def __init__(self, feed, config, stopPer, stopTrailing, smaShort, smaLong):
if config['dbfeed']:
feed = dbfeed.DbFeed(config['db'], [], 100, config['startDate'], config['endDate'])
feed.registerInstrument(config['instrument'])
else:
feed = yahoofeed.Feed()
feed.sanitizeBars(True)
feed.addBarsFromCSV(config['instrument'], config['instrument'] + ".csv")
MyBenchmark.__init__(self, feed, stopPer, stopTrailing, smaLong)
self.info("%s %s %s %s" % (stopPer, stopTrailing, smaShort, smaLong))
self._smaShort = {}
self._smaLong = {}
self._macdPrice = {}
self._macdVol = {}
for instrument in feed.getRegisteredInstruments():
self._smaShort[instrument] = ma.SMA(self._feed[instrument].getPriceDataSeries(), smaShort)
self._smaLong[instrument] = ma.SMA(self._feed[instrument].getPriceDataSeries(), smaLong)
self._macdPrice[instrument] = macd.MACD(self._feed[instrument].getPriceDataSeries(), 12, 26, 9)
self._macdVol[instrument] = macd.MACD(self._feed[instrument].getVolumeDataSeries(), 12, 26, 9)
# The if __name__ == '__main__' part is necessary if running on Windows.
if __name__ == '__main__':
# Config params
config = {
'user': '******',
'password': '******',
'host': '127.0.0.1',
'database': 'ibex35',
'raise_on_warnings': True,
}
logger.log_format = "[%(levelname)s] %(message)s"
startDate = datetime.date(2001, 05, 24)
endDate = datetime.date(2015, 12, 21)
instrument = 'GAS.MC'
feed = None
if DBFEED:
feed = dbfeed.DbFeed(config, [], 100, startDate, endDate)
feed.registerInstrument(instrument)
else:
feed = yahoofeed.Feed()
feed.sanitizeBars(True)
feed.addBarsFromCSV(instrument, instrument + ".csv")
local.run(MyTaLibStrategy, feed, parameters_generator())
def onBars(self, bars):
for instrument in bars.keys():
bar = bars[instrument]
self.info("%s %s %s %s %s" %
(instrument, bars.getDateTime(), bar.getOpen(),
bar.getPrice(), bar.getField('PER')))
config = {
'user': '******',
'password': '',
'host': '127.0.0.1',
'database': 'ibex35',
'raise_on_warnings': True,
}
fields = ['PER']
indices = ['IBEX35']
dateStart = datetime.date(2010, 01, 04)
dateEnd = datetime.date(2012, 01, 04)
feed = dbfeed.DbFeed(config, fields, 100, dateStart, dateEnd)
for index in indices:
feed.registerIndex(index)
myStrategy = MyStrategy(feed)
myStrategy.run()
fields = [
'PER',
'PBV',
'DPS',
'NDE'
]
indices = [
'IBEX35'
]
capStart = 1000000
startDate = None # e.g. datetime.date(2015, 06, 01)
endDate = None
feed = dbfeed.DbFeed(config, fields, 10, startDate, endDate)
for index in indices:
feed.registerIndex(index)
# Pick strategy
myStrategy = None
if SCENARIO == 2:
myStrategy = MyBenchmark(feed, 10, capStart)
elif SCENARIO == 3:
rules = [
organizers.OrderRule('PBV', True)
]
myStrategy = MyFundamentalStrategy(feed, 10, capStart, rules)
elif SCENARIO == 4:
rules = [