def estimate(self, vname, ops, front):
l = len(self.directs)
front = max(front, SLOPE_PERIOD)
end = l - PROFIT_DAYS
goods = [0] * AREA_NUM
bads = [0] * AREA_NUM
for i in range(front, end):
area = self.areas[i]
goods[area] += ops[i] * self.directs[i]
# if ops[i] == self.directs[i]:
# goods[area] += 1
# elif self.directs[i] == 0:
# pass
# else:
# bads[area] += 1
for area in range(AREA_NUM):
# logb.info('------' + str(area) + ', ' + str(AREA_NUM))
vts, good, bad = self.voters[area], goods[area], bads[area]
# logb.info('--' + str(area) + ',' + vname + ',' + str(good) + ',' + str(bad))
gd = good - bad
if gd < vts[-1][1] - vts[-1][2]:
continue
l = len(vts)
for i in range(l):
vgd = vts[i][1] - vts[i][2]
if gd > vgd:
logb.info(str(area) + "," + vname + "," + str(good) + "," + str(bad))
vts.insert(i, [vname, good, bad, ops])
if l + 1 > self.num:
vts.pop(-1)
break
def estimate(self, vname, ops, front):
l = len(self.directs)
front = max(front, SLOPE_PERIOD)
end = l - PROFIT_DAYS
goods = [0] * AREA_NUM
bads = [0] * AREA_NUM
for i in range(front, end):
if not checkTime(self.prices[i]['dt']): continue
area = self.areas[i]
goods[area] += ops[i] * self.directs[i]
if ops[i] != 0: goods[area] -= 1
#if ops[i] == self.directs[i]:
# goods[area] += 1
#elif self.directs[i] == 0:
# pass
#else:
# bads[area] += 1
for area in range(AREA_NUM):
#logb.info('------' + str(area) + ', ' + str(AREA_NUM))
vts, good, bad = self.voters[area], goods[area], bads[area]
#logb.info('--' + str(area) + ',' + vname + ',' + str(good) + ',' + str(bad))
gd = good - bad
if gd < vts[-1][1] - vts[-1][2]: continue
l = len(vts)
for i in range(l):
vgd = vts[i][1] - vts[i][2]
if gd > vgd:
logb.info(str(area) + ',' + vname + ',' + str(good) + ',' + str(bad))
vts.insert(i, [vname, good, bad, ops])
if l + 1 > self.num:
vts.pop(-1)
break
def runStrategy_0(in_prices):
global mas, emas, smas, std, prices
log.debug("beginning first strategy ...")
prices = in_prices
ps = [p["close"] for p in prices]
std = [0] * 51
l = len(prices)
for period in range(2, 51):
std[period] = [0] * l
for i in range(period - 1, l):
std[period][i] = round(np.std(ps[i - period + 1 : i + 1], dtype=np.float64, ddof=0), 3)
mas = [0] * 61
emas = [0] * 61
smas = [0] * 61
for period in range(2, 61):
mas[period] = ma.calc_ma(ps, period)
emas[period] = ma.calc_ema(ps, period)
smas[period] = ma.calc_sma(ps, period)
log.debug("running first strategy ...")
starttime = datetime.datetime.now()
matypes = ["MA", "EMA", "SMA"]
farr = [2, 3, 4, 5, 6, 7]
s1arr = [4, 6, 8, 10, 12, 14, 16, 18, 20]
s2arr = [0, 6, 9, 12, 15, 18, 21, 24, 27, 30, 33, 36, 39, 42, 45, 48, 51]
pool = StrategyPool(100)
for stdPeriod in [20, 30, 40]:
stdGuage = 1.0
while stdGuage <= 1.3:
maxAEquity = maxBEquity = 0
poola = StrategyPool(5)
poolb = StrategyPool(5)
for ft, f in [(matype, period) for matype in matypes for period in farr]:
for s1t, s1 in [(matype, period) for matype in matypes for period in s1arr]:
elapsed = (datetime.datetime.now() - starttime).seconds
log.debug("== " + str(elapsed) + "," + ft + "_" + str(f) + "," + s1t + "_" + str(s1) + " ==")
for s2t, s2 in [(matype, period) for matype in matypes for period in s2arr]:
if s2 != 0 and s2 < s1:
continue
if s2 == 0 and (s2t == "EMA" or s2t == "SMA"):
continue
t = doTrade(poola, stdPeriod, stdGuage, ft, f, s1t, s1, s2t, s2, "", 0, "", 0, "", 0)
if t.equity > maxAEquity:
maxAEquity = t.equity
maxEAs = [ft, f, s1t, s1, s2t, s2]
elapsed = (datetime.datetime.now() - starttime).seconds
log.info("find A time: " + str(elapsed) + " ")
poola.showStrategies()
for ft, f in [(matype, period) for matype in matypes for period in farr]:
for s1t, s1 in [(matype, period) for matype in matypes for period in s1arr]:
elapsed = (datetime.datetime.now() - starttime).seconds
log.debug("== " + str(elapsed) + "," + ft + "_" + str(f) + "," + s1t + "_" + str(s1) + " ==")
for s2t, s2 in [(matype, period) for matype in matypes for period in s2arr]:
if s2 != 0 and s2 < s1:
continue
if s2 == 0 and (s2t == "EMA" or s2t == "SMA"):
continue
t = doTrade(poolb, stdPeriod, stdGuage, "", 0, "", 0, "", 0, ft, f, s1t, s1, s2t, s2)
if t.equity > maxBEquity:
maxBEquity = t.equity
maxEBs = [ft, f, s1t, s1, s2t, s2]
elapsed = (datetime.datetime.now() - starttime).seconds
log.info("find B time: " + str(elapsed) + " ")
poolb.showStrategies()
logb.info(str(stdPeriod) + "," + str(stdGuage) + "," + str(maxAEquity) + "," + str(maxBEquity))
logb.info(str(maxEAs))
logb.info(str(maxEBs))
for i in range(5):
sa = poola.strategies[i]
sb = poolb.strategies[i]
t = doTrade(
pool,
stdPeriod,
stdGuage,
sa[0].args[2],
sa[0].args[3],
sa[0].args[4],
sa[0].args[5],
sa[0].args[6],
sa[0].args[7],
sb[0].args[8],
sb[0].args[9],
sb[0].args[10],
sb[0].args[11],
sb[0].args[12],
sb[0].args[13],
)
t.generateGraph()
pool.estimate(t)
stdGuage += 0.1
pool.showStrategies()
def runStrategy_0(in_prices):
global mas, emas, smas, std, prices
log.debug('beginning first strategy ...')
prices = in_prices
ps = [p['close'] for p in prices]
std = [0] * 51
l = len(prices)
for period in range(2, 51):
std[period] = [0] * l
for i in range(period - 1, l):
std[period][i] = round(
np.std(ps[i - period + 1:i + 1], dtype=np.float64, ddof=0), 3)
mas = [0] * 61
emas = [0] * 61
smas = [0] * 61
for period in range(2, 61):
mas[period] = ma.calc_ma(ps, period)
emas[period] = ma.calc_ema(ps, period)
smas[period] = ma.calc_sma(ps, period)
log.debug('running first strategy ...')
starttime = datetime.datetime.now()
matypes = ['MA', 'EMA', 'SMA']
farr = [
2,
3,
4,
5,
6,
7,
]
s1arr = [
4,
6,
8,
10,
12,
14,
16,
18,
20,
]
s2arr = [
0,
6,
9,
12,
15,
18,
21,
24,
27,
30,
33,
36,
39,
42,
45,
48,
51,
]
pool = StrategyPool(100)
for stdPeriod in [20, 30, 40]:
stdGuage = 1.0
while stdGuage <= 1.3:
maxAEquity = maxBEquity = 0
poola = StrategyPool(5)
poolb = StrategyPool(5)
for ft, f in [(matype, period) for matype in matypes
for period in farr]:
for s1t, s1 in [(matype, period) for matype in matypes
for period in s1arr]:
elapsed = (datetime.datetime.now() - starttime).seconds
log.debug('== ' + str(elapsed) + ',' + ft + '_' + str(f) +
',' + s1t + '_' + str(s1) + ' ==')
for s2t, s2 in [(matype, period) for matype in matypes
for period in s2arr]:
if s2 != 0 and s2 < s1: continue
if s2 == 0 and (s2t == 'EMA' or s2t == 'SMA'): continue
t = doTrade(poola, stdPeriod, stdGuage, ft, f, s1t, s1,
s2t, s2, '', 0, '', 0, '', 0)
if t.equity > maxAEquity:
maxAEquity = t.equity
maxEAs = [ft, f, s1t, s1, s2t, s2]
elapsed = (datetime.datetime.now() - starttime).seconds
log.info('find A time: ' + str(elapsed) + ' ')
poola.showStrategies()
for ft, f in [(matype, period) for matype in matypes
for period in farr]:
for s1t, s1 in [(matype, period) for matype in matypes
for period in s1arr]:
elapsed = (datetime.datetime.now() - starttime).seconds
log.debug('== ' + str(elapsed) + ',' + ft + '_' + str(f) +
',' + s1t + '_' + str(s1) + ' ==')
for s2t, s2 in [(matype, period) for matype in matypes
for period in s2arr]:
if s2 != 0 and s2 < s1: continue
if s2 == 0 and (s2t == 'EMA' or s2t == 'SMA'): continue
t = doTrade(poolb, stdPeriod, stdGuage, '', 0, '', 0,
'', 0, ft, f, s1t, s1, s2t, s2)
if t.equity > maxBEquity:
maxBEquity = t.equity
maxEBs = [ft, f, s1t, s1, s2t, s2]
elapsed = (datetime.datetime.now() - starttime).seconds
log.info('find B time: ' + str(elapsed) + ' ')
poolb.showStrategies()
logb.info(
str(stdPeriod) + ',' + str(stdGuage) + ',' + str(maxAEquity) +
',' + str(maxBEquity))
logb.info(str(maxEAs))
logb.info(str(maxEBs))
for i in range(5):
sa = poola.strategies[i]
sb = poolb.strategies[i]
t = doTrade(pool, stdPeriod, stdGuage, sa[0].args[2],
sa[0].args[3], sa[0].args[4], sa[0].args[5],
sa[0].args[6], sa[0].args[7], sb[0].args[8],
sb[0].args[9], sb[0].args[10], sb[0].args[11],
sb[0].args[12], sb[0].args[13])
t.generateGraph()
pool.estimate(t)
stdGuage += 0.1
pool.showStrategies()
def runStrategy(in_prices):
global mas, emas, smas, std, prices
log.debug('beginning first strategy ...')
prices = in_prices
ps = [p['close'] for p in prices]
std = [0] * 51
l = len(prices)
for period in range(2, 51):
std[period] = [0] * l
for i in range(period - 1, l):
std[period][i] = round(np.std(ps[i-period+1 : i+1], dtype=np.float64, ddof=0), 3)
mas = [0] * 61
emas = [0] * 61
smas = [0] * 61
for period in range(2, 61):
mas[period] = ma.calc_ma(ps, period)
emas[period] = ma.calc_ema(ps, period)
smas[period] = ma.calc_sma(ps, period)
pool = StrategyPool(100)
#t = doTrade(pool, 25, 1.0, 'MA', 7, 'SMA', 12, 'EMA', 31, 'SMA', 7, 'MA', 12, 'MA', 13)
t = doTrade(pool, 25, 1.3, 'MA', 7, 'SMA', 13, 'EMA', 31, 'SMA', 7, 'MA', 12, 'MA', 13)
#t = doTrade(pool, 25, 1.0, 'MA', 7, 'SMA', 13, 'EMA', 26, 'SMA', 7, 'MA', 12, 'MA', 13)
#t = doTrade(pool, 25, 1.0, 'MA', 7, 'SMA', 12, 'EMA', 26, 'SMA', 7, 'MA', 12, 'MA', 13)
#
#t = doTrade(pool, 25, 1.1, 'MA', 7, 'SMA', 12, 'EMA', 31, 'SMA', 7, 'MA', 12, 'MA', 13)
#t = doTrade(pool, 25, 1.1, 'MA', 7, 'SMA', 13, 'EMA', 31, 'SMA', 7, 'MA', 12, 'MA', 13)
#t = doTrade(pool, 25, 1.1, 'MA', 7, 'SMA', 13, 'EMA', 26, 'SMA', 7, 'MA', 12, 'MA', 13)
#t = doTrade(pool, 25, 1.1, 'MA', 7, 'SMA', 12, 'EMA', 26, 'SMA', 7, 'MA', 12, 'MA', 13)
#
#t = doTrade(pool, 25, 1.2, 'MA', 7, 'SMA', 12, 'EMA', 31, 'SMA', 7, 'MA', 12, 'MA', 13)
#t = doTrade(pool, 25, 1.2, 'MA', 7, 'SMA', 13, 'EMA', 31, 'SMA', 7, 'MA', 12, 'MA', 13)
#t = doTrade(pool, 25, 1.2, 'MA', 7, 'SMA', 13, 'EMA', 26, 'SMA', 7, 'MA', 12, 'MA', 13)
#t = doTrade(pool, 25, 1.2, 'MA', 7, 'SMA', 12, 'EMA', 26, 'SMA', 7, 'MA', 12, 'MA', 13)
#
#t = doTrade(pool, 25, 1.3, 'MA', 7, 'SMA', 12, 'EMA', 31, 'SMA', 7, 'MA', 12, 'MA', 13)
#t = doTrade(pool, 25, 1.3, 'MA', 7, 'SMA', 13, 'EMA', 31, 'SMA', 7, 'MA', 12, 'MA', 13)
#t = doTrade(pool, 25, 1.3, 'MA', 7, 'SMA', 13, 'EMA', 26, 'SMA', 7, 'MA', 12, 'MA', 13)
#t = doTrade(pool, 25, 1.3, 'MA', 7, 'SMA', 12, 'EMA', 26, 'SMA', 7, 'MA', 12, 'MA', 13)
#t = doTrade(pool, 25, 1.0, 'MA', 7, 'SMA', 13, 'EMA', 26, 'SMA', 7, 'MA', 12, 'MA', 12)
pool.showStrategies()
return
log.debug('running first strategy ...')
starttime = datetime.datetime.now()
matypes = ['MA', 'EMA', 'SMA']
#farr = [2, 3, 4, 5, 6, 7, ]
#s1arr = [4, 6, 8, 10, 12, 14, 16, 18, 20, ]
#s2arr = [0, 6, 9, 12, 15, 18, 21, 24, 27, 30, 33, 36, 39, 42, 45, 48, 51, ]
farr = [2,]
s1arr = [4, ]
s2arr = [0, ]
pool = StrategyPool(100)
for stdPeriod in [20, ]:
stdGuage = 0.5
for stdGuage in [1.3, ]:
maxAEquity = maxBEquity = 0
poola = StrategyPool(5)
poolb = StrategyPool(5)
for ft, f in [(matype, period) for matype in matypes for period in farr]:
for s1t, s1 in [(matype, period) for matype in matypes for period in s1arr]:
elapsed = (datetime.datetime.now() - starttime).seconds
log.debug('== ' + str(elapsed) + ',' + ft + '_' + str(f) + ',' + s1t + '_' + str(s1) + ' ==')
for s2t, s2 in [(matype, period) for matype in matypes for period in s2arr]:
if s2 != 0 and s2 < s1: continue
if s2 == 0 and (s2t == 'EMA' or s2t == 'SMA'): continue
t = doTrade(poola, stdPeriod, stdGuage, ft, f, s1t, s1, s2t, s2, '', 0, '', 0, '', 0)
if t.equity > maxAEquity:
maxAEquity = t.equity
maxEAs = [ft, f, s1t, s1, s2t, s2]
elapsed = (datetime.datetime.now() - starttime).seconds
log.info('find A time: ' + str(elapsed) + ' ')
#poola.showStrategies()
for ft, f in [(matype, period) for matype in matypes for period in farr]:
for s1t, s1 in [(matype, period) for matype in matypes for period in s1arr]:
elapsed = (datetime.datetime.now() - starttime).seconds
log.debug('== ' + str(elapsed) + ',' + ft + '_' + str(f) + ',' + s1t + '_' + str(s1) + ' ==')
for s2t, s2 in [(matype, period) for matype in matypes for period in s2arr]:
if s2 != 0 and s2 < s1: continue
if s2 == 0 and (s2t == 'EMA' or s2t == 'SMA'): continue
t = doTrade(poolb, stdPeriod, stdGuage, '', 0, '', 0, '', 0, ft, f, s1t, s1, s2t, s2)
if t.equity > maxBEquity:
maxBEquity = t.equity
maxEBs = [ft, f, s1t, s1, s2t, s2]
elapsed = (datetime.datetime.now() - starttime).seconds
log.info('find B time: ' + str(elapsed) + ' ')
#poolb.showStrategies()
logb.info(str(stdPeriod) + ',' + str(stdGuage) + ',' + str(maxAEquity) + ',' + str(maxBEquity))
logb.info(str(maxEAs))
logb.info(str(maxEBs))
for i in range(5):
sa = poola.strategies[i]
sb = poolb.strategies[i]
t = doTrade(pool, stdPeriod, stdGuage, sa[0].args[2], sa[0].args[3], sa[0].args[4], sa[0].args[5], sa[0].args[6], sa[0].args[7], sb[0].args[8], sb[0].args[9], sb[0].args[10], sb[0].args[11], sb[0].args[12], sb[0].args[13])
t.generateGraph()
#pool.estimate(t)
#stdGuage += 0.1
pool.showStrategies()
