Пример #1
0
import sys
import numpy as np
import pandas as pd
from myOptimAction import myOptimAction
from profitEstimateOpen import profitEstimateOpen
df = pd.read_csv(sys.argv[1])
transFeeRate= float(sys.argv[2])
priceVec = df["Adj Close"].values
actionVec = myOptimAction(priceVec, transFeeRate)
returnRate = profitEstimateOpen(priceVec, transFeeRate, actionVec)
Пример #2
0
                stockHolding[i][a] -= sellStock  # Stocking holding
                stockHolding[i][b] += getCash * (
                    1 - transFeeRate) / currentPriceBuy  # Buy stock using cash
                realAction[i] = 2
            else:
                assert False
        else:
            assert False

    # calculate total cash you get at last day
    total = capital
    for stock in range(stockCount):
        currentPriceVec = priceMat[actionMat[-1][0]]
        total += stockHolding[-1][stock] * currentPriceVec[stock] * (
            1 - transFeeRate)  # Total asset, including stock holding and cash

    returnRate = (total - capitalOrig) / capitalOrig  # Return rate of this run
    return returnRate


if __name__ == "__main__":
    print("Reading %s..." % (sys.argv[1]))
    file = sys.argv[1]  # input file
    df = pd.read_csv(file, delimiter=' ')
    transFeeRate = float(sys.argv[2])  # Rate for transaction fee
    priceMat = df.values  # Get price as the m×n matrix which holds n stocks' price over m days
    actionMat = myOptimAction(priceMat,
                              transFeeRate)  # Obtain the suggested action
    rr = computeReturnRate(priceMat, transFeeRate,
                           actionMat)  # Compute return rate
    print("rr=%f%%" % (rr * 100))
Пример #3
0
#import sys
#import numpy as np
import pandas as pd
from myOptimAction import myOptimAction
from profitEstimateOpen import profitEstimateOpen

#df = pd.read_csv(sys.argv[1])
#transFeeRate= float(sys.argv[2])
df = pd.read_csv("SPY.csv")
transFeeRate= float(0.01)
priceVec = df["Adj Close"].values
actionVec = myOptimAction(priceVec, transFeeRate)
returnRate = profitEstimateOpen(priceVec, transFeeRate, actionVec)
print(returnRate[0])