def create(adjclose, timestamps, lookback, spread, high, low, bet, duration):
alloc = DataMatrix(index=[timestamps[0]], columns=adjclose.columns, data=[zeros(len(adjclose.columns))])
bs = boil.calcbvals(adjclose, timestamps, adjclose.columns, lookback)
hold = []
time = []
for i in bs.index[1:]:
for stock in range(0, len(bs.columns)):
if(bs.xs(i)[stock] < low and len(hold) < spread):
hold.append(stock)
time.append(duration)
elif(bs.xs(i)[stock] > high):
if stock in hold:
del time[hold.index(stock)]
hold.remove(stock)
for j in range(0, len(time)):
time[j] -= 1
if(time[j] <= 0):
del hold[j]
del time[j]
vals = zeros(len(adjclose.columns))
for j in range(0, len(hold)):
vals[hold[j]] = bet
alloc = alloc.append(DataMatrix(index=[i], columns=adjclose.columns, data=[vals]))
return alloc
def create(adjclose, timestamps, lookback, spread, high, low, bet, duration):
alloc = DataMatrix(index=[timestamps[0]],
columns=adjclose.columns,
data=[zeros(len(adjclose.columns))])
bs = boil.calcbvals(adjclose, timestamps, adjclose.columns, lookback)
hold = []
time = []
for i in bs.index[1:]:
for stock in range(0, len(bs.columns)):
if (bs.xs(i)[stock] < low and len(hold) < spread):
hold.append(stock)
time.append(duration)
elif (bs.xs(i)[stock] > high):
if stock in hold:
del time[hold.index(stock)]
hold.remove(stock)
for j in range(0, len(time)):
time[j] -= 1
if (time[j] <= 0):
del hold[j]
del time[j]
vals = zeros(len(adjclose.columns))
for j in range(0, len(hold)):
vals[hold[j]] = bet
alloc = alloc.append(
DataMatrix(index=[i], columns=adjclose.columns, data=[vals]))
return alloc
def createStatefulStrat(adjclose, timestamps, lookback, highthresh, lowthresh):
alloc = DataMatrix(index=[timestamps[0]], columns=adjclose.columns, data=[zeros(len(adjclose.columns))])
bs = boil.calcbvals(adjclose, timestamps, adjclose.columns, lookback)
hold = []
for i in bs.index[1:]:
for stock in range(0, len(bs.columns)):
if(bs.xs(i)[stock] < lowthresh and len(hold) < 10):
hold.append(stock)
elif(bs.xs(i)[stock] > highthresh):
if stock in hold:
hold.remove(stock)
vals = zeros(len(adjclose.columns))
for j in range(0, len(hold)):
vals[hold[j]] = .1
alloc = alloc.append(DataMatrix(index=[i], columns=adjclose.columns, data=[vals]))
return alloc
def createStatefulStrat(adjclose, timestamps, lookback, highthresh, lowthresh): alloc=DataMatrix(index=[timestamps[0]],columns=adjclose.columns, data=[zeros(len(adjclose.columns))]) bs=boil.calcbvals(adjclose, timestamps, adjclose.columns, lookback) hold=[] for i in bs.index[1:]: for stock in range(0,len(bs.columns)): if(bs.xs(i)[stock]<lowthresh and len(hold)<10): hold.append(stock) elif(bs.xs(i)[stock]>highthresh): if stock in hold: hold.remove(stock) vals=zeros(len(adjclose.columns)) for j in range(0,len(hold)): vals[hold[j]]=.1 alloc=alloc.append(DataMatrix(index=[i],columns=adjclose.columns,data=[vals])) return alloc
