def selectStocksToBuy(self,
maxNumberOfStocks,
date=False,
customTickerList=False,
genricParameters=[]):
'''
Selects which stocks to buy, and the proportion of funds to be allocated to each.
maximumNumberOfStocks is the highest number of stocks the caller wants to select.
Passing a date parameter will select stocks for the given date. Ommitting it will
select stocks based on realtime data.
Passing a customTickerList will only analyze tickers included in that list.
Returns a list of in the following format: [ [Ticker1, RatioOfFundAllocation1], [Ticker2, RatioOfFundAllocation2], ... ] .
All ratios will add up to 1.
'''
if (not date):
raise ValueError(
"Real time selection not availible for this selector")
else:
if (customTickerList):
tickerList = customTickerList
else:
tickerList = database.getTickerList()
stocksToConsider = self.filterStocksToConsider(tickerList, date)
if (len(stocksToConsider) > maxNumberOfStocks):
stocksToConsider = stocksToConsider[0:maxNumberOfStocks]
else:
pass
numberOfStocks = len(stocksToConsider)
stocksToBuy = [(i, 1 / numberOfStocks) for i in stocksToConsider]
return stocksToBuy
def runSimulation(account, dateRange, startingDeposit, selector, sampleSize=False, customTickerList=False, preloadToMemory=False, depositAmount=False, depositFrequency=False, comission=10, PrintToTerminal=True):
'''
Runs a single simulation. Saves results to a csv file.
-Daterange must be a 2 element list, in the following format: [[<start date>], [<end date>]], date format = string "YYYY-MM-DD".
-depositFrequency is how often (in days) to deposit funds into your trading account.
-selector is a StockSelectionInterface object.
-Passing a customTickerList will run the simulation using only the tickers included in the list.
'''
#Check for valid parameters
if ((depositFrequency) and (not depositAmount)):
raise ValueError("Deposit frequency set without deposit amount.")
if ((depositAmount) and (not depositFrequency)):
raise ValueError("Deposit amount set without deposit frequency.")
#Instaniate objects
if (PrintToTerminal):
print("\nGetting tickers...")
if (customTickerList):
tickerList = customTickerList
elif (sampleSize):
tickerList = database.getTickerList(randomize=True, numberOfShuffles=2)[:sampleSize]
else:
tickerList = database.getTickerList()
if (preloadToMemory):
print("Preloading stock data to memory...")
database.loadDatabaseToMemory(tickerList)
#Set starting balance and comission
account.depositFunds(startingDeposit)
account.setCommision(comission)
#Extract daterange
startDate = dateRange[0]
endDate = dateRange[1]
#Progress bar header
if (PrintToTerminal):
print ("\nRuning Simulation...\n")
print ("Selector: " + selector.getName()) #NOTE Don't forget to set your self.name property in you selector constructor
print ("Daterange: "+startDate+" to "+endDate)
print ("-------------------------------------------\n")
sys.stdout.write("\r")
sys.stdout.write("0.0%")
sys.stdout.flush()
daysSinceLastDeposit = 0
#Begin simulation
for date in utils.daterange(startDate, endDate):
#Check if market is open
if (utils.isWeekday(date)):
#Selects which stocks to sell
ownedStocks = account.getOwnedStocks()
ownedTickers = []
for ticker in ownedStocks:
ownedTickers.append(ticker)
stocksToSell = selector.selectStocksToSell(ownedTickers, date=date)
#Sells stocks
account.placeSellOrders(stocksToSell, date)
#Selects which stocks to buy
availibleFunds = account.getBalance()
numberOfStocksToBuy = selector.numberOfStocksToBuy(availibleFunds)
stocksToBuy = selector.selectStocksToBuy(numberOfStocksToBuy, date=date, customTickerList=tickerList)
buyOrders = []
for stock in stocksToBuy:
ticker = stock[0]
price = database.getDataframe(ticker, [date,date], ["Open"]).loc[date, "Open"]
quantity = int((stock[1]*(availibleFunds-(len(stocksToBuy)*comission))) / price)
if quantity>0:
buyOrders.append([ticker, quantity])
#Buys stocks
account.placeBuyOrders(buyOrders, date)
if (depositFrequency):
daysSinceLastDeposit += 1
if (daysSinceLastDeposit == depositFrequency):
account.depositFunds(depositAmount)
daysSinceLastDeposit = 0
#Progress bar
if (PrintToTerminal):
completed = utils.getDayDifference(startDate, date)
totalToDo = utils.getDayDifference(startDate, endDate)
percentage = int(float(completed*1000)/(totalToDo-1))/10.0
sys.stdout.write("\r")
sys.stdout.write(str(percentage)+"%")
sys.stdout.flush()
if (PrintToTerminal):
print("\n")
#Save logs
account.saveHistory(selector.getName())
twoDayDiscreteMomentum = float(stockData["2D Discrete Moementum"])
fiveDayDiscreteMomentum = float(stockData["5D Discrete Moementum"])
if ((fiveDayDiscreteMomentum < 3) and (twoDayDiscreteMomentum > 0)):
pass
else:
return False
return ticker
if __name__ == '__main__':
selector = MehSelector()
date = "2018-06-14"
numberOfStocks = 4000
tickerList = database.getTickerList(randomize=True)[0:numberOfStocks]
#tickerList = ["TSLA"]
selectedStocks = selector.selectStocksToBuy(10, date, tickerList)
print(selectedStocks)
for selection in selectedStocks:
ticker = selection[0]
stockData = database.getDataframe(ticker,
dataFields=[
"Profit Speed",
"2 Day Normalized Momentum",
"5 Day Normalized Momentum",
"2D Discrete Moementum",
"5D Discrete Moementum"
],
dateRange=[date, date])
print(stockData)
def selectStocksToBuy(self, maxNumberOfStocks, date=False, customTickerList=False, genricParameters=[]):
'''
Selects which stocks to buy, and the proportion of funds to be allocated to each.
maximumNumberOfStocks is the highest number of stocks the caller wants to select.
Passing a date parameter will select stocks for the given date. Ommitting it will
select stocks based on realtime data.
Passing a customTickerList will only analyze tickers included in that list.
Returns a list of in the following format: [ [Ticker1, RatioOfFundAllocation1], [Ticker2, RatioOfFundAllocation2], ... ] .
All ratios will add up to 1.
'''
if (not date):
raise ValueError("Real time selection not availible for this selector")
else:
if (customTickerList):
tickerList = customTickerList
else:
tickerList = database.getTickerList()
argList = []
for ticker in tickerList:
argList.append([ticker, date])
processCount = multiprocessing.cpu_count()-1
processPool = Pool(processCount)
results = list(processPool.map(self.getProfitSpeed, argList))
processPool.close()
processPool.join()
for i in range(len(results)-1, -1, -1):
if (results[i]):
pass
else:
del results[i]
results = sorted(results)
#print(results)
randomnessFactor = 0.85 #Used to randomize selection so that the selector isn't perfect. 0 is perfect, 1 is completely random
lengthOfResults = len(results)
#print(lengthOfResults)
indexesOfChosenStocks = []
for i in range(0, maxNumberOfStocks, 1):
if (lengthOfResults-len(indexesOfChosenStocks)>0):
#There are still stocks left to chose from
while (True):
indexToUse = randint(int(randomnessFactor*(lengthOfResults-1)), lengthOfResults-1)
if (indexToUse in indexesOfChosenStocks):
pass
else:
indexesOfChosenStocks.append(indexToUse)
break
else:
#There are no more stocks left to select
break
#print(indexesOfChosenStocks)
stocksToConsider = []
for index in indexesOfChosenStocks:
stocksToConsider.append(results[index])
randomRatios = list(np.random.dirichlet(np.ones(maxNumberOfStocks),size=1)[0]) #https://stackoverflow.com/questions/18659858/generating-a-list-of-random-numbers-summing-to-1
stocksToBuy = []
for i in range(0, len(stocksToConsider), 1):
stocksToBuy.append([stocksToConsider[i][1], randomRatios[i]])
return stocksToBuy