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Show both MACD and indicator strat on figure

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Prepare for strategy learner.
This commit is contained in:
Felix Martin
2020-11-04 09:23:42 -05:00
parent 0519ae9336
commit c40ffcf84b
4 changed files with 61 additions and 28 deletions
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22
strategy_evaluation/ManualStrategy.py
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@@ -36,18 +36,21 @@ class ManualStrategy:
print(volume)
def macd_strat(self, macd, orders):
"""Strategy based on MACD cross."""
def strat(ser):
m = macd.loc[ser.index]
prev_macd, prev_signal = m.iloc[0]
cur_macd, cur_signal = m.iloc[1]
prev_macd, prev_signal, _ = m.iloc[0]
cur_macd, cur_signal, _ = m.iloc[1]
shares = 0
if cur_macd < -1 and prev_macd < prev_signal and cur_macd > cur_signal:
if cur_macd < -1 and prev_macd < prev_signal \
and cur_macd > cur_signal:
if self.holding == 0:
shares = 1000
elif self.holding == -1000:
shares = 2000
elif cur_macd > 1 and prev_macd > prev_signal and cur_macd < cur_signal:
elif cur_macd > 1 and prev_macd > prev_signal \
and cur_macd < cur_signal:
if self.holding == 0:
shares = -1000
elif self.holding == 1000:
@@ -58,6 +61,8 @@ class ManualStrategy:
orders['Shares'] = orders['Shares'].rolling(2).apply(strat)
def three_indicator_strat(self, macd, rsi, price_sma, orders):
"""Strategy based on three indicators. Thresholds selected based on
scatter plots."""
def strat(row):
shares = 0
_, _, macd_diff = macd.loc[row.name]
@@ -87,7 +92,7 @@ class ManualStrategy:
def testPolicy(self, symbol="IBM",
sd=dt.datetime(2009, 1, 1),
ed=dt.datetime(2010, 1, 1),
sv=10000):
sv=10000, macd_strat=False):
self.holding = 0
df = util.get_data([symbol], pd.date_range(sd, ed))
@@ -102,7 +107,8 @@ class ManualStrategy:
rsi = indicators.rsi(df, symbol)
price_sma = indicators.price_sma(df, symbol, [8])
# self.macd_strat(macd, orders)
self.three_indicator_strat(macd, rsi, price_sma, orders)
if macd_strat:
self.macd_strat(macd, orders)
else:
self.three_indicator_strat(macd, rsi, price_sma, orders)
return orders