Finish manual strategy for project 8

I struggled with the manual strategy, mostly because I tried to read
good triggers from the price action charts. Finally, I had the ingenious
(hmm) idea to scatter plot the 1, 3, and 5 day percentage returns over
different indicators. I can also use this information to train my Q
learner.

strategy_evaluation/ManualStrategy.py

@@ -58,19 +58,32 @@ class ManualStrategy:
         orders['Shares'] = orders['Shares'].rolling(2).apply(strat)
 
     def three_indicator_strat(self, macd, rsi, price_sma, orders):
-        # XXX: continue here
-
         def strat(row):
-            m = macd.loc[row.index]
-            print(m)
-            # mac, signal = m.iloc[0]
-            # print(mac, signal)
-            return 0
+            shares = 0
+            _, _, macd_diff = macd.loc[row.name]
+            cur_rsi = rsi.loc[row.name][0]
+            cur_price_sma = price_sma.loc[row.name][0]
+            if self.holding == -1000 and cur_price_sma < 0.9:
+                shares = 2000
+            elif self.holding == 0 and cur_price_sma < 0.9:
+                shares = 1000
+            elif self.holding == -1000 and cur_rsi > 80:
+                shares = 2000
+            elif self.holding == 0 and cur_rsi > 80:
+                shares = 1000
+            elif self.holding == -1000 and macd_diff < -0.5:
+                shares = 2000
+            elif self.holding == 0 and macd_diff < -0.5:
+                shares = 1000
+            elif self.holding == 1000 and cur_price_sma > 1.1:
+                shares = -2000
+            elif self.holding == 0 and cur_price_sma > 1.1:
+                shares = -1000
+            self.holding += shares
+            return shares
 
         orders['Shares'] = orders.apply(strat, axis=1)
-        raise Exception()
 
-    # this method should use the existing policy and test it against new data
     def testPolicy(self, symbol="IBM",
                    sd=dt.datetime(2009, 1, 1),
                    ed=dt.datetime(2010, 1, 1),
@@ -87,10 +100,9 @@ class ManualStrategy:
 
         macd = indicators.macd(df, symbol)
         rsi = indicators.rsi(df, symbol)
-        price_sma = indicators.price_sma(df, symbol, [21])
+        price_sma = indicators.price_sma(df, symbol, [8])
+
         # self.macd_strat(macd, orders)
         self.three_indicator_strat(macd, rsi, price_sma, orders)
-
-        # heers = orders[orders["Shares"] != 0]
         return orders