B.append(0)
else:B.append(1)
elif B[-1]==-1:
if dfi['High'][i]>dfi['rMAX8'][i]:
B.append(0)
else:B.append(-1)
dfi['sig']=B
B=[]
for i in dfi.index:
if dfi['sig'].ix[i]==0:
B.append(0)
elif dfi['sig'].ix[i]!=0:
if B[-1]==0:
B.append(100/(dfi['ATR'][i]*2))
else:
B.append(B[-1])
else:
B.append(B[-1])
dfi['invested']=B
dfi['pch']=dfi['Adj Close'].pct_change(periods=1)
dfi['simple']=(dfi['pch']*dfi['sig'])+1
dfi['lev']=(dfi['pch']*dfi['invested']*dfi['sig']*0.1)+1
dfi['simple_pnl']=dfi['simple'].cumprod()
dfi['lev_pnl']=dfi['lev'].cumprod()
print dfi.to_string()
plt.subplot(111)
plt.plot(dfi.index,dfi[['simple_pnl','lev_pnl']])
plt.show()
import numpy as np
import talib
from pandas.io.data import DataReader
from datetime import datetime
import pandas as pd
import matplotlib.pyplot as plt
f = lambda x: float(x)
SPX = DataReader("SP500", "fred", datetime(2011,1,1), datetime(2012,1,11)).applymap(f).bfill() #SPX
# SPX['ma']=SPX['SP500'].apply(abstract.Function('sma'))
SPX['SMA'] = talib.MA(SPX.SP500, 15)
print SPX.to_string()
print talib.get_functions()
#https://github.com/mrjbq7/ta-lib