def genMaOps(ps, ft, f, st, s):
if ft == 'MA':
fma = ma.calc_ma(ps, f)
elif ft == 'EMA':
fma = ma.calc_ema(ps, f)
elif ft == 'SMA':
fma = ma.calc_sma(ps, f)
elif ft == 'LWMA':
fma = ma.calc_lwma(ps, f)
if st == 'MA':
sma = ma.calc_ma(ps, s)
elif st == 'EMA':
sma = ma.calc_ema(ps, s)
elif st == 'SMA':
sma = ma.calc_sma(ps, s)
elif st == 'LWMA':
sma = ma.calc_lwma(ps, s)
l = len(ps)
ops = [0] * l
for i in range(s, l):
diff = fma[i] - sma[i]
if diff > 0:
ops[i] = 1
elif diff < 0:
ops[i] = -1
return ops
def genMaOps(ps, ft, f, st, s): if ft == 'MA': fma = ma.calc_ma(ps, f) elif ft == 'EMA': fma = ma.calc_ema(ps, f) elif ft == 'SMA': fma = ma.calc_sma(ps, f) elif ft == 'LWMA': fma = ma.calc_lwma(ps, f) if st == 'MA': sma = ma.calc_ma(ps, s) elif st == 'EMA': sma = ma.calc_ema(ps, s) elif st == 'SMA': sma = ma.calc_sma(ps, s) elif st == 'LWMA': sma = ma.calc_lwma(ps, s) l = len(ps) ops = [0] * l for i in range(s, l): diff = fma[i] - sma[i] if diff > 0: ops[i] = 1 elif diff < 0: ops[i] = -1 return ops
def runStrategy(in_prices):
global mas, emas, smas, lwmas, std, prices
log.debug('beginning ma strategy ...')
prices = in_prices
ps = [p['close'] for p in prices]
std = [0] * 51
l = len(prices)
for period in range(2, 51):
std[period] = [0] * l
for i in range(period - 1, l):
std[period][i] = np.std(ps[i-period+1 : i+1], dtype=np.float64, ddof=0)
mas = [0] * 81
emas = [0] * 81
smas = [0] * 81
lwmas = [0] * 81
for period in range(2, 81):
mas[period] = ma.calc_ma(ps, period)
emas[period] = ma.calc_ema(ps, period)
smas[period] = ma.calc_sma(ps, period)
lwmas[period] = ma.calc_lwma(ps, period)
pool = Pool(100)
#t = doTrade(pool, 25, 1.0, 'MA', 7, 'SMA', 12, 'EMA', 31, 'SMA', 7, 'MA', 12, 'MA', 13)
#t = doTrade(pool, 25, 1.3, 'MA', 7, 'SMA', 13, 'EMA', 31, 'SMA', 7, 'MA', 12, 'MA', 13)
#pool.showStrategies()
#return
log.debug('running ma strategy ...')
starttime = datetime.datetime.now()
matypes = ['MA', 'EMA', 'SMA', 'LWMA']
farr = range(5, 20)
s1arr = range(8, 40)
s2arr = range(0, 80)
poola = Pool(10)
poolb = Pool(10)
for stdPeriod in [20, ]:
for stdGuage in [1.0, ]:
log.debug('*** ' + str(stdPeriod) + ',' + str(stdGuage) + ' ***')
for ft, f in [(matype, period) for matype in matypes for period in farr]:
for s1t, s1 in [(matype, period) for matype in matypes for period in s1arr]:
if s1 != 0 and s1 <= f: continue
elapsed = (datetime.datetime.now() - starttime).seconds
log.debug('== ' + str(elapsed) + ',' + ft + '_' + str(f) + ',' + s1t + '_' + str(s1) + ' ==')
for s2t, s2 in [(matype, period) for matype in matypes for period in s2arr]:
if s2 != 0 and s2 <= s1: continue
if s2 == 0 and (s2t == 'EMA' or s2t == 'SMA' or s2t == 'LWMA'): continue
doTrade(poola, stdPeriod, stdGuage, ft, f, s1t, s1, s2t, s2, '', 0, '', 0, '', 0)
doTrade(poolb, stdPeriod, stdGuage, '', 0, '', 0, '', 0, ft, f, s1t, s1, s2t, s2)
poola.showStrategies()
poolb.showStrategies()
def runStrategy_2(in_prices):
global mas, emas, smas, std, prices
log.debug('beginning first strategy ...')
prices = in_prices
ps = [p['close'] for p in prices]
std = [0] * 51
l = len(prices)
for period in range(2, 51):
std[period] = [0] * l
for i in range(period - 1, l):
std[period][i] = round(
np.std(ps[i - period + 1:i + 1], dtype=np.float64, ddof=0), 3)
mas = [0] * 61
emas = [0] * 61
smas = [0] * 61
for period in range(2, 61):
mas[period] = ma.calc_ma(ps, period)
emas[period] = ma.calc_ema(ps, period)
smas[period] = ma.calc_sma(ps, period)
log.debug('running first strategy ...')
starttime = datetime.datetime.now()
strat_as = [
['MA', 7, 'SMA', 10, 'SMA', 12],
['MA', 7, 'SMA', 14, 'EMA', 33],
['MA', 7, 'SMA', 16, 'EMA', 27],
]
strat_bs = [
['SMA', 7, 'MA', 12, 'MA', 12],
['SMA', 7, 'MA', 12, 'MA', 36],
['MA', 7, 'SMA', 14, 'EMA', 33],
]
pool = StrategyPool(100)
for stdPeriod in [25]:
stdGuage = 1.3
while stdGuage <= 1.3:
elapsed = (datetime.datetime.now() - starttime).seconds
log.debug('== ' + str(elapsed) + ',' + str(stdPeriod) + ',' +
str(stdGuage) + ' ==')
for sa in strat_as:
for sb in strat_bs:
doTrade(pool, stdPeriod, stdGuage, sa[0], sa[1], sa[2],
sa[3], sa[4], sa[5], sb[0], sb[1], sb[2], sb[3],
sb[4], sb[5])
stdGuage += 0.02
pool.showStrategies()
return
def getMas(matype, period):
if matype == 'MA':
return ma.calc_ma(ps, period)
elif matype == 'EMA':
return ma.calc_ema(ps, period)
elif matype == 'SMA':
return ma.calc_sma(ps, period)
elif matype == 'LWMA':
return ma.calc_lwma(ps, period)
else:
return None
def getMas(matype, period):
if matype == "MA":
return ma.calc_ma(ps, period)
elif matype == "EMA":
return ma.calc_ema(ps, period)
elif matype == "SMA":
return ma.calc_sma(ps, period)
elif matype == "LWMA":
return ma.calc_lwma(ps, period)
else:
return None
def getMas(matype, period): if matype == 'MA': return ma.calc_ma(ps, period) elif matype == 'EMA': return ma.calc_ema(ps, period) elif matype == 'SMA': return ma.calc_sma(ps, period) elif matype == 'LWMA': return ma.calc_lwma(ps, period) else: return None
def runStrategy_2(in_prices):
global mas, emas, smas, std, prices
log.debug('beginning first strategy ...')
prices = in_prices
ps = [p['close'] for p in prices]
std = [0] * 51
l = len(prices)
for period in range(2, 51):
std[period] = [0] * l
for i in range(period - 1, l):
std[period][i] = round(np.std(ps[i-period+1 : i+1], dtype=np.float64, ddof=0), 3)
mas = [0] * 61
emas = [0] * 61
smas = [0] * 61
for period in range(2, 61):
mas[period] = ma.calc_ma(ps, period)
emas[period] = ma.calc_ema(ps, period)
smas[period] = ma.calc_sma(ps, period)
log.debug('running first strategy ...')
starttime = datetime.datetime.now()
strat_as = [
['MA',7,'SMA',10,'SMA',12],
['MA',7,'SMA',14,'EMA',33],
['MA',7,'SMA',16,'EMA',27],
]
strat_bs = [
['SMA',7,'MA',12,'MA',12 ],
['SMA',7,'MA',12,'MA',36 ],
['MA',7,'SMA',14,'EMA',33],
]
pool = StrategyPool(100)
for stdPeriod in [25]:
stdGuage = 1.3
while stdGuage <= 1.3:
elapsed = (datetime.datetime.now() - starttime).seconds
log.debug('== ' + str(elapsed) + ',' + str(stdPeriod) + ',' + str(stdGuage) + ' ==')
for sa in strat_as:
for sb in strat_bs:
doTrade(pool, stdPeriod, stdGuage, sa[0], sa[1], sa[2], sa[3], sa[4], sa[5], sb[0], sb[1], sb[2], sb[3], sb[4], sb[5])
stdGuage += 0.02
pool.showStrategies()
return
def runVoter(prices):
calc_directs(prices)
ps = [p['close'] for p in prices]
mas7 = ma.calc_ma(ps, 7)
smas13 = ma.calc_sma(ps, 13)
l = len(prices)
ops = [0] * l
stds = [0] * l
for i in range(7, l):
stds[i] = 1
if mas7[i] - smas13[i] > 0:
ops[i] = 1
elif mas7[i] - smas13[i] < 0:
ops[i] = -1
goods = [0, 0]
bads = [0, 0]
for i in range(7, l):
j = 0
if stds[i] >= 1.0: j = 1
if ops[i] == prices[i]['direct']:
goods[j] += 1
else:
bads[j] += 1
print goods[0], bads[0]
print goods[1], bads[1]
return
dts = [p['dt'] for p in prices]
directs = [p['direct'] for p in prices]
fig = plt.figure()
ax1 = fig.add_subplot(211)
ax1.plot_date(dts, directs, 'b-')
ax1.plot_date(dts, ops, 'r-')
ax1.set_ylim(-2, 2)
ax2 = fig.add_subplot(212)
ax2.plot_date(dts, ps, 'b-')
plt.show()
#def doScan()
def runVoter(prices): calc_directs(prices) ps = [p['close'] for p in prices] mas7 = ma.calc_ma(ps, 7) smas13 = ma.calc_sma(ps, 13) l = len(prices) ops = [0] * l stds = [0] * l for i in range(7, l): stds[i] = 1 if mas7[i] - smas13[i] > 0: ops[i] = 1 elif mas7[i] - smas13[i] < 0: ops[i] = -1 goods = [0, 0] bads = [0, 0] for i in range(7, l): j = 0 if stds[i] >= 1.0: j = 1 if ops[i] == prices[i]['direct']: goods[j] += 1 else: bads[j] += 1 print goods[0], bads[0] print goods[1], bads[1] return dts = [p['dt'] for p in prices] directs = [p['direct'] for p in prices] fig = plt.figure() ax1 = fig.add_subplot(211) ax1.plot_date(dts, directs, 'b-') ax1.plot_date(dts, ops, 'r-') ax1.set_ylim(-2,2) ax2 = fig.add_subplot(212) ax2.plot_date(dts, ps, 'b-') plt.show() #def doScan()
def runVoter(in_prices):
global mas, emas, smas, lwmas, prices
log.debug('beginning ma voter ...')
prices = in_prices
ps = [p['close'] for p in prices]
malength = 101
mas = [0] * malength
emas = [0] * malength
smas = [0] * malength
lwmas = [0] * malength
for period in range(2, malength):
if period % 30 == 0: print period
mas[period] = ma.calc_ma(ps, period)
emas[period] = ma.calc_ema(ps, period)
smas[period] = ma.calc_sma(ps, period)
lwmas[period] = ma.calc_lwma(ps, period)
log.debug('running ma voter ...')
starttime = time.time()
matypes = ['MA', 'EMA', 'SMA', 'LWMA']
pool = VoterPool(1, prices)
#calcTickets(pool, 'SMA', 95, 'LWMA', 240)
#calcTickets(pool, 'SMA', 3, 'EMA', 4)
#calcTickets(pool, 'MA', 7, 'SMA', 13)
#pool.showVoters()
#return
farr = range(5, 30)[::3]
sarr = range(10, 100)[::5]
for ft, f in [(matype, period) for matype in matypes for period in farr]:
elapsed = long(time.time() - starttime)
log.debug('== ' + str(elapsed) + ',' + ft + '_' + str(f) + ' ==')
for st, s in [(matype, period) for matype in matypes for period in sarr]:
if s < f: continue
calcTickets(pool, ft, f, st, s)
pool.showVoters()
def runVoter(in_prices):
global mas, emas, smas, lwmas, prices
log.debug('beginning ma voter ...')
prices = in_prices
ps = [p['close'] for p in prices]
malength = 101
mas = [0] * malength
emas = [0] * malength
smas = [0] * malength
lwmas = [0] * malength
for period in range(2, malength):
if period % 30 == 0: print period
mas[period] = ma.calc_ma(ps, period)
emas[period] = ma.calc_ema(ps, period)
smas[period] = ma.calc_sma(ps, period)
lwmas[period] = ma.calc_lwma(ps, period)
log.debug('running ma voter ...')
starttime = time.time()
matypes = ['MA', 'EMA', 'SMA', 'LWMA']
pool = VoterPool(1, prices)
#calcTickets(pool, 'SMA', 95, 'LWMA', 240)
#calcTickets(pool, 'SMA', 3, 'EMA', 4)
#calcTickets(pool, 'MA', 7, 'SMA', 13)
#pool.showVoters()
#return
farr = range(5, 30)[::3]
sarr = range(10, 100)[::5]
for ft, f in [(matype, period) for matype in matypes for period in farr]:
elapsed = long(time.time() - starttime)
log.debug('== ' + str(elapsed) + ',' + ft + '_' + str(f) + ' ==')
for st, s in [(matype, period) for matype in matypes
for period in sarr]:
if s < f: continue
calcTickets(pool, ft, f, st, s)
pool.showVoters()
def runVoter(in_prices):
global mas, emas, smas, lwmas, prices
log.debug('beginning ma voter ...')
prices = in_prices
ps = [p['close'] for p in prices]
mas = [0] * 61
emas = [0] * 61
smas = [0] * 61
lwmas = [0] * 61
for period in range(2, 61):
mas[period] = ma.calc_ma(ps, period)
emas[period] = ma.calc_ema(ps, period)
smas[period] = ma.calc_sma(ps, period)
lwmas[period] = ma.calc_lwma(ps, period)
log.debug('running ma voter ...')
starttime = time.time()
matypes = ['MA', 'EMA', 'SMA', 'LWMA']
pool = VoterPool(2, prices)
#calcTickets(pool, 'MA', 7, 'EMA', 18)
#calcTickets(pool, 'SMA', 3, 'EMA', 4)
#calcTickets(pool, 'MA', 7, 'SMA', 13)
#pool.showVoters()
#return
farr = range(2, 10)
sarr = range(4, 60)
for ft, f in [(matype, period) for matype in matypes for period in farr]:
elapsed = long(time.time() - starttime)
#log.debug('== ' + str(elapsed) + ',' + ft + '_' + str(f) + ' ==')
for st, s in [(matype, period) for matype in matypes for period in sarr]:
if s < f: continue
calcTickets(pool, ft, f, st, s)
pool.showVoters()
def runVoter(in_prices):
global mas, emas, smas, lwmas, prices
log.debug('beginning ma voter ...')
prices = in_prices
ps = [p['close'] for p in prices]
mas = [0] * 61
emas = [0] * 61
smas = [0] * 61
lwmas = [0] * 61
for period in range(2, 61):
mas[period] = ma.calc_ma(ps, period)
emas[period] = ma.calc_ema(ps, period)
smas[period] = ma.calc_sma(ps, period)
lwmas[period] = ma.calc_lwma(ps, period)
log.debug('running ma voter ...')
starttime = time.time()
matypes = ['MA', 'EMA', 'SMA', 'LWMA']
pool = VoterPool(2, prices)
#calcTickets(pool, 'MA', 7, 'EMA', 18)
#calcTickets(pool, 'SMA', 3, 'EMA', 4)
#calcTickets(pool, 'MA', 7, 'SMA', 13)
#pool.showVoters()
#return
farr = range(2, 10)
sarr = range(4, 60)
for ft, f in [(matype, period) for matype in matypes for period in farr]:
elapsed = long(time.time() - starttime)
#log.debug('== ' + str(elapsed) + ',' + ft + '_' + str(f) + ' ==')
for st, s in [(matype, period) for matype in matypes
for period in sarr]:
if s < f: continue
calcTickets(pool, ft, f, st, s)
pool.showVoters()
def runStrategy(in_prices):
global mas, emas, smas, lwmas, prices
log.debug('beginning ma strategy ...')
prices = in_prices
ps = [p['close'] for p in prices]
log.debug('generating mas ...')
mas = [0] * 61
emas = [0] * 61
smas = [0] * 61
lwmas = [0] * 61
for period in range(2, 61):
mas[period] = ma.calc_ma(ps, period)
emas[period] = ma.calc_ema(ps, period)
smas[period] = ma.calc_sma(ps, period)
lwmas[period] = ma.calc_lwma(ps, period)
pool = StrategyPool(20)
doMaTrade(pool, 'SMA', 19, 'MA', 40, 'LWMA', 60)
pool.showStrategies()
return
log.debug('running ma strategy ...')
starttime = datetime.datetime.now()
matypes = ['MA', 'EMA', 'SMA', 'LWMA']
pool = StrategyPool(100)
for ft, f in [(matype, period) for matype in matypes for period in range(2, 10)]:
for s1t, s1 in [(matype, period) for matype in matypes for period in range(4, 21)]:
elapsed = (datetime.datetime.now() - starttime).seconds
log.debug('== ' + str(elapsed) + ',' + ft + '_' + str(f) + ',' + s1t + '_' + str(s1) + ' ==')
for s2t, s2 in [(matype, period) for matype in matypes for period in range(0, 41)]:
if s2 != 0 and s2 <= s1: continue
if s2 == 0 and (s2t == 'EMA' or s2t == 'SMA' or s2t == 'LWMA'): continue
doMaTrade(pool, ft, f, s1t, s1, s2t, s2)
pool.showStrategies()
def runStrategy_0(in_prices):
global mas, emas, smas, std, prices
log.debug('beginning first strategy ...')
prices = in_prices
ps = [p['close'] for p in prices]
std = [0] * 51
l = len(prices)
for period in range(2, 51):
std[period] = [0] * l
for i in range(period - 1, l):
std[period][i] = round(
np.std(ps[i - period + 1:i + 1], dtype=np.float64, ddof=0), 3)
mas = [0] * 61
emas = [0] * 61
smas = [0] * 61
for period in range(2, 61):
mas[period] = ma.calc_ma(ps, period)
emas[period] = ma.calc_ema(ps, period)
smas[period] = ma.calc_sma(ps, period)
log.debug('running first strategy ...')
starttime = datetime.datetime.now()
matypes = ['MA', 'EMA', 'SMA']
farr = [
2,
3,
4,
5,
6,
7,
]
s1arr = [
4,
6,
8,
10,
12,
14,
16,
18,
20,
]
s2arr = [
0,
6,
9,
12,
15,
18,
21,
24,
27,
30,
33,
36,
39,
42,
45,
48,
51,
]
pool = StrategyPool(100)
for stdPeriod in [20, 30, 40]:
stdGuage = 1.0
while stdGuage <= 1.3:
maxAEquity = maxBEquity = 0
poola = StrategyPool(5)
poolb = StrategyPool(5)
for ft, f in [(matype, period) for matype in matypes
for period in farr]:
for s1t, s1 in [(matype, period) for matype in matypes
for period in s1arr]:
elapsed = (datetime.datetime.now() - starttime).seconds
log.debug('== ' + str(elapsed) + ',' + ft + '_' + str(f) +
',' + s1t + '_' + str(s1) + ' ==')
for s2t, s2 in [(matype, period) for matype in matypes
for period in s2arr]:
if s2 != 0 and s2 < s1: continue
if s2 == 0 and (s2t == 'EMA' or s2t == 'SMA'): continue
t = doTrade(poola, stdPeriod, stdGuage, ft, f, s1t, s1,
s2t, s2, '', 0, '', 0, '', 0)
if t.equity > maxAEquity:
maxAEquity = t.equity
maxEAs = [ft, f, s1t, s1, s2t, s2]
elapsed = (datetime.datetime.now() - starttime).seconds
log.info('find A time: ' + str(elapsed) + ' ')
poola.showStrategies()
for ft, f in [(matype, period) for matype in matypes
for period in farr]:
for s1t, s1 in [(matype, period) for matype in matypes
for period in s1arr]:
elapsed = (datetime.datetime.now() - starttime).seconds
log.debug('== ' + str(elapsed) + ',' + ft + '_' + str(f) +
',' + s1t + '_' + str(s1) + ' ==')
for s2t, s2 in [(matype, period) for matype in matypes
for period in s2arr]:
if s2 != 0 and s2 < s1: continue
if s2 == 0 and (s2t == 'EMA' or s2t == 'SMA'): continue
t = doTrade(poolb, stdPeriod, stdGuage, '', 0, '', 0,
'', 0, ft, f, s1t, s1, s2t, s2)
if t.equity > maxBEquity:
maxBEquity = t.equity
maxEBs = [ft, f, s1t, s1, s2t, s2]
elapsed = (datetime.datetime.now() - starttime).seconds
log.info('find B time: ' + str(elapsed) + ' ')
poolb.showStrategies()
logb.info(
str(stdPeriod) + ',' + str(stdGuage) + ',' + str(maxAEquity) +
',' + str(maxBEquity))
logb.info(str(maxEAs))
logb.info(str(maxEBs))
for i in range(5):
sa = poola.strategies[i]
sb = poolb.strategies[i]
t = doTrade(pool, stdPeriod, stdGuage, sa[0].args[2],
sa[0].args[3], sa[0].args[4], sa[0].args[5],
sa[0].args[6], sa[0].args[7], sb[0].args[8],
sb[0].args[9], sb[0].args[10], sb[0].args[11],
sb[0].args[12], sb[0].args[13])
t.generateGraph()
pool.estimate(t)
stdGuage += 0.1
pool.showStrategies()
def runStrategy(in_prices):
global mas, emas, smas, lwmas, std, prices
log.debug('beginning one strategy ...')
prices = in_prices
ps = [p['close'] for p in prices]
std = [0] * 51
l = len(prices)
for period in range(20, 21):
std[period] = [0] * l
for i in range(period - 1, l):
std[period][i] = round(np.std(ps[i-period+1 : i+1], dtype=np.float64, ddof=0), 3)
mas = [0] * 181
emas = [0] * 181
smas = [0] * 181
lwmas = [0] * 181
for period in range(2, 181):
mas[period] = ma.calc_ma(ps, period)
emas[period] = ma.calc_ema(ps, period)
smas[period] = ma.calc_sma(ps, period)
lwmas[period] = ma.calc_lwma(ps, period)
#pool = StrategyPool(100)
#t = doTrade(pool, 20, 0.1, 0.2, 'SMA', 20, 'SMA', 34, 'LWMA', 40, 'SMA', 20, 'SMA', 34, 'LWMA', 120)
#pool.showStrategies()
#return
log.debug('running first strategy ...')
starttime = time.time()
matypes = ['MA', 'EMA', 'SMA', 'LWMA']
#farr = [2, 3, 4, 5, 6, 7, ]
#s1arr = [4, 6, 8, 10, 12, 14, 16, 18, 20, ]
#s2arr = [0, 6, 9, 12, 15, 18, 21, 24, 27, 30, 33, 36, 39, 42, 45, 48, 51, ]
#farr = [20,]
#s1arr = [40, ]
#s2arr = [0, ]
farr = range(40, 41)[::3]
s1arr = range(4, 121)[::6]
s2arr = range(0, 181)[::15]
stdGuage1, stdGuage2 = 0.1, 0.2
pool = StrategyPool(50)
poola = StrategyPool(10)
poolb = StrategyPool(10)
for stdPeriod in [20, ]:
for no in ['A', 'B', ]:
for ft, f in [(matype, period) for matype in matypes for period in farr]:
for s1t, s1 in [(matype, period) for matype in matypes for period in s1arr]:
if s1 < f: continue
elapsed = long(time.time() - starttime)
log.debug('== ' + str(elapsed) + ',' + ft + '_' + str(f) + ',' + s1t + '_' + str(s1) + ' ==')
for s2t, s2 in [(matype, period) for matype in matypes for period in s2arr]:
if s2 != 0 and s2 <= s1: continue
if s2 == 0 and (s2t == 'EMA' or s2t == 'SMA' or s2t == 'LWMA'): continue
if no == 'A':
doTrade(poola, stdPeriod, stdGuage1, stdGuage2, ft, f, s1t, s1, s2t, s2, '', 0, '', 0, '', 0)
elif no == 'B':
doTrade(poolb, stdPeriod, stdGuage1, stdGuage2, '', 0, '', 0, '', 0, ft, f, s1t, s1, s2t, s2)
elapsed = long(time.time() - starttime)
log.info('find ' + no + ' time: ' + str(elapsed) + ' ')
for i in range(10):
sa = poola.strategies[i]
sb = poolb.strategies[i]
t = doTrade(pool, stdPeriod, stdGuage1, stdGuage2, sa[0].args[0], sa[0].args[1], sa[0].args[2], sa[0].args[3], sa[0].args[4], sa[0].args[5], sb[0].args[6], sb[0].args[7], sb[0].args[8], sb[0].args[9], sb[0].args[10], sb[0].args[11])
#t.generateGraph()
pool.showStrategies()
def runStrategy(in_prices):
global mas, emas, smas, lwmas, std, prices
log.debug('beginning ma strategy ...')
prices = in_prices
ps = [p['close'] for p in prices]
std = [0] * 51
l = len(prices)
for period in range(2, 51):
std[period] = [0] * l
for i in range(period - 1, l):
std[period][i] = np.std(ps[i - period + 1:i + 1],
dtype=np.float64,
ddof=0)
malength = 181
mas = [0] * malength
emas = [0] * malength
smas = [0] * malength
lwmas = [0] * malength
for period in range(2, malength):
mas[period] = ma.calc_ma(ps, period)
emas[period] = ma.calc_ema(ps, period)
smas[period] = ma.calc_sma(ps, period)
lwmas[period] = ma.calc_lwma(ps, period)
pool = Pool(10)
t = doTrade(pool, 12, 0.15, 'SMA', 25, 'LWMA', 48, 'SMA', 160, 'SMA', 30,
'EMA', 58, 'SMA', 160)
t = doTrade(pool, 12, 0.15, 'SMA', 25, 'LWMA', 48, 'SMA', 160, 'MA', 30,
'SMA', 68, 'SMA', 100)
t = doTrade(pool, 12, 0.15, 'SMA', 25, 'EMA', 38, 'SMA', 160, 'MA', 30,
'SMA', 68, 'SMA', 100)
t = doTrade(pool, 12, 0.1, 'SMA', 25, 'EMA', 38, 'SMA', 160, 'MA', 30,
'SMA', 68, 'SMA', 100)
t = doTrade(pool, 12, 0.12, 'SMA', 25, 'EMA', 38, 'SMA', 160, 'MA', 30,
'SMA', 68, 'SMA', 100)
t = doTrade(pool, 20, 0.15, 'SMA', 25, 'LWMA', 48, 'SMA', 160, 'MA', 30,
'SMA', 68, 'SMA', 100)
t = doTrade(pool, 20, 0.1, 'SMA', 25, 'LWMA', 48, 'SMA', 160, 'MA', 30,
'SMA', 68, 'SMA', 100)
t = doTrade(pool, 20, 0.12, 'SMA', 25, 'LWMA', 48, 'SMA', 160, 'MA', 30,
'SMA', 68, 'SMA', 100)
t = doTrade(pool, 40, 0.15, 'SMA', 25, 'LWMA', 48, 'SMA', 160, 'MA', 30,
'SMA', 68, 'SMA', 100)
t = doTrade(pool, 40, 0.1, 'SMA', 25, 'LWMA', 48, 'SMA', 160, 'MA', 30,
'SMA', 68, 'SMA', 100)
t = doTrade(pool, 40, 0.12, 'SMA', 25, 'LWMA', 48, 'SMA', 160, 'MA', 30,
'SMA', 68, 'SMA', 100)
#t = doTrade(pool, 25, 1.3, 'MA', 7, 'SMA', 13, 'EMA', 31, 'SMA', 7, 'MA', 12, 'MA', 13)
pool.showStrategies()
return
log.debug('running ma strategy ...')
starttime = datetime.datetime.now()
matypes = ['MA', 'EMA', 'SMA', 'LWMA']
farr = range(5, 40)
s1arr = range(8, 80)
s2arr = range(0, 180)
poola = Pool(10)
poolb = Pool(10)
for stdPeriod in [
12,
]:
for stdGuage in [
0.15,
]:
log.debug('*** ' + str(stdPeriod) + ',' + str(stdGuage) + ' ***')
for ft, f in [(matype, period) for matype in matypes
for period in farr]:
for s1t, s1 in [(matype, period) for matype in matypes
for period in s1arr]:
if s1 != 0 and s1 <= f: continue
elapsed = (datetime.datetime.now() - starttime).seconds
log.debug('== ' + str(elapsed) + ',' + ft + '_' + str(f) +
',' + s1t + '_' + str(s1) + ' ==')
for s2t, s2 in [(matype, period) for matype in matypes
for period in s2arr]:
if s2 != 0 and s2 <= s1: continue
if s2 == 0 and (s2t == 'EMA' or s2t == 'SMA'
or s2t == 'LWMA'):
continue
doTrade(poola, stdPeriod, stdGuage, ft, f, s1t, s1,
s2t, s2, '', 0, '', 0, '', 0)
doTrade(poolb, stdPeriod, stdGuage, '', 0, '', 0, '',
0, ft, f, s1t, s1, s2t, s2)
poola.showStrategies()
poolb.showStrategies()
def runStrategy_0(in_prices):
global mas, emas, smas, std, prices
log.debug("beginning first strategy ...")
prices = in_prices
ps = [p["close"] for p in prices]
std = [0] * 51
l = len(prices)
for period in range(2, 51):
std[period] = [0] * l
for i in range(period - 1, l):
std[period][i] = round(np.std(ps[i - period + 1 : i + 1], dtype=np.float64, ddof=0), 3)
mas = [0] * 61
emas = [0] * 61
smas = [0] * 61
for period in range(2, 61):
mas[period] = ma.calc_ma(ps, period)
emas[period] = ma.calc_ema(ps, period)
smas[period] = ma.calc_sma(ps, period)
log.debug("running first strategy ...")
starttime = datetime.datetime.now()
matypes = ["MA", "EMA", "SMA"]
farr = [2, 3, 4, 5, 6, 7]
s1arr = [4, 6, 8, 10, 12, 14, 16, 18, 20]
s2arr = [0, 6, 9, 12, 15, 18, 21, 24, 27, 30, 33, 36, 39, 42, 45, 48, 51]
pool = StrategyPool(100)
for stdPeriod in [20, 30, 40]:
stdGuage = 1.0
while stdGuage <= 1.3:
maxAEquity = maxBEquity = 0
poola = StrategyPool(5)
poolb = StrategyPool(5)
for ft, f in [(matype, period) for matype in matypes for period in farr]:
for s1t, s1 in [(matype, period) for matype in matypes for period in s1arr]:
elapsed = (datetime.datetime.now() - starttime).seconds
log.debug("== " + str(elapsed) + "," + ft + "_" + str(f) + "," + s1t + "_" + str(s1) + " ==")
for s2t, s2 in [(matype, period) for matype in matypes for period in s2arr]:
if s2 != 0 and s2 < s1:
continue
if s2 == 0 and (s2t == "EMA" or s2t == "SMA"):
continue
t = doTrade(poola, stdPeriod, stdGuage, ft, f, s1t, s1, s2t, s2, "", 0, "", 0, "", 0)
if t.equity > maxAEquity:
maxAEquity = t.equity
maxEAs = [ft, f, s1t, s1, s2t, s2]
elapsed = (datetime.datetime.now() - starttime).seconds
log.info("find A time: " + str(elapsed) + " ")
poola.showStrategies()
for ft, f in [(matype, period) for matype in matypes for period in farr]:
for s1t, s1 in [(matype, period) for matype in matypes for period in s1arr]:
elapsed = (datetime.datetime.now() - starttime).seconds
log.debug("== " + str(elapsed) + "," + ft + "_" + str(f) + "," + s1t + "_" + str(s1) + " ==")
for s2t, s2 in [(matype, period) for matype in matypes for period in s2arr]:
if s2 != 0 and s2 < s1:
continue
if s2 == 0 and (s2t == "EMA" or s2t == "SMA"):
continue
t = doTrade(poolb, stdPeriod, stdGuage, "", 0, "", 0, "", 0, ft, f, s1t, s1, s2t, s2)
if t.equity > maxBEquity:
maxBEquity = t.equity
maxEBs = [ft, f, s1t, s1, s2t, s2]
elapsed = (datetime.datetime.now() - starttime).seconds
log.info("find B time: " + str(elapsed) + " ")
poolb.showStrategies()
logb.info(str(stdPeriod) + "," + str(stdGuage) + "," + str(maxAEquity) + "," + str(maxBEquity))
logb.info(str(maxEAs))
logb.info(str(maxEBs))
for i in range(5):
sa = poola.strategies[i]
sb = poolb.strategies[i]
t = doTrade(
pool,
stdPeriod,
stdGuage,
sa[0].args[2],
sa[0].args[3],
sa[0].args[4],
sa[0].args[5],
sa[0].args[6],
sa[0].args[7],
sb[0].args[8],
sb[0].args[9],
sb[0].args[10],
sb[0].args[11],
sb[0].args[12],
sb[0].args[13],
)
t.generateGraph()
pool.estimate(t)
stdGuage += 0.1
pool.showStrategies()
def runStrategy(in_prices):
global mas, emas, smas, lwmas, std, prices
log.debug('beginning one strategy ...')
prices = in_prices
ps = [p['close'] for p in prices]
std = [0] * 51
l = len(prices)
for period in range(5, 41):
std[period] = [0] * l
for i in range(period - 1, l):
std[period][i] = round(
np.std(ps[i - period + 1:i + 1], dtype=np.float64, ddof=0), 3)
mas = [0] * 181
emas = [0] * 181
smas = [0] * 181
lwmas = [0] * 181
for period in range(2, 181):
mas[period] = ma.calc_ma(ps, period)
emas[period] = ma.calc_ema(ps, period)
smas[period] = ma.calc_sma(ps, period)
lwmas[period] = ma.calc_lwma(ps, period)
#pool = StrategyPool(100)
#t = doTrade(pool, 20, 0.1, 0.2, 'SMA', 20, 'SMA', 34, 'LWMA', 40, 'SMA', 20, 'SMA', 34, 'LWMA', 120, 'MA', 20, 'SMA', 34, 'LWMA', 120)
#pool.showStrategies()
#return
log.debug('running first strategy ...')
starttime = time.time()
matypes = ['MA', 'EMA', 'SMA', 'LWMA']
#farr = [2, 3, 4, 5, 6, 7, ]
#s1arr = [4, 6, 8, 10, 12, 14, 16, 18, 20, ]
#s2arr = [0, 6, 9, 12, 15, 18, 21, 24, 27, 30, 33, 36, 39, 42, 45, 48, 51, ]
#farr = [20,]
#s1arr = [40, ]
#s2arr = [0, ]
farr = range(40, 41)[::3]
s1arr = range(4, 121)[::6]
s2arr = range(0, 181)[::15]
stdGuage1, stdGuage2 = 0.1, 0.2
pool = StrategyPool(50)
poola = StrategyPool(10)
poolb = StrategyPool(10)
poolc = StrategyPool(10)
for stdPeriod in [
20,
]:
for no in ['A', 'B', 'C']:
for ft, f in [(matype, period) for matype in matypes
for period in farr]:
for s1t, s1 in [(matype, period) for matype in matypes
for period in s1arr]:
if s1 < f: continue
elapsed = long(time.time() - starttime)
log.debug('== ' + str(elapsed) + ',' + ft + '_' + str(f) +
',' + s1t + '_' + str(s1) + ' ==')
for s2t, s2 in [(matype, period) for matype in matypes
for period in s2arr]:
if s2 != 0 and s2 <= s1: continue
if s2 == 0 and (s2t == 'EMA' or s2t == 'SMA'
or s2t == 'LWMA'):
continue
if no == 'A':
doTrade(poola, stdPeriod, stdGuage1, stdGuage2, ft,
f, s1t, s1, s2t, s2, '', 0, '', 0, '', 0,
'', 0, '', 0, '', 0)
elif no == 'B':
doTrade(poolb, stdPeriod, stdGuage1, stdGuage2, '',
0, '', 0, '', 0, ft, f, s1t, s1, s2t, s2,
'', 0, '', 0, '', 0)
elif no == 'C':
doTrade(poolc, stdPeriod, stdGuage1, stdGuage2, '',
0, '', 0, '', 0, '', 0, '', 0, '', 0, ft,
f, s1t, s1, s2t, s2)
elapsed = long(time.time() - starttime)
log.info('find ' + no + ' time: ' + str(elapsed) + ' ')
for i in range(10):
sa = poola.strategies[i]
sb = poolb.strategies[i]
sc = poolc.strategies[i]
t = doTrade(pool, stdPeriod, stdGuage1, stdGuage2, sa[0].args[0],
sa[0].args[1], sa[0].args[2], sa[0].args[3],
sa[0].args[4], sa[0].args[5], sb[0].args[6],
sb[0].args[7], sb[0].args[8], sb[0].args[9],
sb[0].args[10], sb[0].args[11], sc[0].args[12],
sc[0].args[13], sc[0].args[14], sc[0].args[15],
sc[0].args[16], sc[0].args[17])
#t.generateGraph()
pool.showStrategies()
def runStrategy(in_prices):
global mas, emas, smas, std, prices
log.debug('beginning first strategy ...')
prices = in_prices
ps = [p['close'] for p in prices]
std = [0] * 51
l = len(prices)
for period in range(2, 51):
std[period] = [0] * l
for i in range(period - 1, l):
std[period][i] = round(np.std(ps[i-period+1 : i+1], dtype=np.float64, ddof=0), 3)
mas = [0] * 61
emas = [0] * 61
smas = [0] * 61
for period in range(2, 61):
mas[period] = ma.calc_ma(ps, period)
emas[period] = ma.calc_ema(ps, period)
smas[period] = ma.calc_sma(ps, period)
pool = StrategyPool(100)
#t = doTrade(pool, 25, 1.0, 'MA', 7, 'SMA', 12, 'EMA', 31, 'SMA', 7, 'MA', 12, 'MA', 13)
t = doTrade(pool, 25, 1.3, 'MA', 7, 'SMA', 13, 'EMA', 31, 'SMA', 7, 'MA', 12, 'MA', 13)
#t = doTrade(pool, 25, 1.0, 'MA', 7, 'SMA', 13, 'EMA', 26, 'SMA', 7, 'MA', 12, 'MA', 13)
#t = doTrade(pool, 25, 1.0, 'MA', 7, 'SMA', 12, 'EMA', 26, 'SMA', 7, 'MA', 12, 'MA', 13)
#
#t = doTrade(pool, 25, 1.1, 'MA', 7, 'SMA', 12, 'EMA', 31, 'SMA', 7, 'MA', 12, 'MA', 13)
#t = doTrade(pool, 25, 1.1, 'MA', 7, 'SMA', 13, 'EMA', 31, 'SMA', 7, 'MA', 12, 'MA', 13)
#t = doTrade(pool, 25, 1.1, 'MA', 7, 'SMA', 13, 'EMA', 26, 'SMA', 7, 'MA', 12, 'MA', 13)
#t = doTrade(pool, 25, 1.1, 'MA', 7, 'SMA', 12, 'EMA', 26, 'SMA', 7, 'MA', 12, 'MA', 13)
#
#t = doTrade(pool, 25, 1.2, 'MA', 7, 'SMA', 12, 'EMA', 31, 'SMA', 7, 'MA', 12, 'MA', 13)
#t = doTrade(pool, 25, 1.2, 'MA', 7, 'SMA', 13, 'EMA', 31, 'SMA', 7, 'MA', 12, 'MA', 13)
#t = doTrade(pool, 25, 1.2, 'MA', 7, 'SMA', 13, 'EMA', 26, 'SMA', 7, 'MA', 12, 'MA', 13)
#t = doTrade(pool, 25, 1.2, 'MA', 7, 'SMA', 12, 'EMA', 26, 'SMA', 7, 'MA', 12, 'MA', 13)
#
#t = doTrade(pool, 25, 1.3, 'MA', 7, 'SMA', 12, 'EMA', 31, 'SMA', 7, 'MA', 12, 'MA', 13)
#t = doTrade(pool, 25, 1.3, 'MA', 7, 'SMA', 13, 'EMA', 31, 'SMA', 7, 'MA', 12, 'MA', 13)
#t = doTrade(pool, 25, 1.3, 'MA', 7, 'SMA', 13, 'EMA', 26, 'SMA', 7, 'MA', 12, 'MA', 13)
#t = doTrade(pool, 25, 1.3, 'MA', 7, 'SMA', 12, 'EMA', 26, 'SMA', 7, 'MA', 12, 'MA', 13)
#t = doTrade(pool, 25, 1.0, 'MA', 7, 'SMA', 13, 'EMA', 26, 'SMA', 7, 'MA', 12, 'MA', 12)
pool.showStrategies()
return
log.debug('running first strategy ...')
starttime = datetime.datetime.now()
matypes = ['MA', 'EMA', 'SMA']
#farr = [2, 3, 4, 5, 6, 7, ]
#s1arr = [4, 6, 8, 10, 12, 14, 16, 18, 20, ]
#s2arr = [0, 6, 9, 12, 15, 18, 21, 24, 27, 30, 33, 36, 39, 42, 45, 48, 51, ]
farr = [2,]
s1arr = [4, ]
s2arr = [0, ]
pool = StrategyPool(100)
for stdPeriod in [20, ]:
stdGuage = 0.5
for stdGuage in [1.3, ]:
maxAEquity = maxBEquity = 0
poola = StrategyPool(5)
poolb = StrategyPool(5)
for ft, f in [(matype, period) for matype in matypes for period in farr]:
for s1t, s1 in [(matype, period) for matype in matypes for period in s1arr]:
elapsed = (datetime.datetime.now() - starttime).seconds
log.debug('== ' + str(elapsed) + ',' + ft + '_' + str(f) + ',' + s1t + '_' + str(s1) + ' ==')
for s2t, s2 in [(matype, period) for matype in matypes for period in s2arr]:
if s2 != 0 and s2 < s1: continue
if s2 == 0 and (s2t == 'EMA' or s2t == 'SMA'): continue
t = doTrade(poola, stdPeriod, stdGuage, ft, f, s1t, s1, s2t, s2, '', 0, '', 0, '', 0)
if t.equity > maxAEquity:
maxAEquity = t.equity
maxEAs = [ft, f, s1t, s1, s2t, s2]
elapsed = (datetime.datetime.now() - starttime).seconds
log.info('find A time: ' + str(elapsed) + ' ')
#poola.showStrategies()
for ft, f in [(matype, period) for matype in matypes for period in farr]:
for s1t, s1 in [(matype, period) for matype in matypes for period in s1arr]:
elapsed = (datetime.datetime.now() - starttime).seconds
log.debug('== ' + str(elapsed) + ',' + ft + '_' + str(f) + ',' + s1t + '_' + str(s1) + ' ==')
for s2t, s2 in [(matype, period) for matype in matypes for period in s2arr]:
if s2 != 0 and s2 < s1: continue
if s2 == 0 and (s2t == 'EMA' or s2t == 'SMA'): continue
t = doTrade(poolb, stdPeriod, stdGuage, '', 0, '', 0, '', 0, ft, f, s1t, s1, s2t, s2)
if t.equity > maxBEquity:
maxBEquity = t.equity
maxEBs = [ft, f, s1t, s1, s2t, s2]
elapsed = (datetime.datetime.now() - starttime).seconds
log.info('find B time: ' + str(elapsed) + ' ')
#poolb.showStrategies()
logb.info(str(stdPeriod) + ',' + str(stdGuage) + ',' + str(maxAEquity) + ',' + str(maxBEquity))
logb.info(str(maxEAs))
logb.info(str(maxEBs))
for i in range(5):
sa = poola.strategies[i]
sb = poolb.strategies[i]
t = doTrade(pool, stdPeriod, stdGuage, sa[0].args[2], sa[0].args[3], sa[0].args[4], sa[0].args[5], sa[0].args[6], sa[0].args[7], sb[0].args[8], sb[0].args[9], sb[0].args[10], sb[0].args[11], sb[0].args[12], sb[0].args[13])
t.generateGraph()
#pool.estimate(t)
#stdGuage += 0.1
pool.showStrategies()
def runStrategy_1(in_prices):
global mas, emas, smas, std, prices
log.debug("beginning first strategy ...")
prices = in_prices
ps = [p["close"] for p in prices]
std = [0] * 51
l = len(prices)
for period in range(2, 51):
std[period] = [0] * l
for i in range(period - 1, l):
std[period][i] = round(np.std(ps[i - period + 1 : i + 1], dtype=np.float64, ddof=0), 3)
mas = [0] * 61
emas = [0] * 61
smas = [0] * 61
for period in range(2, 61):
mas[period] = ma.calc_ma(ps, period)
emas[period] = ma.calc_ema(ps, period)
smas[period] = ma.calc_sma(ps, period)
log.debug("running first strategy ...")
starttime = datetime.datetime.now()
strat_as = [
["MA", 6, "SMA", 14, "EMA", 39],
["MA", 7, "SMA", 10, "SMA", 12],
["MA", 7, "SMA", 12, "EMA", 18],
["MA", 7, "SMA", 12, "MA", 27],
["MA", 7, "SMA", 12, "SMA", 12],
["MA", 7, "SMA", 14, "EMA", 27],
["MA", 7, "SMA", 14, "EMA", 30],
["MA", 7, "SMA", 14, "EMA", 33],
["MA", 7, "SMA", 14, "EMA", 45],
["MA", 7, "SMA", 14, "MA", 27],
["MA", 7, "SMA", 14, "SMA", 15],
["MA", 7, "SMA", 14, "SMA", 30],
["MA", 7, "SMA", 16, "EMA", 24],
["MA", 7, "SMA", 16, "EMA", 27],
["MA", 7, "SMA", 16, "EMA", 30],
["MA", 7, "SMA", 16, "MA", 30],
]
strat_bs = [
["EMA", 3, "EMA", 16, "MA", 42],
["EMA", 3, "EMA", 16, "MA", 45],
["EMA", 6, "SMA", 6, "MA", 30],
["EMA", 7, "MA", 4, "EMA", 51],
["MA", 6, "SMA", 16, "EMA", 45],
["MA", 6, "SMA", 18, "MA", 36],
["MA", 6, "SMA", 20, "MA", 36],
["MA", 6, "SMA", 20, "MA", 39],
["MA", 7, "EMA", 18, "EMA", 45],
["MA", 7, "SMA", 12, "EMA", 42],
["MA", 7, "SMA", 12, "SMA", 21],
["MA", 7, "SMA", 14, "EMA", 42],
["MA", 7, "SMA", 14, "MA", 45],
["MA", 7, "SMA", 14, "SMA", 21],
["SMA", 2, "EMA", 16, "MA", 42],
["SMA", 4, "MA", 4, "EMA", 51],
["SMA", 5, "MA", 4, "MA", 15],
["SMA", 5, "MA", 6, "MA", 42],
["SMA", 6, "EMA", 10, "MA", 36],
["SMA", 6, "MA", 12, "MA", 12],
["SMA", 7, "MA", 12, "EMA", 18],
["SMA", 7, "MA", 12, "EMA", 27],
["SMA", 7, "MA", 12, "EMA", 36],
["SMA", 7, "MA", 12, "EMA", 45],
["SMA", 7, "MA", 12, "EMA", 48],
["SMA", 7, "MA", 12, "MA", 12],
["SMA", 7, "MA", 12, "MA", 18],
["SMA", 7, "MA", 12, "MA", 33],
["SMA", 7, "MA", 12, "MA", 36],
["SMA", 7, "MA", 12, "MA", 51],
["SMA", 7, "MA", 12, "SMA", 15],
]
pool = StrategyPool(100)
for stdPeriod in [5, 8, 10, 12, 15, 18, 19, 20, 21, 22, 25, 30, 32, 34, 38, 40]:
stdGuage = 0.6
while stdGuage <= 2:
elapsed = (datetime.datetime.now() - starttime).seconds
log.debug("== " + str(elapsed) + "," + str(stdPeriod) + "," + str(stdGuage) + " ==")
for sa in strat_as:
for sb in strat_bs:
doTrade(
pool,
stdPeriod,
stdGuage,
sa[0],
sa[1],
sa[2],
sa[3],
sa[4],
sa[5],
sb[0],
sb[1],
sb[2],
sb[3],
sb[4],
sb[5],
)
stdGuage += 0.1
pool.showStrategies()
return