Python DataReader.to_stringの例

コード例 #1

ファイル: momentum_fund.py プロジェクト: oolsson/oo_eclipse

                    B.append(0)
                else:B.append(1)
            elif B[-1]==-1:
                if dfi['High'][i]>dfi['rMAX8'][i]:
                    B.append(0)
                else:B.append(-1)
    dfi['sig']=B
    B=[]
    for i in dfi.index:
        if dfi['sig'].ix[i]==0:
            B.append(0)
        elif dfi['sig'].ix[i]!=0:
            if B[-1]==0:
                B.append(100/(dfi['ATR'][i]*2))
            else:
                B.append(B[-1])  
        else:
            B.append(B[-1])

    dfi['invested']=B
    dfi['pch']=dfi['Adj Close'].pct_change(periods=1)
    dfi['simple']=(dfi['pch']*dfi['sig'])+1
    dfi['lev']=(dfi['pch']*dfi['invested']*dfi['sig']*0.1)+1
    dfi['simple_pnl']=dfi['simple'].cumprod()
    dfi['lev_pnl']=dfi['lev'].cumprod()
                

    print dfi.to_string()
    plt.subplot(111)
    plt.plot(dfi.index,dfi[['simple_pnl','lev_pnl']])
    plt.show()

コード例 #2

ファイル: TA_abstract.py プロジェクト: oolsson/oo_eclipse

import numpy as np
import talib
from pandas.io.data import DataReader
from datetime import datetime
import pandas as pd
import matplotlib.pyplot as plt


f = lambda x: float(x)
SPX = DataReader("SP500",  "fred", datetime(2011,1,1), datetime(2012,1,11)).applymap(f).bfill() #SPX
# SPX['ma']=SPX['SP500'].apply(abstract.Function('sma'))

SPX['SMA'] = talib.MA(SPX.SP500, 15)
print SPX.to_string()

print talib.get_functions()
#https://github.com/mrjbq7/ta-lib