol.size - 1 and vol_set == False):
vol_bin = str(y + 1)
vol_set = True
if (momentum.iloc[x] <= momnt[y] and mo_set == False):
mo_bin = str(y)
mo_set = True
elif (y == momnt.size - 1 and mo_set == False):
mo_bin = str(y + 1)
mo_set = True
if (percent_bb.iloc[x] <= bb[y] and bb_set == False):
bb_bin = str(y)
bb_set = True
elif (y == bb.size - 1 and bb_set == False):
bb_bin = str(y + 1)
bb_set = True
state = int(vol_bin + mo_bin + bb_bin)
#print(state)
action = self.learner.querysetstate(state) - 1
#print(action)
if (action == 1):
if (holdings == 0):
trades.values[x, :] = 1000
elif (holdings == -1000):
trades.values[x, :] = 2000
elif (holdings == 1000):
trades.values[x, :] = 0
holdings = 1000
elif (action == 0):
if (holdings == 0):
trades.values[x, :] = 0
elif (holdings == -1000):
trades.values[x, :] = 1000
elif (holdings == 1000):
trades.values[x, :] = -1000
holdings = 0
elif (action == -1):
if (holdings == 0):
trades.values[x, :] = -1000
elif (holdings == -1000):
trades.values[x, :] = 0
elif (holdings == 1000):
trades.values[x, :] = -2000
holdings = -1000
#print(trades)
if self.verbose:
print(type(trades)) # it better be a DataFrame!
if self.verbose:
print(trades)
if self.verbose:
print(prices_all)
#print(trades)
return trades
