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Finish first version of Q trader

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This commit is contained in:
Felix Martin
2020-11-09 15:07:52 -05:00
parent 169dd8278d
commit 761a0366e4
2 changed files with 77 additions and 41 deletions
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15
strategy_evaluation/experiment1.py
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@@ -136,7 +136,7 @@ def experiment1(create_report=False):
sd_out = dt.datetime(2010, 1, 1) # out-sample
ed_out = dt.datetime(2011, 12, 31) # out-sample
df = util.get_data([symbol], pd.date_range(sd, ed_out))
df = util.get_data([symbol], pd.date_range(sd_out, ed_out))
df.drop(columns=["SPY"], inplace=True)
if create_report:
@@ -147,15 +147,14 @@ def experiment1(create_report=False):
# visualize_correlations(symbol, df)
# plot_indicators(symbol, df)
# bs = BenchmarkStrategy()
# orders = bs.testPolicy(symbol, sd_out, ed_out, sv)
# df["Benchmark"] = marketsim.compute_portvals(orders, sv)
# df["Orders Benchmark"] = orders["Shares"]
bs = BenchmarkStrategy()
orders = bs.testPolicy(symbol, sd_out, ed_out, sv)
df["Benchmark"] = marketsim.compute_portvals(orders, sv)
df["Orders Benchmark"] = orders["Shares"]
ql = QLearner(testing=True, verbose=True)
# ql = QLearner(testing=True, verbose=False, commission=10, impact=0.005)
ql = QLearner(testing=True, verbose=False)
ql.addEvidence(symbol, sd, ed, sv)
return
orders = ql.testPolicy(symbol, sd_out, ed_out, sv)
df["QL"] = marketsim.compute_portvals(orders, sv)
df["Orders QL"] = orders["Shares"]