def main(plot):
instrument = "btc"
vwapWindowSize = 20
# Download the bars.
# feed = yahoofinance.build_feed([instrument], 2011, 2012, ".")
feed = coinfeed.Feed()
# startDate = datetime.datetime.strptime("2014-04-06 11:47:42", "%Y-%m-%d %H:%M:%S")
# endDate = datetime.datetime.strptime("2014-04-10 11:47:42", "%Y-%m-%d %H:%M:%S")
# feed.setDateRange(startDate, endDate)
feed.addBarsFromCSV(instrument, "data/ticker.csv")
myStrategy = MyStrategy(feed, instrument, vwapWindowSize)
if plot:
# plt = plotter.StrategyPlotter(myStrategy, True, False, True)
plt = plotter.StrategyPlotter(myStrategy)
plt.getInstrumentSubplot(instrument).addDataSeries("vwap", myStrategy.getVWAPDS())
myStrategy.run()
print "Result: %.2f" % myStrategy.getResult()
if plot:
plt.plot()
def main(plot):
instrument = "yhoo"
bBandsPeriod = 10
# Download the bars.
# feed = yahoofinance.build_feed([instrument], 2011, 2012, ".")
feed = coinfeed.Feed()
startDate = datetime.datetime.strptime("2014-04-06 11:47:42",
"%Y-%m-%d %H:%M:%S")
endDate = datetime.datetime.strptime("2014-04-10 11:47:42",
"%Y-%m-%d %H:%M:%S")
# feed.setDateRange(startDate, endDate)
feed.addBarsFromCSV("btc", "data/ticker.csv")
myStrategy = MyStrategy(feed, "btc", bBandsPeriod)
if plot:
plt = plotter.StrategyPlotter(myStrategy, True, True, True)
plt.getInstrumentSubplot(instrument).addDataSeries(
"upper",
myStrategy.getBollingerBands().getUpperBand())
# plt.getInstrumentSubplot(instrument).addDataSeries("middle", myStrategy.getBollingerBands().getMiddleBand())
plt.getInstrumentSubplot(instrument).addDataSeries(
"lower",
myStrategy.getBollingerBands().getLowerBand())
myStrategy.run()
print "Result: %.2f" % myStrategy.getResult()
if plot:
plt.plot()
def whySoSlow():
feed = coinfeed.Feed()
feed.addBarsFromCSV("btc", "data/ticker.csv")
gdata = GeneticData()
print gdata.resultFunction((30, 5, 10, 1))
print gdata.resultFunction((30, 5, 10, 2))
print gdata.resultFunction((30, 5, 10, 3))
print gdata.resultFunction((30, 5, 10, 4))
def resultFunction(self, parametres):
assert(len(parametres) == len(self.lowerBound))
self.feed = coinfeed.Feed()
startDate = datetime.datetime.strptime("2014-04-06 11:47:42", "%Y-%m-%d %H:%M:%S")
endDate = datetime.datetime.strptime("2014-04-16 11:47:42", "%Y-%m-%d %H:%M:%S")
# self.feed.setDateRange(startDate, endDate)
self.feed.addBarsFromCSV("btc", "data/ticker.csv")
myStrategy = UnionStrategy(self.feed, "btc", parametres)
myStrategy.run()
return myStrategy.getResult()
def plot():
feed = coinfeed.Feed()
feed.addBarsFromCSV("btc", "data/ticker.csv")
myStrategy = UnionStrategy(feed, "btc", [27, 56, 76, 3])
plt = plotter.StrategyPlotter(myStrategy)
myStrategy.run()
myStrategy.info("Final portfolio value: $%.2f" % myStrategy.getResult())
print "Number of orders = %d" % myStrategy.numOrder
print "Number of OK orders = %d" % myStrategy.okOrder
print "Number of exit orders = %d" % myStrategy.exitOrder
plt.plot()
def resultFunction3(a,b,c,d):
parametres = [a, b, c, d]
assert(len(parametres) == 4)
feed = coinfeed.Feed()
startDate = datetime.datetime.strptime("2014-04-06 11:47:42", "%Y-%m-%d %H:%M:%S")
endDate = datetime.datetime.strptime("2014-04-16 11:47:42", "%Y-%m-%d %H:%M:%S")
# feed.setDateRange(startDate, endDate)
feed.addBarsFromCSV("btc", "data/ticker.csv")
myStrategy = UnionStrategy(feed, "btc", parametres)
myStrategy.run()
return myStrategy.getResult()
def parseData(self):
self.feed = coinfeed.Feed()
startDate = datetime.datetime.strptime("2014-04-06 11:47:42", "%Y-%m-%d %H:%M:%S")
endDate = datetime.datetime.strptime("2014-04-16 11:47:42", "%Y-%m-%d %H:%M:%S")
# self.feed.setDateRange(startDate, endDate)
self.feed.addBarsFromCSV("btc", "data/ticker.csv")
# Manually collect all bars.
self.bars = []
self.feed.start()
for date, bar in self.feed:
self.bars.append(bar)
self.feed.stop()
self.feed.join()
def bbandsResultPortfolio(bBandsPeriod):
feed = coinfeed.Feed()
feed.addBarsFromCSV("btc", "data/ticker.csv")
myStrategy = MyStrategy(feed, "btc", bBandsPeriod)
myStrategy.run()
return myStrategy.getResult()