def test_precompute():
ticks = load_ticks('dc', 'pp', 2015, range(9,10), use_cache=True)
s = Strategy(ticks, 3.75, show_freq=None)
ind = PivotProfile(s, 5*60*2, int(1 * 3.75 * 60 * 60 * 2))
t0 = time.time()
ind.precompute()
t1 = time.time()
print 't_precompute =', t1 - t0, 'sec'
s.add_indicator(ind)
t0 = time.time()
s.run()
t1 = time.time()
print 't =', t1 - t0, 'sec'
s2 = Strategy(ticks, 3.75, show_freq=None)
ind2 = PivotProfile(s2, 5*60*2, int(1 * 3.75 * 60 * 60 * 2))
s2.add_indicator(ind2)
t0 = time.time()
s2.run()
t1 = time.time()
print 't =', t1 - t0, 'sec'
sal = ind.saliency[0][ind.saliency[3]:-ind.saliency[3]]
sal2 = ind2.saliency[0][ind2.saliency[3]:-ind2.saliency[3]]
print np.abs(sal - sal2).mean(), np.abs(sal - sal2).max(), np.abs(sal).mean()
def test_macd():
ticks = load_ticks('dc', 'pp', 2015, range(9,10), use_cache=True)
s = Strategy('pp09_macd', ticks, 3.75)
inds = [MACD(s, 1*60*2, 5*60*2, standardized=False, escape_opening=1),
MACD(s, 2*60*2, 10*60*2, standardized=False, escape_opening=1),
MACD(s, 10*60*2, 60*60*2, standardized=False, escape_opening=0)
]
for ind in inds:
s.add_indicator(ind)
s.run()
def test_output(year=2015, month_range=range(1, 13), name=''):
for exchange, commodity, tick_size, hours_per_day in futures:
ticks = load_ticks(exchange, commodity, year, month_range)
name = base_dir+commodity+str(year%100)+str(month_range[0]).zfill(2)+'-'+str(year%100)+str(month_range[-1]).zfill(2)+'_pivot'+name
s = Strategy(name, ticks, tick_size, hours_per_day, save_freq=10)#, show_freq=10)
# ind_xs = SRProfile(s, 0.5*60*2, int(30*60*2))
ind_s = PivotProfile(s, 5*60*2, int(1 * hours_per_day * 60 * 60 * 2 * 1.5))
ind_m = PivotProfile(s, 30*60*2, int(5 * hours_per_day * 60 * 60 * 2 * 1.5))
for ind in [
ind_m,
ind_s,
# ind_xs,
]:
ind.precompute()
s.add_indicator(ind)
s.run()
return s
def test_output(year=2016, month_range=range(1, 6), exp_name=''):
for exchange, commodity, tick_size, hours_per_day in futures:
ticks = load_ticks(exchange, commodity, year, month_range)
name = base_dir+commodity+str(year%100)+str(month_range[0]).zfill(2)+'-'+str(year%100)+str(month_range[-1]).zfill(2)+'_common'+exp_name
s = Strategy(name, ticks, tick_size, hours_per_day, save_freq=10)#, show_freq=10)
inds = [
# MACD(s, 10, 1*60*2, escape_opening=0),
# MACD(s, 10, 5*60*2, escape_opening=0),
# MACD(s, 1*60*2, 10*60*2, escape_opening=0),
# MACD(s, 5*60*2, 30*60*2, escape_opening=0),
# MACD(s, 5*60*2, 60*60*2, escape_opening=0),
# MACD(s, 5*60*2, 120*60*2, escape_opening=0),
# MACD(s, 5*60*2, 240*60*2, escape_opening=0),
# MA(s, 5*2),
# MA(s, 1*60*2),
# MA(s, 5*60*2),
# MA(s, 10*60*2),
# MA(s, 30*60*2),
# MA(s, 60*60*2),
# MA(s, 120*60*2),
# MA(s, 240*60*2),
PastXtrm(s, 5*60*2),
PastXtrm(s, 10*60*2),
PastXtrm(s, 30*60*2),
PastXtrm(s, 60*60*2),
PastXtrm(s, 120*60*2),
PastXtrm(s, 240*60*2),
FutureXtrm(s, 5*60*2),
FutureXtrm(s, 10*60*2),
FutureXtrm(s, 30*60*2),
FutureXtrm(s, 60*60*2),
FutureXtrm(s, 120*60*2),
FutureXtrm(s, 240*60*2),
TimeInfo(s)
]
for ind in inds:
s.add_indicator(ind)
print 'Running', name
with Timer() as t:
s.run()
print 'Run took %f sec.' % t.interval
return s
