def run_csv_gen(sec_dict, invs_res, output_dir, verbose=False):
ctr = 0
assert output_dir != None
output_dir = invs_utils.rp(output_dir)
if not os.path.isdir(output_dir):
print("{} doesn't exist. Creating it now !!".format(output_dir))
os.makedirs(output_dir)
# endif
print('Output dir = {}'.format(output_dir))
# Iterate over all security dict
for sec_code in sec_dict.keys():
# Fetch data
d_this = invs_core.fetch_data(sec_dict[sec_code]['ticker'], invs_res, verbose=verbose)
sec_name = sec_dict[sec_code]['name']
# If dataframe is empty, continue
if d_this.empty:
continue
# endif
# Set time axis as index
d_this = d_this.set_index('t')
# save to CSV file
csv_file_this = output_dir + '/{}_{}.csv'.format(sec_name.replace(' ', '_'), invs_res)
print('{}. CSV Report for {}'.format(ctr, coloritf(sec_name, 'magenta')))
d_this.to_csv(csv_file_this)
ctr = ctr + 1
# endfor
# Write to csv file
print(coloritf('--------------------- REPORT END --------------------------------', 'green'))
def run_csv_gen(sec_dict, res, plots_dir):
ctr2 = 0
csv_rep_list = []
strategy_name = 'csvgen'
if plots_dir:
# Other things
plots_dir = os.path.expanduser(plots_dir)
if not os.path.isdir(plots_dir):
print("{} doesn't exist. Creating it now !!".format(plots_dir))
os.makedirs(plots_dir)
# endif
print('Plots dir = {}'.format(plots_dir))
else:
print('plots_dir cannot be None')
sys.exit(-1)
# endif
print('Running {} strategy.'.format(strategy_name))
print(
Fore.GREEN +
'--------------------- GENERATING REPORT --------------------------------'
+ Fore.RESET)
# Iterate over all security dict
for sec_code in sec_dict.keys():
logging.debug("{} : Running {} strategy over {}".format(
ctr2, strategy_name, sec_code))
# Fetch data
d_this = invs_core.fetch_data(sec_dict[sec_code]['ticker'], res)
sec_name = sec_dict[sec_code]['name']
# If dataframe is empty, continue
if d_this.empty:
continue
# endif
# Set time axis as index
d_this = d_this.set_index('t')
# save to CSV file
csv_file_this = plots_dir + '/{}_{}.csv'.format(
sec_name.replace(' ', '_'), res)
print('{}. CSV Report for {}'.format(
ctr2, Fore.MAGENTA + sec_name + Fore.RESET))
d_this.to_csv(csv_file_this)
ctr2 = ctr2 + 1
# endfor
# Write to csv file
print(Fore.GREEN +
'--------------------- REPORT END --------------------------------' +
Fore.RESET)
def run_scanner_sec_supp_res(sec_dict,
res='1m',
rep_file=None,
disp_levels=True,
ema_period=9,
n_samples=200):
ctr2 = 0
csv_rep_list = []
strategy_name = 'suppresgen'
header_l = ['Name', 'supp_res_v']
csv_report_file = '~/csv_report_stats_{}.csv'.format(datetime.datetime.now(
).date().isoformat()) if rep_file == None else rep_file
print('Running {} strategy.'.format(strategy_name))
print('ema_period = {}'.format(ema_period))
print('n_samples = {}'.format(n_samples))
print(
Fore.GREEN +
'--------------------- GENERATING REPORT --------------------------------'
+ Fore.RESET)
# Add header
csv_rep_list.append(header_l)
# Iterate over all security dict
for sec_code in sec_dict.keys():
logging.debug("{} : Running {} strategy over {}".format(
ctr2, strategy_name, sec_code))
# Fetch data
d_this = invs_core.fetch_data(sec_dict[sec_code]['ticker'], res)
sec_name = sec_dict[sec_code]['name']
# Calculate stats
sr_list = invs_tools.supp_res(d_this,
ema_period=ema_period,
n_samples=n_samples)
srd_list = sr_list.diff()
sr_mean = srd_list.mean()
sr_med = srd_list.median()
# Print stats
sec_name_c = Fore.MAGENTA + sec_name + Fore.RESET
print('{}. {:<50}, suppres={:.2f}-{:.2f}'.format(
ctr2, sec_name_c, sr_mean, sr_med))
if disp_levels:
print('** Levels : {}'.format(
Fore.YELLOW +
','.join(['{0:.2f}'.format(x)
for x in sr_list.tolist()]) + Fore.RESET))
# endif
csv_rep_list.append([sec_name, sr_mean])
ctr2 = ctr2 + 1
# endfor
# Write to csv file
print(Fore.GREEN +
'--------------------- REPORT END --------------------------------' +
Fore.RESET)
print('Writing report file to {}'.format(csv_report_file))
with open(os.path.expanduser(csv_report_file), 'w') as f_out:
csv_writer = csv.writer(f_out,
delimiter=',',
quotechar='|',
quoting=csv.QUOTE_MINIMAL)
for item_this in csv_rep_list:
csv_writer.writerow(item_this)
# endfor
# endwith
return csv_report_file
def run_scanner_sec_stats(sec_dict, res='1m', rep_file=None):
ctr2 = 0
csv_rep_list = []
strategy_name = 'calc_stats'
header_l = [
'Name', 'price_spike(nearness)', 'price_spike2(fluctuation)',
'vol_spike'
]
csv_report_file = '~/csv_report_stats_{}.csv'.format(datetime.datetime.now(
).date().isoformat()) if rep_file == None else rep_file
print('Running {} strategy.'.format(strategy_name))
print(
Fore.GREEN +
'--------------------- GENERATING REPORT --------------------------------'
+ Fore.RESET)
# Add header
csv_rep_list.append(header_l)
# Iterate over all security dict
for sec_code in sec_dict.keys():
logging.debug("{} : Running {} strategy over {}".format(
ctr2, strategy_name, sec_code))
# Fetch data
d_this = invs_core.fetch_data(sec_dict[sec_code]['ticker'], res)
sec_name = sec_dict[sec_code]['name']
# Calculate stats
# Av d
dhlc_a = (d_this['h'] + d_this['l'] + d_this['c']) / 3
dhlc_ra = dhlc_a.ewm(span=9).mean()
dhlc_rad = (dhlc_a - dhlc_ra) / dhlc_ra
dhlc_m = dhlc_rad.max()
# Spike 2
dhlc_raa = dhlc_ra.ewm(span=9).mean()
dhlc_raad = (dhlc_ra - dhlc_raa) / dhlc_raa
dhlc_m2 = dhlc_raad.mean()
# Vol spike
dhlc_r00 = dhlc_ra / dhlc_ra.shift(5)
dhlc_r01 = dhlc_r00[::5]
dhlc_r02 = abs(np.log(dhlc_r01.mean()))
# Print stats
sec_name_c = Fore.GREEN + sec_name + Fore.RESET
print(
'{}. {:<50}, price_spike={}, price_spike2={}, vol_spike={}'.format(
ctr2, sec_name_c, dhlc_m, dhlc_m2, dhlc_r02))
csv_rep_list.append([sec_name, dhlc_m, dhlc_m2, dhlc_r02])
ctr2 = ctr2 + 1
# endfor
# Write to csv file
print(Fore.GREEN +
'--------------------- REPORT END --------------------------------' +
Fore.RESET)
print('Writing report file to {}'.format(csv_report_file))
with open(os.path.expanduser(csv_report_file), 'w') as f_out:
csv_writer = csv.writer(f_out,
delimiter=',',
quotechar='|',
quoting=csv.QUOTE_MINIMAL)
for item_this in csv_rep_list:
csv_writer.writerow(item_this)
# endfor
# endwith
return csv_report_file
def graph_generator(sec_dict,
res='1W',
plots_dir=None,
plot_period=None,
fig_ratio=1.0):
g_graphs_dir = '/graphs/'
ctr = 0
if plots_dir:
# Other things
plots_dir = os.path.expanduser(plots_dir)
if not os.path.isdir(plots_dir):
print("{} doesn't exist. Creating it now !!".format(plots_dir))
os.makedirs(plots_dir)
os.makedirs(plots_dir + g_graphs_dir)
# endif
print('Plots dir = {}'.format(plots_dir))
# endif
period_list = []
period_list = period_list + [
opt_args['ema_period0']
] if 'ema_period0' in opt_args else period_list
period_list = period_list + [
opt_args['ema_period1']
] if 'ema_period1' in opt_args else period_list
period_list = period_list + [
opt_args['ema_period2']
] if 'ema_period2' in opt_args else period_list
print('Running graph_generator strategy')
print(Fore.GREEN +
'-----------------------------------------------------' + Fore.RESET)
# Iterate over all security dict
for sec_code in sec_dict.keys():
# Fetch data
d_this = invs_core.fetch_data(sec_dict[sec_code]['ticker'], res)
# Print
sec_name = Fore.GREEN + sec_dict[sec_code]['name'] + Fore.RESET
sys.stdout.write('{}. graph_generator : {}\n'.format(ctr, sec_name))
sys.stdout.flush()
ctr = ctr + 1
# If dataframe is empty, continue
if d_this.empty:
continue
# endif
# Save plot
if plots_dir:
pic_name = plots_dir + g_graphs_dir + sec_dict[sec_code][
'name'].replace(' ', '_') + '.png'
invs_plot.gen_candlestick(d_this,
period_list=period_list,
title=sec_dict[sec_code]['name'],
plot_period=plot_period,
file_name=pic_name,
fig_ratio=fig_ratio,
plot_volume=False)
# endif
# endfor
print(Fore.GREEN +
'-----------------------------------------------------' + Fore.RESET)
def run_stretegy_over_all_securities(sec_dict,
lag=30,
res='1W',
strategy_name="ema_crossover",
plots_dir=None,
rep_file=None,
plot_monthly=False,
plot_period=100,
opt_args={}):
csv_report_file = '~/csv_report_security_list_{}.csv'.format(
datetime.datetime.now().date().isoformat(
)) if rep_file == None else rep_file
csv_rep_list = []
g_graphs_dir = '/graphs/'
# Headers
header_l = [
'Name', 'Switch Direction', 'Time Delta', 'Peek to Trough %', 'Price',
'Volume Up'
]
# set default value of plot_period
plot_period = plot_period if plot_period else 100
if plots_dir:
# Add header
header_l = header_l + ['Graph']
# Other things
plots_dir = os.path.expanduser(plots_dir)
csv_report_file = plots_dir + '/' + os.path.basename(csv_report_file)
# Make dirs
os.makedirs(plots_dir, exist_ok=True)
os.makedirs(plots_dir + g_graphs_dir, exist_ok=True)
print('Plots dir = {}'.format(plots_dir))
# endif
# Start scan
if strategy_name == "ema_crossover":
sec_list = []
ctr = 0
ctr2 = 0
# Add csv headers
csv_rep_list.append(header_l)
# Hyper parameters
fast_period = get_arg(opt_args, 'ema_fast_period', 14)
slow_period = get_arg(opt_args, 'ema_slow_period', 21)
volume_lag = get_arg(opt_args, 'volume_lag', 10)
opt_period = None if 'ema_opt_period' not in opt_args else opt_args[
'ema_opt_period']
period_list = [fast_period, slow_period]
period_list = period_list if opt_period == None else period_list + [
opt_period
]
print('Running {} strategy using lag={} & period_list={}'.format(
strategy_name, lag, period_list))
print(
Fore.MAGENTA +
'Peak to trough percentage has meaning only when trend is down to up !!'
+ Fore.RESET)
print(
Fore.GREEN +
'--------------------- GENERATING REPORT --------------------------------'
+ Fore.RESET)
# Iterate over all security dict
for sec_code in sec_dict.keys():
ctr2 = ctr2 + 1
logging.debug("{} : Running {} strategy over {}".format(
ctr2, strategy_name, sec_code))
# NOTE: Don't know what the hell I am calculating using these.
# They need to be reviewed
def _c_up(d):
return (d['c'].max() - dindx(d, 'c', -1)) / dindx(d, 'c', -1)
# enddef
def _c_dwn(d):
return (dindx(d, 'c', -1) - d['c'].min()) / dindx(d, 'c', -1)
# enddef
def _vol_up(d, vol_lag=10):
try:
return (dindx(d, 'v_ma', -1) -
dindx(d, 'v_ma', -1 - vol_lag)) / dindx(
d, 'v_ma', -1 - vol_lag)
except:
return 0
# endif
# enddef
# Fetch data
d_this = invs_core.fetch_data(sec_dict[sec_code]['ticker'], res)
# Run strategy
logging.debug("{} : Running ema crossover function over {}".format(
ctr2, sec_code))
status, tdelta, trend_switch, d_new = invs_scanners.run_ema2(
d_this,
fast_period=fast_period,
slow_period=slow_period,
lag=lag)
# Add volume ma
d_v_this = invs_scanners.add_vol_ma(d_this,
period_list=period_list)
# Analyse data
p2t_up = _c_up(d_new)
p2t_down = _c_dwn(d_new)
vol_up = _vol_up(d_v_this, vol_lag=volume_lag)
# Print reports
if (status == True):
row_this = [] # This row
if trend_switch:
t_swt = "Down2Up"
t_switch = Fore.GREEN + "Down to Up" + Fore.RESET
p2t = int(p2t_up * 100)
else:
t_swt = "Up2Down"
t_switch = Fore.RED + "Up to Down" + Fore.RESET
p2t = int(p2t_down * 100)
# endif
# Add rep list entry
row_this = row_this + [
sec_dict[sec_code]['name'], t_swt,
str(tdelta),
str(p2t),
dindx(d_this, 'c', -1), vol_up
]
# Print
sec_name = Fore.GREEN + sec_dict[sec_code]['name'] + Fore.RESET
sys.stdout.write(
'{}. {} switched trend from {}, {} days ago. Peak to trough % = {}%\n'
.format(ctr, sec_name, t_switch, tdelta, p2t))
sys.stdout.flush()
ctr = ctr + 1
# Save plot
if plots_dir:
pic_name = plots_dir + g_graphs_dir + sec_dict[sec_code][
'name'].replace(' ',
'_') + '_{}p.png'.format(plot_period)
invs_plot.gen_candlestick(d_this,
period_list=period_list,
title=sec_dict[sec_code]['name'],
plot_period=plot_period,
file_name=pic_name)
# Plot monthly chart if required
if plot_monthly:
d_mon = invs_core.fetch_data(
sec_dict[sec_code]['ticker'], '1M')
pic_name_mon = plots_dir + g_graphs_dir + sec_dict[
sec_code]['name'].replace(
' ',
'_') + '_monthly_{}p.png'.format(plot_period)
invs_plot.gen_candlestick(
d_mon,
title=sec_dict[sec_code]['name'],
plot_period=plot_period,
file_name=pic_name_mon)
# endif
# Add to csv
row_this = row_this + [
'=HYPERLINK("file:///{}")'.format(pic_name)
]
# endif
# Append final row to list
csv_rep_list.append(row_this)
# endif
# endfor
elif strategy_name == "supertrend_rsi_long":
ctr2 = 0
ctr2_f = 0
# Hyper parameters
str_params = (get_arg(opt_args, 'supertrend_period',
10), get_arg(opt_args, 'supertrend_multiplier',
3)) # (Period, Multiplier)
rsi_period = get_arg(opt_args, 'rsi_period', 14)
sup_lperiod = get_arg(opt_args, 'supertrend_lookback_period', 100)
print('Running {} strategy using lag={}'.format(strategy_name, lag))
print(
Fore.GREEN +
'--------------------- GENERATING REPORT --------------------------------'
+ Fore.RESET)
# Iterate over all security dict
for sec_code in sec_dict.keys():
logging.debug("{} : Running {} strategy over {}".format(
ctr2, strategy_name, sec_code))
# NOTE: Don't know what the hell I am calculating using these.
# They need to be reviewed
# Fetch data
d_this = invs_core.fetch_data(sec_dict[sec_code]['ticker'], res)
if len(d_this) > sup_lperiod:
d_this = copy.copy(d_this[-sup_lperiod:])
else:
d_this = d_this
# endif
# Run strategy
d_new = invs_indicators.SuperTrend(d_this, str_params[0],
str_params[1])
# This indicator behaves stragely sometimes. Add a check
if d_new.empty:
print(
'** Returned empty dataframe for {} after applying Supertrend indicator. Skipping !!'
.format(sec_code))
ctr2_f = ctr2_f + 1
continue
# endif
d_new['RSI'] = invs_indicators.talib.RSI(d_new['c'], rsi_period)
d_new['RSI_l'] = [40.0] * len(d_new)
d_new['RSI_h'] = [60.0] * len(d_new)
logic = (dindx(d_new, 'SuperTrend', -1) < dindx(
d_new, 'c', -1)) and (dindx(d_new, 'RSI', -1) > 60)
if logic:
print('[{:<3}/{:<3}]. {}'.format(ctr2, ctr2_f, sec_code))
ctr2 = ctr2 + 1
else:
ctr2_f = ctr2_f + 1
continue
# endif
# Save plot
if plots_dir:
pic_name = plots_dir + g_graphs_dir + sec_dict[sec_code][
'name'].replace(' ', '_') + '_{}p.png'.format(plot_period)
invs_plot.gen_candlestick(
d_new,
period_list=[],
title=sec_dict[sec_code]['name'],
plot_period=plot_period,
file_name=pic_name,
plot_columns=['SuperTrend'],
plot_columns_subplot=['RSI', 'RSI_l', 'RSI_h'])
# endif
# endfor
elif strategy_name == "supertrend_rsi_short":
ctr2 = 0
ctr2_f = 0
# Hyper parameters
str_params = (get_arg(opt_args, 'supertrend_period',
10), get_arg(opt_args, 'supertrend_multiplier',
3)) # (Period, Multiplier)
rsi_period = get_arg(opt_args, 'rsi_period', 14)
sup_lperiod = get_arg(opt_args, 'supertrend_lookback_period', 100)
print('Running {} strategy using lag={}'.format(strategy_name, lag))
print(
Fore.GREEN +
'--------------------- GENERATING REPORT --------------------------------'
+ Fore.RESET)
# Iterate over all security dict
for sec_code in sec_dict.keys():
logging.debug("{} : Running {} strategy over {}".format(
ctr2, strategy_name, sec_code))
# NOTE: Don't know what the hell I am calculating using these.
# They need to be reviewed
# Fetch data
d_this = invs_core.fetch_data(sec_dict[sec_code]['ticker'], res)
if len(d_this) > sup_lperiod:
d_this = copy.copy(d_this[-sup_lperiod:])
else:
d_this = d_this
# endif
# Run strategy
d_new = invs_indicators.SuperTrend(d_this, str_params[0],
str_params[1])
# This indicator behaves stragely sometimes. Add a check
if d_new.empty:
print(
'** Returned empty dataframe for {} after applying Supertrend indicator. Skipping !!'
.format(sec_code))
ctr2_f = ctr2_f + 1
continue
# endif
d_new['RSI'] = invs_indicators.talib.RSI(d_new['c'], rsi_period)
d_new['RSI_l'] = [40.0] * len(d_new)
d_new['RSI_h'] = [60.0] * len(d_new)
logic = (dindx(d_new, 'SuperTrend', -1) > dindx(
d_new, 'c', -1)) and (dindx(d_new, 'RSI', -1) < 40)
if logic:
print('[{:<3}/{:<3}]. {}'.format(ctr2, ctr2_f, sec_code))
ctr2 = ctr2 + 1
else:
ctr2_f = ctr2_f + 1
continue
# endif
# Save plot
if plots_dir:
pic_name = plots_dir + g_graphs_dir + sec_dict[sec_code][
'name'].replace(' ', '_') + '_{}p.png'.format(plot_period)
invs_plot.gen_candlestick(
d_new,
period_list=[],
title=sec_dict[sec_code]['name'],
plot_period=plot_period,
file_name=pic_name,
plot_columns=['SuperTrend'],
plot_columns_subplot=['RSI', 'RSI_l', 'RSI_h'])
# endif
# endfor
else:
print("Strategy : {}, not implemented yet !!".format(strategy_name))
return
# endif
# Write to csv file
print(Fore.GREEN +
'--------------------- REPORT END --------------------------------' +
Fore.RESET)
print('Writing report file to {}'.format(csv_report_file))
with open(os.path.expanduser(csv_report_file), 'w') as f_out:
csv_writer = csv.writer(f_out,
delimiter=',',
quotechar='|',
quoting=csv.QUOTE_MINIMAL)
for item_this in csv_rep_list:
csv_writer.writerow(item_this)
# endfor
# endwith
return csv_report_file