def SimpleMA(seriesName, sig_index, short_win, long_win):
#Read in data and setup object
dbpath = "/home/phcostello/Documents/Data/FinanceData.sqlite"
the_data_reader = dr.DBReader(dbpath)
series_data = the_data_reader.readSeries(seriesName)
d1 = datetime.datetime(2009,6,1).date()
d2 = datetime.datetime(2012,1,1).date()
#d2 = datetime.datetime.now().date()
series_data = series_data[d1:d2]
#Filter on index we want to look at, e.g 'Open', 'Adj_Close'
series_data = pd.DataFrame(series_data[sig_index])
#Construct data object for pairs trading strat
#sma_md = md.simple_ma_md(series_data)
sma_md = md.exponential_ma_md(series_data)
# sma_md.generateTradeSig( seriesName = seriesName,
# sig_index=sig_index,
# short_win=short_win,
# long_win=long_win)
sma_md.generateTradeSig( seriesName = seriesName,
sig_index=sig_index,
short_win=short_win,
long_win=long_win)
#Setup portfolio
simpleEmptyTrade = td.TradeEquity(seriesName,
notional=0,
price_series_label=sig_index)
port = pf.Portfolio("portfolio", cashAmt=100)
port.add_trade(simpleEmptyTrade)
#No more trade types
port.fixed_toggle()
#Setup Strategy
strat = tsc.MA_Trade_Strategy()
#return pairsStrat
tic = time.clock()
strat.run_strategy(sma_md,port)
toc = time.clock()
print "strategy took {} seconds to run".format(toc - tic)
outfile = open("pickled_sma2.pkl", 'wb')
pickle.dump(strat,outfile)
outfile.close()
def setup_strategy(pars):
short_win = pars[0]
long_win = pars[1]
sma_md = md.exponential_ma_md(series_data)
sma_md.generateTradeSig( seriesName = seriesName,
sig_index=sig_index,
short_win=short_win,
long_win=long_win)
#Setup portfolio
simpleEmptyTrade = td.TradeEquity(seriesName,
notional=0,
price_series_label=sig_index)
port = pf.Portfolio("portfolio", cashAmt=1)
port.add_trade(simpleEmptyTrade)
#No more trade types
port.fixed_toggle()
#Setup Strategy
strat = tsc.MA_Trade_Strategy()
return sma_md, port, strat
#Change Date Range
d1 = datetime(2012,1,1).date()
d2 = datetime(2012,6,1).date()
data = dataFull.loc[d1:d2]
print data.head()
#Generate trade sigs for simple moving average
sma = md.simple_ma_md(data)
sma.generateTradeSig('AAPL',
'Adj_Close',
short_win = 10,
long_win = 20)
sma.plot()
#Generate trade sigs for exponentially weighted moving ave
ema = md.exponential_ma_md(data)
ema.generateTradeSig('AAPL',
'Adj_Close',
short_span = 10,
long_span = 20)
ema.plot()
#Do something with pairs trades. Should add something about data downloading panels
plt.show()
