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ML4T/manual_strategy/TheoreticallyOptimalStrategy.py

65 lines
2.0 KiB
Python

import pandas as pd
from util import get_data
from collections import namedtuple
Position = namedtuple("Pos", ["cash", "shares", "transactions"])
def author():
return "felixm"
def new_positions(positions, price):
"""Calculate all potential new positions and then keep the best three."""
# Execute all possible transactions
new_positions = []
for p in positions:
for t in [-2000, -1000, 0, 1000, 2000]:
ts = p.transactions + [t]
p_new = Position(p.cash - t * price, p.shares + t, ts)
new_positions.append(p_new)
# Keep the positions with the highest cash value for each amount of shares.
best = {}
for p in new_positions:
if p.shares not in [-1000, 0, 1000]:
pass
elif p.shares in best and p.cash > best[p.shares].cash:
best[p.shares] = p
elif not p.shares in best:
best[p.shares] = p
return list(best.values())
def transactions_to_orders(transactions, prices, symbol):
order = pd.Series("", index=prices.index)
shares = pd.Series(0, index=prices.index)
for i, t in enumerate(transactions):
if t > 0:
order.iloc[i] = "BUY"
shares.iloc[i] = t
if t < 0:
order.iloc[i] = "SELL"
shares.iloc[i] = -t
prices["Symbol"] = pd.Series(symbol, index=prices.index)
prices["Order"] = order
prices["Shares"] = shares
prices.drop(columns=[symbol], inplace=True)
prices = prices[shares != 0]
return prices
def testPolicy(symbol, sd, ed, sv):
prices = get_data([symbol], pd.date_range(sd, ed))
prices.drop(columns=["SPY"], inplace=True)
positions = [Position(sv, 0, [])]
for date, price in prices.iterrows():
positions = new_positions(positions, price[0])
price = prices.iloc[-1][symbol]
best_position = max(positions, key=lambda p: p.cash + p.shares * price)
return transactions_to_orders(best_position.transactions, prices, symbol)