def runStrategy(in_prices):
global prices, ps, phs, pls, rsis
log.debug('beginning s6 strategy ...')
prices = in_prices
ps = [p['close'] for p in prices]
phs = [p['high'] for p in prices]
pls = [p['low'] for p in prices]
rsis = rsi.calc_rsi(prices, 14)
pool = StrategyPool(50)
#doTrade(pool, -1, 140, 7, 1.0, -1.0)
#pool.showStrategies()
#return
direction = -1
starttime = time.time()
for i in range(50, 200)[::10]:
for j in range(2, 20)[::3]:
if i < j: continue
elapsed = long(time.time() - starttime)
log.debug('== ' + str(elapsed) + ', ' + str(i) + ',' + str(j) + ' ==')
for kp in [0.5, 0.6, 0.7, 0.8, 0.9, 1.0, 1.1, 1.2, 1.3]:
for kl in [0.5, 0.6, 0.7, 0.8, 0.9, 1.0, 1.1, 1.2, 1.3]:
doTrade(pool, direction, i, j, kp, -kl)
pool.showStrategies()
return
def runStrategy(in_prices):
global prices, ps, phs, pls
log.debug('beginning s4 strategy ...')
prices = in_prices
ps = [p['close'] for p in prices]
phs = [p['high'] for p in prices]
pls = [p['low'] for p in prices]
pool = StrategyPool(100)
doTrade(pool, 110, 17, 17)
pool.showStrategies()
return
starttime = time.time()
for i in range(10, 250)[::10]:
for j in range(2, 50)[::5]:
if i < j: continue
elapsed = long(time.time() - starttime)
log.debug('== ' + str(elapsed) + ', ' + str(i) + ',' + str(j) + ' ==')
for k in range (2, 50)[::5]:
if i < k: continue
doTrade(pool, i, j, k)
pool.showStrategies()
return
def sinaAgg():
# fetch price of London
f = urllib2.urlopen('http://hq.sinajs.cn/?_=1386077085140/&list=hf_XAG', timeout=20)
html = f.read()
html = html[19:len(html) - 3]
xagArr = re.split(',', html)
price = {}
price['dt'] = datetime.datetime.strptime(xagArr[12] + ' ' + xagArr[6], '%Y-%m-%d %H:%M:%S')
xag = float(xagArr[0])
xag0 = float(xagArr[7])
log.debug('XAG: ' + xagArr[0] + ', XAG0: ' + xagArr[2])
# fetch USD price
fusd = urllib2.urlopen('http://hq.sinajs.cn/rn=13860770561347070422433316708&list=USDCNY', timeout=20)
htmlusd = fusd.read()
htmlusd = htmlusd[19:len(htmlusd) - 3]
usdArr = re.split(',', htmlusd)
usd = float(usdArr[1])
log.debug('USD: ' + usdArr[0])
# calculate price in RMB
price['p'] = round(usd * xag / 31.1035, 3)
price['p0'] = round(usd * xag0 / 31.1035, 3)
price['per'] = float(xagArr[1])
log.info('sina agg: ' + str(price['dt']) + ', ' + str(price['p']) + ', ' + str(price['p0']) + ', ' + str(price['per']))
return price
def importToArray(table):
log.debug('loading ' + table + ' ...')
prices = []
prec = 0
with open(os.path.join(path, '../trader_data/' + table + '.csv'),
'rb') as csvfile:
rdr = csv.reader(csvfile)
for row in rdr:
p = {}
p['open'] = float(row[2])
p['high'] = float(row[3])
p['low'] = float(row[4])
p['close'] = float(row[5])
p['vol'] = float(row[6])
p['rmb'] = round(p['close'] * 6.1 / 31.1035, 3)
p['dt'] = datetime.datetime.strptime(
row[0] + ' ' + row[1], '%Y.%m.%d %H:%M') #2009.06.01,00:00
p['dtlong'] = time.mktime(p['dt'].timetuple())
p['date'] = p['dt'].strftime('%Y-%m-%d')
p['time'] = p['dt'].strftime('%H:%M:%S')
p['chan'] = p['close'] - prec
if prec == 0:
p['per'] = 0
else:
p['per'] = round((p['close'] - prec) * 100 / prec, 3)
prec = p['close']
prices.append(p)
return prices
def sinaAgg():
# fetch price of London
f = urllib2.urlopen('http://hq.sinajs.cn/?_=1386077085140/&list=hf_XAG',
timeout=20)
html = f.read()
html = html[19:len(html) - 3]
xagArr = re.split(',', html)
price = {}
price['dt'] = datetime.datetime.strptime(xagArr[12] + ' ' + xagArr[6],
'%Y-%m-%d %H:%M:%S')
xag = float(xagArr[0])
xag0 = float(xagArr[7])
log.debug('XAG: ' + xagArr[0] + ', XAG0: ' + xagArr[2])
# fetch USD price
fusd = urllib2.urlopen(
'http://hq.sinajs.cn/rn=13860770561347070422433316708&list=USDCNY',
timeout=20)
htmlusd = fusd.read()
htmlusd = htmlusd[19:len(htmlusd) - 3]
usdArr = re.split(',', htmlusd)
usd = float(usdArr[1])
log.debug('USD: ' + usdArr[0])
# calculate price in RMB
price['p'] = round(usd * xag / 31.1035, 3)
price['p0'] = round(usd * xag0 / 31.1035, 3)
price['per'] = float(xagArr[1])
log.info('sina agg: ' + str(price['dt']) + ', ' + str(price['p']) + ', ' +
str(price['p0']) + ', ' + str(price['per']))
return price
def importToArray(table):
log.debug('loading ' + table + ' ...')
prices = []
prec = 0
with open(os.path.join(path, '../trader_data/' + table + '.csv'), 'rb') as csvfile:
rdr = csv.reader(csvfile)
for row in rdr:
p = {}
p['open'] = float(row[2])
p['high'] = float(row[3])
p['low'] = float(row[4])
p['close'] = float(row[5])
p['vol'] = float(row[6])
p['rmb'] = round(p['close'] * 6.1 * 1000 / 31.1035, 2)
p['dt'] = datetime.datetime.strptime(row[0] + ' ' + row[1], '%Y.%m.%d %H:%M') #2009.06.01,00:00
p['dtlong'] = time.mktime(p['dt'].timetuple())
p['date'] = p['dt'].strftime('%Y-%m-%d')
p['time'] = p['dt'].strftime('%H:%M:%S')
p['chan'] = p['close'] - prec
if prec == 0:
p['per'] = 0
else:
p['per'] = round((p['close'] - prec) * 100 / prec, 3)
prec = p['close']
prices.append(p)
return prices
def runStrategy(in_prices):
global prices, ps, phs, pls, rsis
log.debug('beginning s5 strategy ...')
prices = in_prices
ps = [p['close'] for p in prices]
phs = [p['high'] for p in prices]
pls = [p['low'] for p in prices]
rsis = rsi.calc_rsi(prices, 14)
pool = StrategyPool(50)
doTrade(pool, 1, 180, 12, 0.5, -0.6)
pool.showStrategies()
return
direction = 1
starttime = time.time()
for i in range(30, 150)[::10]:
for j in range(2, 30)[::5]:
if i < j: continue
elapsed = long(time.time() - starttime)
log.debug('== ' + str(elapsed) + ', ' + str(i) + ',' + str(j) + ' ==')
for kp in [0.5, 0.6, 0.7, 0.8, 0.9, 1.0, 1.1, 1.2, 1.3]:
for kl in [0.5, 0.6, 0.7, 0.8, 0.9, 1.0, 1.1, 1.2, 1.3]:
doTrade(pool, direction, i, j, kp, -kl)
pool.showStrategies()
return
def runStrategy(prices, front):
#prices = SqliteDB().getAllPrices(table)
ps = [p['close'] for p in prices]
pool = StrategyPool(100)
doMaTrade(pool, prices, ps, front, 'MA', 6, 9, 35)
pool.showStrategies()
return
for i in range(2, 9):
for j in range(4, 20):
if i >= j: continue
doMaTrade(pool, prices, ps, front, 'MA', i, j)
doMaTrade(pool, prices, ps, front, 'EMA', i, j)
doMaTrade(pool, prices, ps, front, 'SMA', i, j)
log.debug(' ========= ' + str(i) + ',' + str(j) + ' ===========')
for k in range(6, 40):
if j >= k: continue
doMaTrade(pool, prices, ps, front, 'MA', i, j, k)
doMaTrade(pool, prices, ps, front, 'EMA', i, j, k)
doMaTrade(pool, prices, ps, front, 'SMA', i, j, k)
continue
for l in range(8, 60):
if k >= l: continue
doMaTrade(pool, prices, ps, front, 'MA', i, j, k, l)
doMaTrade(pool, prices, ps, front, 'EMA', i, j, k, l)
doMaTrade(pool, prices, ps, front, 'SMA', i, j, k, l)
pool.showStrategies()
def runStrategy(prices, front):
#prices = SqliteDB().getAllPrices(table)
ps = [p['close'] for p in prices]
pool = StrategyPool(100)
doMaTrade(pool, prices, ps, front, 'MA', 6, 9, 35)
pool.showStrategies()
return
for i in range(2, 9):
for j in range(4, 20):
if i >= j: continue
doMaTrade(pool, prices, ps, front, 'MA', i, j)
doMaTrade(pool, prices, ps, front, 'EMA', i, j)
doMaTrade(pool, prices, ps, front, 'SMA', i, j)
log.debug(' ========= ' + str(i) + ',' + str(j) + ' ===========')
for k in range(6, 40):
if j >= k: continue
doMaTrade(pool, prices, ps, front, 'MA', i, j, k)
doMaTrade(pool, prices, ps, front, 'EMA', i, j, k)
doMaTrade(pool, prices, ps, front, 'SMA', i, j, k)
continue
for l in range(8, 60):
if k >= l: continue
doMaTrade(pool, prices, ps, front, 'MA', i, j, k, l)
doMaTrade(pool, prices, ps, front, 'EMA', i, j, k, l)
doMaTrade(pool, prices, ps, front, 'SMA', i, j, k, l)
pool.showStrategies()
def addNotice(self, data):
cur = self.conn.cursor()
log.debug('inserting notice: ' + str(data[0]) + ',' + str(data[1]) + ',' + str(data[4]) + ',' + str(data[6]))
cur.execute('INSERT INTO NOTICE(DTYPE,DSUBTYPE,DTLONG,DDATE,DTIME,DVALUE,DPERCENT,DTEXT,NOTES) VALUES(?,?,?,?,?,?,?,?,?)', data)
self.conn.commit()
cur.close()
return
def runStrategy(in_prices):
global prices, ps
log.debug('beginning fma strategy ...')
prices = in_prices
ps = [p['close'] for p in prices]
#12_0.15_SMA_31_EMA_56_SMA_160__0__0,93,93,1558,25166.84
#12_0.15_SMA_25_LWMA_48_SMA_160__0__0,105,97,1987,25156.73
#12_0.15_SMA_30_EMA_58_SMA_160__0__0,96,95,1558,24957.8
#36_0.15_SMA_31_EMA_56_SMA_160__0__0,92,87,1935,23762.4
#24_0.2_SMA_37_LWMA_64_SMA_140__0__0,92,86,1452,24911.19
#12_0.15__0__0_SMA_35_SMA_78_SMA_120,75,69,4941,24376.28
#12_0.15__0__0_MA_30_SMA_78_SMA_100,93,83,4376,24252.22
#12_0.15__0__0_SMA_35_SMA_72_SMA_120,77,71,4930,24391.03
#12_0.15__0__0_SMA_39_SMA_72_SMA_120,77,70,4946,24365.99
#36_0.15__0__0_EMA_17_LWMA_24_SMA_150,276,282,3205,24670.78
#24_0.2__0__0_SMA_9_MA_16_SMA_170,216,219,3667,24692.56
pool = Pool(10)
doTrade(pool, 12, 0.15, 'SMA', 25, 'LWMA', 48, 'SMA', 160, 'SMA', 35, 'SMA', 78, 'SMA', 120)
doTrade(pool, 12, 0.15, 'SMA', 25, 'LWMA', 48, 'SMA', 160, 'MA', 30, 'SMA', 78, 'SMA', 100)
doTrade(pool, 12, 0.15, 'SMA', 31, 'EMA', 56, 'SMA', 160, 'SMA', 35, 'SMA', 72, 'SMA', 120)
doTrade(pool, 12, 0.15, 'SMA', 31, 'EMA', 56, 'SMA', 160, 'MA', 30, 'SMA', 78, 'SMA', 100)
doTrade(pool, 36, 0.15, 'SMA', 31, 'EMA', 56, 'SMA', 160, 'EMA', 17, 'LWMA', 24, 'SMA', 150)
doTrade(pool, 24, 0.2, 'SMA', 37, 'LWMA', 64, 'SMA', 140, 'SMA', 9, 'MA', 16, 'SMA', 170)
pool.showStrategies()
return
def tally(ptype, price):
db = SqliteDB()
ret = ''
dLong = time.mktime(price['dt'].timetuple())
dDate = price['dt'].strftime('%Y-%m-%d')
dTime = price['dt'].strftime('%H:%M:%S')
db.addPrice((ptype, dLong, dDate, dTime, price['p'], price['per'],
price['p0'], '', dLong, dDate, dTime))
# calculate the percentage
percent0 = price['per']
# get the price of 3 minutes ago
price3 = db.getPrice(ptype, dLong - 180)
percent3 = 0
if price3:
log.debug(ptype + ',price3,' + str(price3[3]) + ',' + str(price3[0]))
price3 = price3[0]
percent3 = round((price['p'] - price3) * 100 / price3, 3)
# get the price of 30 minutes ago
price30 = db.getPrice(ptype, dLong - 1800)
percent30 = 0
if price30:
log.debug(ptype + ',price30,' + str(price30[3]) + ',' +
str(price30[0]))
price30 = price30[0]
percent30 = round((price['p'] - price30) * 100 / price30, 3)
# get last message information
notper0 = db.getNotice(ptype, 0, dDate)
log.info(ptype + ', percentage 0: ' + str(percent0) + ', last notice: ' +
str(notper0))
#print notper0
if abs(percent0 - notper0) >= 1:
ret = ptype + '0,' + str(price['p']) + ',' + str(percent0) + '%;\n'
db.addNotice(
(ptype, 0, dLong, dDate, dTime, price['p'], percent0, ret, ''))
notcount30 = db.getNoticeCount(ptype, 30, dLong - 1800)
log.info(ptype + ', percentage 30: ' + str(percent30) +
', notice in 30 minutes: ' + str(notcount30))
if notcount30 == 0 and abs(percent30) >= 1:
ret = ret + ptype + '30,' + str(
price['p']) + ',' + str(percent30) + '%;\n'
db.addNotice(
(ptype, 30, dLong, dDate, dTime, price['p'], percent30, ret, ''))
notcount3 = db.getNoticeCount(ptype, 3, dLong - 180)
log.info(ptype + ', percentage 3: ' + str(percent3) +
', notice in 3 minutes: ' + str(notcount3))
if notcount3 == 0 and abs(percent3) >= 0.5:
ret = ret + ptype + '3,' + str(
price['p']) + ',' + str(percent3) + '%;\n'
db.addNotice(
(ptype, 3, dLong, dDate, dTime, price['p'], percent3, ret, ''))
return ret
def runStrategy(in_prices):
global prices, ps
log.debug('beginning fma strategy ...')
prices = in_prices
ps = [p['close'] for p in prices]
#12_0.15_SMA_31_EMA_56_SMA_160__0__0,93,93,1558,25166.84
#12_0.15_SMA_25_LWMA_48_SMA_160__0__0,105,97,1987,25156.73
#12_0.15_SMA_30_EMA_58_SMA_160__0__0,96,95,1558,24957.8
#36_0.15_SMA_31_EMA_56_SMA_160__0__0,92,87,1935,23762.4
#24_0.2_SMA_37_LWMA_64_SMA_140__0__0,92,86,1452,24911.19
#12_0.15__0__0_SMA_35_SMA_78_SMA_120,75,69,4941,24376.28
#12_0.15__0__0_MA_30_SMA_78_SMA_100,93,83,4376,24252.22
#12_0.15__0__0_SMA_35_SMA_72_SMA_120,77,71,4930,24391.03
#12_0.15__0__0_SMA_39_SMA_72_SMA_120,77,70,4946,24365.99
#36_0.15__0__0_EMA_17_LWMA_24_SMA_150,276,282,3205,24670.78
#24_0.2__0__0_SMA_9_MA_16_SMA_170,216,219,3667,24692.56
pool = Pool(10)
doTrade(pool, 12, 0.15, 'SMA', 25, 'LWMA', 48, 'SMA', 160, 'SMA', 35,
'SMA', 78, 'SMA', 120)
doTrade(pool, 12, 0.15, 'SMA', 25, 'LWMA', 48, 'SMA', 160, 'MA', 30, 'SMA',
78, 'SMA', 100)
doTrade(pool, 12, 0.15, 'SMA', 31, 'EMA', 56, 'SMA', 160, 'SMA', 35, 'SMA',
72, 'SMA', 120)
doTrade(pool, 12, 0.15, 'SMA', 31, 'EMA', 56, 'SMA', 160, 'MA', 30, 'SMA',
78, 'SMA', 100)
doTrade(pool, 36, 0.15, 'SMA', 31, 'EMA', 56, 'SMA', 160, 'EMA', 17,
'LWMA', 24, 'SMA', 150)
doTrade(pool, 24, 0.2, 'SMA', 37, 'LWMA', 64, 'SMA', 140, 'SMA', 9, 'MA',
16, 'SMA', 170)
pool.showStrategies()
return
def process(func):
thread = threading.Thread(target=func)
thread.start()
thread.join(120)
if thread.is_alive():
log.info('* hanging thread * ')
else:
log.debug('* thread ended normally * ')
def addPrice(self, data):
cur = self.conn.cursor()
cur.execute('SELECT DTLONG FROM FEDATA WHERE DTYPE=? AND DTLONG=?', (data[0], long(data[1]),))
if cur.fetchone() == None:
log.debug('inserting price: ' + data[0] + ' ' + str(data[1]) + ' ' + data[3] + ' ' + str(data[4]))
cur.execute('INSERT INTO FEDATA(DTYPE,DTLONG,DDATE,DTIME,DVALUE,DPER,DOPEN,NOTES,FETCHDT,FETCHDATE,FETCHTIME) VALUES(?,?,?,?,?,?,?,?,?,?,?)', data)
self.conn.commit()
cur.close()
return
def testCo(co):
xagPrices = dataloader.importToArray('XAGUSD5_201307')
xags = [p['close'] for p in xagPrices]
usdxPrices = dataloader.importToArray('_USDX5_201307')
usdxs = [p['close'] for p in usdxPrices]
us500Prices = dataloader.importToArray('_US5005_201307')
us500s = [p['close'] for p in us500Prices]
us30Prices = dataloader.importToArray('_US305_201307')
us30s = [p['close'] for p in us30Prices]
nq100Prices = dataloader.importToArray('_NQ1005_201307')
nq100s = [p['close'] for p in nq100Prices]
l = len(xagPrices)
xs = []
ys = []
yps = []
typs = []
#for i in range(10, l - 1):
for i in range(100, 200):
xag = xagPrices[i]
xagd = xags[i-10+1 : i+1]
dtlong = xag['dtlong']
usdxd = findData(dtlong, usdxPrices, usdxs)
us500d = findData(dtlong, us500Prices, us500s)
us30d = findData(dtlong, us30Prices, us30s)
nq100d = findData(dtlong, nq100Prices, nq100s)
if not (usdxd and us500d and us30d and nq100d):
log.debug('Insufficient Data. ' + xag['date'] + ' ' + xag['time'])
continue
xs.append([xags[i], slope(xagd), std(xagd), slope(usdxd), std(usdxd), slope(us500d), std(us500d), slope(us30d), std(us30d), slope(nq100d), std(nq100d)])
typs.append(xags[i])
ys.append(xags[i+1])
for i in range(len(xs)):
yp = co[0] + xs[i][0] * co[1]
yp += xs[i][1] * co[2] + xs[i][2] * co[3] + xs[i][3] * co[4]
yp += xs[i][4] * co[5] + xs[i][5] * co[6] + xs[i][6] * co[7] + xs[i][7] * co[8]
yp += xs[i][8] * co[9] + xs[i][9] * co[10] + xs[i][10] * co[11]
yps.append(typs[i] + yp)
print co
ts = range(len(xs))
plt.plot(ts, ys, 'o', label='Original data', linestyle='-', markersize=2)
plt.plot(ts, yps, 'ro', label='Fitted line', linestyle='-', markersize=2)
plt.legend()
plt.show()
def tally(ptype, price):
db = SqliteDB()
ret = ''
dLong = time.mktime(price['dt'].timetuple())
dDate = price['dt'].strftime('%Y-%m-%d')
dTime = price['dt'].strftime('%H:%M:%S')
db.addPrice((ptype, dLong, dDate, dTime, price['p'], price['per'], price['p0'], '', dLong, dDate, dTime))
# calculate the percentage
percent0 = price['per']
# get the price of 3 minutes ago
price3 = db.getPrice(ptype, dLong - 180)
percent3 = 0
if price3:
log.debug(ptype + ',price3,' + str(price3[3]) + ',' + str(price3[0]))
price3 = price3[0]
percent3 = round((price['p'] - price3) * 100 / price3, 3)
# get the price of 30 minutes ago
price30 = db.getPrice(ptype, dLong - 1800)
percent30 = 0
if price30:
log.debug(ptype + ',price30,' + str(price30[3]) + ',' + str(price30[0]))
price30 = price30[0]
percent30 = round((price['p'] - price30) * 100 / price30, 3)
# get last message information
notper0 = db.getNotice(ptype, 0, dDate)
log.info(ptype + ', percentage 0: ' + str(percent0) + ', last notice: ' + str(notper0))
#print notper0
if abs(percent0 - notper0) >= 1:
ret = ptype + '0,' + str(price['p']) + ',' + str(percent0) + '%;\n'
db.addNotice((ptype, 0, dLong, dDate, dTime, price['p'], percent0, ret, ''))
notcount30 = db.getNoticeCount(ptype, 30, dLong - 1800)
log.info(ptype + ', percentage 30: ' + str(percent30) + ', notice in 30 minutes: ' + str(notcount30))
if notcount30 == 0 and abs(percent30) >= 1:
ret = ret + ptype + '30,' + str(price['p']) + ',' + str(percent30) + '%;\n'
db.addNotice((ptype, 30, dLong, dDate, dTime, price['p'], percent30, ret, ''))
notcount3 = db.getNoticeCount(ptype, 3, dLong - 180)
log.info(ptype + ', percentage 3: ' + str(percent3) + ', notice in 3 minutes: ' + str(notcount3))
if notcount3 == 0 and abs(percent3) >= 0.5:
ret = ret + ptype + '3,' + str(price['p']) + ',' + str(percent3) + '%;\n'
db.addNotice((ptype, 3, dLong, dDate, dTime, price['p'], percent3, ret, ''))
return ret
def runStrategy(prices):
log.debug('beginning l4 strategy ...')
ps = [p['close'] for p in prices]
pool = StrategyPool(50)
#doTrade(pool, prices, ps, 3, 9)
#pool.showStrategies()
#return
for i in range(5, 40)[::2]:
for j in range(3, 30)[::2]:
doTrade(pool, prices, ps, i, j)
pool.showStrategies()
def runStrategy(prices):
log.debug('beginning l3 strategy ...')
ps = [p['close'] for p in prices]
pool = StrategyPool(50)
#doTrade(pool, prices, ps, 3, 9)
#pool.showStrategies()
#return
for i in range(5, 40)[::2]:
for j in range(3, 30)[::2]:
doTrade(pool, prices, ps, i, j)
pool.showStrategies()
def runStrategy(in_prices):
global prices, ps
log.debug("beginning fma strategy ...")
prices = in_prices
ps = [p["close"] for p in prices]
# 20_1.0_LWMA_10_EMA_24_EMA_25__0__0,20,23,533,36486.0
# 20_1.0__0__0_MA_6_MA_36_MA_37,18,18,354,30755.0
pool = Pool(10)
doTrade(pool, 20, 1.0, "LWMA", 10, "EMA", 24, "EMA", 25, "MA", 6, "MA", 36, "MA", 37)
# doTrade(pool, 25, 1.3, 'LWMA', 10, 'EMA', 24, 'EMA', 25, 'MA', 6, 'MA', 36, 'MA', 37)
doTrade(pool, 25, 1.3, "MA", 7, "SMA", 13, "EMA", 31, "SMA", 7, "MA", 12, "MA", 13)
pool.showStrategies()
return
def runVoter(prices):
log.debug('beginning rsi voter ...')
starttime = time.time()
pool = VoterPool(5, prices)
#calcTickets(pool, 12, 26, 9)
#calcTickets(pool, 'SMA', 3, 'EMA', 4)
#calcTickets(pool, 'MA', 7, 'SMA', 13)
#pool.showVoters()
#return
for i in range(5, 50):
calcTickets(pool, prices, i)
pool.showVoters()
def runVoter(prices):
log.debug('beginning rsi voter ...')
starttime = time.time()
pool = VoterPool(5, prices)
#calcTickets(pool, 12, 26, 9)
#calcTickets(pool, 'SMA', 3, 'EMA', 4)
#calcTickets(pool, 'MA', 7, 'SMA', 13)
#pool.showVoters()
#return
for i in range(5, 50):
calcTickets(pool, prices, i)
pool.showVoters()
def runStrategy(in_prices):
global mas, emas, smas, lwmas, std, prices
log.debug('beginning ma strategy ...')
prices = in_prices
ps = [p['close'] for p in prices]
std = [0] * 51
l = len(prices)
for period in range(2, 51):
std[period] = [0] * l
for i in range(period - 1, l):
std[period][i] = np.std(ps[i-period+1 : i+1], dtype=np.float64, ddof=0)
mas = [0] * 81
emas = [0] * 81
smas = [0] * 81
lwmas = [0] * 81
for period in range(2, 81):
mas[period] = ma.calc_ma(ps, period)
emas[period] = ma.calc_ema(ps, period)
smas[period] = ma.calc_sma(ps, period)
lwmas[period] = ma.calc_lwma(ps, period)
pool = Pool(100)
#t = doTrade(pool, 25, 1.0, 'MA', 7, 'SMA', 12, 'EMA', 31, 'SMA', 7, 'MA', 12, 'MA', 13)
#t = doTrade(pool, 25, 1.3, 'MA', 7, 'SMA', 13, 'EMA', 31, 'SMA', 7, 'MA', 12, 'MA', 13)
#pool.showStrategies()
#return
log.debug('running ma strategy ...')
starttime = datetime.datetime.now()
matypes = ['MA', 'EMA', 'SMA', 'LWMA']
farr = range(5, 20)
s1arr = range(8, 40)
s2arr = range(0, 80)
poola = Pool(10)
poolb = Pool(10)
for stdPeriod in [20, ]:
for stdGuage in [1.0, ]:
log.debug('*** ' + str(stdPeriod) + ',' + str(stdGuage) + ' ***')
for ft, f in [(matype, period) for matype in matypes for period in farr]:
for s1t, s1 in [(matype, period) for matype in matypes for period in s1arr]:
if s1 != 0 and s1 <= f: continue
elapsed = (datetime.datetime.now() - starttime).seconds
log.debug('== ' + str(elapsed) + ',' + ft + '_' + str(f) + ',' + s1t + '_' + str(s1) + ' ==')
for s2t, s2 in [(matype, period) for matype in matypes for period in s2arr]:
if s2 != 0 and s2 <= s1: continue
if s2 == 0 and (s2t == 'EMA' or s2t == 'SMA' or s2t == 'LWMA'): continue
doTrade(poola, stdPeriod, stdGuage, ft, f, s1t, s1, s2t, s2, '', 0, '', 0, '', 0)
doTrade(poolb, stdPeriod, stdGuage, '', 0, '', 0, '', 0, ft, f, s1t, s1, s2t, s2)
poola.showStrategies()
poolb.showStrategies()
def runStrategy(in_prices):
global prices, ps
log.debug('beginning fma strategy ...')
prices = in_prices
ps = [p['close'] for p in prices]
#20_1.0_LWMA_10_EMA_24_EMA_25__0__0,20,23,533,36486.0
#20_1.0__0__0_MA_6_MA_36_MA_37,18,18,354,30755.0
pool = Pool(10)
doTrade(pool, 20, 1.0, 'LWMA', 10, 'EMA', 24, 'EMA', 25, 'MA', 6, 'MA', 36,
'MA', 37)
#doTrade(pool, 25, 1.3, 'LWMA', 10, 'EMA', 24, 'EMA', 25, 'MA', 6, 'MA', 36, 'MA', 37)
doTrade(pool, 25, 1.3, 'MA', 7, 'SMA', 13, 'EMA', 31, 'SMA', 7, 'MA', 12,
'MA', 13)
pool.showStrategies()
return
def runStrategy(prices):
log.debug('beginning l2 strategy ...')
ps = [p['close'] for p in prices]
pool = StrategyPool(50)
#doTrade(pool, prices, ps, 14, 21, 14)
#pool.showStrategies()
#return
for i in range(5, 20)[::2]:
for j in range(12, 50)[::2]:
if i >= j: continue
for k in range(10, 40)[::3]:
for l in [20, 30, 40, 50, 60, 70]:
doTrade(pool, prices, ps, i, j, k, l)
#doMacdTrade(pool, prices, ps, i, j, k)
pool.showStrategies()
def runStrategy(prices):
logs.info('STRATEGY,BUY TIMES, SELL TIMES, FINAL EQUITY')
#prices = SqliteDB().getAllPrices(table)
ps = [p['close'] for p in prices]
pool = StrategyPool(100)
#doBollingTrade(pool, prices, ps, 12, 2.4)
#pool.showStrategies()
#return
for i in range(2, 40):
j = 0
log.debug(i)
while j <= 5:
doBollingTrade(pool, prices, ps, i, j)
j += 0.1
pool.showStrategies()
def runStrategy(prices):
logs.info('STRATEGY,BUY TIMES, SELL TIMES, FINAL EQUITY')
#prices = SqliteDB().getAllPrices(table)
ps = [p['close'] for p in prices]
pool = StrategyPool(100)
#doBollingTrade(pool, prices, ps, 12, 2.4)
#pool.showStrategies()
#return
for i in range(2, 40):
j = 0
log.debug(i)
while j <= 5:
doBollingTrade(pool, prices, ps, i, j)
j += 0.1
pool.showStrategies()
def runStrategy(in_prices):
log.debug("beginning s3 strategy ...")
prices = in_prices
ps = [p["close"] for p in prices]
pool = StrategyPool(50)
doTrade(pool, prices, ps, 90, 17, 45)
pool.showStrategies()
return
for i in range(10, 100)[::10]:
for j in range(2, 30)[::5]:
log.debug("== " + str(i) + " , " + str(j) + " ==")
for k in range(5, 100)[::20]:
doTrade(pool, prices, ps, i, j, k)
pool.showStrategies()
return
def runStrategy(in_prices):
log.debug('beginning s3 strategy ...')
prices = in_prices
ps = [p['close'] for p in prices]
pool = StrategyPool(50)
doTrade(pool, prices, ps, 90, 17, 45)
pool.showStrategies()
return
for i in range(10, 100)[::10]:
for j in range(2, 30)[::5]:
log.debug('== ' + str(i) + ' , ' + str(j) + ' ==')
for k in range(5, 100)[::20]:
doTrade(pool, prices, ps, i, j, k)
pool.showStrategies()
return
def runVoter(in_prices):
global mas, emas, smas, lwmas, prices
log.debug('beginning ma voter ...')
prices = in_prices
ps = [p['close'] for p in prices]
mas = [0] * 61
emas = [0] * 61
smas = [0] * 61
lwmas = [0] * 61
for period in range(2, 61):
mas[period] = ma.calc_ma(ps, period)
emas[period] = ma.calc_ema(ps, period)
smas[period] = ma.calc_sma(ps, period)
lwmas[period] = ma.calc_lwma(ps, period)
log.debug('running ma voter ...')
starttime = time.time()
matypes = ['MA', 'EMA', 'SMA', 'LWMA']
pool = VoterPool(2, prices)
#calcTickets(pool, 'MA', 7, 'EMA', 18)
#calcTickets(pool, 'SMA', 3, 'EMA', 4)
#calcTickets(pool, 'MA', 7, 'SMA', 13)
#pool.showVoters()
#return
farr = range(2, 10)
sarr = range(4, 60)
for ft, f in [(matype, period) for matype in matypes for period in farr]:
elapsed = long(time.time() - starttime)
#log.debug('== ' + str(elapsed) + ',' + ft + '_' + str(f) + ' ==')
for st, s in [(matype, period) for matype in matypes for period in sarr]:
if s < f: continue
calcTickets(pool, ft, f, st, s)
pool.showVoters()
def runStrategy(prices):
log.debug('beginning l5 strategy ...')
ps = [p['close'] for p in prices]
ys = ps[55:110]
l = len(ys)
high1 = high2 = low1 = low2 = 0
highsm = lowsm = float('inf')
for x in range(1, l):
ty, sm = genLine(high1, x, ys, 1)
if sm < highsm:
high2 = x
highsm, highy = sm, ty
if high2 != x and high1 != high2:
ty, sm = genLine(high2, x, ys, 1)
if sm < highsm:
high1, high2 = high2, x
highsm, highy = sm, ty
ty, sm = genLine(low1, x, ys, -1)
if sm < lowsm:
low2 = x
lowsm, lowy = sm, ty
if low2 != x and low1 != low2:
ty, sm = genLine(low2, x, ys, -1)
if sm < lowsm:
low1, low2 = low2, x
lowsm, lowy = sm, ty
#return highy, lowy
xs = range(l)
upys = map(highy, xs)
lowys = map(lowy, xs)
plt.plot(xs, ys, '-', xs, upys, '-', xs[:50], lowys[:50], '-')
plt.show()
return
def runStrategy(prices):
log.debug('beginning l5 strategy ...')
ps = [p['close'] for p in prices]
ys = ps[55:110]
l = len(ys)
high1 = high2 = low1 = low2 = 0
highsm = lowsm = float('inf')
for x in range(1, l):
ty, sm = genLine(high1, x, ys, 1)
if sm < highsm:
high2 = x
highsm, highy = sm, ty
if high2 != x and high1 != high2:
ty, sm = genLine(high2, x, ys, 1)
if sm < highsm:
high1, high2 = high2, x
highsm, highy = sm, ty
ty, sm = genLine(low1, x, ys, -1)
if sm < lowsm:
low2 = x
lowsm, lowy = sm, ty
if low2 != x and low1 != low2:
ty, sm = genLine(low2, x, ys, -1)
if sm < lowsm:
low1, low2 = low2, x
lowsm, lowy = sm, ty
#return highy, lowy
xs = range(l)
upys = map(highy, xs)
lowys = map(lowy, xs)
plt.plot(xs, ys, '-', xs, upys, '-', xs[:50], lowys[:50], '-')
plt.show()
return
def runStrategy(prices):
log.debug('beginning l2 strategy ...')
ps = [p['close'] for p in prices]
pool = StrategyPool(50)
#doTrade(pool, prices, ps, 14, 21, 14)
#pool.showStrategies()
#return
for i in range(5, 20)[::2]:
for j in range(12, 50)[::2]:
if i >= j: continue
for k in range(10, 40)[::3]:
for l in [20, 30, 40, 50, 60, 70]:
doTrade(pool, prices, ps, i, j, k, l)
#doMacdTrade(pool, prices, ps, i, j, k)
pool.showStrategies()
def runStrategy(in_prices):
log.debug('beginning one strategy ...')
prices = in_prices
ps = [p['close'] for p in prices]
slopePeriod = 50
l = len(prices)
slopes = [0] * l
stds = [0] * l
for i in range(slopePeriod, l):
slopes[i] = calc_slope(ps[i - slopePeriod + 1:i + 1])
stds[i] = round(
np.std(ps[i - slopePeriod + 1:i + 1], dtype=np.float64, ddof=0), 3)
found = 0
for i in range(1055, l):
curSlope = slopes[i]
curStd = stds[i]
minDiffSlope = minDiffStd = 999
jslope = jstd = 0
for j in range(slopePeriod, i - 20):
diffSlope = abs(slopes[j] - curSlope)
diffStd = abs(stds[j] - curStd)
if diffSlope <= 0.001 and diffStd <= 0.005:
minDiffSlope, jslope = diffSlope, j
minDiffStd, jstd = diffStd, j
found += 1
break
#log.debug('i :' + str(i) + ',' + str(curSlope) + ',' + str(curStd) + ', min diff slope,' + str(jslope) + ':' + str(minDiffSlope) + ', min diff std,' + str(jstd) + ':' + str(minDiffStd))
log.debug('i :' + str(prices[i]['dt']) + ', j :' +
str(prices[jslope]['dt']))
log.debug('total:' + str(l - slopePeriod) + ',found:' + str(found))
def runStrategy(in_prices):
log.debug("beginning one strategy ...")
prices = in_prices
ps = [p["close"] for p in prices]
slopePeriod = 50
l = len(prices)
slopes = [0] * l
stds = [0] * l
for i in range(slopePeriod, l):
slopes[i] = calc_slope(ps[i - slopePeriod + 1 : i + 1])
stds[i] = round(np.std(ps[i - slopePeriod + 1 : i + 1], dtype=np.float64, ddof=0), 3)
found = 0
for i in range(1055, l):
curSlope = slopes[i]
curStd = stds[i]
minDiffSlope = minDiffStd = 999
jslope = jstd = 0
for j in range(slopePeriod, i - 20):
diffSlope = abs(slopes[j] - curSlope)
diffStd = abs(stds[j] - curStd)
if diffSlope <= 0.001 and diffStd <= 0.005:
minDiffSlope, jslope = diffSlope, j
minDiffStd, jstd = diffStd, j
found += 1
break
# log.debug('i :' + str(i) + ',' + str(curSlope) + ',' + str(curStd) + ', min diff slope,' + str(jslope) + ':' + str(minDiffSlope) + ', min diff std,' + str(jstd) + ':' + str(minDiffStd))
log.debug("i :" + str(prices[i]["dt"]) + ", j :" + str(prices[jslope]["dt"]))
log.debug("total:" + str(l - slopePeriod) + ",found:" + str(found))
def runVoter(in_prices):
global mas, emas, smas, lwmas, prices
log.debug('beginning ma voter ...')
prices = in_prices
ps = [p['close'] for p in prices]
mas = [0] * 61
emas = [0] * 61
smas = [0] * 61
lwmas = [0] * 61
for period in range(2, 61):
mas[period] = ma.calc_ma(ps, period)
emas[period] = ma.calc_ema(ps, period)
smas[period] = ma.calc_sma(ps, period)
lwmas[period] = ma.calc_lwma(ps, period)
log.debug('running ma voter ...')
starttime = time.time()
matypes = ['MA', 'EMA', 'SMA', 'LWMA']
pool = VoterPool(2, prices)
#calcTickets(pool, 'MA', 7, 'EMA', 18)
#calcTickets(pool, 'SMA', 3, 'EMA', 4)
#calcTickets(pool, 'MA', 7, 'SMA', 13)
#pool.showVoters()
#return
farr = range(2, 10)
sarr = range(4, 60)
for ft, f in [(matype, period) for matype in matypes for period in farr]:
elapsed = long(time.time() - starttime)
#log.debug('== ' + str(elapsed) + ',' + ft + '_' + str(f) + ' ==')
for st, s in [(matype, period) for matype in matypes
for period in sarr]:
if s < f: continue
calcTickets(pool, ft, f, st, s)
pool.showVoters()
def runStrategy_2(in_prices):
global mas, emas, smas, std, prices
log.debug('beginning first strategy ...')
prices = in_prices
ps = [p['close'] for p in prices]
std = [0] * 51
l = len(prices)
for period in range(2, 51):
std[period] = [0] * l
for i in range(period - 1, l):
std[period][i] = round(
np.std(ps[i - period + 1:i + 1], dtype=np.float64, ddof=0), 3)
mas = [0] * 61
emas = [0] * 61
smas = [0] * 61
for period in range(2, 61):
mas[period] = ma.calc_ma(ps, period)
emas[period] = ma.calc_ema(ps, period)
smas[period] = ma.calc_sma(ps, period)
log.debug('running first strategy ...')
starttime = datetime.datetime.now()
strat_as = [
['MA', 7, 'SMA', 10, 'SMA', 12],
['MA', 7, 'SMA', 14, 'EMA', 33],
['MA', 7, 'SMA', 16, 'EMA', 27],
]
strat_bs = [
['SMA', 7, 'MA', 12, 'MA', 12],
['SMA', 7, 'MA', 12, 'MA', 36],
['MA', 7, 'SMA', 14, 'EMA', 33],
]
pool = StrategyPool(100)
for stdPeriod in [25]:
stdGuage = 1.3
while stdGuage <= 1.3:
elapsed = (datetime.datetime.now() - starttime).seconds
log.debug('== ' + str(elapsed) + ',' + str(stdPeriod) + ',' +
str(stdGuage) + ' ==')
for sa in strat_as:
for sb in strat_bs:
doTrade(pool, stdPeriod, stdGuage, sa[0], sa[1], sa[2],
sa[3], sa[4], sa[5], sb[0], sb[1], sb[2], sb[3],
sb[4], sb[5])
stdGuage += 0.02
pool.showStrategies()
return
def runStrategy_2(in_prices):
global mas, emas, smas, std, prices
log.debug('beginning first strategy ...')
prices = in_prices
ps = [p['close'] for p in prices]
std = [0] * 51
l = len(prices)
for period in range(2, 51):
std[period] = [0] * l
for i in range(period - 1, l):
std[period][i] = round(np.std(ps[i-period+1 : i+1], dtype=np.float64, ddof=0), 3)
mas = [0] * 61
emas = [0] * 61
smas = [0] * 61
for period in range(2, 61):
mas[period] = ma.calc_ma(ps, period)
emas[period] = ma.calc_ema(ps, period)
smas[period] = ma.calc_sma(ps, period)
log.debug('running first strategy ...')
starttime = datetime.datetime.now()
strat_as = [
['MA',7,'SMA',10,'SMA',12],
['MA',7,'SMA',14,'EMA',33],
['MA',7,'SMA',16,'EMA',27],
]
strat_bs = [
['SMA',7,'MA',12,'MA',12 ],
['SMA',7,'MA',12,'MA',36 ],
['MA',7,'SMA',14,'EMA',33],
]
pool = StrategyPool(100)
for stdPeriod in [25]:
stdGuage = 1.3
while stdGuage <= 1.3:
elapsed = (datetime.datetime.now() - starttime).seconds
log.debug('== ' + str(elapsed) + ',' + str(stdPeriod) + ',' + str(stdGuage) + ' ==')
for sa in strat_as:
for sb in strat_bs:
doTrade(pool, stdPeriod, stdGuage, sa[0], sa[1], sa[2], sa[3], sa[4], sa[5], sb[0], sb[1], sb[2], sb[3], sb[4], sb[5])
stdGuage += 0.02
pool.showStrategies()
return
def runStrategy(in_prices):
global mas, emas, smas, lwmas, prices
log.debug('beginning ma strategy ...')
prices = in_prices
ps = [p['close'] for p in prices]
log.debug('generating mas ...')
mas = [0] * 61
emas = [0] * 61
smas = [0] * 61
lwmas = [0] * 61
for period in range(2, 61):
mas[period] = ma.calc_ma(ps, period)
emas[period] = ma.calc_ema(ps, period)
smas[period] = ma.calc_sma(ps, period)
lwmas[period] = ma.calc_lwma(ps, period)
pool = StrategyPool(20)
doMaTrade(pool, 'SMA', 19, 'MA', 40, 'LWMA', 60)
pool.showStrategies()
return
log.debug('running ma strategy ...')
starttime = datetime.datetime.now()
matypes = ['MA', 'EMA', 'SMA', 'LWMA']
pool = StrategyPool(100)
for ft, f in [(matype, period) for matype in matypes for period in range(2, 10)]:
for s1t, s1 in [(matype, period) for matype in matypes for period in range(4, 21)]:
elapsed = (datetime.datetime.now() - starttime).seconds
log.debug('== ' + str(elapsed) + ',' + ft + '_' + str(f) + ',' + s1t + '_' + str(s1) + ' ==')
for s2t, s2 in [(matype, period) for matype in matypes for period in range(0, 41)]:
if s2 != 0 and s2 <= s1: continue
if s2 == 0 and (s2t == 'EMA' or s2t == 'SMA' or s2t == 'LWMA'): continue
doMaTrade(pool, ft, f, s1t, s1, s2t, s2)
pool.showStrategies()
def runVoter(in_prices):
global mas, emas, smas, lwmas, prices
log.debug('beginning ma voter ...')
prices = in_prices
ps = [p['close'] for p in prices]
malength = 101
mas = [0] * malength
emas = [0] * malength
smas = [0] * malength
lwmas = [0] * malength
for period in range(2, malength):
if period % 30 == 0: print period
mas[period] = ma.calc_ma(ps, period)
emas[period] = ma.calc_ema(ps, period)
smas[period] = ma.calc_sma(ps, period)
lwmas[period] = ma.calc_lwma(ps, period)
log.debug('running ma voter ...')
starttime = time.time()
matypes = ['MA', 'EMA', 'SMA', 'LWMA']
pool = VoterPool(1, prices)
#calcTickets(pool, 'SMA', 95, 'LWMA', 240)
#calcTickets(pool, 'SMA', 3, 'EMA', 4)
#calcTickets(pool, 'MA', 7, 'SMA', 13)
#pool.showVoters()
#return
farr = range(5, 30)[::3]
sarr = range(10, 100)[::5]
for ft, f in [(matype, period) for matype in matypes for period in farr]:
elapsed = long(time.time() - starttime)
log.debug('== ' + str(elapsed) + ',' + ft + '_' + str(f) + ' ==')
for st, s in [(matype, period) for matype in matypes for period in sarr]:
if s < f: continue
calcTickets(pool, ft, f, st, s)
pool.showVoters()
def runVoter(in_prices):
global mas, emas, smas, lwmas, prices
log.debug('beginning ma voter ...')
prices = in_prices
ps = [p['close'] for p in prices]
malength = 101
mas = [0] * malength
emas = [0] * malength
smas = [0] * malength
lwmas = [0] * malength
for period in range(2, malength):
if period % 30 == 0: print period
mas[period] = ma.calc_ma(ps, period)
emas[period] = ma.calc_ema(ps, period)
smas[period] = ma.calc_sma(ps, period)
lwmas[period] = ma.calc_lwma(ps, period)
log.debug('running ma voter ...')
starttime = time.time()
matypes = ['MA', 'EMA', 'SMA', 'LWMA']
pool = VoterPool(1, prices)
#calcTickets(pool, 'SMA', 95, 'LWMA', 240)
#calcTickets(pool, 'SMA', 3, 'EMA', 4)
#calcTickets(pool, 'MA', 7, 'SMA', 13)
#pool.showVoters()
#return
farr = range(5, 30)[::3]
sarr = range(10, 100)[::5]
for ft, f in [(matype, period) for matype in matypes for period in farr]:
elapsed = long(time.time() - starttime)
log.debug('== ' + str(elapsed) + ',' + ft + '_' + str(f) + ' ==')
for st, s in [(matype, period) for matype in matypes
for period in sarr]:
if s < f: continue
calcTickets(pool, ft, f, st, s)
pool.showVoters()
def runVoter(prices):
log.debug('beginning macd voter ...')
log.debug('running ma voter ...')
starttime = time.time()
pool = VoterPool(5, prices)
#calcTickets(pool, 12, 26, 9)
#calcTickets(pool, 'SMA', 3, 'EMA', 4)
#calcTickets(pool, 'MA', 7, 'SMA', 13)
#pool.showVoters()
#return
for i in range(2, 30):
for j in range(5, 60):
if i > j: continue
elapsed = long(time.time() - starttime)
log.debug('== ' + str(elapsed) + ',' + str(i) + '_' + str(j) + ' ==')
for k in range(2, 30):
calcTickets(pool, prices, i, j, k)
pool.showVoters()
def runStrategy_0(in_prices):
global mas, emas, smas, std, prices
log.debug('beginning first strategy ...')
prices = in_prices
ps = [p['close'] for p in prices]
std = [0] * 51
l = len(prices)
for period in range(2, 51):
std[period] = [0] * l
for i in range(period - 1, l):
std[period][i] = round(
np.std(ps[i - period + 1:i + 1], dtype=np.float64, ddof=0), 3)
mas = [0] * 61
emas = [0] * 61
smas = [0] * 61
for period in range(2, 61):
mas[period] = ma.calc_ma(ps, period)
emas[period] = ma.calc_ema(ps, period)
smas[period] = ma.calc_sma(ps, period)
log.debug('running first strategy ...')
starttime = datetime.datetime.now()
matypes = ['MA', 'EMA', 'SMA']
farr = [
2,
3,
4,
5,
6,
7,
]
s1arr = [
4,
6,
8,
10,
12,
14,
16,
18,
20,
]
s2arr = [
0,
6,
9,
12,
15,
18,
21,
24,
27,
30,
33,
36,
39,
42,
45,
48,
51,
]
pool = StrategyPool(100)
for stdPeriod in [20, 30, 40]:
stdGuage = 1.0
while stdGuage <= 1.3:
maxAEquity = maxBEquity = 0
poola = StrategyPool(5)
poolb = StrategyPool(5)
for ft, f in [(matype, period) for matype in matypes
for period in farr]:
for s1t, s1 in [(matype, period) for matype in matypes
for period in s1arr]:
elapsed = (datetime.datetime.now() - starttime).seconds
log.debug('== ' + str(elapsed) + ',' + ft + '_' + str(f) +
',' + s1t + '_' + str(s1) + ' ==')
for s2t, s2 in [(matype, period) for matype in matypes
for period in s2arr]:
if s2 != 0 and s2 < s1: continue
if s2 == 0 and (s2t == 'EMA' or s2t == 'SMA'): continue
t = doTrade(poola, stdPeriod, stdGuage, ft, f, s1t, s1,
s2t, s2, '', 0, '', 0, '', 0)
if t.equity > maxAEquity:
maxAEquity = t.equity
maxEAs = [ft, f, s1t, s1, s2t, s2]
elapsed = (datetime.datetime.now() - starttime).seconds
log.info('find A time: ' + str(elapsed) + ' ')
poola.showStrategies()
for ft, f in [(matype, period) for matype in matypes
for period in farr]:
for s1t, s1 in [(matype, period) for matype in matypes
for period in s1arr]:
elapsed = (datetime.datetime.now() - starttime).seconds
log.debug('== ' + str(elapsed) + ',' + ft + '_' + str(f) +
',' + s1t + '_' + str(s1) + ' ==')
for s2t, s2 in [(matype, period) for matype in matypes
for period in s2arr]:
if s2 != 0 and s2 < s1: continue
if s2 == 0 and (s2t == 'EMA' or s2t == 'SMA'): continue
t = doTrade(poolb, stdPeriod, stdGuage, '', 0, '', 0,
'', 0, ft, f, s1t, s1, s2t, s2)
if t.equity > maxBEquity:
maxBEquity = t.equity
maxEBs = [ft, f, s1t, s1, s2t, s2]
elapsed = (datetime.datetime.now() - starttime).seconds
log.info('find B time: ' + str(elapsed) + ' ')
poolb.showStrategies()
logb.info(
str(stdPeriod) + ',' + str(stdGuage) + ',' + str(maxAEquity) +
',' + str(maxBEquity))
logb.info(str(maxEAs))
logb.info(str(maxEBs))
for i in range(5):
sa = poola.strategies[i]
sb = poolb.strategies[i]
t = doTrade(pool, stdPeriod, stdGuage, sa[0].args[2],
sa[0].args[3], sa[0].args[4], sa[0].args[5],
sa[0].args[6], sa[0].args[7], sb[0].args[8],
sb[0].args[9], sb[0].args[10], sb[0].args[11],
sb[0].args[12], sb[0].args[13])
t.generateGraph()
pool.estimate(t)
stdGuage += 0.1
pool.showStrategies()
def regression():
xagPrices = dataloader.importToArray('XAGUSD5_2013070809')
xags = [p['close'] for p in xagPrices]
usdxPrices = dataloader.importToArray('_USDX5_2013070809')
usdxs = [p['close'] for p in usdxPrices]
us500Prices = dataloader.importToArray('_US5005_2013070809')
us500s = [p['close'] for p in us500Prices]
us30Prices = dataloader.importToArray('_US305_2013070809')
us30s = [p['close'] for p in us30Prices]
nq100Prices = dataloader.importToArray('_NQ1005_2013070809')
nq100s = [p['close'] for p in nq100Prices]
l = len(xagPrices)
xs = []
ys = []
for i in range(10, l - 1):
xag = xagPrices[i]
xagd = xags[i-10+1 : i+1]
dtlong = xag['dtlong']
usdxd = findData(dtlong, usdxPrices, usdxs)
us500d = findData(dtlong, us500Prices, us500s)
us30d = findData(dtlong, us30Prices, us30s)
nq100d = findData(dtlong, nq100Prices, nq100s)
if not (usdxd and us500d and us30d and nq100d):
log.debug('Insufficient Data. ' + xag['date'] + ' ' + xag['time'])
continue
xs.append([xags[i], slope(xagd), std(xagd), slope(usdxd), std(usdxd), slope(us500d), std(us500d), slope(us30d), std(us30d), slope(nq100d), std(nq100d)])
ys.append(xags[i+1] - xags[i])
#print xs
#print ys
xxs = np.array(xs)
#print xsT
yys = np.array(ys)
mymodel = multipolyfit(xxs.T, yys, 20, model_out = False)
#mymodel = ols.ols(yys, xxs, 'y',['x1', 'x2', 'x3', 'x4', 'x5', 'x6', 'x7', 'x8', 'x9', 'x10', 'x11'])
#print mymodel.b
print mymodel
#print mymodel.summary()
return mymodel
yps = []
co = mymodel.b
for i in range(len(xs)):
yp = co[0] + xs[i][0] * co[1] + xs[i][1] * co[2] + xs[i][2] * co[3] + xs[i][3] * co[4]
yp += xs[i][4] * co[5] + xs[i][5] * co[6] + xs[i][6] * co[7] + xs[i][7] * co[8]
yp += xs[i][8] * co[9] + xs[i][9] * co[10] + xs[i][10] * co[11]
yps.append(yp)
ts = range(len(xs))
plt.plot(ts, ys, 'o', label='Original data', linestyle='-', marker='')
plt.plot(ts, yps, 'r', label='Fitted line')
plt.legend()
plt.show()
def runStrategy(in_prices):
global mas, emas, smas, lwmas, std, prices
log.debug('beginning one strategy ...')
prices = in_prices
ps = [p['close'] for p in prices]
std = [0] * 51
l = len(prices)
for period in range(5, 41):
std[period] = [0] * l
for i in range(period - 1, l):
std[period][i] = round(
np.std(ps[i - period + 1:i + 1], dtype=np.float64, ddof=0), 3)
mas = [0] * 181
emas = [0] * 181
smas = [0] * 181
lwmas = [0] * 181
for period in range(2, 181):
mas[period] = ma.calc_ma(ps, period)
emas[period] = ma.calc_ema(ps, period)
smas[period] = ma.calc_sma(ps, period)
lwmas[period] = ma.calc_lwma(ps, period)
#pool = StrategyPool(100)
#t = doTrade(pool, 20, 0.1, 0.2, 'SMA', 20, 'SMA', 34, 'LWMA', 40, 'SMA', 20, 'SMA', 34, 'LWMA', 120, 'MA', 20, 'SMA', 34, 'LWMA', 120)
#pool.showStrategies()
#return
log.debug('running first strategy ...')
starttime = time.time()
matypes = ['MA', 'EMA', 'SMA', 'LWMA']
#farr = [2, 3, 4, 5, 6, 7, ]
#s1arr = [4, 6, 8, 10, 12, 14, 16, 18, 20, ]
#s2arr = [0, 6, 9, 12, 15, 18, 21, 24, 27, 30, 33, 36, 39, 42, 45, 48, 51, ]
#farr = [20,]
#s1arr = [40, ]
#s2arr = [0, ]
farr = range(40, 41)[::3]
s1arr = range(4, 121)[::6]
s2arr = range(0, 181)[::15]
stdGuage1, stdGuage2 = 0.1, 0.2
pool = StrategyPool(50)
poola = StrategyPool(10)
poolb = StrategyPool(10)
poolc = StrategyPool(10)
for stdPeriod in [
20,
]:
for no in ['A', 'B', 'C']:
for ft, f in [(matype, period) for matype in matypes
for period in farr]:
for s1t, s1 in [(matype, period) for matype in matypes
for period in s1arr]:
if s1 < f: continue
elapsed = long(time.time() - starttime)
log.debug('== ' + str(elapsed) + ',' + ft + '_' + str(f) +
',' + s1t + '_' + str(s1) + ' ==')
for s2t, s2 in [(matype, period) for matype in matypes
for period in s2arr]:
if s2 != 0 and s2 <= s1: continue
if s2 == 0 and (s2t == 'EMA' or s2t == 'SMA'
or s2t == 'LWMA'):
continue
if no == 'A':
doTrade(poola, stdPeriod, stdGuage1, stdGuage2, ft,
f, s1t, s1, s2t, s2, '', 0, '', 0, '', 0,
'', 0, '', 0, '', 0)
elif no == 'B':
doTrade(poolb, stdPeriod, stdGuage1, stdGuage2, '',
0, '', 0, '', 0, ft, f, s1t, s1, s2t, s2,
'', 0, '', 0, '', 0)
elif no == 'C':
doTrade(poolc, stdPeriod, stdGuage1, stdGuage2, '',
0, '', 0, '', 0, '', 0, '', 0, '', 0, ft,
f, s1t, s1, s2t, s2)
elapsed = long(time.time() - starttime)
log.info('find ' + no + ' time: ' + str(elapsed) + ' ')
for i in range(10):
sa = poola.strategies[i]
sb = poolb.strategies[i]
sc = poolc.strategies[i]
t = doTrade(pool, stdPeriod, stdGuage1, stdGuage2, sa[0].args[0],
sa[0].args[1], sa[0].args[2], sa[0].args[3],
sa[0].args[4], sa[0].args[5], sb[0].args[6],
sb[0].args[7], sb[0].args[8], sb[0].args[9],
sb[0].args[10], sb[0].args[11], sc[0].args[12],
sc[0].args[13], sc[0].args[14], sc[0].args[15],
sc[0].args[16], sc[0].args[17])
#t.generateGraph()
pool.showStrategies()
def runStrategy(in_prices):
global mas, emas, smas, lwmas, std, prices
log.debug('beginning ma strategy ...')
prices = in_prices
ps = [p['close'] for p in prices]
std = [0] * 51
l = len(prices)
for period in range(2, 51):
std[period] = [0] * l
for i in range(period - 1, l):
std[period][i] = np.std(ps[i - period + 1:i + 1],
dtype=np.float64,
ddof=0)
malength = 181
mas = [0] * malength
emas = [0] * malength
smas = [0] * malength
lwmas = [0] * malength
for period in range(2, malength):
mas[period] = ma.calc_ma(ps, period)
emas[period] = ma.calc_ema(ps, period)
smas[period] = ma.calc_sma(ps, period)
lwmas[period] = ma.calc_lwma(ps, period)
pool = Pool(10)
t = doTrade(pool, 12, 0.15, 'SMA', 25, 'LWMA', 48, 'SMA', 160, 'SMA', 30,
'EMA', 58, 'SMA', 160)
t = doTrade(pool, 12, 0.15, 'SMA', 25, 'LWMA', 48, 'SMA', 160, 'MA', 30,
'SMA', 68, 'SMA', 100)
t = doTrade(pool, 12, 0.15, 'SMA', 25, 'EMA', 38, 'SMA', 160, 'MA', 30,
'SMA', 68, 'SMA', 100)
t = doTrade(pool, 12, 0.1, 'SMA', 25, 'EMA', 38, 'SMA', 160, 'MA', 30,
'SMA', 68, 'SMA', 100)
t = doTrade(pool, 12, 0.12, 'SMA', 25, 'EMA', 38, 'SMA', 160, 'MA', 30,
'SMA', 68, 'SMA', 100)
t = doTrade(pool, 20, 0.15, 'SMA', 25, 'LWMA', 48, 'SMA', 160, 'MA', 30,
'SMA', 68, 'SMA', 100)
t = doTrade(pool, 20, 0.1, 'SMA', 25, 'LWMA', 48, 'SMA', 160, 'MA', 30,
'SMA', 68, 'SMA', 100)
t = doTrade(pool, 20, 0.12, 'SMA', 25, 'LWMA', 48, 'SMA', 160, 'MA', 30,
'SMA', 68, 'SMA', 100)
t = doTrade(pool, 40, 0.15, 'SMA', 25, 'LWMA', 48, 'SMA', 160, 'MA', 30,
'SMA', 68, 'SMA', 100)
t = doTrade(pool, 40, 0.1, 'SMA', 25, 'LWMA', 48, 'SMA', 160, 'MA', 30,
'SMA', 68, 'SMA', 100)
t = doTrade(pool, 40, 0.12, 'SMA', 25, 'LWMA', 48, 'SMA', 160, 'MA', 30,
'SMA', 68, 'SMA', 100)
#t = doTrade(pool, 25, 1.3, 'MA', 7, 'SMA', 13, 'EMA', 31, 'SMA', 7, 'MA', 12, 'MA', 13)
pool.showStrategies()
return
log.debug('running ma strategy ...')
starttime = datetime.datetime.now()
matypes = ['MA', 'EMA', 'SMA', 'LWMA']
farr = range(5, 40)
s1arr = range(8, 80)
s2arr = range(0, 180)
poola = Pool(10)
poolb = Pool(10)
for stdPeriod in [
12,
]:
for stdGuage in [
0.15,
]:
log.debug('*** ' + str(stdPeriod) + ',' + str(stdGuage) + ' ***')
for ft, f in [(matype, period) for matype in matypes
for period in farr]:
for s1t, s1 in [(matype, period) for matype in matypes
for period in s1arr]:
if s1 != 0 and s1 <= f: continue
elapsed = (datetime.datetime.now() - starttime).seconds
log.debug('== ' + str(elapsed) + ',' + ft + '_' + str(f) +
',' + s1t + '_' + str(s1) + ' ==')
for s2t, s2 in [(matype, period) for matype in matypes
for period in s2arr]:
if s2 != 0 and s2 <= s1: continue
if s2 == 0 and (s2t == 'EMA' or s2t == 'SMA'
or s2t == 'LWMA'):
continue
doTrade(poola, stdPeriod, stdGuage, ft, f, s1t, s1,
s2t, s2, '', 0, '', 0, '', 0)
doTrade(poolb, stdPeriod, stdGuage, '', 0, '', 0, '',
0, ft, f, s1t, s1, s2t, s2)
poola.showStrategies()
poolb.showStrategies()
def emptyTables(self):
cur = self.conn.cursor()
cur.execute('DELETE FROM XAGUSD1440')
self.conn.commit()
log.debug('Emptied')
def runStrategy(in_prices):
global mas, emas, smas, lwmas, std, prices
log.debug('beginning one strategy ...')
prices = in_prices
ps = [p['close'] for p in prices]
std = [0] * 51
l = len(prices)
for period in range(20, 21):
std[period] = [0] * l
for i in range(period - 1, l):
std[period][i] = round(np.std(ps[i-period+1 : i+1], dtype=np.float64, ddof=0), 3)
mas = [0] * 181
emas = [0] * 181
smas = [0] * 181
lwmas = [0] * 181
for period in range(2, 181):
mas[period] = ma.calc_ma(ps, period)
emas[period] = ma.calc_ema(ps, period)
smas[period] = ma.calc_sma(ps, period)
lwmas[period] = ma.calc_lwma(ps, period)
#pool = StrategyPool(100)
#t = doTrade(pool, 20, 0.1, 0.2, 'SMA', 20, 'SMA', 34, 'LWMA', 40, 'SMA', 20, 'SMA', 34, 'LWMA', 120)
#pool.showStrategies()
#return
log.debug('running first strategy ...')
starttime = time.time()
matypes = ['MA', 'EMA', 'SMA', 'LWMA']
#farr = [2, 3, 4, 5, 6, 7, ]
#s1arr = [4, 6, 8, 10, 12, 14, 16, 18, 20, ]
#s2arr = [0, 6, 9, 12, 15, 18, 21, 24, 27, 30, 33, 36, 39, 42, 45, 48, 51, ]
#farr = [20,]
#s1arr = [40, ]
#s2arr = [0, ]
farr = range(40, 41)[::3]
s1arr = range(4, 121)[::6]
s2arr = range(0, 181)[::15]
stdGuage1, stdGuage2 = 0.1, 0.2
pool = StrategyPool(50)
poola = StrategyPool(10)
poolb = StrategyPool(10)
for stdPeriod in [20, ]:
for no in ['A', 'B', ]:
for ft, f in [(matype, period) for matype in matypes for period in farr]:
for s1t, s1 in [(matype, period) for matype in matypes for period in s1arr]:
if s1 < f: continue
elapsed = long(time.time() - starttime)
log.debug('== ' + str(elapsed) + ',' + ft + '_' + str(f) + ',' + s1t + '_' + str(s1) + ' ==')
for s2t, s2 in [(matype, period) for matype in matypes for period in s2arr]:
if s2 != 0 and s2 <= s1: continue
if s2 == 0 and (s2t == 'EMA' or s2t == 'SMA' or s2t == 'LWMA'): continue
if no == 'A':
doTrade(poola, stdPeriod, stdGuage1, stdGuage2, ft, f, s1t, s1, s2t, s2, '', 0, '', 0, '', 0)
elif no == 'B':
doTrade(poolb, stdPeriod, stdGuage1, stdGuage2, '', 0, '', 0, '', 0, ft, f, s1t, s1, s2t, s2)
elapsed = long(time.time() - starttime)
log.info('find ' + no + ' time: ' + str(elapsed) + ' ')
for i in range(10):
sa = poola.strategies[i]
sb = poolb.strategies[i]
t = doTrade(pool, stdPeriod, stdGuage1, stdGuage2, sa[0].args[0], sa[0].args[1], sa[0].args[2], sa[0].args[3], sa[0].args[4], sa[0].args[5], sb[0].args[6], sb[0].args[7], sb[0].args[8], sb[0].args[9], sb[0].args[10], sb[0].args[11])
#t.generateGraph()
pool.showStrategies()
def runStrategy_1(in_prices):
global mas, emas, smas, std, prices
log.debug("beginning first strategy ...")
prices = in_prices
ps = [p["close"] for p in prices]
std = [0] * 51
l = len(prices)
for period in range(2, 51):
std[period] = [0] * l
for i in range(period - 1, l):
std[period][i] = round(np.std(ps[i - period + 1 : i + 1], dtype=np.float64, ddof=0), 3)
mas = [0] * 61
emas = [0] * 61
smas = [0] * 61
for period in range(2, 61):
mas[period] = ma.calc_ma(ps, period)
emas[period] = ma.calc_ema(ps, period)
smas[period] = ma.calc_sma(ps, period)
log.debug("running first strategy ...")
starttime = datetime.datetime.now()
strat_as = [
["MA", 6, "SMA", 14, "EMA", 39],
["MA", 7, "SMA", 10, "SMA", 12],
["MA", 7, "SMA", 12, "EMA", 18],
["MA", 7, "SMA", 12, "MA", 27],
["MA", 7, "SMA", 12, "SMA", 12],
["MA", 7, "SMA", 14, "EMA", 27],
["MA", 7, "SMA", 14, "EMA", 30],
["MA", 7, "SMA", 14, "EMA", 33],
["MA", 7, "SMA", 14, "EMA", 45],
["MA", 7, "SMA", 14, "MA", 27],
["MA", 7, "SMA", 14, "SMA", 15],
["MA", 7, "SMA", 14, "SMA", 30],
["MA", 7, "SMA", 16, "EMA", 24],
["MA", 7, "SMA", 16, "EMA", 27],
["MA", 7, "SMA", 16, "EMA", 30],
["MA", 7, "SMA", 16, "MA", 30],
]
strat_bs = [
["EMA", 3, "EMA", 16, "MA", 42],
["EMA", 3, "EMA", 16, "MA", 45],
["EMA", 6, "SMA", 6, "MA", 30],
["EMA", 7, "MA", 4, "EMA", 51],
["MA", 6, "SMA", 16, "EMA", 45],
["MA", 6, "SMA", 18, "MA", 36],
["MA", 6, "SMA", 20, "MA", 36],
["MA", 6, "SMA", 20, "MA", 39],
["MA", 7, "EMA", 18, "EMA", 45],
["MA", 7, "SMA", 12, "EMA", 42],
["MA", 7, "SMA", 12, "SMA", 21],
["MA", 7, "SMA", 14, "EMA", 42],
["MA", 7, "SMA", 14, "MA", 45],
["MA", 7, "SMA", 14, "SMA", 21],
["SMA", 2, "EMA", 16, "MA", 42],
["SMA", 4, "MA", 4, "EMA", 51],
["SMA", 5, "MA", 4, "MA", 15],
["SMA", 5, "MA", 6, "MA", 42],
["SMA", 6, "EMA", 10, "MA", 36],
["SMA", 6, "MA", 12, "MA", 12],
["SMA", 7, "MA", 12, "EMA", 18],
["SMA", 7, "MA", 12, "EMA", 27],
["SMA", 7, "MA", 12, "EMA", 36],
["SMA", 7, "MA", 12, "EMA", 45],
["SMA", 7, "MA", 12, "EMA", 48],
["SMA", 7, "MA", 12, "MA", 12],
["SMA", 7, "MA", 12, "MA", 18],
["SMA", 7, "MA", 12, "MA", 33],
["SMA", 7, "MA", 12, "MA", 36],
["SMA", 7, "MA", 12, "MA", 51],
["SMA", 7, "MA", 12, "SMA", 15],
]
pool = StrategyPool(100)
for stdPeriod in [5, 8, 10, 12, 15, 18, 19, 20, 21, 22, 25, 30, 32, 34, 38, 40]:
stdGuage = 0.6
while stdGuage <= 2:
elapsed = (datetime.datetime.now() - starttime).seconds
log.debug("== " + str(elapsed) + "," + str(stdPeriod) + "," + str(stdGuage) + " ==")
for sa in strat_as:
for sb in strat_bs:
doTrade(
pool,
stdPeriod,
stdGuage,
sa[0],
sa[1],
sa[2],
sa[3],
sa[4],
sa[5],
sb[0],
sb[1],
sb[2],
sb[3],
sb[4],
sb[5],
)
stdGuage += 0.1
pool.showStrategies()
return
def runStrategy(prices):
log.debug('beginning l5 strategy ...')
ps = [p['close'] for p in prices]
ys = ps[556:656]
l = len(ys)
slope, midy = calc_slope(ys)
xs = range(l)
midys = map(midy, xs)
std = np.std(ys, dtype=np.float64, ddof=0)
upys = map(lambda y: y + std * 1.2, midys)
lowys = map(lambda y: y - std * 1.2, midys)
plt.plot(xs, ys, 'b', xs, midys, 'y', xs, upys, 'r', xs, lowys, 'g')#, nxs, nys, 'm')
#plt.plot(xs, ys, 'b-', xs, upys, 'r-', xs, lowys, 'g-')
plt.show()
return
high1 = int(l/2)
low1 = int(l/2)
high2 = ys.index(max(ys))
low2 = ys.index(min(ys))
#high1 = high2 = low1 = low2 = 0
highsm = lowsm = float('inf')
for x in range(0, l):
if high1 != x:
ty, sm, slope = genLine(high1, x, ys, 1)
if sm < highsm:
high2 = x
highsm, highy, highSlope = sm, ty, slope
if high2 != x:
ty, sm, slope = genLine(high2, x, ys, 1)
if sm < highsm:
high1, high2 = high2, x
highsm, highy, highSlope = sm, ty, slope
if low1 != x:
ty, sm, slope = genLine(low1, x, ys, -1)
#print low1, x, sm, lowsm
if sm < lowsm:
low2 = x
lowsm, lowy, lowSlope = sm, ty, slope
#print low1, low2, sm
if low2 != x: # and low1 != low2:
ty, sm, slope = genLine(low2, x, ys, -1)
#print low2, x, sm, lowsm
if sm < lowsm:
low1, low2 = low2, x
lowsm, lowy, lowSlope = sm, ty, slope
#return highy, lowy
#print highSlope, lowSlope
xs = range(l)
upys = map(highy, xs)
lowys = map(lowy, xs)
plt.plot(xs, ys, 'b-', xs, upys, 'r-', xs, lowys, 'g-')
plt.show()
return
def runStrategy_0(in_prices):
global mas, emas, smas, std, prices
log.debug("beginning first strategy ...")
prices = in_prices
ps = [p["close"] for p in prices]
std = [0] * 51
l = len(prices)
for period in range(2, 51):
std[period] = [0] * l
for i in range(period - 1, l):
std[period][i] = round(np.std(ps[i - period + 1 : i + 1], dtype=np.float64, ddof=0), 3)
mas = [0] * 61
emas = [0] * 61
smas = [0] * 61
for period in range(2, 61):
mas[period] = ma.calc_ma(ps, period)
emas[period] = ma.calc_ema(ps, period)
smas[period] = ma.calc_sma(ps, period)
log.debug("running first strategy ...")
starttime = datetime.datetime.now()
matypes = ["MA", "EMA", "SMA"]
farr = [2, 3, 4, 5, 6, 7]
s1arr = [4, 6, 8, 10, 12, 14, 16, 18, 20]
s2arr = [0, 6, 9, 12, 15, 18, 21, 24, 27, 30, 33, 36, 39, 42, 45, 48, 51]
pool = StrategyPool(100)
for stdPeriod in [20, 30, 40]:
stdGuage = 1.0
while stdGuage <= 1.3:
maxAEquity = maxBEquity = 0
poola = StrategyPool(5)
poolb = StrategyPool(5)
for ft, f in [(matype, period) for matype in matypes for period in farr]:
for s1t, s1 in [(matype, period) for matype in matypes for period in s1arr]:
elapsed = (datetime.datetime.now() - starttime).seconds
log.debug("== " + str(elapsed) + "," + ft + "_" + str(f) + "," + s1t + "_" + str(s1) + " ==")
for s2t, s2 in [(matype, period) for matype in matypes for period in s2arr]:
if s2 != 0 and s2 < s1:
continue
if s2 == 0 and (s2t == "EMA" or s2t == "SMA"):
continue
t = doTrade(poola, stdPeriod, stdGuage, ft, f, s1t, s1, s2t, s2, "", 0, "", 0, "", 0)
if t.equity > maxAEquity:
maxAEquity = t.equity
maxEAs = [ft, f, s1t, s1, s2t, s2]
elapsed = (datetime.datetime.now() - starttime).seconds
log.info("find A time: " + str(elapsed) + " ")
poola.showStrategies()
for ft, f in [(matype, period) for matype in matypes for period in farr]:
for s1t, s1 in [(matype, period) for matype in matypes for period in s1arr]:
elapsed = (datetime.datetime.now() - starttime).seconds
log.debug("== " + str(elapsed) + "," + ft + "_" + str(f) + "," + s1t + "_" + str(s1) + " ==")
for s2t, s2 in [(matype, period) for matype in matypes for period in s2arr]:
if s2 != 0 and s2 < s1:
continue
if s2 == 0 and (s2t == "EMA" or s2t == "SMA"):
continue
t = doTrade(poolb, stdPeriod, stdGuage, "", 0, "", 0, "", 0, ft, f, s1t, s1, s2t, s2)
if t.equity > maxBEquity:
maxBEquity = t.equity
maxEBs = [ft, f, s1t, s1, s2t, s2]
elapsed = (datetime.datetime.now() - starttime).seconds
log.info("find B time: " + str(elapsed) + " ")
poolb.showStrategies()
logb.info(str(stdPeriod) + "," + str(stdGuage) + "," + str(maxAEquity) + "," + str(maxBEquity))
logb.info(str(maxEAs))
logb.info(str(maxEBs))
for i in range(5):
sa = poola.strategies[i]
sb = poolb.strategies[i]
t = doTrade(
pool,
stdPeriod,
stdGuage,
sa[0].args[2],
sa[0].args[3],
sa[0].args[4],
sa[0].args[5],
sa[0].args[6],
sa[0].args[7],
sb[0].args[8],
sb[0].args[9],
sb[0].args[10],
sb[0].args[11],
sb[0].args[12],
sb[0].args[13],
)
t.generateGraph()
pool.estimate(t)
stdGuage += 0.1
pool.showStrategies()