def run_smacross_strategy():
global feed
print "Running smacross_strategy.Strategy"
strat = smacross_strategy.Strategy(feed, instrument, 20)
strat.run()
print strat.getResult()
from pytradelib.barfeed import yahoofeed
from pytradelib.stratanalyzer import returns
from pytradelib.stratanalyzer import sharpe
from pytradelib.stratanalyzer import drawdown
from pytradelib.stratanalyzer import trades
import smacross_strategy
# Load the yahoo feed from the CSV file
feed = yahoofeed.Feed()
feed.add_bars_from_csv("orcl", "orcl-2000.csv")
# Evaluate the strategy with the feed's bars.
myStrategy = smacross_strategy.Strategy(feed, 20)
# Attach different analyzers to a strategy before executing it.
retAnalyzer = returns.Returns()
myStrategy.attach_analyzer(retAnalyzer)
sharpeRatioAnalyzer = sharpe.SharpeRatio()
myStrategy.attach_analyzer(sharpeRatioAnalyzer)
drawDownAnalyzer = drawdown.DrawDown()
myStrategy.attach_analyzer(drawDownAnalyzer)
tradesAnalyzer = trades.Trades()
myStrategy.attach_analyzer(tradesAnalyzer)
# Run the strategy.
myStrategy.run()
print "Final portfolio value: $%.2f" % myStrategy.get_result()
print "Cumulative returns: %.2f %%" % (
retAnalyzer.get_cumulative_returns()[-1] * 100)
print "Sharpe ratio: %.2f" % (sharpeRatioAnalyzer.get_sharpe_ratio(0.05, 252))
from pyalgotrade import plotter
from pyalgotrade.barfeed import yahoofeed
from pyalgotrade.stratanalyzer import returns
import smacross_strategy
# Load the yahoo feed from the CSV file
feed = yahoofeed.Feed()
feed.addBarsFromCSV("orcl", "orcl-2000.csv")
# Evaluate the strategy with the feed's bars.
myStrategy = smacross_strategy.Strategy(feed, "orcl", 20)
# Attach a returns analyzers to the strategy.
returnsAnalyzer = returns.Returns()
myStrategy.attachAnalyzer(returnsAnalyzer)
# Attach the plotter to the strategy.
plt = plotter.StrategyPlotter(myStrategy)
# Include the SMA in the instrument's subplot to get it displayed along with the closing prices.
plt.getInstrumentSubplot("orcl").addDataSeries("SMA", myStrategy.getSMA())
# Plot the strategy returns at each bar.
plt.getOrCreateSubplot("returns").addDataSeries("Net return",
returnsAnalyzer.getReturns())
plt.getOrCreateSubplot("returns").addDataSeries(
"Cum. return", returnsAnalyzer.getCumulativeReturns())
# Run the strategy.
myStrategy.run()
print "Final portfolio value: $%.2f" % myStrategy.getResult()
# Plot the strategy.