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