def GetChaikin(history, days=20, start_date=None):
bins_price = []
bins_rsi = []
nday = 0
ticker = 'N/A'
first_date = None
t = base.GetTime(start_date)
chaikin = 0.0
vol = 0.0
for h in history:
#print h
this_t = base.GetTime(h['Date'])
if this_t <= t:
ticker = h['Symbol']
if first_date == None:
first_date = h['Date']
mult = ((float(h['Close']) - float(h['Low'])) -
(float(h['High']) - float(h['Close'])))
if (float(h['High']) - float(h['Low'])) != 0.0:
mult /= (float(h['High']) - float(h['Low']))
chaikin += mult * float(h['Volume'])
vol += float(h['Volume'])
nday += 1
if nday == days:
break
# std deviation
if vol == 0.0:
vol = 1.0
return chaikin / vol
def GetStochastic(history, days=14, start_date=None):
t = base.GetTime(start_date)
this_date_index = None
this_date_index_n = 0
#print 'start_date',start_date
if len(history) < 1:
return 0.0, 0.0, 0.0 #stoch,over_bought_today,over_sold_today
for hindex in range(0, len(history)):
h = history[len(history) - hindex - 1]
this_t = base.GetTime(h['Date'])
#print 'this: ',h['Date']
if this_t <= t:
this_date_index = hindex
this_date_index_n += 1
else:
break
#sys.exit(0)
iter_days = 0
iter_days_first = 0
last_ndays_highs = []
last_ndays_lows = []
my_today = 0.0
if True:
beginning = this_date_index_n - days
if len(history) < this_date_index_n - days:
beginning = 1
#print 'beginning:',beginning
for hindex in range(beginning, len(history)):
h = history[len(history) - hindex - 1]
#print h
a = float(h['Close'])
iter_days_first += 1
if iter_days_first < days:
last_ndays_highs += [float(h['High'])]
last_ndays_lows += [float(h['Low'])]
elif iter_days_first == days:
last_ndays_highs += [float(h['High'])]
last_ndays_lows += [float(h['Low'])]
my_today = float(h['Close'])
break
#print last_ndays
my_max = max(last_ndays_highs)
my_min = min(last_ndays_lows)
stoch = 0.0
#print start_date
#print 'my_today ',my_today,' min: ',my_min,' my_max: ',my_max
if my_max - my_min > 0.0:
stoch = 100.0 * (my_today - my_min) / (my_max - my_min)
over_bought_today = 0.8 * my_max + 0.2 * my_min
#over_bought_today = (-1.0*my_min*(0.8) + my_min)/(1.-0.8)
#over_sold_today = (my_max*0.2 + my_min)/1.2
over_sold_today = 0.2 * my_max + 0.8 * my_min
#print stoch,' ',over_sold_today
return stoch, over_bought_today, over_sold_today
def GetVolatility(history, days=22, start_date=None):
bins_price = []
bins_rsi = []
nday = 0
ticker = 'N/A'
first_date = None
t = base.GetTime(start_date)
for h in history:
this_t = base.GetTime(h['Date'])
if this_t <= t:
ticker = h['Symbol']
if first_date == None:
first_date = h['Date']
bins_price = [float(h['Close'])] + bins_price
nday += 1
if nday == days:
break
# std deviation
return base.pstdev(bins_price)
def GetExpMovingAverage(history, days = 50, start_date=None):
t=base.GetTime(start_date)
k = 2.0 / (days + 1.0);
#tod = datetime.datetime.now()
#d = datetime.timedelta(days = days)
#tdt = datetime.datetime.fromtimestamp(time.mktime(t))
#a = tdt - d
#print 'AAA: ',a
#avg=0.0
iter_days = 0
prev_ema=-1.0
#print 'Start and today: ',start_date
this_date_index = 0
for hindex in range(0,len(history)):
h = history[len(history)-hindex-1]
if 'Date' not in h:
continue
this_t = base.GetTime(h['Date'])
#this_ttd = datetime.datetime.fromtimestamp(time.mktime(this_t))
if this_t<=t:
this_date_index=hindex
else:
break
#print this_date_index,' days ',days
if (this_date_index-days+1)>=0:
#print this_date_index-days+1,' ',len(history)
for hindex in range(this_date_index-days+1,len(history)):
h = history[len(history)-hindex-1]
if 'Date' not in h:
continue
this_t = base.GetTime(h['Date'])
if this_t<=t:
iter_days+=1
if prev_ema<0.0:
prev_ema=float(h['Close'])
else: #EMA = Price(t) * k + EMA(y) * (1-k)
prev_ema=(float(h['Close'])-prev_ema)*k + prev_ema
#print h['Date'],' ',h['Close'],' ',prev_ema
if iter_days==days:
break
return prev_ema
def GetAverage(history, days = 50, start_date=None):
t=base.GetTime(start_date)
line=[]
avg=0.0
iter_days = 0
for h in history:
if 'Date' not in h:
print 'WARNING could not find date'
continue
this_t = base.GetTime(h['Date'])
if this_t<=t:
iter_days+=1
avg+=float(h['Close'])
if days==20:
line+=[h['Close']]
if iter_days==days:
break
if iter_days>0.0:
avg /= iter_days
#if days==20:
# print line
# print avg
return avg
def GetRSI(history, days=14, start_date=None):
t = base.GetTime(start_date)
this_date_index = None
for hindex in range(0, len(history)):
h = history[len(history) - hindex - 1]
this_t = base.GetTime(h['Date'])
if this_t <= t:
this_date_index = hindex
else:
break
list_avg_gains = []
list_avg_losses = []
avg_gain = 0.0
avg_loss = 0.0
iter_days = 0
iter_days_first = 0
if True:
beginning = 1
last_close = 0.0
if len(history) > 250:
beginning = len(history) - 250
for hindex in range(beginning, len(history)):
h = history[len(history) - hindex - 1]
hn1 = history[len(history) - hindex] # day before
#a=h['Change']
#a=float(h['Close'])-float(h['Open'])
last_close = float(h['Close'])
a = float(h['Close']) - float(hn1['Close'])
ag = 0.0
al = 0.0
if a > 0.0:
ag = a
else:
al = a
iter_days_first += 1
if iter_days_first < days:
if a > 0.0:
avg_gain += a
else:
avg_loss += a
elif iter_days_first == days:
avg_gain /= float(days)
avg_loss /= float(days)
else:
avg_gain = (avg_gain * float(days - 1) + ag) / float(days)
avg_loss = (avg_loss * float(days - 1) + al) / float(days)
if (this_date_index - days + 1) <= hindex:
iter_days += 1
list_avg_gains += [avg_gain]
list_avg_losses += [avg_loss]
if iter_days == days:
break
ag = 0.0
al = 0.0
if len(list_avg_gains) > 1:
ag = list_avg_gains[len(list_avg_gains) - 1]
if len(list_avg_losses) > 1:
al = abs(list_avg_losses[len(list_avg_losses) - 1])
rsi = 50.0
if al != 0.0:
rsi = 100.0 - 100.0 / (1.0 + ag / al)
# solve the for the upper and lower values
#upper_ag = float(days)*0.7-avg_gain*float(days-1)
#lower_al = float(days)*avg_loss-avg_loss*float(days-1)
# Try these
#rsi = 100.0 - 100.0/(1.0+ag/al)
#agnn = (1-C)/C*al
#agnn=(ag*float(days-1) + XX)/float(days)
#XX = (1-C)/C*al*float(days) - ag*float(days-1)
#avg_loss=(avg_loss*float(days-1) + XX)/float(days)
# Gain Required
C = (1.0 - 70.0 / 100.0)
#ag = (1.0-C)*al/C
#ag = (avg_gain*float(days-1) + XX)/float(days)
#upper_ag = (1.0-C)*al/C*float(days)-avg_gain*float(days-1)
upper_ag = (1 - C) / C * al * float(days) - ag * float(days - 1)
# Loss Required
#ag*C/(1.0-C) = alnnn
#alnnn=(al*float(days-1) + XX)/float(days)
#ag*C/(1.0-C)*float(days)-al*float(days-1) = ( XX)
C = (1.0 - 30.0 / 100.0)
#lower_al = float(days)*ag/(1.0/C-1.0)-al*float(days-1)
lower_al = ag * C / (1.0 - C) * float(days) - al * float(days - 1)
#print last_close,' ',upper_ag,' ',lower_al
return rsi, (last_close + upper_ag), (last_close - lower_al)
def Draw(history, days=14, start_date=None):
base.Style(ROOT)
c1, pads, padScaling, ratioPadScaling = base.DoRatio(ROOT)
t = base.GetTime(start_date)
x_axis = []
bins_price = []
bins_rsi = []
bins_stoch = []
all_rsi = []
all_stoch = []
nday = 0
ticker = 'N/A'
first_date = None
for h in history:
this_t = base.GetTime(h['Date'])
if this_t <= t:
x_axis += [nday]
ticker = h['Symbol']
if first_date == None:
first_date = h['Date']
bins_price = [float(h['Close'])] + bins_price
this_rsi = GetRSI(history, 14, h['Date'])
bins_rsi = [this_rsi[0]] + bins_rsi
all_rsi = [this_rsi] + all_rsi
this_stoch = GetStochastic(history, 14, h['Date'])
bins_stoch = [this_stoch[0]] + bins_stoch
all_stoch = [this_stoch] + all_stoch
nday += 1
if nday == days:
x_axis += [nday]
break
# start plotting
runArray_day = array('d', x_axis)
hprice = ROOT.TH1F('price', 'price', len(runArray_day) - 1, runArray_day)
hrsi = ROOT.TH1F('rsi', 'rsi', len(runArray_day) - 1, runArray_day)
hprice.GetXaxis().SetTitle('Days')
hprice.GetYaxis().SetTitle('Price for ' + ticker)
hrsi.GetYaxis().SetTitle('RSI')
hstoch = ROOT.TH1F('stoch', 'stoch', len(runArray_day) - 1, runArray_day)
hstoch.GetYaxis().SetTitle('Stochastic')
hstochma = ROOT.TH1F('stochma', 'stochma',
len(runArray_day) - 1, runArray_day)
hstochma.GetYaxis().SetTitle('Stochastic MA')
if start_date:
hprice.GetXaxis().SetTitle('Days since ' + start_date)
bins_stoch_ma = ma.GetMovingAverageFromListAndReturnList(bins_stoch, 3)
for i in range(0, len(x_axis) - 1):
hprice.SetBinContent(i + 1, bins_price[i])
hprice.SetBinError(i + 1, 0.0)
#print len(bins_stoch),' for this many: ',len(x_axis)
#print bins_stoch
for i in range(0, len(x_axis) - 1):
hrsi.SetBinContent(i + 1, bins_rsi[i])
hrsi.SetBinError(i + 1, 0.0)
hstoch.SetBinContent(i + 1, bins_stoch[i])
hstoch.SetBinError(i + 1, 0.0)
hstochma.SetBinContent(i + 1, bins_stoch_ma[i])
hstochma.SetBinError(i + 1, 0.0)
hrsi.SetLineColor(2)
hrsi.SetMarkerColor(2)
hrsi.GetYaxis().SetRangeUser(0.0, 100.0)
hrsi.GetYaxis().SetNdivisions(507)
hstoch.SetLineColor(2)
hstoch.SetMarkerColor(2)
hstoch.GetYaxis().SetRangeUser(0.0, 100.0)
hstoch.GetYaxis().SetNdivisions(507)
hstochma.SetLineColor(3)
hstochma.SetMarkerColor(3)
hstochma.GetYaxis().SetRangeUser(0.0, 100.0)
hstochma.GetYaxis().SetNdivisions(507)
# Format
base.Format([hprice], ROOT, True, padScaling, hist_name='')
base.Format([hrsi, hstoch, hstochma],
ROOT,
True,
ratioPadScaling,
hist_name='')
# Draw
pads[0].cd()
hprice.Draw('lp')
# ratio pad
pads[1].cd()
l30 = ROOT.TLine(0.0, 30.0, float(days), 30.0)
l50 = ROOT.TLine(0.0, 50.0, float(days), 50.0)
l70 = ROOT.TLine(0.0, 70.0, float(days), 70.0)
l20 = ROOT.TLine(0.0, 20.0, float(days), 20.0)
l80 = ROOT.TLine(0.0, 80.0, float(days), 80.0)
hrsi.Draw('lp')
l50.SetLineWidth(2)
l30.SetLineWidth(2)
l70.SetLineWidth(2)
l30.SetLineStyle(2)
l70.SetLineStyle(2)
l20.SetLineWidth(2)
l80.SetLineWidth(2)
l20.SetLineStyle(2)
l80.SetLineStyle(2)
l30.Draw()
l50.Draw()
l70.Draw()
# ratio legend
legr = ROOT.TLegend(0.1, 0.06, 0.4, 0.26)
legr.SetBorderSize(0)
legr.SetFillStyle(0)
legr.AddEntry(hrsi, "14 day RSI")
legr.Draw()
# legend
pads[0].cd()
leg = ROOT.TLegend(0.18, 0.1, 0.55, 0.3)
leg.SetBorderSize(0)
leg.SetFillStyle(0)
leg.AddEntry(hprice, "Closing Price")
leg.Draw()
# finish
c1.Update()
if start_date == None:
start_date = first_date
c1.SaveAs(out_path + '/rsi/' + ticker + '_' + start_date + '.' +
out_file_type)
if WAIT:
c1.WaitPrimitive()
raw_input('waiting...')
# draw the stochastic
pads[1].cd()
hstoch.Draw('lp')
hstochma.Draw('lp same')
l20.Draw()
l50.Draw()
l80.Draw()
# ratio legend
legr.Clear()
legr.AddEntry(hstoch, "14 day Stochastic")
legr.AddEntry(hstochma, "3 day MA of Stoch.")
legr.Draw()
# finish
c1.Update()
if start_date == None:
start_date = first_date
c1.SaveAs(out_path + '/stoch/' + ticker + '_' + start_date + '.' +
out_file_type)
if WAIT:
c1.WaitPrimitive()
raw_input('waiting...')
#print all_rsi[len(all_rsi)-1]
return [
ticker,
hrsi.GetBinContent(hrsi.GetNbinsX()),
all_rsi[len(all_rsi) - 1][1], # over bought
all_rsi[len(all_rsi) - 1][2], # over sold
hstoch.GetBinContent(hstoch.GetNbinsX()),
all_stoch[len(all_stoch) - 1][1], # over bought
all_stoch[len(all_stoch) - 1][2], # over sold
hstochma.GetBinContent(hstochma.GetNbinsX())
]
def Draw(history, days=14, start_date=None, isVolume=0):
base.Style(ROOT)
c1, pads, padScaling, ratioPadScaling = base.DoRatio(ROOT)
t = base.GetTime(start_date)
x_axis = []
x_e_axis = []
bins_price = []
bins_eh_price = []
bins_el_price = []
bins_rsi = []
bins_volt = []
bins_chaikin = []
nday = 0
ticker = 'N/A'
first_date = None
hindex = 0
for h in history:
this_t = base.GetTime(h['Date'])
if this_t <= t:
if nday > 0:
x_axis += [float(nday)]
x_e_axis += [0.0]
ticker = h['Symbol']
if first_date == None:
first_date = h['Date']
bins_price = [float(h['Close'])] + bins_price
bins_eh_price = [float(h['High']) - float(h['Close'])
] + bins_eh_price
bins_el_price = [float(h['Close']) - float(h['Low'])
] + bins_el_price
bins_volt = [GetVolatility(history, 22, h['Date'])] + bins_volt
bins_chaikin = [GetChaikin(history, 20, h['Date'])] + bins_chaikin
a = 0.0
if hindex > 0:
hn1 = history[len(history) - hindex]
a = float(h['Close']) - float(hn1['Close'])
#bins_rsi = [ float(h['Volume'])]+bins_rsi
if a > 0.0:
bins_rsi = [float(h['Volume'])] + bins_rsi
else:
bins_rsi = [-1.0 * float(h['Volume'])] + bins_rsi
nday += 1
if nday == days:
x_axis += [float(nday)]
break
hindex += 1
# start plotting
#print x_axis
#print bins_price
#print 'np: ',len(bins_price),' ',len(x_axis)
runArray_day = array('d', x_axis)
runArray_price = array('d', bins_price)
runArray_e_day = array('d', x_e_axis)
runArray_el_price = array('d', bins_el_price)
runArray_eh_price = array('d', bins_eh_price)
#hprice = ROOT.TH1F('price','price',len(runArray_day)-1,runArray_day)
hprice = ROOT.TGraphAsymmErrors(len(x_axis), runArray_day, runArray_price,
runArray_e_day, runArray_e_day,
runArray_el_price, runArray_eh_price)
hprice.SetName('price')
hrsi = ROOT.TH1F('volume', 'volume', len(runArray_day) - 1, runArray_day)
hvolt = ROOT.TH1F('volatility', 'volatility',
len(runArray_day) - 1, runArray_day)
hchaikin = ROOT.TH1F('chaikin', 'chaikin',
len(runArray_day) - 1, runArray_day)
hprice.GetXaxis().SetTitle('Days')
hvolt.GetXaxis().SetTitle('Days')
hrsi.GetXaxis().SetTitle('Days')
hchaikin.GetXaxis().SetTitle('Days')
hprice.GetYaxis().SetTitle('Price for ' + ticker)
hrsi.GetYaxis().SetTitle('Volume')
hvolt.GetYaxis().SetTitle('Volatility')
hchaikin.GetYaxis().SetTitle('CMF')
if start_date:
hprice.GetXaxis().SetTitle('Days since ' + start_date)
#for i in range(0,len(x_axis)-1):
# hprice.SetBinContent(i+1,bins_price[i])
# hprice.SetBinError(i+1,0.0)
for i in range(0, len(x_axis) - 1):
hrsi.SetBinContent(i + 1, bins_rsi[i])
hrsi.SetBinError(i + 1, 0.0)
for i in range(0, len(x_axis) - 1):
hvolt.SetBinContent(i + 1, bins_volt[i])
hvolt.SetBinError(i + 1, 0.0)
for i in range(0, len(x_axis) - 1):
hchaikin.SetBinContent(i + 1, bins_chaikin[i])
hchaikin.SetBinError(i + 1, 0.0)
hrsi.SetLineColor(2)
hrsi.SetMarkerColor(2)
hvolt.SetLineColor(3)
hvolt.SetMarkerColor(3)
hchaikin.SetLineColor(4)
hchaikin.SetMarkerColor(4)
#hrsi.GetYaxis().SetRangeUser(0.0,100.0)
hrsi.GetYaxis().SetNdivisions(507)
hvolt.GetYaxis().SetNdivisions(507)
hchaikin.GetYaxis().SetNdivisions(507)
# Format
base.Format([hprice], ROOT, True, padScaling, hist_name='')
base.Format([hrsi, hvolt, hchaikin],
ROOT,
True,
ratioPadScaling,
hist_name='')
# Draw
pads[0].cd()
hprice.SetLineColor(2)
hprice.SetFillColor(0)
hprice.GetXaxis().SetRangeUser(0.0, x_axis[len(x_axis) - 1])
#hprice.Draw('lp')
hprice.Draw()
hprice.Draw('same pl e2')
# ratio pad
pads[1].cd()
#l30 = ROOT.TLine(0.0,30.0,float(days),30.0)
#l50 = ROOT.TLine(0.0,50.0,float(days),50.0)
#l70 = ROOT.TLine(0.0,70.0,float(days),70.0)
if isVolume == 0:
hrsi.Draw('lp')
elif isVolume == 1:
hvolt.Draw('lp ')
elif isVolume == 2:
hchaikin.Draw('lp ')
l05 = ROOT.TLine(0.0, 0.05, float(days), 0.05)
l05.SetLineWidth(2)
l05.SetLineColor(3)
l05.SetLineStyle(2)
l05.Draw()
m05 = ROOT.TLine(0.0, -0.05, float(days), -0.05)
m05.SetLineWidth(2)
m05.SetLineColor(2)
m05.SetLineStyle(2)
m05.Draw()
# ratio legend
legr = ROOT.TLegend(0.1, 0.06, 0.4, 0.26)
legr.SetBorderSize(0)
legr.SetFillStyle(0)
if isVolume == 0:
legr.AddEntry(hrsi, "Volume")
elif isVolume == 1:
legr.AddEntry(hvolt, "Volatility")
elif isVolume == 2:
legr.AddEntry(hchaikin, "CMF")
legr.Draw()
# legend
pads[0].cd()
leg = ROOT.TLegend(0.18, 0.1, 0.55, 0.3)
leg.SetBorderSize(0)
leg.SetFillStyle(0)
leg.AddEntry(hprice, "Closing Price")
leg.Draw()
# finish
c1.Update()
if start_date == None:
start_date = first_date
if isVolume == 0:
c1.SaveAs(out_path + '/obv/' + ticker + '_' + start_date + '.' +
out_file_type)
elif isVolume == 1:
c1.SaveAs(out_path + '/obv/' + ticker + '_' + start_date + 'volt.' +
out_file_type)
elif isVolume == 2:
c1.SaveAs(out_path + '/obv/' + ticker + '_' + start_date + 'chaikin.' +
out_file_type)
if WAIT:
c1.WaitPrimitive()
raw_input('waiting...')
def Draw(history, days=50, start_date=None):
base.Style(ROOT)
c1, pads, padScaling, ratioPadScaling = base.DoRatio(ROOT)
t = base.GetTime(start_date)
x_axis = []
bins_price = []
bins_macd_12day = []
bins_macd_26day = []
bins_macd_9day = []
bins_macd_diff = []
bins_macd_9diff = []
bins_ppo = [] # percentage price oscillator
bins_ppo_9ema = [] # percentage price oscillator
bins_ppo_signal = [] # signal line
nday = 0
ticker = 'N/A'
first_date = None
for h in history:
this_t = base.GetTime(h['Date'])
if this_t <= t:
x_axis += [nday]
ticker = h['Symbol']
if first_date == None:
first_date = h['Date']
bins_price = [float(h['Close'])] + bins_price
nineday = ma.GetExpMovingAverage(history, 9, h['Date'])
twelveday = ma.GetExpMovingAverage(history, 12, h['Date'])
twentysixday = ma.GetExpMovingAverage(history, 26, h['Date'])
bins_macd_9day = [nineday] + bins_macd_9day
bins_macd_12day = [twelveday] + bins_macd_12day
bins_macd_26day = [twentysixday] + bins_macd_26day
bins_macd_diff = [twelveday - twentysixday] + bins_macd_diff
if twentysixday > 0.0:
bins_ppo = [100.0 * (twelveday - twentysixday) / twentysixday
] + bins_ppo
else:
bins_ppo = [0.0] + bins_ppo
nday += 1
if nday == days:
x_axis += [nday]
break
for m in range(0, len(bins_macd_diff)):
bins_macd_9diff += [
ma.GetExpMovingAverageFromList(bins_macd_diff, 9, m)
]
for m in range(0, len(bins_ppo)):
bins_ppo_9ema += [ma.GetExpMovingAverageFromList(bins_ppo, 9, m)]
# start plotting
runArray_day = array('d', x_axis)
hprice = ROOT.TH1F('price', 'price', len(runArray_day) - 1, runArray_day)
hmacd9day = ROOT.TH1F('macd9day', 'macd9day',
len(runArray_day) - 1, runArray_day)
hmacd12day = ROOT.TH1F('macd12day', 'macd12day',
len(runArray_day) - 1, runArray_day)
hmacd26day = ROOT.TH1F('macd26day', 'macd26day',
len(runArray_day) - 1, runArray_day)
hmacddiff = ROOT.TH1F('macddiff', 'macddiff',
len(runArray_day) - 1, runArray_day)
hmacd9diff = ROOT.TH1F('macd9diff', 'macd9diff',
len(runArray_day) - 1, runArray_day)
hppo = ROOT.TH1F('ppo', 'ppo', len(runArray_day) - 1, runArray_day)
hppo9dayema = ROOT.TH1F('ppo9dayema', 'ppo9dayema',
len(runArray_day) - 1, runArray_day)
hdiff = ROOT.TH1F('diff', 'diff', len(runArray_day) - 1, runArray_day)
hdiffppo = ROOT.TH1F('diffppo', 'diffppo',
len(runArray_day) - 1, runArray_day)
hprice.GetXaxis().SetTitle('Days')
hprice.GetYaxis().SetTitle('Price for ' + ticker)
if start_date:
hprice.GetXaxis().SetTitle('Days since ' + start_date)
hmacddiff.GetXaxis().SetTitle('Days since ' + start_date)
hmacddiff.GetYaxis().SetTitle('MACD')
hppo.GetYaxis().SetTitle('PPO')
hppo.GetXaxis().SetTitle('Days since ' + start_date)
for i in range(0, len(x_axis) - 1):
hprice.SetBinContent(i + 1, bins_price[i])
hprice.SetBinError(i + 1, 0.0)
for i in range(0, len(x_axis) - 1):
hmacd9day.SetBinContent(i + 1, bins_macd_9day[i])
hmacd9day.SetBinError(i + 1, 0.0)
for i in range(0, len(x_axis) - 1):
hmacd12day.SetBinContent(i + 1, bins_macd_12day[i])
hmacd12day.SetBinError(i + 1, 0.0)
for i in range(0, len(x_axis) - 1):
hmacddiff.SetBinContent(i + 1, bins_macd_diff[i])
hmacddiff.SetBinError(i + 1, 0.0)
for i in range(0, len(x_axis) - 1):
hmacd9diff.SetBinContent(i + 1, bins_macd_9diff[i])
hmacd9diff.SetBinError(i + 1, 0.0)
for i in range(0, len(x_axis) - 1):
hdiff.SetBinContent(i + 1, bins_macd_diff[i] - bins_macd_9diff[i])
hdiff.SetBinError(i + 1, 0.0)
for i in range(0, len(x_axis) - 1):
hdiffppo.SetBinContent(i + 1, bins_ppo[i] - bins_ppo_9ema[i])
hdiffppo.SetBinError(i + 1, 0.0)
for i in range(0, len(x_axis) - 1):
hmacd26day.SetBinContent(i + 1, bins_macd_26day[i])
hmacd26day.SetBinError(i + 1, 0.0)
for i in range(0, len(x_axis) - 1):
hppo.SetBinContent(i + 1, bins_ppo[i])
hppo.SetBinError(i + 1, 0.0)
for i in range(0, len(x_axis) - 1):
hppo9dayema.SetBinContent(i + 1, bins_ppo_9ema[i])
hppo9dayema.SetBinError(i + 1, 0.0)
hmacd9day.SetLineColor(2)
hmacd9day.SetMarkerColor(2)
hmacd12day.SetLineColor(3)
hmacd12day.SetMarkerColor(3)
hmacd26day.SetLineColor(4)
hmacd26day.SetMarkerColor(4)
hmacddiff.SetLineColor(1)
hmacddiff.SetMarkerColor(1)
hmacd9diff.SetLineColor(2)
hmacd9diff.SetMarkerColor(2)
hppo.SetLineColor(4)
hppo.SetMarkerColor(4)
hppo9dayema.SetLineColor(5)
hppo9dayema.SetMarkerColor(5)
hdiffppo.SetLineColor(6)
hdiffppo.SetMarkerColor(6)
hdiffppo.SetFillColor(6)
hdiffppo.SetFillStyle(1001)
hdiff.SetLineColor(3)
hdiff.SetMarkerColor(3)
hdiff.SetFillColor(3)
hdiff.SetFillStyle(1001)
# Format
base.Format([hprice, hmacd9day, hmacd12day, hmacd26day],
ROOT,
True,
padScaling,
hist_name='')
base.Format([hmacddiff, hmacd9diff, hdiff, hppo, hppo9dayema, hdiffppo],
ROOT,
True,
ratioPadScaling,
hist_name='')
# Draw
pads[0].cd()
hprice.Draw('lp')
hmacd9day.Draw('lpsame')
hmacd12day.Draw('lpsame')
hmacd26day.Draw('lpsame')
# ratio pad
pads[1].cd()
hmacddiff.Draw('lp')
hdiff.Draw("HIST same")
hmacddiff.Draw('lp same')
hmacd9diff.Draw('lpsame')
#hppo.Draw('lpsame')
#hppo9dayema.Draw('lpsame')
#hdiffppo.Draw('lpsame')
# ratio legend
legr = ROOT.TLegend(0.1, 0.06, 0.4, 0.26)
legr.SetBorderSize(0)
legr.SetFillStyle(0)
legr.AddEntry(hmacddiff, "12 Day MACD")
#legr.AddEntry(hmacd9diff, "9 Day MACD");
legr.AddEntry(hmacd9diff, "Signal Line")
legr.AddEntry(hdiff, "Diff")
#legr.AddEntry(hppo, "PPO");
#legr.AddEntry(hppo9dayema, "PPO Signal Line");
#legr.AddEntry(hdiffppo, "PPO Indicator");
legr.Draw()
# legend
pads[0].cd()
leg = ROOT.TLegend(0.18, 0.1, 0.55, 0.3)
leg.SetBorderSize(0)
leg.SetFillStyle(0)
leg.AddEntry(hprice, "Closing Price")
leg.AddEntry(hmacd9day, "9 Day ExpMA")
leg.AddEntry(hmacd12day, "12 Day ExpMA")
leg.AddEntry(hmacd26day, "26 Day ExpMA")
leg.Draw()
#decision_100day,decision_ndays_100days = AnalyzeMA(bins_ma_100day, bins_ma_20day)
#decision_50day,decision_ndays_50days = AnalyzeMA(bins_ma_50day, bins_ma_20day)
# finish
c1.Update()
if start_date == None:
start_date = first_date
c1.SaveAs(out_path + '/macd/' + ticker + '_' + start_date + '.' +
out_file_type)
if WAIT:
c1.WaitPrimitive()
raw_input('waiting...')
my_buy_date = -999
my_sell_date = -999
for a in range(0, hdiff.GetNbinsX()):
if hdiff.GetBinContent(hdiff.GetNbinsX(
) - a) > 0.0 and hdiff.GetBinContent(hdiff.GetNbinsX() - a -
1) < 0.0 and my_buy_date < 0.0:
my_buy_date = a
if hdiff.GetBinContent(hdiff.GetNbinsX(
) - a) < 0.0 and hdiff.GetBinContent(hdiff.GetNbinsX() - a -
1) > 0.0 and my_sell_date < 0.0:
my_sell_date = a
return [
ticker, my_buy_date, my_sell_date,
hdiff.GetBinContent(hdiff.GetNbinsX())
]
def Draw(history, days = 50, start_date=None):
base.Style(ROOT)
c1 = ROOT.TCanvas("c1","stocks",50,50,600,600);
t = base.GetTime(start_date)
Nbolganger=2.0
NbolgangerMA=20
x_axis=[]
x_e_axis=[]
bins_price=[]
bins_price_for_stddev=[]
bins_eh_price=[]
bins_el_price=[]
bins_ma_50day=[]
bins_ma_20day=[]
bins_ma_bol=[]
bins_ma_bolsigma=[]
bins_ma_100day=[]
bins_ma_200day=[]
nday=0
ticker='N/A'
first_date=None
jan1_price = -1.0
jan1_date = time.localtime()
for h in history:
this_t = base.GetTime(h['Date'])
# get the first price of the year
if jan1_date.tm_year==this_t.tm_year and this_t.tm_mon==1 and (this_t.tm_mday==1 or this_t.tm_mday==2 or this_t.tm_mday==3):
jan1_price=h['Open']
if this_t<=t:
if (nday)<(days):
x_axis+=[nday]
x_e_axis+=[0.0]
ticker = h['Symbol']
if first_date==None:
first_date=h['Date']
bins_ma_bol =[GetAverage(history, NbolgangerMA, h['Date'])]+bins_ma_bol
bins_price_for_stddev=[float(h['Close'])]+bins_price
if (nday)<(days):
bins_price=[float(h['Close'])]+bins_price
bins_eh_price=[float(h['High'])-float(h['Close'])]+bins_eh_price
bins_el_price=[float(h['Close'])-float(h['Low'])]+bins_el_price
bins_ma_20day =[GetAverage(history, 20, h['Date'])]+bins_ma_20day
bins_ma_50day =[GetAverage(history, 50, h['Date'])]+bins_ma_50day
bins_ma_100day=[GetAverage(history, 100, h['Date'])]+bins_ma_100day
bins_ma_200day=[GetAverage(history, 200, h['Date'])]+bins_ma_200day
nday+=1
if nday==days:
x_axis+=[nday]
if (nday)==(days+NbolgangerMA):
break;
#print len(bins_ma_bol)
#print len(x_axis)
#print len(bins_ma_20day)
for i in range(0,len(bins_ma_bol)-NbolgangerMA):
bins_ma_bolsigma =[GetStdDev(i, NbolgangerMA, Nbolganger, bins_price_for_stddev, h['Date'])]+bins_ma_bolsigma
#print len(bins_ma_bolsigma)
# start plotting
if len(bins_price)>0:
#bins_price+=[bins_price[0]]
bins_price=[bins_price[0]]+bins_price
#print bins_price
#print x_axis[1:len(x_axis)]
runArray_day = array('d',x_axis)
runArray_e_day = array('d',x_e_axis)
runArray_price = array('d',bins_price)
#print len(runArray_price)
#print len(x_axis)
runArray_el_price = array('d',bins_el_price)
runArray_eh_price = array('d',bins_eh_price)
if len(runArray_day)==0:
return []
#hprice = ROOT.TH1F('price','price',len(runArray_day)-1,runArray_day)
hprice = ROOT.TGraphAsymmErrors(len(x_axis),runArray_day,runArray_price,
runArray_e_day,
runArray_e_day,runArray_el_price,runArray_eh_price)
hbolbandsize = ROOT.TH1F('bolbandsize','bolbandsize',len(runArray_day)-1,runArray_day)
hbolbandup = ROOT.TH1F('bolbandup','bolbandup',len(runArray_day)-1,runArray_day)
hbolma = ROOT.TH1F('bolma','bolma',len(runArray_day)-1,runArray_day)
hbolpercentb = ROOT.TH1F('bolpercentb','bolpercentb',len(runArray_day)-1,runArray_day)
hbolbanddw = ROOT.TH1F('bolbanddw','bolbanddw',len(runArray_day)-1,runArray_day)
hma20day = ROOT.TH1F('ma20day','ma20day',len(runArray_day)-1,runArray_day)
hma50day = ROOT.TH1F('ma50day','ma50day',len(runArray_day)-1,runArray_day)
hma100day = ROOT.TH1F('ma100day','ma100day',len(runArray_day)-1,runArray_day)
hma200day = ROOT.TH1F('ma200day','ma200day',len(runArray_day)-1,runArray_day)
hprice.GetXaxis().SetTitle('Days')
hprice.GetYaxis().SetTitle('Price for '+ticker)
max_yrange = max(bins_price)
min_yrange = min(bins_price)
hprice.GetYaxis().SetRangeUser(min_yrange*0.93,max_yrange*1.07)
if start_date:
hprice.GetXaxis().SetTitle('Days since '+start_date)
#for i in range(0,len(x_axis)-1):
# hprice.SetBinContent(i+1,bins_price[i])
#print bins_ma_bolsigma
#print bins_ma_bol
ashift = len(bins_ma_bol)-len(x_axis)+1
for i in range(0,len(x_axis)-1):
itmp=i
#print 'bol:',i+1,(ashift+itmp),bins_ma_bol[ashift+itmp],len(bins_ma_bol)
#print bins_ma_bol[ashift+itmp],bins_ma_bolsigma[itmp]
hbolbanddw.SetBinContent(i+1,bins_ma_bol[ashift+itmp]-bins_ma_bolsigma[itmp])
hbolbandup.SetBinContent(i+1,bins_ma_bol[ashift+itmp]+bins_ma_bolsigma[itmp])
hbolma.SetBinError(i+1,0.0)
hbolbandup.SetBinError(i+1,0.0)
hbolbandsize.SetBinError(i+1,0.0)
hbolpercentb.SetBinError(i+1,0.0)
hbolbanddw.SetBinError(i+1,0.0)
hbolma.SetBinContent(i+1,bins_ma_bol[ashift+itmp])
if bins_ma_bol[itmp]>0.0:
hbolbandsize.SetBinContent(i+1,2.0*bins_ma_bolsigma[itmp]/bins_ma_bol[ashift+itmp])
if bins_ma_bolsigma[itmp]>0.0:
hbolpercentb.SetBinContent(i+1,(bins_price[itmp+1]-(bins_ma_bol[ashift+itmp]-bins_ma_bolsigma[itmp]))/(2.0*bins_ma_bolsigma[itmp]))
for i in range(0,len(x_axis)-1):
hma20day.SetBinContent(i+1,bins_ma_20day[i])
for i in range(0,len(x_axis)-1):
hma50day.SetBinContent(i+1,bins_ma_50day[i])
for i in range(0,len(x_axis)-1):
hma200day.SetBinContent(i+1,bins_ma_200day[i])
for i in range(0,len(x_axis)-1):
hma100day.SetBinContent(i+1,bins_ma_100day[i])
hma20day.SetLineColor(2)
hma20day.SetMarkerColor(2)
hbolbandsize.SetLineColor(2)
hbolbandsize.SetMarkerColor(2)
hma50day.SetLineColor(3)
hma50day.SetMarkerColor(3)
hma100day.SetLineColor(4)
hma100day.SetMarkerColor(4)
hma200day.SetLineColor(6)
hma200day.SetMarkerColor(6)
hprice.SetLineColor(1)
hprice.SetFillColor(1)
hprice.GetXaxis().SetRangeUser(0,float(days))
hprice.Draw()
hprice.Draw('same lp e2')
hma20day.Draw('lpsame')
hma50day.Draw('lpsame')
hma100day.Draw('lpsame')
hma200day.Draw('lpsame')
# legend
hprice_tmp = hprice.Clone()
hprice_tmp.SetLineColor(hprice.GetLineColor())
hprice_tmp.SetMarkerColor(hprice.GetMarkerColor())
hprice_tmp.SetFillColor(0)
leg = ROOT.TLegend(0.45, 0.2, 0.85, 0.4);
leg.SetBorderSize(0);
leg.SetFillStyle(0);
leg1 = ROOT.TLegend(0.45, 0.1, 0.85, 0.3);
leg1.SetBorderSize(0);
leg1.SetFillStyle(0);
leg.AddEntry(hprice_tmp, "Closing Price");
leg.AddEntry(hma20day, "20 Day MA");
leg.AddEntry(hma50day, "50 Day MA");
leg.AddEntry(hma100day, "100 Day MA");
leg.AddEntry(hma200day, "200 Day MA");
leg.Draw();
decision_100day,decision_ndays_100days = AnalyzeMA(bins_ma_100day, bins_ma_20day)
decision_50day,decision_ndays_50days = AnalyzeMA(bins_ma_50day, bins_ma_20day)
# finish
c1.Update()
if start_date==None:
start_date = first_date
new_ticker = ticker.replace('%5e','_')
c1.SaveAs(out_path_www+'/ma/'+new_ticker+'_'+start_date+'.'+out_file_type)
if WAIT:
c1.WaitPrimitive()
raw_input('waiting...')
# bolanger band size
del c1
c1,pads,padScaling,ratioPadScaling = base.DoRatio(ROOT)
# Format
base.Format([hprice,hbolbandup,hbolbanddw,hbolma],ROOT,True, padScaling,hist_name='')
base.Format([hbolbandsize,hbolpercentb],ROOT,True, ratioPadScaling,hist_name='')
hbolbandsize.GetXaxis().SetTitle('Days since '+start_date)
hbolpercentb.GetXaxis().SetTitle('Days since '+start_date)
hbolbandsize.GetYaxis().SetTitle('Bolanger Band Size')
hbolpercentb.GetYaxis().SetTitle('Percent b')
hprice.GetXaxis().SetRangeUser(0,float(days))
hbolbandup.SetLineColor(3)
hbolbandup.SetMarkerColor(3)
hbolma.SetLineColor(2)
hbolma.SetMarkerColor(2)
hbolma.SetLineStyle(2)
hbolbandup.SetLineStyle(1)
hbolbanddw.SetLineStyle(1)
hbolbanddw.SetLineColor(4)
hbolbanddw.SetMarkerColor(4)
pads[0].cd()
hprice.Draw()
hprice.Draw('lp same e2')
hbolma.Draw('same lp')
hbolbandup.Draw('same lp')
hbolbanddw.Draw('same lp')
hprice.Draw('lp same e2')
#hbolbandsize.Draw()
leg1.Clear()
leg1.AddEntry(hbolma,'%s MA' %(NbolgangerMA))
leg1.AddEntry(hbolbandup,'Bolanger Band')
leg1.Draw()
pads[1].cd()
hbolpercentb.SetLineColor(2)
hbolpercentb.SetMarkerColor(2)
hbolbandsize.SetLineColor(3)
hbolbandsize.SetMarkerColor(3)
hbolbandsize.Scale(5.0)
hbolpercentb.Draw()
hbolbandsize.Draw('same')
leg.Clear()
leg.AddEntry(hbolpercentb,'Percent b' )
leg.AddEntry(hbolbandsize,'5*Bolanger Band Size')
leg.SetY1(0.4)
leg.SetY2(0.6)
leg.Draw()
c1.Update()
if start_date==None:
start_date = first_date
new_ticker = ticker.replace('%5e','_')
c1.SaveAs(out_path_www+'/ma/'+new_ticker+'_'+start_date+'bol.'+out_file_type)
if WAIT:
c1.WaitPrimitive()
raw_input('waiting...')
aa = [[decision_100day,decision_ndays_100days],
[decision_50day,decision_ndays_50days],
bins_ma_20day[len(bins_ma_20day)-1],
bins_ma_50day[len(bins_ma_50day)-1],
bins_ma_100day[len(bins_ma_100day)-1],
bins_ma_200day[len(bins_ma_200day)-1],
hbolpercentb.GetBinContent(hbolpercentb.GetNbinsX()),
0.2*hbolbandsize.GetBinContent(hbolbandsize.GetNbinsX())/4.0*bins_ma_20day[len(bins_ma_20day)-1],
ticker,jan1_price]
#print aa
return aa