__author__ = 'jjin'
from datetime import datetime
from utilities import getPrices, calculateBollingerValues, createBollingerEventFilter, plotBollingerBands
if __name__ == '__main__':
startDate = datetime(2010, 1, 1)
endDate = datetime(2010, 12, 31)
lookBackPeriod = 20
numOfStds = 2
symbols = ['AAPL', 'GOOG', 'IBM', 'MSFT']
# ----- compute prices and Bollinger stuff -----
prices = getPrices(startDate, endDate, symbols, 'close')
bollingerVals, means, stds, lowerBand, upperBand = calculateBollingerValues(prices, lookBackPeriod, numOfStds, verbose=False)
_, _, buyDates, sellDates = createBollingerEventFilter(bollingerVals, {'type': 'SIMPLE_CROSS', 'upperVal': 1, 'lowerVal': -1}, verbose=False)
# ----- plot -----
for symbol in symbols:
title = symbol + ': ' + str(numOfStds) + '-stds Bollinger Bands'
filename = "%s_%dlookback_%dstds_%s-%s.pdf" % (symbol, lookBackPeriod, numOfStds, str(startDate.date()), str(endDate.date()))
plotBollingerBands(prices[symbol], means[symbol], lowerBand[symbol], upperBand[symbol], title,
bollingerVals[symbol], buyDates[symbol], sellDates[symbol], filename=filename)
lookBackPeriod = 20
numOfStds = 1
marketSymbol = 'SPY'
symbols = 'SP5002012'
bolBenchMark = -2
marketBenchMark = 1
holdingPeriod = 5
numStocksTraded = 100
initialInvestment = 100000
# ----- compute prices and create events -----
prices = getPrices(startDate, endDate, symbols, 'close', isSymbolsList=True, additionalSymbol=marketSymbol)
# prices = getPrices(startDate, endDate, symbols, 'close', additionalSymbol=marketSymbol)
bollingerVals, _, _, _, _ = calculateBollingerValues(prices, lookBackPeriod, numOfStds)
eventFilter, actionDates = createBollingerEventFilter(bollingerVals,
{'type': 'CROSS_WRT_MARKET_FALL', 'bolBenchMark': bolBenchMark,
'marketBenchMark': marketBenchMark, 'marketSymbol': marketSymbol,
'lookBackPeriod': lookBackPeriod, 'numOfStds': numOfStds})
try:
eventprofiler(eventFilter, {'close': prices}, i_lookback=lookBackPeriod, i_lookforward=holdingPeriod,
b_market_neutral=True, b_errorbars=True, s_market_sym=marketSymbol, s_filename='eventPlot.pdf')
except:
print "There aren't enough events for the event profiler."
# ----- trade and evaluate -----
orders = makeOrdersAccordingToEvents(eventFilter, holdingPeriod, numStocksTraded, saveIntermediateResults=True)
