def runstrategy(index, fncodearr, div):
start = div[index][0]
end = div[index][1]
for i in range(start, end + 1):
inst = fncodearr[i][1]
fname = fncodearr[i][0]
fromMonth = 1
fromDay = 1
toMonth = 2
toDay = 24
start_time = datetime.datetime(1990, fromMonth, fromDay, 00, 00)
end_time = datetime.datetime(2017, toMonth, toDay, 00, 00)
barFilter = csvfeed.CHINAEquitiesRTH(start_time, end_time)
dirpath = './data/monk/'
feed = yahoofeed.Feed()
path = None
market = marketsession.CHASE()
feed.setBarFilter(barFilter)
path = dirpath + fname
feed.addBarsFromCSV(inst, path, market=market)
predicate = month.MONTH()
eventProfiler = eventprofiler.Profiler(predicate, 1, 1)
eventProfiler.run(feed, 2, True)
for k, v in predicate.get().iteritems():
if 'z' in v and 'd' in v:
rate = v['z'] / (v['d'] + v['z'] + 0.0)
if (v['z'] + v['d']) > 10 and rate > 0.8:
print k, v, rate
def runstrategy(index,fncodearr,div, dirpath, freq, q, period):
start = div[index][0]
end = div[index][1]
for i in range(start,end + 1):
inst = fncodearr[i][1]
fname = fncodearr[i][0]
fromMonth = 1
fromDay = 1
toMonth = 2
toDay = 24
start_time = datetime.datetime(2001,fromMonth,fromDay,00,00)
end_time = datetime.datetime(2020,toMonth,toDay,00,00)
barFilter = csvfeed.CHINAEquitiesRTH(start_time,end_time)
baseinfo = instinfo.InstrumentInfo('data/stockinfo.csv')
instfiles = [fncodearr[i]]
feed = yahoofeed.Feed(frequency=freq)
path = None
market = marketsession.CHASE()
feed.setBarFilter(barFilter)
path = dirpath + fname
feed.addBarsFromCSV(inst, path,market=market)
predicate = macdseg.MacdSeg(feed, baseinfo, q)
eventProfiler = eventprofiler.Profiler(predicate, 1, 1)
eventProfiler.run(feed, 2, True)
dump = utils.DumpFeature(predicate, instfiles, dirpath, period)
dump.ToDump()
def testNoEvents(self):
feed = yahoofeed.Feed()
feed.addBarsFromCSV("orcl", common.get_data_file_path("orcl-2000-yahoofinance.csv"))
predicate = Predicate([])
eventProfiler = eventprofiler.Profiler(predicate, 5, 5)
eventProfiler.run(feed, True)
self.assertEqual(eventProfiler.getResults().getEventCount(), 0)
def testOneEvent(self):
feed = yahoofeed.Feed()
feed.addBarsFromCSV("orcl", common.get_data_file_path("orcl-2000-yahoofinance.csv"))
predicate = Predicate([datetime.date(2000, 1, 11)])
eventProfiler = eventprofiler.Profiler(predicate, 5, 5)
eventProfiler.run(feed, True)
self.assertEqual(eventProfiler.getResults().getEventCount(), 1)
self.assertEqual(eventProfiler.getResults().getValues(0)[0], 1.0)
self.assertEqual(round(eventProfiler.getResults().getValues(5)[0], 5), round(1.016745541, 5))
def main(plot):
instruments = ["AA", "AES", "AIG"]
feed = googlefinance.build_feed(instruments, 2008, 2009, ".")
predicate = BuyOnGap(feed)
eventProfiler = eventprofiler.Profiler(predicate, 5, 5)
eventProfiler.run(feed, True)
results = eventProfiler.getResults()
print "%d events found" % (results.getEventCount())
if plot:
eventprofiler.plot(results)
def main(plot):
instruments = ["MSFT", "AA"]
feed = yahoofinance.build_feed(instruments, 2008, 2014, "data")
predicate = BuyOnGap(feed)
eventProfiler = eventprofiler.Profiler(predicate, 5, 5)
eventProfiler.run(feed, True)
results = eventProfiler.getResults()
print "%d events found" % (results.getEventCount())
if plot:
eventprofiler.plot(results)
def main(plot):
instruments = ["IBM", "AES", "AIG"]
feed = quandl.build_feed("WIKI", instruments, 2008, 2009, ".")
predicate = BuyOnGap(feed)
eventProfiler = eventprofiler.Profiler(predicate, 5, 5)
eventProfiler.run(feed, True)
results = eventProfiler.getResults()
print("%d events found" % (results.getEventCount()))
if plot:
eventprofiler.plot(results)
def main(plot):
symbols = ["IBM", "AES", "AIG"]
priceCurrency = "USD"
feed = quandl.build_feed("WIKI", symbols, priceCurrency, 2008, 2009, ".")
instruments = ["%s/%s" % (symbol, priceCurrency) for symbol in symbols]
predicate = BuyOnGap(feed, instruments)
eventProfiler = eventprofiler.Profiler(predicate, 5, 5)
eventProfiler.run(feed, True)
results = eventProfiler.getResults()
print("%d events found" % (results.getEventCount()))
if plot:
eventprofiler.plot(results)
def main(plot):
instrument = "n225"
# Load the bar feed from the CSV file
feed = yahoofeed.Feed()
feed.addBarsFromCSV(instrument, r".\Data\n225.csv")
predicate = BuyOnGap(feed)
eventProfiler = eventprofiler.Profiler(predicate, 5, 5)
eventProfiler.run(feed, True)
results = eventProfiler.getResults()
print("%d events found" % (results.getEventCount()))
if plot:
eventprofiler.plot(results)
def testEventsOnBoundary(self):
feed = yahoofeed.Feed()
feed.addBarsFromCSV("orcl", common.get_data_file_path("orcl-2000-yahoofinance.csv"))
dates = []
dates.append(datetime.date(2000, 1, 3))
dates.append(datetime.date(2000, 1, 4))
dates.append(datetime.date(2000, 1, 5))
dates.append(datetime.date(2000, 1, 6))
dates.append(datetime.date(2000, 1, 7))
dates.append(datetime.date(2000, 1, 10))
dates.append(datetime.date(2000, 12, 22))
dates.append(datetime.date(2000, 12, 26))
dates.append(datetime.date(2000, 12, 27))
dates.append(datetime.date(2000, 12, 28))
dates.append(datetime.date(2000, 12, 29))
predicate = Predicate(dates)
eventProfiler = eventprofiler.Profiler(predicate, 5, 5)
eventProfiler.run(feed, True)
self.assertEqual(eventProfiler.getResults().getEventCount(), 0)
def main(plot, argv):
# Get Parameters
period = 'day'
try:
opts, args = getopt.getopt(argv, "h:p:", ["day="])
except getopt.GetoptError:
print 'test.py -d <time>'
sys.exit(2)
for opt, arg in opts:
if opt == '-h':
print 'test.py -t <time> -o <outputfile>'
sys.exit()
elif opt in ("-p", "--period"):
period = arg
# Train Data
# fromMonth = 1
# fromDay = 1
# toMonth = 12
# toDay = 24
# start_time = datetime.datetime(2001,fromMonth,fromDay,00,00)
# end_time = datetime.datetime(2019,toMonth,toDay,00,00)
fromMonth = 9
fromDay = 1
toMonth = 12
toDay = 24
start_time = datetime.datetime(2015, fromMonth, fromDay, 00, 00)
end_time = datetime.datetime(2019, toMonth, toDay, 00, 00)
barFilter = csvfeed.CHINAEquitiesRTH(start_time, end_time)
baseinfo = instinfo.InstrumentInfo('data/stockinfo.csv')
freq = bar.Frequency.DAY
dirpath = './data/dayk/'
if period == 'week':
dirpath = './data/week/'
freq = bar.Frequency.WEEK
if period == 'month':
dirpath = './data/monk/'
freq = bar.Frequency.MONTH
if period == '15min':
dirpath = './data/15mink/'
freq = bar.Frequency.MIN15
if period == '30min':
dirpath = './data/30mink/'
freq = bar.Frequency.MIN30
fs = FileUtils('', '', '')
codearr = fs.os_walk(dirpath)
fncodearr = parseinst(codearr, 'ALL')
feed = yahoofeed.Feed(frequency=freq)
instfiles = fncodearr
instfiles = [("ZS000001.csv", "ZS000001")]
insts = []
# LOG CONFIGURE
q = Queue()
logging.config.dictConfig(log.d)
path = None
for ele in instfiles:
inst = ele[1]
fname = ele[0]
market = marketsession.CHASE()
feed.setBarFilter(barFilter)
path = dirpath + fname
feed.addBarsFromCSV(inst, path, market=market)
insts.append(inst)
lp = threading.Thread(target=logger_thread, args=(q, ))
lp.daemon = True
lp.start()
predicate = macdseg.MacdSeg(feed, baseinfo, q)
eventProfiler = eventprofiler.Profiler(predicate, 1, 1)
eventProfiler.run(feed, 2, True)
dump = utils.DumpFeature(predicate, instfiles, dirpath, period)
dump.ToDump()
q.put(None)
