def test_policy(symbol='AAPL', sd=dt.datetime(2010, 1, 1), ed=dt.datetime(2012, 12, 31),
st=100000, shares_contraint=1000, look_back_period=14):
df_trades = create_trades_df(start_date=sd, end_date=ed)
df_trades.set_index('Date', inplace=True)
df_trades['Symbol'] = symbol
df_trades['Order'] = 'NOTHING'
df_prices_sym = get_data([symbol], pd.date_range(sd, ed), False)
df_prices_idx = get_data(['SPY'], pd.date_range(sd, ed), False, dropNonTradingSPY=False)
df_price_filter_sym = df_prices_sym.dropna(subset=[symbol])
df_price_filter_idx = df_prices_idx.dropna(subset=['SPY'])
iterator = more_itertools.peekable(df_price_filter_sym.iloc[look_back_period:].iterrows())
ltd_shares = 0.0
prev_sym_price_over_sma = indicator.get_price_over_sma(df_price_filter_sym.iloc[:look_back_period])
for index, row in iterator:
# get current price to determine when we should close the position.
df_prices_historical_sym = df_price_filter_sym.loc[:index][-look_back_period:] # Todo: Can we do this in one shot?
df_prices_historical_idx = df_price_filter_idx.loc[:index][-look_back_period:]
sym_price_over_sma = indicator.get_price_over_sma(df_prices_historical_sym)
sym_bollinger_band_percent = indicator.get_bollinger_band_percent(df_prices_historical_sym)
sym_rsi = indicator.get_rsi(df_prices_historical_sym, look_back_period)
idx_price_over_sma = indicator.get_price_over_sma(df_prices_historical_idx)
idx_bollinger_band_percent = indicator.get_bollinger_band_percent(df_prices_historical_idx)
idx_rsi = indicator.get_rsi(df_prices_historical_idx, look_back_period)
signal = get_signal(sym_price_over_sma, sym_bollinger_band_percent, sym_rsi, idx_price_over_sma,
idx_bollinger_band_percent, idx_rsi, prev_sym_price_over_sma)
print(signal)
process_signal(df_trades, index, signal, ltd_shares, shares_contraint)
ltd_shares = update_life_to_date_shares(ltd_shares, df_trades, index, shares_contraint)
prev_sym_price_over_sma = sym_price_over_sma
return df_trades.reset_index()
def get_signal(self, price, ohlc, window=20, ga_train=False):
symbol = price.dtypes.index[0]
# Find Candlestick patterns and generate signals
patterns_signal = pd.DataFrame(0, index=price.index, columns=[symbol])
found_patterns = cdsd.pattern_signals(ohlc, ['Abandoned Baby', 'Morning Star', 'Evening Star', 'Harami Cross'])
for pattern in found_patterns:
patterns_signal.loc[pattern[0]] = pattern[1]
# Find trendlines and iterlines points and generate signals
trends, points_signal = ind.get_trendlines(price, charts=False)
#Get SMA and generate signals
sma = ind.get_price_sma(price, window=30)
sma_signal = 1 * (sma < 0.0) + -1 * (sma > 0.0)
#Get RSI and generate signals
rsi = ind.get_rsi(price, window=14)
rsi_signal = 1 * (rsi < 30.0) + -1 * (rsi > 70.0)
#Get MACD and generate signals
macd, macdsign, macddiff = ind.get_macd(price, fast_window=12, slow_window=26)
macd_signal = 1 * (macd>macdsign) + -1 * (macd<macdsign)
#Get Bollinger Bands and generate signals
bb_values = ind.get_bollinger_band_values(price, window=30)
bb_signal = 1 * (bb_values < -1) + -1 * (bb_values > 1)
pdb.set_trace()
def get_df_with_indicators_single_currency(self, currency_dir):
logger.log_info(
"Calculating technical indicators for data from {}.".format(
currency_dir))
df_result = self.get_tf_resampled_single_currency_raw_data_with_base(
currency_dir)
for period in config.MA_PERIODS:
df_result = indicators.get_ma(df_result, "close", period)
for period in config.RSI_PERIODS:
df_result = indicators.get_rsi(df_result, "close", period)
return df_result
def buildIndicators(self, df_prices, symbol="IBM"):
"""
Build (panda Series) indicators from the prices dataframe
@params df_prices: the prices dataframe
@params symbol: the asset's symbol
5,10,20,30
"""
# rolling bollinger band
self.bband = idc.get_bbands(pd.DataFrame(df_prices,
index=df_prices.index,
columns=[symbol]),
self.window_size,
symbol=symbol).dropna()
# fixing treshold for consistencies before normalization
self.bband[self.bband < -1] = -1
self.bband[self.bband > 1] = 1
self.discretize_bband = self.normalizeIndicators(self.bband)
# rolling momentum abs
self.momentum = idc.get_momentum(pd.DataFrame(df_prices,
index=df_prices.index,
columns=[symbol]),
self.window_size,
symbol=symbol).dropna()
self.momentum[self.momentum < -0.3] = -0.3
self.momentum[self.momentum > 0.3] = 0.3
self.discretize_momentum = self.normalizeIndicators(self.momentum)
# rolling standard deviation
self.rstd = pd.Series(pd.rolling_std(df_prices, window=2),
name='rstd').dropna()
self.rstd[self.rstd < 0.5] = 0.5
self.rstd[self.rstd > 4] = 4
self.discretize_rstd = self.normalizeIndicators(self.rstd)
# rolling rsi
self.rsi = idc.get_rsi(df_prices, self.window_size).dropna()
self.rsi[self.rsi < 40] = 40
self.rsi[self.rsi > 70] = 70
self.discretize_rsi = self.normalizeIndicators(self.rsi)
self.discretize_holding = {0: 0, -1000: 1, 1000: 2}
self.n_states = int(3 * 10**4)
def trade_strategy(self, price, ohlc, ga_train=False):
"""
Create a dataframe of order signals that maximizes portfolio return
Signals:
buy = 1
hold = 0
sell = -1
"""
symbol = price.dtypes.index[0]
# Find Candlestick patterns and generate signals
patterns_signal = pd.DataFrame(0, index=price.index, columns=[symbol])
found_patterns = cdsd.pattern_signals(ohlc, ['Abandoned Baby', 'Morning Star', 'Evening Star', 'Harami Cross'])
for pattern in found_patterns:
patterns_signal.loc[pattern[0]] = pattern[1]
# Find trendlines and iterlines points and generate signals
trends, points_signal = ind.get_trendlines(price, charts=False)
#Get SMA and generate signals
sma = ind.get_price_sma(price, window=30)
sma_signal = 1 * (sma < 0.0) + -1 * (sma > 0.0)
#Get RSI and generate signals
rsi = ind.get_rsi(price, window=14)
rsi_signal = 1 * (rsi < 30.0) + -1 * (rsi > 70.0)
#Get MACD and generate signals
macd, macdsign, macddiff = ind.get_macd(price, fast_window=12, slow_window=26)
macd_signal = 1 * (macd>macdsign) + -1 * (macd<macdsign)
#Get Bollinger Bands and generate signals
bb_values = ind.get_bollinger_band_values(price, window=30)
bb_signal = 1 * (bb_values < -1) + -1 * (bb_values > 1)
#pdb.set_trace()
#Combine signals
if type(ga_train)==bool:
signal = 1 * ( ((patterns_signal==1)*0.2 + (macd_signal==1)*0.2 + (sma_signal==1)*0.2 + (rsi_signal==1)*0.2 + (bb_signal==1)*0.2) + (points_signal==1)*0.4 >= 0.8) + -1 * ( ((patterns_signal==-1)*0.2 + (macd_signal==-1)*0.2 + (sma_signal==-1)*0.2 + (rsi_signal==-1)*0.2 + (bb_signal==-1)*0.2) + (points_signal==-1)*0.4 >= 0.8)
else:
signal = 1 * ( ((patterns_signal==1)*ga_train[0] + (macd_signal==1)*ga_train[1] + (sma_signal==1)*ga_train[2] + (rsi_signal==1)*ga_train[3] + (bb_signal==1)*ga_train[4]) + (points_signal==1)*ga_train[5] >= ga_train[6]) + -1 * ( ((patterns_signal==-1)*ga_train[0] + (macd_signal==-1)*ga_train[1] + (sma_signal==-1)*ga_train[2] + (rsi_signal==-1)*ga_train[3] + (bb_signal==-1)*ga_train[4]) + (points_signal==-1)*ga_train[5] >= ga_train[6])
# Create an order series with 0 as default values
self.df_order_signals = signal * 0
# Keep track of net signals which are constrained to -1, 0, and 1
net_signals = 0
for date in self.df_order_signals.index:
net_signals = self.df_order_signals.loc[:date].sum()
# If net_signals is not long and signal is to buy
if (net_signals<1).values[0] and (signal.loc[date]==1).values[0]:
self.df_order_signals.loc[date]=1
# If net_signals is not short and signal is to sell
elif (net_signals > -1).values[0] and (signal.loc[date]==-1).values[0]:
self.df_order_signals.loc[date]=-1
if trends != None:
trades = self.df_order_signals[self.df_order_signals[symbol]!=0]
for i in range(len(trades)):
date = trades.index[i]
signal = trades.ix[i][0]
#closest_trend, slope = ind.get_closest_trendline([date, price.loc[date][0]], trends, max_sep=0.3)
closest_trend, slope = ind.get_closest_trendline([date, price.loc[date][0]], trends)
if closest_trend != None:
if closest_trend == "Resistance":
#pdb.set_trace()
if signal==1 and slope>0:
self.df_order_signals.loc[date] = 0
elif closest_trend == "Support":
if signal==-1 and slope<0:
self.df_order_signals.loc[date] = 0
#pdb.set_trace()
# On the last day, close any open positions
if self.df_order_signals.values.sum() == -1:
# Found short position
self.df_order_signals.ix[-1] = 1
if self.df_order_signals.values.sum() == 1:
# Found held position
self.df_order_signals.ix[-1]=-1
# Alternative close positions
open_pos = self.df_order_signals.values.sum()
if open_pos != 0:
self.df_order_signals.ix[-1] = -1 * open_pos
#pdb.set_trace()
return self.df_order_signals
def testPolicyMixed(n_days_bb=20,
n_days_mtum=20,
n_days_std=20,
n_days_rsi=20,
tresh_bb=1,
tresh_mmtum=0.2,
tresh_std_low=1,
tresh_std_high=1,
symbol="JPM",
sd=dt.datetime(2008, 1, 1),
ed=dt.datetime(2009, 12, 31),
sv=100000):
df_prices_all = get_data([symbol], pd.date_range(sd, ed))
df_prices = df_prices_all[symbol]
df_trades = pd.DataFrame(data=np.zeros(len(df_prices)),
index=df_prices.index,
columns=['trades'])
#rstd = idc.get_rolling_stdev(pd.DataFrame(df_prices, index = df_prices.index, columns = [symbol]), n_days_std)
rstd = pd.rolling_std(df_prices, window=n_days_std)
bband = idc.get_bbands(
pd.DataFrame(df_prices, index=df_prices.index, columns=[symbol]),
n_days_bb)
momentum = idc.get_momentum(
pd.DataFrame(df_prices, index=df_prices.index, columns=[symbol]),
n_days_mtum)
abs_momentum = momentum.abs()
rsi = idc.get_rsi(df_prices, n_days_rsi)
# use rsi to generat sell & buy signal:
# > 70 : overbought : should sell
# < 30 : oversold : should buy
#use volatility as a filter:
# if std to low, time to buy, std will increase soon, # maybe make a cross over on the rmean of std ?
# if std to high, means the growth was strong but will back to the mean
# use momentum to confirm sell & buy signal:
# confirmed if small enough momentum
# (changes in prices is slowing - time to take action)
for t in range(1, len(df_prices) - 1):
df_net_holdings = df_trades.cumsum(axis=0)
net_holdings = df_net_holdings.values[t]
if (net_holdings > 1000) | (net_holdings < -1000):
print("ERROR")
# buy signal
if ((bband[t - 1] <= -tresh_bb) &
(bband[t] > -tresh_bb)) | (rsi.iloc[t] < 30):
if (abs_momentum[t] <= tresh_mmtum):
if rstd[t] <= tresh_std_low:
if (net_holdings == 0):
df_trades.iloc[t] = 1000
elif (net_holdings == -1000):
df_trades.iloc[t] = 2000
# sell signal
if ((bband[t - 1] >= tresh_bb) &
(bband[t] < tresh_bb)) | (rsi.iloc[t] > 70):
if (abs_momentum[t] <= tresh_mmtum):
if rstd[t] >= tresh_std_high: # could be remove since thresh = 0
if (net_holdings == 0):
df_trades.iloc[t] = -1000
elif (net_holdings == 1000):
df_trades.iloc[t] = -2000
return df_trades, rstd
