def test_history_run_data_fetching(self):
#parameters:
pca.k = 2
pca.H = 4
pca.regime_switcher = False
amount = 5
stocks = stockdata.get_stock_names(self.nasdaq_path, amount)
index = '^GSPC'
time_period = 9
start_date = datetime.date(2014, 2, 11)
end_date = datetime.date(2014, 3, 13)
dates, prices, signals = stockdata.history_run(stocks, index,
time_period, start_date,
end_date)
right_signals = [['sell', 'sell', 'sell', 'sell', 'sell'],
['sell', 'sell', 'sell', 'sell', 'sell'],
['buy', 'sell', 'sell', 'buy', 'buy'],
['buy', 'sell', 'sell', 'sell', 'buy'],
['sell', 'sell', 'sell', 'sell', 'sell']]
right_dates = [datetime.date(2014, 3, 7),
datetime.date(2014, 3, 10),
datetime.date(2014, 3, 11),
datetime.date(2014, 3, 12),
datetime.date(2014, 3, 13)]
right_prices = [[5.41, 5.46, 5.47, 5.46, 5.36],
[8.11, 8.13, 8.0, 7.89, 7.97],
[10.25, 10.3, 10.25, 10.25, 10.3],
[32.12, 32.01, 31.67, 31.94, 31.81],
[7.87, 7.9, 7.81, 7.79, 7.64]]
self.assertEqual(dates, right_dates)
self.assertEqual(prices, right_prices)
self.assertEqual(signals, right_signals)
def test_get_stock_names_5_from_1(self):
amount = 5
first_5_nasdaq_stocks = stockdata.get_stock_names(self.nasdaq_path,
amount)
self.assertEqual(first_5_nasdaq_stocks,
['FLWS', 'FCTY', 'FCCY', 'SRCE', 'FUBC'])
def test_get_stock_names_10_from_27(self):
amount = 10
start = 27
path = 'stock_names/NASDAQ.csv'
first_10_nasdaq_stocks = stockdata.get_stock_names(self.nasdaq_path,
amount, start)
right_stocks = ['ACET', 'ACHN', 'ACIW', 'ACNB', 'ACOR',
'ACFN', 'ACTS', 'ACPW', 'ATVI', 'BIRT']
self.assertEqual(first_10_nasdaq_stocks, right_stocks)
def test_history_run_big_data(self):
"""
start_date u'2010-01-05'
end_date u'2014-03-20'
H u'10'
k u'5'
regime_switcher u'off'
stock_amount u'10'
time_period u'20'
"""
#parameters:
pca.k = 5
pca.H = 10
pca.regime_switcher = False
amount = 10
stocks = stockdata.get_stock_names(self.nasdaq_path, amount)
index = '^GSPC'
time_period = 20
start_date = datetime.date(2010, 1, 5)
end_date = datetime.date(2014, 3, 20)
dates, prices, signals = stockdata.history_run(stocks, index,
time_period, start_date,
end_date)
def run(request):
def graph_img(x, y, name):
def y_precise():
result = ["chd=t:"]
for elem in y:
result.append(str(elem))
result.append(',')
result[-1] = '&'
return ''.join(result)
G = Line(y, encoding='text')
G.axes.type('xy')
min_y = min(y)
max_y = max(y)
G.axes.range(1, min_y, max_y)
G.scale(min_y, max_y)
G.axes.label(0, x[0], x[-1])
G.axes.label(1, min_y, max_y)
G.title(name)
image_code = G.img()
norm_img = re.sub(r'chd=t.*?\&', y_precise(), image_code)
if len(norm_img) > 2000:
if len(image_code) > 2000:
raise LongPeriodException()
else:
return image_code
return norm_img
try:
# getting parameters
start_date = datetime.strptime(request.POST['start_date'],
'%Y-%m-%d').date()
end_date = datetime.strptime(request.POST['end_date'],
'%Y-%m-%d').date()
stock_amount = int(request.POST['stock_amount'])
time_period = int(request.POST['time_period'])
k = int(request.POST['k'])
H = int(request.POST['H'])
regime_switcher = request.POST['regime_switcher']
except KeyError:
raise
# starting our job
pca.k = k
pca.H = H
if regime_switcher == 'off':
pca.regime_switcher = False
else:
pca.regime_switcher = True
index = '^GSPC'
source = os.path.join(settings.BASE_DIR,
'strategy_runner/stock_names/'
'NASDAQ.csv')
stocks = stockdata.get_stock_names(source, stock_amount)
try:
dates, prices, signals = stockdata.history_run(stocks, index,
time_period, start_date,
end_date)
except (pca.WrongParameterException, pca.WrongPricesError) as e:
return render(request, 'strategy_runner/base_history.html',
{'error_message': str(e)})
date_strings = [date.strftime('%Y-%m-%d') for date in dates]
returns, pl = stockdata.get_returns_and_pl(prices, signals)
#prepare img tags with graphs to pass to the template
graph_imgs = []
try:
for i, price_list in enumerate(prices):
graph_imgs.append(graph_img(date_strings, price_list, stocks[i]))
graph_imgs.append(graph_img(date_strings, returns,
'Cumulative Log Returns'))
graph_imgs.append(graph_img(date_strings, pl, r'Profit/Loss'))
except LongPeriodException as e:
return render(request, 'strategy_runner/base_history.html',
{'error_message': str(e)})
# NamedPrices = namedtuple('NamedPrices', ['stock', 'prices'])
# named_prices = []
# for i, stock in enumerate(stocks):
# named_prices.append(NamedPrices(stock, prices[i]))
return render(request,
'strategy_runner/base_history.html',
{'graph_imgs': graph_imgs})
