class CustomSimulation(Simulation): #Custom
def __init__(self, code=None):
self.code = code
self.record_every_stock = False
def setting(self, params, fname=None):
"""複数の株だけど、いくつかの株に絞ってシミュレーションする場合は
_fnameにファイル名を指定
"""
if 'from' in params:
self.set_date_from(params['from'])
if 'to' in params:
self.set_date_to(params['to'])
print 'from:', self.date_from
print 'to:', self.date_to
if self.code is not None:
self.simulate_a_stock(self.code) # privateメソッドのため、親クラスのメソッドを直接呼び出す
else:
self.simulate_all_stocks(fname)
def set_trading_system(self, params):
self.trading_system = TradingSystem(params)
def set_date_from(self, date):
self.date_from = date
def set_date_to(self, date):
self.date_to = date
def set_data_loader(self, data_loader):
Simulation.data_loader = data_loader
def set_record_dir(self, record_dir, setting_file_name, system_name,
version):
self.recorder = \
Recorder(os.path.join(record_dir,system_name,version))
self.recorder.create_record_folder()
self.recorder.record_setting(setting_file_name)
def set_record_every_stock(self, true_or_false):
self.record_every_stock = true_or_false
class CustomSimulation(Simulation): #Custom
def __init__(self, code=None):
self.code = code
self.record_every_stock = False
def setting(self, params, fname=None):
"""複数の株だけど、いくつかの株に絞ってシミュレーションする場合は
_fnameにファイル名を指定
"""
if 'from' in params:
self.set_date_from(params['from'])
if 'to' in params:
self.set_date_to(params['to'])
print 'from:', self.date_from
print 'to:', self.date_to
if self.code is not None:
self.simulate_a_stock(self.code) # privateメソッドのため、親クラスのメソッドを直接呼び出す
else:
self.simulate_all_stocks(fname)
def set_trading_system(self, params):
self.trading_system = TradingSystem(params)
def set_date_from(self, date):
self.date_from = date
def set_date_to(self, date):
self.date_to = date
def set_data_loader(self, data_loader):
Simulation.data_loader = data_loader
def set_record_dir(self, record_dir, setting_file_name, system_name, version):
self.recorder = \
Recorder(os.path.join(record_dir,system_name,version))
self.recorder.create_record_folder()
self.recorder.record_setting(setting_file_name)
def set_record_every_stock(self, true_or_false):
self.record_every_stock = true_or_false
data = DataToStock(data_dir, dbname)
estrangement_system = TradingSystem({
'entries':
EstrangementEntry({
'span': 20,
'rate': 5
}),
'exits': [StopOutExit(),
EstrangementExit({
'span': 20,
'rate': 3.5
})], # stop_out_exitは最後につける(損切りの手仕舞いだから)
'stops':
AverageTrueRangeStop({'span': 20}),
'filters':
MovingAverageDirectionFilter({'span': 30})
})
recorder = Recorder()
recorder.record_dir = 'result/estrangement/test_simulation'
simulation = \
Simulation({'trading_system':estrangement_system,
'data_loader': data,
'recorder':recorder})
recorder.create_record_folder()
#simulation.simulate_a_stock(8604) # code.csv
simulation.simulate_all_stocks(
os.getcwd() + '/../data/test_stock.csv') # _stats_for_each_stock.csv
trade.volume = stock.unit
print "trade",trade
print "entry",trade.entry_date
print "entry_price",trade.entry_price
print "trade_type", trade.trade_type
print "volume",trade.volume
# check exit
if trade is not None:
trading_system.check_exit(trade, i)
if trade.isclosed():
trades.append(trade)
print "exit",trade.exit_date
print "exit_price",trade.exit_price
trade = None
return trades
con = sqlite.connect(os.getcwd()+'/../data/daily_stock_data.db')
recorder = Recorder()
recorder.record_dir = 'result/test'
recorder.create_record_folder()
recorder.record_setting(__file__) # 現在実行中のソースファイル名
results = [ simulate(code) for code in (7203,4063, 8604) ]
results = [trades for trades in results if len(trades)!=0]
for trades in results: recorder.record_a_stock(trades)
recorder.record_stats_for_each_stock(results)
recorder.record_stats(results)
