def question1(): startDate = datetime(2008, 1, 1) endDate = datetime(2009, 12, 31) symbols = 'sp5002012' eventMaker = lambda price: find_crossing_threshold_events(price, threshold=6) initialInvestment = 50000 holdingPeriod = 5 numberOfStocksTraded = 100 marketSymbol = '$SPX' graphStrategies(eventMaker, startDate, endDate, symbols, marketSymbol, 'actual_close', True, holdingPeriod) evaluateEventTrades(startDate, endDate, symbols, True, eventMaker, holdingPeriod, numberOfStocksTraded, initialInvestment, marketSymbol, verbosity=0)
def question_3(): startDate = datetime(2008, 1, 1) endDate = datetime(2009, 12, 31) timeStamps = getNYSEdays(startDate, endDate, timedelta(hours=16)) dataReader = DataAccess('Yahoo') symbolsListName = 'sp5002012' symbols = dataReader.get_symbols_from_list(symbolsListName) symbols.append('SPY') data = fillNA(dataReader.get_data(timeStamps, symbols, 'actual_close')) # read data and filled na # create events and event-profile events = find_crossing_threshold_events(data, threshold=7) eventprofiler(events, {'close': data}, i_lookback=20, i_lookforward=20, s_filename = join(rootDir, symbolsListName + '_threshold7.pdf'), b_market_neutral=True, b_errorbars=True, s_market_sym='SPY')