def config(cls, save_file, **config) :
logging.info("results saved to {}".format(save_file))
ret = INI.init()
for key in sorted(config) :
value = config.get(key,{})
INI.write_section(ret,key,**value)
ret.write(open(save_file, 'w'))
def main(save_file) :
ret = INI.init()
for key, value in action() :
logging.debug(value)
INI.write_section(ret,key,**value)
ret.write(open(save_file, 'w'))
logging.info("results saved to {}".format(save_file))
def main(file_list, ini_list, save_file):
logging.info("loading results {}".format(ini_list))
ret = INI.init()
for key, value in action(file_list, ini_list):
logging.debug(value)
INI.write_section(ret, key, **value)
ret.write(open(save_file, 'w'))
logging.info("results saved to {}".format(save_file))
def background(cls, **config):
save_file = EXTRACT.instance().background_file
ret = INI.init()
for key in sorted(config):
value = config.get(key, [])
INI.write_section(ret, key, **value)
ret.write(open(save_file, 'w'))
logging.info("results saved to {}".format(save_file))
def config(cls, data):
save_file = EXTRACT.singleton().output_file
ret = INI.init()
for key in sorted(data):
logging.info(key)
value = data[key]
INI.write_section(ret, key, **value)
ret.write(open(save_file, 'w'))
logging.info('writing to file {}'.format(save_file))
def portfolio(cls, save_file, **portfolio) :
logging.info("saving results to file {}".format(save_file))
ret = INI.init()
name_list = sorted(portfolio.keys())
value_list = map(lambda key : portfolio[key], name_list)
for i, name in enumerate(name_list) :
if not isinstance(value_list,list) :
value_list = list(value_list)
INI.write_section(ret,name,**value_list[i])
ret.write(open(save_file, 'w'))
logging.info("results saved to file {}".format(save_file))
def config(cls, summary, portfolio):
save_file = EXTRACT.instance().output_file
ret = INI.init()
INI.write_section(ret, "summary", **summary)
for key in portfolio.keys():
values = portfolio[key]
if not isinstance(values, dict):
values = values.to_dict()
INI.write_section(ret, key, **values)
ret.write(open(save_file, 'w'))
logging.info('saving file {}'.format(save_file))
def main(local_dir) :
for name, section_list in action() :
output_file = "{}/portfolio_{}.ini".format(local_dir, name)
output_file = output_file.replace(" ", "_")
ret = INI.init()
name_list = sorted(section_list.keys())
value_list = map(lambda key : section_list[key], name_list)
for i, name in enumerate(name_list) :
if not isinstance(value_list,list) :
value_list = list(value_list)
INI.write_section(ret,name,**value_list[i])
logging.info("saving results to file {}".format(output_file))
ret.write(open(output_file, 'w'))
def draft(cls,data) :
save_file = EXTRACT.instance().draft
logging.info('Loading results : {}'.format(save_file))
config = INI.init()
for i, SECTION in enumerate(sorted(data)) :
target = 'alias'
if SECTION == target :
alias = data.get(SECTION)
continue
logging.info((i,SECTION))
value = data.get(SECTION)
INI.write_section(config, SECTION, **value)
for name in sorted(alias) :
INI.write_section(config,name,**alias[name])
config.write(open(save_file, 'w'))
def main():
env = globals().get('env', None)
nasdaq = '{}/local/{}'.format(env.pwd_parent, NASDAQ.path)
finder = NASDAQ.init(filename=nasdaq)
stock_list = map(lambda stock: PROFILE.get(stock), finder())
ini, empty_list = find(stock_list)
stock_ini = '{pwd_parent}/local/yahoo_background.ini'.format(**vars(env))
config = INI.init()
temp = ini['Background']
for key in sorted(temp.keys()):
INI.write_section(config, key, **temp[key])
config.write(open(stock_ini, 'w'))
stock_ini = '{pwd_parent}/local/yahoo_background_sector.ini'.format(
**vars(env))
config = INI.init()
temp = ini['SectorGroupBy']
for key in sorted(temp.keys()):
INI.write_section(config, key, **temp[key])
config.write(open(stock_ini, 'w'))
# At one time, industries contained different sectors, this is no longer the case
stock_ini = '{pwd_parent}/local/yahoo_background_industry.ini'.format(
**vars(env))
config = INI.init()
temp = ini['IndustryGroupBy']
for key in sorted(temp.keys()):
INI.write_section(config, key, **temp[key])
config.write(open(stock_ini, 'w'))
return empty_list
ret = pd.DataFrame(ret).T
# screen potential under valued
ret = ret[ret['returns'] < 0.15]
if len(ret) == 0: return [], None
_len = len(ret)
size = int(_len * .1)
# filter riskier
ret = ret.sort_values(['risk']).head(_len - size)
return list(ret.T.columns), ret
if __name__ == '__main__':
from glob import glob
import os, sys
pwd = os.getcwd()
pwd = pwd.replace('bin', 'local')
ini_list = glob('{}/*.ini'.format(pwd))
file_list = glob('{}/historical_prices/*pkl'.format(pwd))
Sector_Top, Industry_Top, Fund_Top = main(file_list, ini_list)
config = INI.init()
INI.write_section(config, 'Sector', **Sector_Top)
INI.write_section(config, 'Industry', **Industry_Top)
INI.write_section(config, 'Fund', **Fund_Top)
stock_ini = "{}/yahoo_sharpe_undervalued.ini".format(pwd)
config.write(open(stock_ini, 'w'))
label, data = STOCK_TIMESERIES.load(control)
print label
quarter = Partition.by_quarter(data)
return label, data, quarter, file_list
if __name__ == '__main__':
import os, sys
from glob import glob
from libCommon import INI
pwd = os.getcwd()
file_list = glob('{}/historical_prices/*pkl'.format(pwd))
control_label, control, control_by_quarter, file_list = prep(*file_list)
ini_stable, ini_performance = main(control_by_quarter, *file_list)
pwd = pw.replace('bin', 'local')
config_file = '{}/nasdaq_quarterly.ini'.format(pwd)
config = INI.init()
INI.write_section(config, 'Stability', **ini_stable)
INI.write_section(config, 'Performance', **ini_performance)
config.write(open(config_file, 'w'))
'''
for q in sorted(control_by_quarter.keys()) :
data = control_by_quarter[q]['Volume']
print control_label, q, 'Volume mean', round(data.mean(),2), 'Volume std', round(data.std(),2)
data = control_by_quarter[q]['Adj Close']
print control_label, q, 'Adj Close mean', round(data.mean(),2), 'Adj Close std', round(data.std(),2)
'''
def main(input_file, file_list, ini_list,output_file) :
ret = INI.init()
for name, section_list in action(input_file, file_list, ini_list) :
INI.write_section(ret,name,**section_list)
ret.write(open(output_file, 'w'))
def main(save_file):
stock, etf, alias = NASDAQ.init().stock_list()
background = STOCKMONITOR.init()
logging.info(background)
stockmonitor = background()
temp = reduce(lambda a, b: a + b, stockmonitor.values())
stock = set(stock) - set(temp)
stock_list = sorted(list(stock))
FinanceModel = scrape_financemodelling(stock_list)
temp = reduce(lambda a, b: a + b, FinanceModel.values())
stock = set(stock) - set(temp)
stock_list = sorted(list(stock))
yahoo = scrape_yahoo(stock_list)
temp = reduce(lambda a, b: a + b, yahoo.values())
stock = set(stock) - set(temp)
stock_list = sorted(list(stock))
'''
Try a set of alternative names
'''
_retry, stock_list = handle_alias(*stock_list, **alias)
retry = map(lambda x: alias[x].values(), _retry)
retry = reduce(lambda a, b: a + b, retry)
FinanceModel2 = scrape_financemodelling(retry)
temp_fm = reduce(lambda a, b: a + b, FinanceModel2.values())
retry = set(retry) - set(temp_fm)
retry = sorted(list(retry))
yahoo2 = scrape_yahoo(retry)
temp_y = reduce(lambda a, b: a + b, yahoo2.values())
retry = set(retry) - set(temp_y)
retry = sorted(list(retry))
logging.info(retry)
logging.info(temp_fm)
logging.info(temp_y)
logging.info(_retry)
config = INI.init()
INI.write_section(config, "STOCKMONITOR", **stockmonitor)
INI.write_section(config, "FINANCEMODEL", **FinanceModel)
INI.write_section(config, "YAHOO", **yahoo)
INI.write_section(config, "FINANCEMODEL2", **FinanceModel2)
INI.write_section(config, "YAHOO2", **yahoo2)
INI.write_section(config, "NASDAQTRADER", **{
'unkown': stock_list,
'alias': retry
})
for name in sorted(alias):
INI.write_section(config, name, **alias[name])
config.write(open(save_file, 'w'))
from glob import glob
import os,sys
from libCommon import TIMER
pwd = os.getcwd()
dir = pwd.replace('bin','log')
name = sys.argv[0].split('.')[0]
log_filename = '{}/{}.log'.format(dir,name)
log_msg = '%(module)s.%(funcName)s(%(lineno)s) %(levelname)s - %(message)s'
logging.basicConfig(filename=log_filename, filemode='w', format=log_msg, level=logging.DEBUG)
local = pwd.replace('bin','local')
ini_list = glob('{}/*.ini'.format(local))
file_list = glob('{}/historical_prices/*pkl'.format(local))
elapsed = TIMER.init()
logging.info("Started {}".format(name))
ini = main(file_list,ini_list)
logging.info("Finished {} Elapsed time {} ".format(name,elapsed()))
config = INI.init()
for key in ini.keys() :
values = ini[key]
if not isinstance(values,dict) :
values = values.to_dict()
INI.write_section(config,key,**values)
stock_ini = "{}/sharpe_diversified_portfolios.ini".format(local)
config.write(open(stock_ini, 'w'))
log_filename = '{pwd_parent}/log/{name}.log'.format(**vars(env))
log_msg = '%(module)s.%(funcName)s(%(lineno)s) %(levelname)s - %(message)s'
logging.basicConfig(filename=log_filename,
filemode='w',
format=log_msg,
level=logging.INFO)
ini, empty_list = main()
print empty_list
stock_ini = '{}/local/prototype_background.ini'.format(env.pwd_parent)
config = INI.init()
temp = ini['Background']
for key in sorted(temp.keys()):
INI.write_section(config, key, **temp[key])
config.write(open(stock_ini, 'w'))
stock_ini = '{}/local/prototype_background_sector.ini'.format(
env.pwd_parent)
config = INI.init()
temp = ini['SectorGroupBy']
for key in sorted(temp.keys()):
INI.write_section(config, key, **temp[key])
config.write(open(stock_ini, 'w'))
# At one time, industries contained different sectors, this is no longer the case
stock_ini = '{}/local/nasdaq_background_industry.ini'.format(
env.pwd_parent)
config = INI.init()
def final(cls,data) :
save_file = EXTRACT.instance().final
logging.info('Loading results : {}'.format(save_file))
config = INI.init()
INI.write_section(config,"MERGED",**data)
config.write(open(save_file, 'w'))