def question1():
startDate = datetime(2008, 1, 1)
endDate = datetime(2009, 12, 31)
symbols = 'sp5002012'
eventMaker = lambda price: find_crossing_threshold_events(price, threshold=6)
initialInvestment = 50000
holdingPeriod = 5
numberOfStocksTraded = 100
marketSymbol = '$SPX'
graphStrategies(eventMaker, startDate, endDate, symbols, marketSymbol, 'actual_close', True, holdingPeriod)
evaluateEventTrades(startDate, endDate, symbols, True, eventMaker, holdingPeriod, numberOfStocksTraded,
initialInvestment, marketSymbol, verbosity=0)
def question_3():
startDate = datetime(2008, 1, 1)
endDate = datetime(2009, 12, 31)
timeStamps = getNYSEdays(startDate, endDate, timedelta(hours=16))
dataReader = DataAccess('Yahoo')
symbolsListName = 'sp5002012'
symbols = dataReader.get_symbols_from_list(symbolsListName)
symbols.append('SPY')
data = fillNA(dataReader.get_data(timeStamps, symbols, 'actual_close')) # read data and filled na
# create events and event-profile
events = find_crossing_threshold_events(data, threshold=7)
eventprofiler(events, {'close': data}, i_lookback=20, i_lookforward=20, s_filename = join(rootDir, symbolsListName + '_threshold7.pdf'),
b_market_neutral=True, b_errorbars=True, s_market_sym='SPY')
