def main(plot):
instrument = "DIA"
entrySMA = 200
exitSMA = 5
rsiPeriod = 2
overBoughtThreshold = 90
overSoldThreshold = 10
# Download the bars.
feed = yahoofinance.build_feed([instrument], 2009, 2012, ".")
strat = rsi2.RSI2(feed, instrument, entrySMA, exitSMA, rsiPeriod,
overBoughtThreshold, overSoldThreshold)
sharpeRatioAnalyzer = sharpe.SharpeRatio()
strat.attachAnalyzer(sharpeRatioAnalyzer)
if plot:
plt = plotter.StrategyPlotter(strat, True, False, True)
plt.getInstrumentSubplot(instrument).addDataSeries(
"Entry SMA", strat.getEntrySMA())
plt.getInstrumentSubplot(instrument).addDataSeries(
"Exit SMA", strat.getExitSMA())
plt.getOrCreateSubplot("rsi").addDataSeries("RSI", strat.getRSI())
plt.getOrCreateSubplot("rsi").addLine("Overbought",
overBoughtThreshold)
plt.getOrCreateSubplot("rsi").addLine("Oversold", overSoldThreshold)
strat.run()
print "Sharpe ratio: %.2f" % sharpeRatioAnalyzer.getSharpeRatio(0.05)
if plot:
plt.plot()
def main(plot):
cod = "002739"
cname = 'wanda'
csgn = u'万达院线'
cod = "600663"
cname = 'lujiazui'
csgn = u'陆家嘴'
cod = "600231"
cname = 'lingang'
csgn = u'凌钢股份'
cod = '002046'
cname = 'zouyan'
csgn = u'轴研科技'
cod = '300239'
cname = 'donbao'
csgn = u'东宝生物'
fss = "dat\\" + cod + ".csv"
df = pd.read_csv(fss, encoding='gbk')
#df2=zwBox.zw_df2yhaoo(df);
df2 = zwx.df2yhaoo(df)
cfn = "dat\\" + cod + "_yh.csv"
print csgn, cname, fss
df2.to_csv(cfn, encoding='utf-8')
#
#instrument = "DIA" #使用新变量名cname替代
entrySMA = 200
exitSMA = 5
rsiPeriod = 2
overBoughtThreshold = 90
overSoldThreshold = 10
# Download the bars.
#feed = yahoofinance.build_feed([instrument], 2009, 2012, ".")
feed = yahoofeed.Feed()
feed.addBarsFromCSV(cname, cfn)
strat = rsi2.RSI2(feed, cname, entrySMA, exitSMA, rsiPeriod,
overBoughtThreshold, overSoldThreshold)
sharpeRatioAnalyzer = sharpe.SharpeRatio()
strat.attachAnalyzer(sharpeRatioAnalyzer)
if plot:
mpl.style.use('seaborn-whitegrid')
plt = plotter.StrategyPlotter(strat, True, False, True)
plt.getInstrumentSubplot(cname).addDataSeries("Entry SMA",
strat.getEntrySMA())
plt.getInstrumentSubplot(cname).addDataSeries("Exit SMA",
strat.getExitSMA())
plt.getOrCreateSubplot("rsi").addDataSeries("RSI", strat.getRSI())
plt.getOrCreateSubplot("rsi").addLine("Overbought",
overBoughtThreshold)
plt.getOrCreateSubplot("rsi").addLine("Oversold", overSoldThreshold)
strat.run()
print "夏普指数 Sharpe ratio: %.2f" % sharpeRatioAnalyzer.getSharpeRatio(0.05)
if plot:
plt.plot()
def main(plot):
symbol = "DIA"
priceCurrency = "USD"
instrument = "%s/%s" % (symbol, priceCurrency)
entrySMA = 200
exitSMA = 5
rsiPeriod = 2
overBoughtThreshold = 90
overSoldThreshold = 10
initialBalance = {priceCurrency: 1000000}
# Load the bars. These files were manually downloaded from Yahoo Finance.
feed = yahoofeed.Feed()
for year in range(2009, 2013):
fileName = "%s-%d-yahoofinance.csv" % (symbol, year)
print("Loading bars from %s" % fileName)
feed.addBarsFromCSV(instrument, fileName)
strat = rsi2.RSI2(feed, instrument, initialBalance, entrySMA, exitSMA,
rsiPeriod, overBoughtThreshold, overSoldThreshold)
sharpeRatioAnalyzer = sharpe.SharpeRatio(priceCurrency)
strat.attachAnalyzer(sharpeRatioAnalyzer)
if plot:
from pyalgotrade import plotter
plt = plotter.StrategyPlotter(strat, True, False, True)
plt.getInstrumentSubplot(instrument).addDataSeries(
"Entry SMA", strat.getEntrySMA())
plt.getInstrumentSubplot(instrument).addDataSeries(
"Exit SMA", strat.getExitSMA())
plt.getOrCreateSubplot("rsi").addDataSeries("RSI", strat.getRSI())
plt.getOrCreateSubplot("rsi").addLine("Overbought",
overBoughtThreshold)
plt.getOrCreateSubplot("rsi").addLine("Oversold", overSoldThreshold)
strat.run()
print("Sharpe ratio: %.2f" % sharpeRatioAnalyzer.getSharpeRatio(0.05))
if plot:
plt.plot()