def findMR():
data = loadData('/home/mage/PycharmProjects/cbTester/data/eurusd_1m_120516.csv_trimmed.csv')
i = 0
samples = []
hours = np.zeros(24)
for bar in data:
i = i + 1
if i < 60*6 or i > len(data) - 60*6:
continue
if bar[0].minute not in [29,59]:
continue
path = np.max(data[i-60*4:i, 4]) - np.min(data[i-60*4:i, 4])
delta = np.abs(data[i-60*4, 4]-data[i, 4])
if path > 0.003 and path < 0.004 and delta < 0.0005:
samples.append(data[i-60*4:i, 4])
hours[bar[0].hour] += 1
print len(samples)
plt.plot(hours)
plt.show()
for s in samples:
plt.plot(np.array(s))
plt.show()
def findLHMonthly(years, barN, showRes = True):
data = loadData('/home/mage/PycharmProjects/cbTester/data/eurusd_1m_120516.csv_trimmed.csv')
i = 0
for bar in data:
i = i + 1
if i < 60*6 or i > len(data) - 60*6:
continue
if bar[0].minute not in [14,29,44,59]:
continue
interval = data[i-30*6:i+30*2]
h = np.argmax(interval[:,4])
l = np.argmin(interval[:,4])
barh = interval[h]
barl = interval[l]
if get15minBarNum(barh) == get15minBarNum(data[i]):
highs[get15minBarNum(barh)] += 1
if get15minBarNum(barl) == get15minBarNum(data[i]):
lows[get15minBarNum(barl)] += 1
if showRes == True:
plt.plot(highs, color = 'green')
plt.plot(lows, color = 'red')
plt.show()
else:
return [highs, lows]
def findStik():
data = loadData('/home/mage/PycharmProjects/cbTester/data/eurusd_10sec_110516.csv')
path = np.zeros(60*6-2)
i = 0
count = 0
for bar in data:
i = i + 1
if i < 60*6:
continue
if bar[0].minute not in [00]:
continue
if bar[0].second not in [10]:
continue
if bar[4] - bar[1] > 0.0005:
path += data[i-60*6:i-2, 4]
r = np.max(data[i-60*6:i-2, 4]) - np.min(data[i-60*6:i-2, 4])
print r
path -= data[i-60*6, 4]
count += 1
print bar[0]
path /= count
range = path[60*6-3]-path[0]
print range
plot(path)
show()
def test():
data = loadData('/home/mage/PycharmProjects/cbTester/data/eurusd_1sec_upto06052016.csv')
res = []
for bar in data:
if bar[0].day == 21 and bar[0].year == 2016 and bar[0].month == 4 and bar[0].hour == 15:
print bar[0]
print bar[0].utcoffset()
res.append(bar)
return res
def getAverageSpread():
data = loadData('/home/mage/PycharmProjects/cbTester/data/gbpusd_10sec_upto06052016.csv')
spread = np.zeros(24)
spreadCount = np.zeros(24)
i = 0
for bar in data:
i = i + 1
if i < 60*6:
continue
if bar[0].minute not in [59]:
continue
spread[bar[0].hour] += bar[9]-bar[4]
spreadCount[bar[0].hour] += 1
for i in xrange(len(spread)):
spread[i] /= spreadCount[i]
return spread
def getIntradayHourProfile():
data = loadData('/home/mage/PycharmProjects/cbTester/data/eurusd_1m_120516.csv')
vola = np.zeros(24)
volaCount = np.zeros(24)
i = 0
for bar in data:
i = i + 1
if i < 60*6:
continue
if bar[0].minute not in [59]:
continue
vola[bar[0].hour] += np.abs(np.max(data[i-60*6:i, 2]) - np.min(data[i-60*6:i, 3]))
volaCount[bar[0].hour] += 1
print volaCount
for i in xrange(len(vola)):
vola[i] /= volaCount[i]
return vola
from matplotlib import pyplot as plt
import numpy as np
from quotesFromCsv import loadData
from forexSessions import *
data = loadData('c:\\eurusd_1m.csv15min')
#to15min('c:\\eurusd_1m.csv')
def get15minBarNum(time):
return time.hour*4 + np.round(time.minute/15,0)
def getMaxMinBars(window = 8, years = 0, summerTime = 777):
res = np.zeros(96)
for i in range(window, len(data) - window):
if years != 0:
if data[i,0].year not in years:
continue
if summerTime != 777:
if summerTime is True:
if forexSessions.isSummerTimeInLondon(data[i,0]) is not True:
continue
else:
if forexSessions.isSummerTimeInLondon(data[i,0]) is True:
continue
#if np.argmax(data[i-window:i+window, 2]) == window:
if np.argmax(data[i-window:i, 2]) == window-1:
res[get15minBarNum(data[i,0])] +=1
#if np.argmin(data[i-window:i+window, 3]) == window:
from datetime import date
from tester import Tester
from quotesFromCsv import loadData
from instrument import Instrument
from audusdMR import MR
#engine = DukascopyEngine(['EUR/USD'], '1 Min', Mr)
data = loadData('/home/mage/PycharmProjects/cbTester/data/eurusd_1m_120516.csv_trimmed.csv')
opt = False
if opt == True:
for opt in range(5, 25, 1):
strategyParams = {'pOptimization': True, 'pOpt':opt}
tester = Tester([Instrument('EUR/USD', data)], MR, strategyParams, getStat=True)
else:
strategyParams = {'pOptimization': False}
tester = Tester([Instrument('EUR/USD', data)], MR, strategyParams, getStat=True)
exit()
from quotesFromCsv import loadData
data = loadData("c:\\eurusd_1m_test2.csv")
from datetime import date
from tester import Tester
from quotesFromCsv import loadData
from instrument import Instrument
from mr import Mr
from testStrat import TestStrat
from dukascopyEngine import DukascopyEngine
from audnzdMRBoy import AudnzdMrBoy
from eurusdMR import MR
#engine = DukascopyEngine(['EUR/USD'], '1 Min', Mr)
data = loadData('/home/mage/PycharmProjects/cbTester/data/audnzd_upto010615.csv')
#data = loadData('/home/mage/PycharmProjects/cbTester/data/eurusd_1m_20_03_2014.csv')
opt = False
if opt == True:
for opt in range(5, 10, 1):
strategyParams = {'pOptimization': True, 'pOpt':opt}
tester = Tester([Instrument('EUR/USD', data)], AudnzdMrBoy, strategyParams, getStat=True)
else:
strategyParams = {'pOptimization': False}
tester = Tester([Instrument('EUR/USD', data)], AudnzdMrBoy, strategyParams, getStat=True)
#tester = Tester([Instrument('USD/CAD', data)], UsdcadMr, getStat=True)
exit()
