def ma_mem_error_test(column_names):
sma_dates = [1, 2]
sma_data = [11, 12]
sma_df = DataFrame(data={"Test": sma_data}, index=sma_dates)
sma_df.index.name = "Date"
try:
SMA(sma_df, 3, column_names).result
except CalculableError as e:
assert True
def combined_ind(df,
symbol="JPM",
sd=dt.datetime(2008, 1, 1),
ed=dt.datetime(2009, 12, 31),
window=10):
mome10 = momentum(df, symbol, window=10)[1]
SMA20, div20 = SMA(df, symbol, window=20)[1:]
bb_ind20 = bol_bands(df, symbol, window=20)[3]
#print mome10
mome10 = mome10 / mome10.iloc[10]
div20 = div20 / div20.iloc[19]
bb_ind20 = bb_ind20 / bb_ind20.iloc[19]
#print momentum1
short_entries = []
short_exits = []
long_entries = []
long_exits = []
signals = []
entry = False
for i in range(len(df.index)):
if mome10[i - 1] > 3.0 and mome10[i] < 2.8 and div20[
i] < 1.5 and bb_ind20[i] < 1.0 and not entry:
short_entries.append(df.index[i])
entry = True
signals.append([str(df.index[i]).split()[0], 'BUY'])
if mome10[
i -
1] < -2.0 and div20[i] > 0.5 and bb_ind20[i] > -1.0 and entry:
short_exits.append(df.index[i])
entry = False
signals.append([str(df.index[i]).split()[0], 'SELL'])
if mome10[i - 1] < -6.0 and mome10[i] > -6.0 and div20[
i] < 1.5 and bb_ind20[i] < 1.0 and not entry:
long_entries.append(df.index[i])
entry = True
signals.append([str(df.index[i]).split()[0], 'BUY'])
if mome10[i - 1] > 5.0 and mome10[
i -
1] < 5.0 and div20[i] > 0.5 and bb_ind20[i] > -1.0 and entry:
long_exits.append(df.index[i])
entry = False
signals.append([str(df.index[i]).split()[0], 'SELL'])
ordersfile = open(
'combined_indicator_order_{}_{}.csv'.format(
str(sd).split()[0],
str(ed).split()[0]), 'w')
ordersfile.write("Date,Symbol,Order,Shares\n")
for signal in signals:
ordersfile.write("%s,%s,%s,1000\n" % (signal[0], symbol, signal[1]))
ordersfile.close()
df[symbol] = df[symbol] / df[symbol].iloc[0]
ax = df[symbol].plot(title='Combined_ind', label=symbol)
mome10.plot(label='Mome10', ax=ax)
div20.plot(label='Div20', ax=ax)
bb_ind20.plot(label='bb_ind20', ax=ax)
ymin, ymax = ax.get_ylim()
plt.vlines(long_entries, ymin, ymax, color='g')
plt.vlines(long_exits, ymin, ymax)
plt.vlines(short_entries, ymin, ymax, color='r')
plt.vlines(short_exits, ymin, ymax)
ax.legend(loc='lower right')
plt.savefig('combined_ind_{}_{}.png'.format(
str(sd).split()[0],
str(ed).split()[0]))
plt.close('all')
#plt.show()
return long_entries, long_exits, short_entries, short_exits