def process(self,
symbol="AAPL",
sd=dt.datetime(2008, 1, 1),
ed=dt.datetime(2009, 12, 31)):
dates = pd.date_range(sd, ed)
prices_all = get_data([symbol], dates)
indi = Indicators()
indi.get_indicators(prices_all, self.indicator_window)
pd.concat([
indi.momentum.iloc[:, 1], indi.smap.iloc[:, 1], indi.bbp.iloc[:, 1]
],
axis=1)
prices_norm = prices_all / prices_all.iloc[0]
on_coming_returns = prices_norm.iloc[:, 1].pct_change(
periods=self.return_window).shift(-self.return_window).dropna(
axis=0)
on_coming_returns[on_coming_returns > self.order_threshold] = 1
on_coming_returns[on_coming_returns < -self.order_threshold] = -1
on_coming_returns[on_coming_returns.abs() <> 1] = 0
data = pd.concat([
indi.momentum.iloc[:, 1], indi.smap.iloc[:, 1],
indi.bbp.iloc[:, 1], on_coming_returns
],
axis=1).dropna(axis=0)
data.columns = ['MOMENTUM', 'SMAP', 'BBP', 'ORDER']
x = data.loc[:, ['MOMENTUM', 'SMAP', 'BBP']].values
y = data.loc[:, ['ORDER']].values
return data, x, y
def testPolicy(symbol='JPM',
sd=dt.datetime(2008, 1, 1),
ed=dt.datetime(2009, 12, 31)):
dates = pd.date_range(sd, ed)
prices = get_data([symbol], dates)
prices_norm = prices / prices.iloc[0]
indi = Indicators()
indi.get_indicators(prices, 21)
momentum = indi.momentum
smap = indi.smap
bbp = indi.bbp
upper_limit = 1000
lower_limit = -1000
prices['Holding'] = 0
prices['Trade'] = 0
for i in range(30, prices.shape[0]):
# if smap.iloc[i, 1] < -0.05 and bbp.iloc[i, 1] < 0:
if momentum.iloc[
i, 1] < 0 or smap.iloc[i, 1] < -0.05 and bbp.iloc[i, 1] < 0:
prices.iloc[i, 3] = upper_limit - prices.iloc[i - 1, 2]
elif momentum.iloc[i, 1] > 0 and smap.iloc[i, 1] > 0.05 and bbp.iloc[
i, 1] > 1:
# elif smap.iloc[i, 1] > 0.05 and bbp.iloc[i, 1] > 1:
prices.iloc[i, 3] = lower_limit - prices.iloc[i - 1, 2]
# prices.iloc[i, 2] = prices.iloc[i - 1, 2] + prices.iloc[i, 3]
prices.iloc[i, 2] = prices.iloc[i - 1, 2] + prices.iloc[i, 3]
price_order = prices.loc[prices.iloc[:, 3] != 0]
price_order['Order'] = ''
price_order.loc[price_order['Trade'] > 0, 'Order'] = 'BUY'
price_order.loc[price_order['Trade'] < 0, 'Order'] = 'SELL'
price_order['Shares'] = price_order.loc[:, 'Trade'].abs()
price_order['Symbol'] = symbol
price_order.reset_index(inplace=True)
price_order = price_order.iloc[:, [0, 7, 5, 6]]
price_order.columns = ['Date', 'Symbol', 'Order', 'Shares']
return price_order
