import os, sys, random
import numpy as np
import getStocks as gs
import utils as u
import indicators as ind
import tradeReport as tr
#symbol = "WMT"
symbol = "NFLX"
# symbol = "F"
stock = gs.getStock(symbol, (2011, 6, 1), (2015, 6, 1)) # for calculating
quotes = u.dictToList(stock) # [day,o,h,l,c]
timesclose = quotes[:,[0,4]]
emas = []
for i in [1,2]: emas.append( ind.ematimes(timesclose,10*i) )
crossovertimes = ind.crossovertimes(emas)
dCrossovers = {} # turn into dict for fast lookup
for time,rising in crossovertimes: dCrossovers[time] = rising
# CROSSOVER STRATEGY
price = 0
ledger = tr.Ledger(1000)
for quote in quotes:
day,price,h,l,c = quote
if(day in dCrossovers):
rising = dCrossovers[day]
def doBenchmark(self, params={}, progressBar=True, userOnly=False, debug=False):
self.cleanVars()
if self.performChecks():
print "[BT] Can't benchmark"
return
for isymbol, symbol in enumerate(self.symbols):
self.isymbol = isymbol
if progressBar:
self.drawProgressBar()
stock = gs.getStock(symbol, self.d0, self.d2)
quotes = u.dictToList(stock) # [day,o,h,l,c]
if len(quotes) < 15:
continue
try:
dBuy, dSell = self.strategy(quotes, self.d1, self.d2, params)
except Exception as e:
print "[BT] Problem running user strategy"
print e
continue
if len(dBuy.keys()) < 1:
continue # pointless if we don't buy
if len(dSell.keys()) < 1:
continue # pointless if we don't sell -- then it's just BAH
try:
self.report[symbol] = {}
self.report[symbol]["ndays"] = len(quotes)
# USER STRATEGY
price = 0
ledger = tr.Ledger(self.money)
for quote in quotes:
day, price, h, l, c = quote
if day in dSell:
ledger.sellStock(symbol, day, price, fraction=dSell[day])
elif day in dBuy:
ledger.buyStock(symbol, day, price)
ledger.sellStock(symbol, day, price) # sell outstanding shares to finish up
self.report[symbol]["user"] = [
ledger.getProfit(),
0.0,
ledger.getNumTrades(),
ledger.getWinPercent(),
ledger.getAvgWinProfitPercent(),
ledger.getAvgLossProfitPercent(),
]
if not userOnly:
# RANDOM STRATEGY
profits = []
for i in range(100):
price = 0
ledgerRand = tr.Ledger(self.money)
days = quotes[:, 0]
np.random.shuffle(days)
# want to do a random trade on avg every 3-10 days
# so we take the first #days/rand(3,10) random days, then sort them
days = sorted(days[: len(days) // random.randint(3, 10)])
days = days[len(days) % 2 :] # even number of entries, so we always sell what we buy
buy = True # buy initially
for day in days:
if buy:
ledgerRand.buyStock(symbol, day, price=stock["days"][day]["c"])
else:
ledgerRand.sellStock(symbol, day, price=stock["days"][day]["c"])
buy = not buy # alternate between buy and sell
profits.append(ledgerRand.getProfit())
profits = np.array(profits)
# BUY AND HOLD
ledgerBAH = tr.Ledger(self.money) # buy and hold
ledgerBAH.buyStock(symbol, quotes[0][0], quotes[0][4])
ledgerBAH.sellStock(symbol, quotes[-1][0], quotes[-1][4])
self.report[symbol]["rand"] = [
round(np.mean(profits), 2),
round(np.std(profits)),
ledgerRand.getNumTrades(),
ledgerRand.getWinPercent(),
ledgerRand.getAvgWinProfitPercent(),
ledgerRand.getAvgLossProfitPercent(),
]
self.report[symbol]["bah"] = [
ledgerBAH.getProfit(),
0.0,
ledgerBAH.getNumTrades(),
ledgerBAH.getWinPercent(),
ledgerBAH.getAvgWinProfitPercent(),
ledgerBAH.getAvgLossProfitPercent(),
]
if debug:
ledger.printLedger()
except Exception as e:
print "[BT] Some other error"
print e
continue
self.postBenchmark()
def doBenchmark(self,
params={},
progressBar=True,
userOnly=False,
debug=False):
self.cleanVars()
if self.performChecks():
print "[BT] Can't benchmark"
return
for isymbol, symbol in enumerate(self.symbols):
self.isymbol = isymbol
if (progressBar): self.drawProgressBar()
stock = gs.getStock(symbol, self.d0, self.d2)
quotes = u.dictToList(stock) # [day,o,h,l,c]
if (len(quotes) < 15): continue
try:
dBuy, dSell = self.strategy(quotes, self.d1, self.d2, params)
except Exception as e:
print "[BT] Problem running user strategy"
print e
continue
if (len(dBuy.keys()) < 1): continue # pointless if we don't buy
if (len(dSell.keys()) < 1):
continue # pointless if we don't sell -- then it's just BAH
try:
self.report[symbol] = {}
self.report[symbol]["ndays"] = len(quotes)
# USER STRATEGY
price = 0
ledger = tr.Ledger(self.money)
for quote in quotes:
day, price, h, l, c = quote
if (day in dSell):
ledger.sellStock(symbol,
day,
price,
fraction=dSell[day])
elif (day in dBuy):
ledger.buyStock(symbol, day, price)
ledger.sellStock(symbol, day,
price) # sell outstanding shares to finish up
self.report[symbol]["user"] = [
ledger.getProfit(), 0.0,
ledger.getNumTrades(),
ledger.getWinPercent(),
ledger.getAvgWinProfitPercent(),
ledger.getAvgLossProfitPercent()
]
if (not userOnly):
# RANDOM STRATEGY
profits = []
for i in range(100):
price = 0
ledgerRand = tr.Ledger(self.money)
days = quotes[:, 0]
np.random.shuffle(days)
# want to do a random trade on avg every 3-10 days
# so we take the first #days/rand(3,10) random days, then sort them
days = sorted(days[:len(days) //
random.randint(3, 10)])
days = days[
len(days) %
2:] # even number of entries, so we always sell what we buy
buy = True # buy initially
for day in days:
if (buy):
ledgerRand.buyStock(
symbol, day, price=stock["days"][day]['c'])
else:
ledgerRand.sellStock(
symbol, day, price=stock["days"][day]['c'])
buy = not buy # alternate between buy and sell
profits.append(ledgerRand.getProfit())
profits = np.array(profits)
# BUY AND HOLD
ledgerBAH = tr.Ledger(self.money) # buy and hold
ledgerBAH.buyStock(symbol, quotes[0][0], quotes[0][4])
ledgerBAH.sellStock(symbol, quotes[-1][0], quotes[-1][4])
self.report[symbol]["rand"] = [
round(np.mean(profits), 2),
round(np.std(profits)),
ledgerRand.getNumTrades(),
ledgerRand.getWinPercent(),
ledgerRand.getAvgWinProfitPercent(),
ledgerRand.getAvgLossProfitPercent()
]
self.report[symbol]["bah"] = [
ledgerBAH.getProfit(), 0.0,
ledgerBAH.getNumTrades(),
ledgerBAH.getWinPercent(),
ledgerBAH.getAvgWinProfitPercent(),
ledgerBAH.getAvgLossProfitPercent()
]
if debug:
ledger.printLedger()
except Exception as e:
print "[BT] Some other error"
print e
continue
self.postBenchmark()