Start working on strategy evaluation

strategy_evaluation/BenchmarkStrategy.py

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+import pandas as pd
+import util as ut
+import datetime as dt
+
+
+class BenchmarkStrategy:
+    def __init__(self, verbose=False, impact=0.0, commission=0.0):
+        self.verbose = verbose
+        self.impact = impact
+        self.commission = commission
+
+    def addEvidence(self, symbol=0, sd=0, ed=0, sv=0):
+        """Keep this so that API is valid."""
+        pass
+
+    def testPolicy(self, symbol="IBM",
+                   sd=dt.datetime(2009, 1, 1),
+                   ed=dt.datetime(2010, 1, 1),
+                   sv=10000):
+        """Benchmark is to buy 1000 shares and hold."""
+        dates = pd.date_range(sd, ed)
+        prices = ut.get_data([symbol], dates)  # automatically adds SPY
+
+        orders = pd.DataFrame(index=prices.index)
+        orders["Symbol"] = symbol
+        orders["Order"] = ""
+        orders["Shares"] = 0
+
+        orders.iloc[0] = [symbol, "BUY", 1000]
+        orders.iloc[-1] = [symbol, "SELL", 1000]
+        orders = orders[orders["Shares"] != 0]
+
+        if self.verbose:
+            print(type(orders))  # it better be a DataFrame!
+            print(orders)
+        return orders