def __init__(self, stock_period, feature_desc = False, default_periods = [20,10,5,80,40]):
self.feat_lookup = {"SMA": ft.featMA,
"RSI": ft.featRSI,
"AROON": ft.featAroon,
"BOLL": ft.featBollinger,
"MOM": ft.featMomentum,
"EMA": ft.featEMA,
"MKTCORR": lambda data, lLookback = 20: { stock_period.symbol: self.feat_market_corr(lLookback) }
}
self.stock_period = stock_period
self.relative_data = ftu.getMarketRel(stock_period.as_hash(), sRel= stock_period.market_symbol)
self.default_periods = default_periods
if feature_desc == False:
self.feature_desc = {"SMA": self.default_periods,
"RSI": self.default_periods,
"AROON": self.default_periods,
"BOLL": self.default_periods,
"MOM": self.default_periods,
"EMA": self.default_periods,
"MKTCORR": self.default_periods
}
else:
self.feature_desc = feature_desc
self.feature_data = np.array([])
self.init_data()
def get_features_for_period(symbol, period_start, period_end, threshold=0.00001, pad_days = 100):
# we are adding pad days for technical indicators to reach back to
extra_pad_days = int(pad_days * 1.45) # account for weekends and holidays when market isn't open
close_data = get_data([symbol,'$SPX'], period_start - dt.timedelta(days=extra_pad_days), period_end)
#close_data = get_data([symbol,'$SPX'], period_start, period_end)
data_relative = ftu.getMarketRel({'close': close_data})
dfX = get_relative_features(data_relative, symbol)
five_day_return = five_day_returns(data_relative)
#five_day_pos_neg = map(lambda x: 0 if x < 0 else 1, train_five_day[symbol])
five_day_simple_class = map(classifier_func(threshold), five_day_return[symbol])
five_day_validation_class = map(classifier_func(0.00001), five_day_return[symbol])
#XXX need to dump the pad days here
start_index = index_of_date(dfX.index, period_start)
#print dfX[:][:130]
dfX = dfX[:][start_index:]
#print dfX[:][:50]
five_day_simple_class = five_day_simple_class[start_index:]
five_day_validation_class = five_day_validation_class[start_index:]
close_data = close_data[:][start_index:]
return dfX, five_day_simple_class, close_data, five_day_validation_class