def main(plot):
instrument = "yhoo"
bBandsPeriod = 40
# Download the bars.
feed = quandl.build_feed("WIKI", [instrument], 2011, 2012, ".")
strat = BBands(feed, instrument, bBandsPeriod)
sharpeRatioAnalyzer = sharpe.SharpeRatio()
strat.attachAnalyzer(sharpeRatioAnalyzer)
if plot:
plt = plotter.StrategyPlotter(strat, True, True, True)
plt.getInstrumentSubplot(instrument).addDataSeries(
"upper",
strat.getBollingerBands().getUpperBand())
plt.getInstrumentSubplot(instrument).addDataSeries(
"middle",
strat.getBollingerBands().getMiddleBand())
plt.getInstrumentSubplot(instrument).addDataSeries(
"lower",
strat.getBollingerBands().getLowerBand())
strat.run()
print("Sharpe ratio: %.2f" % sharpeRatioAnalyzer.getSharpeRatio(0.05))
if plot:
plt.plot()
def main(plot):
instruments = ["GORO"]
# Download GORO bars using WIKI source code.
feed = quandl.build_feed("WIKI", instruments, 2006, 2012, ".")
# Load Quandl CSV downloaded from http://www.quandl.com/OFDP-Open-Financial-Data-Project/GOLD_2-LBMA-Gold-Price-London-Fixings-P-M
quandlFeed = csvfeed.Feed("Date", "%Y-%m-%d")
quandlFeed.setDateRange(datetime.datetime(2006, 1, 1),
datetime.datetime(2012, 12, 31))
quandlFeed.addValuesFromCSV("quandl_gold_2.csv")
myStrategy = MyStrategy(feed, quandlFeed, instruments[0])
if plot:
plt = plotter.StrategyPlotter(myStrategy, True, False, False)
plt.getOrCreateSubplot("quandl").addDataSeries("USD",
quandlFeed["USD"])
plt.getOrCreateSubplot("quandl").addDataSeries("EUR",
quandlFeed["EUR"])
plt.getOrCreateSubplot("quandl").addDataSeries("GBP",
quandlFeed["GBP"])
myStrategy.run()
if plot:
plt.plot()
def testInvalidInstrument(self):
instrument = "inexistent"
# Don't skip errors.
with self.assertRaisesRegex(Exception, "404 Client Error: Not Found"):
with common.TmpDir() as tmpPath:
quandl.build_feed(
instrument, [instrument], 2010, 2010, tmpPath, bar.Frequency.WEEK,
authToken=QUANDL_API_KEY
)
# Skip errors.
with common.TmpDir() as tmpPath:
bf = quandl.build_feed(
instrument, [instrument], 2010, 2010, tmpPath, bar.Frequency.WEEK, skipErrors=True,
authToken=QUANDL_API_KEY
)
bf.loadAll()
self.assertNotIn(instrument, bf)
def main(plot):
instruments = ["IBM", "AES", "AIG"]
feed = quandl.build_feed("WIKI", instruments, 2008, 2009, ".")
predicate = BuyOnGap(feed)
eventProfiler = eventprofiler.Profiler(predicate, 5, 5)
eventProfiler.run(feed, True)
results = eventProfiler.getResults()
print("%d events found" % (results.getEventCount()))
if plot:
eventprofiler.plot(results)
def testNoAdjClose(self):
with common.TmpDir() as tmpPath:
columnNames = {
"open": "Last",
"close": "Last",
"adj_close": None
}
bf = quandl.build_feed(
"BITSTAMP", ["USD"], 2014, 2014, tmpPath, columnNames=columnNames,
authToken=QUANDL_API_KEY
)
bf.loadAll()
self.assertFalse(bf.barsHaveAdjClose())
self.assertEqual(bf["USD"][-1].getAdjClose(), None)
def testBuildFeedDaily(self):
with common.TmpDir() as tmpPath:
instrument = "ORCL"
bf = quandl.build_feed("WIKI", [instrument], 2010, 2010, tmpPath, authToken=QUANDL_API_KEY)
bf.loadAll()
self.assertEqual(bf[instrument][-1].getDateTime(), datetime.datetime(2010, 12, 31))
self.assertEqual(bf[instrument][-1].getOpen(), 31.22)
self.assertEqual(bf[instrument][-1].getHigh(), 31.33)
self.assertEqual(bf[instrument][-1].getLow(), 30.93)
self.assertEqual(bf[instrument][-1].getClose(), 31.3)
self.assertEqual(bf[instrument][-1].getVolume(), 11716300)
self.assertEqual(bf[instrument][-1].getPrice(), 31.3)
# Not checking against a specific value since this is going to change
# as time passes by.
self.assertNotEqual(bf[instrument][-1].getAdjClose(), None)
def testExtraColumns(self):
with common.TmpDir() as tmpPath:
columnNames = {
"open": "Last",
"close": "Last"
}
bf = quandl.build_feed(
"BITSTAMP", ["USD"], 2014, 2014, tmpPath, columnNames=columnNames,
authToken=QUANDL_API_KEY
)
bf.loadAll()
self.assertEqual(len(bf["USD"][-1].getExtraColumns()), 3)
self.assertEqual(bf["USD"][-1].getExtraColumns()["Bid"], 319.19)
self.assertEqual(bf["USD"][-1].getExtraColumns()["Ask"], 319.63)
bids = bf["USD"].getExtraDataSeries("Bid")
self.assertEqual(bids[-1], 319.19)
def testBuildFeedDailyCreatingDir(self):
tmpPath = tempfile.mkdtemp()
shutil.rmtree(tmpPath)
try:
instrument = "ORCL"
bf = quandl.build_feed("WIKI", [instrument], 2010, 2010, tmpPath, authToken=QUANDL_API_KEY)
bf.loadAll()
self.assertEqual(bf[instrument][-1].getDateTime(), datetime.datetime(2010, 12, 31))
self.assertEqual(bf[instrument][-1].getOpen(), 31.22)
self.assertEqual(bf[instrument][-1].getHigh(), 31.33)
self.assertEqual(bf[instrument][-1].getLow(), 30.93)
self.assertEqual(bf[instrument][-1].getClose(), 31.3)
self.assertEqual(bf[instrument][-1].getVolume(), 11716300)
self.assertEqual(bf[instrument][-1].getPrice(), 31.3)
# Not checking against a specific value since this is going to change
# as time passes by.
self.assertNotEqual(bf[instrument][-1].getAdjClose(), None)
finally:
shutil.rmtree(tmpPath)
def main(plot):
instrument = "AAPL"
smaPeriod = 163
# Download the bars.
feed = quandl.build_feed("WIKI", [instrument], 2011, 2012, ".")
strat = sma_crossover.SMACrossOver(feed, instrument, smaPeriod)
sharpeRatioAnalyzer = sharpe.SharpeRatio()
strat.attachAnalyzer(sharpeRatioAnalyzer)
if plot:
plt = plotter.StrategyPlotter(strat, True, False, True)
plt.getInstrumentSubplot(instrument).addDataSeries(
"sma", strat.getSMA())
strat.run()
print("Sharpe ratio: %.2f" % sharpeRatioAnalyzer.getSharpeRatio(0.05))
if plot:
plt.plot()
def main(plot):
instrument = "AAPL"
vwapWindowSize = 5
threshold = 0.01
# Download the bars.
feed = quandl.build_feed("WIKI", [instrument], 2011, 2012, ".")
strat = VWAPMomentum(feed, instrument, vwapWindowSize, threshold)
sharpeRatioAnalyzer = sharpe.SharpeRatio()
strat.attachAnalyzer(sharpeRatioAnalyzer)
if plot:
plt = plotter.StrategyPlotter(strat, True, False, True)
plt.getInstrumentSubplot(instrument).addDataSeries("vwap", strat.getVWAP())
strat.run()
print("Sharpe ratio: %.2f" % sharpeRatioAnalyzer.getSharpeRatio(0.05))
if plot:
plt.plot()
def testMapColumnNames(self):
column_names = {
"open": "Price",
"close": "Price",
}
with common.TmpDir() as tmpPath:
instrument = "IWG"
year = 2017
bf = quandl.build_feed(
"LSE", [instrument], year, year, tmpPath, columnNames=column_names, skipMalformedBars=True,
authToken=QUANDL_API_KEY
)
bf.setNoAdjClose()
bf.loadAll()
self.assertEqual(bf[instrument][0].getDateTime(), datetime.datetime(year, 1, 3))
self.assertEqual(bf[instrument][0].getOpen(), 237.80)
self.assertEqual(bf[instrument][0].getHigh(), 247.00)
self.assertEqual(bf[instrument][0].getLow(), 236.30)
self.assertEqual(bf[instrument][0].getClose(), 237.80)
self.assertEqual(bf[instrument][0].getVolume(), 3494173)
self.assertEqual(bf[instrument][0].getAdjClose(), None)
self.assertEqual(bf[instrument][0].getPrice(), 237.80)
def testBuildFeedWeekly(self):
with common.TmpDir() as tmpPath:
instrument = "AAPL"
bf = quandl.build_feed(
"WIKI", [instrument], 2010, 2010, tmpPath, bar.Frequency.WEEK,
authToken=QUANDL_API_KEY
)
bf.loadAll()
# Quandl used to report 2010-1-3 as the first week of 2010.
self.assertTrue(
bf[instrument][0].getDateTime() in [datetime.datetime(2010, 1, 3), datetime.datetime(2010, 1, 10)]
)
self.assertEqual(bf[instrument][-1].getDateTime(), datetime.datetime(2010, 12, 26))
self.assertEqual(bf[instrument][-1].getOpen(), 325.0)
self.assertEqual(bf[instrument][-1].getHigh(), 325.15)
self.assertEqual(bf[instrument][-1].getLow(), 323.17)
self.assertEqual(bf[instrument][-1].getClose(), 323.6)
self.assertEqual(bf[instrument][-1].getVolume(), 7969900)
self.assertEqual(bf[instrument][-1].getPrice(), 323.6)
# Not checking against a specific value since this is going to change
# as time passes by.
self.assertNotEqual(bf[instrument][-1].getAdjClose(), None)
