def inputs(company, begin="2000-01-03", end=datetime.date.today()):
df = dataframe.get_data([company])
boll = indicators.bollinger_differential(company)
rsi = indicators.RSI(company)
oscillator = indicators.stochastic_oscillator(company)
input_set = df.join(boll.join(rsi))
return input_set[20:]
so_d = 15
# Normal Setup
steps = np.array(sorted(list(set([25] + list(np.unique(sequence))))))
seq_len = len(sequence)
candles = get_candles(currency, granularity, _from, _to, )
up, down, udo, udnext, udmin = get_ud_bars(candles, steps)
rwo, rwmin = get_position_bars(candles, position)
# Get Placements and calculate simple statistics
take = get_positions(candles, steps, sequence, outcomes, udo, udnext)
results = rwo[direction][take]
win_perc = results.mean()
binom = binom_test(results.sum(), results.shape[0], rwo[direction].mean())
volume = candles.loc[take, 'volume']
spreads = candles.loc[take, 'spread']
# Compute indicators
so = stochastic_oscillator(candles, so_k, so_d) # 10 5 seems descent so far
# Print Results
plt.plot(so[take], results, 'o')
if direction == 0:
so10 = rwo[direction][take][so[take] >= 90]
so20 = rwo[direction][take][so[take] >= 80]
so30 = rwo[direction][take][so[take] >= 70]
else:
so10 = rwo[direction][take][so[take] <= 10]
so20 = rwo[direction][take][so[take] <= 20]
so30 = rwo[direction][take][so[take] <= 30]
print('timestamp, outcome, bars, stoch osc, spread, volume')
for each in list(zip(candles.loc[take,'timestamp'],
results,
rwmin[direction][take],
so[take],
from sklearn.metrics import precision_score as ps
from sklearn.metrics import classification_report as cr
from indicators import stochastic_oscillator
'''
so_k = 5
so_d = 3
print('candles')
candles = get_candles(currency, granularity, _from, _to, )
print('rwo')
rwo, rwmin = get_position_bars(candles, position)
print('so')
'''
so = stochastic_oscillator(candles, 15, 5) # 10 5 seems descent so far
#print(cr(rwo[1], so > 98))
#print(ps(rwo[1], so > 98))
max_get = 0
tracker = ()
for i in range(1, 250):
for j in range(1, 250):
so = stochastic_oscillator(candles, i, j)
if ps(rwo[1], so > 80) > max_get:
max_get = ps(rwo[1], so > 80)
tracker = (i, j)
print(tracker)
