def main():
'''
testing developed parts
'''
assetNames = ["SPY", "IEF", "SHY", "IEV", "EPP", "LQD"]
assetList = AssetList(assetNames)
myPort = Portfolio(assetList)
myPort.setStartingCapital(10000)
momentumFilter = MomentumFilter([120, 135, 150])
myPort.setTechnicalSignal(momentumFilter)
myPort.setAllocationSystem(EqualWeightSystem())
myPort.calculatePerformance()
#myPort.printSharpe()
myPort.printNumberOfShares()
#myPort.printTrades()
momentumRange = range(10, 300, 5)
momentumSharpes = [0.0] * len(momentumRange)
momentumReturns = [0.0] * len(momentumRange)
momentumStds = [0.0] * len(momentumRange)
#Analyzing momentum system
i=0
for m in momentumRange:
print "m = {0}\n".format(m)
momentumFilter.updatePeriod([m])
myPort.setTechnicalSignal(momentumFilter)
myPort.updateAllocation()
myPort.calculatePerformance()
momentumSharpes[i] = myPort.getSharpe()
momentumReturns[i] = myPort.getReturn()
momentumStds[i] = myPort.getStd()
i += 1
plt.figure(1)
plt.plot(momentumSharpes)
plt.show()
plt.figure(2)
plt.plot(momentumReturns)
plt.show()
plt.figure(3)
plt.plot(momentumStds)
plt.show()
def main():
'''
testing developed parts
'''
assetNames = ["SPY", "IEF", "SHY", "IEV", "EPP", "LQD"]
assetList = AssetList(assetNames)
myPort = Portfolio(assetList)
myPort.setStartingCapital(10000)
technicalSignal = MomentumFilter([80, 90, 100, 110, 120])
myPort.setTechnicalSignal(technicalSignal)
myPort.setAllocationSystem(EqualWeightSystem())
myPort.calculatePerformance()
myPort.printStats()
myPort.printSharpe()
#myPort.printNumberOfShares()
#myPort.printTrades()
#myPort.technicalSignal.printConfidenceMatrix()
myPort.printPortfolioValue()
myPort.printAssets(log = False)
longMomentumRange = range(40, 300, 10)
shortMomentumRange = [10]*len(longMomentumRange)
momentumSharpes = [0.0] * len(longMomentumRange)
momentumReturns = [0.0] * len(longMomentumRange)
momentumStds = [0.0] * len(longMomentumRange)
#Analyzing momentum system
i=0
for m,n in zip(longMomentumRange, shortMomentumRange):
print "period: {0}, {1}".format(m, n)
periods = [m, n]
weights = [1.00, 0.00]
technicalSignal.updatePeriod(periods, weights)
myPort.setTechnicalSignal(technicalSignal)
myPort.updateAllocation()
myPort.calculatePerformance()
momentumSharpes[i] = myPort.getSharpe()
momentumReturns[i] = myPort.getReturn()
momentumStds[i] = myPort.getStd()
i += 1
myPort.printAverageAllocation()
plt.figure(1)
plt.plot(momentumSharpes)
plt.show()
plt.figure(2)
plt.plot(momentumReturns)
plt.show()
plt.figure(3)
plt.plot(momentumStds)
plt.show()