def gen_manual_trades(self):
indicators = Indicators(symbols = self.symbol, sd=self.sd, ed=self.ed)
indicators.gen_all_indicators()
momentum, sma, bollinger_minus, bollinger_plus = indicators.get_all_inidcators()
# EXECUTE MANUAL STRATEGY
cols = ["Symbol", "Order", "Shares"]
trades = np.zeros(shape = (self.data.shape[0],3))
trades = pd.DataFrame(trades, index = self.data.index.values, columns = cols)
holdings = 0 # initial holdsing value:
momentum_cutoff = 0.075
for i in range(self.data.shape[0]):
# if it's the first day, buy because the general trend of the economy is up:
if i == 0 and holdings < 1000:
to_buy = 1000 - holdings
trades.ix[i] = (self.symbol, "BUY", to_buy)
holdings = holdings + to_buy
# first, buy/sell based on bollinger bands:
# if price is below lower bollinger band, buy:
elif bollinger_minus.ix[i] > self.data.ix[i].values[0] and holdings < 1000:
to_buy = 1000 - holdings
trades.ix[i] = (self.symbol, "BUY", to_buy)
holdings = holdings + to_buy
# elif price is above upper bollinger band, sell:
elif bollinger_plus.ix[i] < self.data.ix[i].values[0] and holdings > -1000:
to_sell = 1000 + holdings
trades.ix[i] = (self.symbol, "SELL", to_sell)
holdings = holdings - to_sell
# if momentum slope is above a value, buy because we expect it to go up:
elif self.get_momentum_slope(momentum, i) > momentum_cutoff and holdings < 1000:
to_buy = 1000 - holdings
trades.ix[i] = (self.symbol, "BUY", to_buy)
holdings = holdings + to_buy
# else if momentum slope is below a value, sell because we expect price to then go down:
elif self.get_momentum_slope(momentum, i) < -momentum_cutoff and holdings > -1000:
to_sell = 1000 + holdings
trades.ix[i] = (self.symbol, "SELL", to_sell)
holdings = holdings - to_sell
# if sma is larger than the price, buy:
elif self.sma_is_consistently_higher(sma, i) and holdings < 1000:
to_buy = 1000 - holdings
trades.ix[i] = (self.symbol, "BUY", to_buy)
holdings = holdings + to_buy
# elif sma is lower than price, sell:
elif self.sma_is_consistently_lower(sma, i) and holdings > -1000:
to_sell = 1000 + holdings
trades.ix[i] = (self.symbol, "SELL", to_sell)
holdings = holdings - to_sell
trades["Symbol"] = self.symbol
return trades
def get_indicators(self, prices):
calc_indicators = Indicators(self.syms, self.sd, self.ed)
calc_indicators.gen_all_indicators()
momentum, sma, low_bollinger, high_bollinger = calc_indicators.get_normed_indicators(
)
df = pd.DataFrame(index=prices.index)
df['Momentum'] = momentum
df['SMA'] = sma
df['Bollinger Low'] = low_bollinger
df['Bollinger High'] = high_bollinger
return df
