def __init__(self, tickerSymbol, patternLength= 90, outcomeLength= 21, startDate= '2005-2-2'):
self.ticker = tickerSymbol
self.pL = patternLength
self.oL = outcomeLength
self.startDate = startDate
if self.pL> 80:
self.corr = .7
else: self.corr= .8
self.obj = Data(self.ticker,self.startDate)
self.s = self.obj.getData()['Close'].pct_change().cumsum().dropna()*100
self.s.name = 'percentCum'
class PatternRec:
def __init__(self, tickerSymbol, patternLength= 90, outcomeLength= 21, startDate= '2005-2-2'):
self.ticker = tickerSymbol
self.pL = patternLength
self.oL = outcomeLength
self.startDate = startDate
if self.pL> 80:
self.corr = .7
else: self.corr= .8
self.obj = Data(self.ticker,self.startDate)
self.s = self.obj.getData()['Close'].pct_change().cumsum().dropna()*100
self.s.name = 'percentCum'
@decorators.timer
def pRec(self):
i= len(self.s)
self.valoreAtteso= np.nan
self.dfPast = pd.DataFrame(self.s[i-self.pL:i])
firstdayFut = self.dfPast.index[-1]+BDay(1)
self.dfFut = pd.DataFrame(index=pd.date_range(firstdayFut, periods=self.oL, freq='B'), columns=['out'])
j = i -self.pL
while j > self.pL:
st = self.s.index[j].strftime('%y-%m-%d')
pat = self.s[j-self.pL:j]
self.dfPast[st] = pat.values
c = self.dfPast['percentCum'].corr(self.dfPast[st])
if c < self.corr:
self.dfPast = self.dfPast.drop(st, axis= 1)
j-=1
else:
self.dfFut[st]= self.s[j:j+self.oL].values
j-=self.pL
self.dfFut = self.dfFut.drop('out',1)
if self.dfFut.shape[1] >=2:
self.rets = self.dfFut.apply(lambda x: x[-1]- x[0])
positiveOut = [i for i in self.rets if i > 0]
negativeOut = [i for i in self.rets if i < 0]
positivePercent = (len(positiveOut)*100.)/len(self.rets)
if positivePercent > 65:
self.valoreAtteso =np.mean(positiveOut)
elif positivePercent < 35:
self.valoreAtteso = np.mean(negativeOut)
else:
self.valoreAtteso = np.nan
self.maxVal = np.max(positiveOut)
self.minVal = np.min(negativeOut)
try:
print 'pattern simili:\t\t{0}\nritorni positivi:\t{1} %\nvalore massimo:\t\t{2}\nvalore minimo:\t\t{3}'.format(len(self.rets),positivePercent,self.maxVal,self.minVal)
except Exception, e:
print 'pattern simili:\t\t{0}\nritorni positivi:\t{1} %\nvalore atteso:\t\t{2}'.format(len(self.rets),positivePercent,self.valoreAtteso)
else: