Start working on strategy evaluation
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"""
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Template for implementing StrategyLearner (c) 2016 Tucker Balch
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Copyright 2018, Georgia Institute of Technology (Georgia Tech)
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Atlanta, Georgia 30332
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All Rights Reserved
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Template code for CS 4646/7646
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Georgia Tech asserts copyright ownership of this template and all derivative
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works, including solutions to the projects assigned in this course. Students
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and other users of this template code are advised not to share it with others
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or to make it available on publicly viewable websites including repositories
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such as github and gitlab. This copyright statement should not be removed
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or edited.
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We do grant permission to share solutions privately with non-students such
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as potential employers. However, sharing with other current or future
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students of CS 7646 is prohibited and subject to being investigated as a
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GT honor code violation.
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-----do not edit anything above this line---
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Student Name: Tucker Balch (replace with your name)
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GT User ID: tb34 (replace with your User ID)
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GT ID: 900897987 (replace with your GT ID)
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"""
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import datetime as dt
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import pandas as pd
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import util as ut
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import random
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class StrategyLearner(object):
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# constructor
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def __init__(self, verbose = False, impact=0.0, commission=0.0):
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self.verbose = verbose
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self.impact = impact
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self.commission = commission
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# this method should create a QLearner, and train it for trading
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"""
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Template for implementing StrategyLearner (c) 2016 Tucker Balch
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Copyright 2018, Georgia Institute of Technology (Georgia Tech)
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Atlanta, Georgia 30332
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All Rights Reserved
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Template code for CS 4646/7646
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||||
|
||||
Georgia Tech asserts copyright ownership of this template and all derivative
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works, including solutions to the projects assigned in this course. Students
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||||
and other users of this template code are advised not to share it with others
|
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or to make it available on publicly viewable websites including repositories
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such as github and gitlab. This copyright statement should not be removed
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or edited.
|
||||
|
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We do grant permission to share solutions privately with non-students such
|
||||
as potential employers. However, sharing with other current or future
|
||||
students of CS 7646 is prohibited and subject to being investigated as a
|
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GT honor code violation.
|
||||
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-----do not edit anything above this line---
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||||
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Student Name: Tucker Balch (replace with your name)
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GT User ID: tb34 (replace with your User ID)
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GT ID: 900897987 (replace with your GT ID)
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"""
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import datetime as dt
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import pandas as pd
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import util as ut
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class StrategyLearner(object):
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# constructor
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def __init__(self, verbose = False, impact=0.0, commission=0.0):
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self.verbose = verbose
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self.impact = impact
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self.commission = commission
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# this method should create a QLearner, and train it for trading
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def addEvidence(self, symbol = "IBM", \
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sd=dt.datetime(2008,1,1), \
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ed=dt.datetime(2009,1,1), \
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sv = 10000):
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# add your code to do learning here
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# example usage of the old backward compatible util function
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syms=[symbol]
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dates = pd.date_range(sd, ed)
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prices_all = ut.get_data(syms, dates) # automatically adds SPY
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prices = prices_all[syms] # only portfolio symbols
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prices_SPY = prices_all['SPY'] # only SPY, for comparison later
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if self.verbose: print(prices)
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# example use with new colname
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volume_all = ut.get_data(syms, dates, colname = "Volume") # automatically adds SPY
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volume = volume_all[syms] # only portfolio symbols
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volume_SPY = volume_all['SPY'] # only SPY, for comparison later
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if self.verbose: print(volume)
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# this method should use the existing policy and test it against new data
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sv = 10000):
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# add your code to do learning here
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# example usage of the old backward compatible util function
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syms=[symbol]
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dates = pd.date_range(sd, ed)
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prices_all = ut.get_data(syms, dates) # automatically adds SPY
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prices = prices_all[syms] # only portfolio symbols
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# prices_SPY = prices_all['SPY'] # only SPY, for comparison later
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if self.verbose: print(prices)
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# example use with new colname
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volume_all = ut.get_data(syms, dates, colname = "Volume") # automatically adds SPY
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volume = volume_all[syms] # only portfolio symbols
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# volume_SPY = volume_all['SPY'] # only SPY, for comparison later
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if self.verbose: print(volume)
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# this method should use the existing policy and test it against new data
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def testPolicy(self, symbol = "IBM", \
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sd=dt.datetime(2009,1,1), \
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ed=dt.datetime(2010,1,1), \
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sv = 10000):
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# here we build a fake set of trades
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# your code should return the same sort of data
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dates = pd.date_range(sd, ed)
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prices_all = ut.get_data([symbol], dates) # automatically adds SPY
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trades = prices_all[[symbol,]] # only portfolio symbols
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trades_SPY = prices_all['SPY'] # only SPY, for comparison later
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trades.values[:,:] = 0 # set them all to nothing
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trades.values[0,:] = 1000 # add a BUY at the start
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trades.values[40,:] = -1000 # add a SELL
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trades.values[41,:] = 1000 # add a BUY
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trades.values[60,:] = -2000 # go short from long
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trades.values[61,:] = 2000 # go long from short
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trades.values[-1,:] = -1000 #exit on the last day
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if self.verbose: print(type(trades)) # it better be a DataFrame!
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if self.verbose: print(trades)
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if self.verbose: print(prices_all)
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return trades
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if __name__=="__main__":
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print("One does not simply think up a strategy")
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sv = 10000):
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# here we build a fake set of trades
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# your code should return the same sort of data
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dates = pd.date_range(sd, ed)
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prices_all = ut.get_data([symbol], dates) # automatically adds SPY
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trades = prices_all[[symbol,]] # only portfolio symbols
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# trades_SPY = prices_all['SPY'] # only SPY, for comparison later
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trades.values[:,:] = 0 # set them all to nothing
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trades.values[0,:] = 1000 # add a BUY at the start
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trades.values[40,:] = -1000 # add a SELL
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trades.values[41,:] = 1000 # add a BUY
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trades.values[60,:] = -2000 # go short from long
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trades.values[61,:] = 2000 # go long from short
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trades.values[-1,:] = -1000 #exit on the last day
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if self.verbose: print(type(trades)) # it better be a DataFrame!
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if self.verbose: print(trades)
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if self.verbose: print(prices_all)
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return trades
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if __name__=="__main__":
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print("One does not simply think up a strategy")
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