134 lines
4.1 KiB
Python
134 lines
4.1 KiB
Python
import pandas as pd
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import datetime as dt
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import sys
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import util
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import indicators
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import marketsim.marketsim as marketsim
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import matplotlib.pyplot as plt
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from matplotlib.widgets import MultiCursor
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from BenchmarkStrategy import BenchmarkStrategy
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from ManualStrategy import ManualStrategy
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from StrategyLearner import StrategyLearner
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def plot_indicators(symbol, df):
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fig, ax = plt.subplots(4, sharex=True)
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price_sma = indicators.price_sma(df, symbol, [8])
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bb = indicators.bollinger_band(df, symbol)
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rsi = indicators.rsi(df, symbol)
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macd = indicators.macd(df, symbol).copy()
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df[[symbol]].plot(ax=ax[0])
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bb.plot(ax=ax[0])
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price_sma.plot(ax=ax[1])
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macd.plot(ax=ax[2])
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rsi.plot(ax=ax[3])
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for a in ax.flat:
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a.grid()
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plt.show()
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sys.exit(0)
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def visualize_correlations(symbol, df):
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indicators.price_sma(df, symbol, [8, 21])
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indicators.price_delta(df, symbol, 5)
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indicators.price_delta(df, symbol, 3)
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indicators.price_delta(df, symbol, 1)
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indicators.macd(df, symbol)
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indicators.rsi(df, symbol)
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# df = df[df['rsi'] > 80]
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fig, ax = plt.subplots(3, 2) # sharex=True)
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df.plot.scatter(x="price_sma_8", y="pct_5", ax=ax[0, 0])
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df.plot.scatter(x="price_sma_8", y="pct_3", ax=ax[1, 0])
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df.plot.scatter(x="price_sma_8", y="pct_1", ax=ax[2, 0])
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# df.plot.scatter(x="rsi", y="pct_5", ax=ax[0, 1])
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# df.plot.scatter(x="rsi", y="pct_3", ax=ax[1, 1])
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# df.plot.scatter(x="rsi", y="pct_1", ax=ax[2, 1])
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df.plot.scatter(x="macd_diff", y="pct_5", ax=ax[0, 1])
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df.plot.scatter(x="macd_diff", y="pct_3", ax=ax[1, 1])
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df.plot.scatter(x="macd_diff", y="pct_1", ax=ax[2, 1])
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for a in ax.flat:
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a.grid()
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plt.show()
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sys.exit(0)
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def compare_manual_strategies(symbol, sv, sd, ed):
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df = util.get_data([symbol], pd.date_range(sd, ed))
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df.drop(columns=["SPY"], inplace=True)
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bs = BenchmarkStrategy()
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orders = bs.testPolicy(symbol, sd, ed, sv)
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df["Benchmark"] = marketsim.compute_portvals(orders, sv)
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df["Orders Benchmark"] = orders["Shares"]
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ms = ManualStrategy()
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orders = ms.testPolicy(symbol, sd, ed, sv, macd_strat=True)
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df["MACD Strat"] = marketsim.compute_portvals(orders, sv)
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df["Orders MACD"] = orders["Shares"]
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# df["Holding Manual"] = orders["Shares"].cumsum()
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orders = ms.testPolicy(symbol, sd, ed, sv)
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df["Three Strat"] = marketsim.compute_portvals(orders, sv)
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df["Orders Three"] = orders["Shares"]
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fig, ax = plt.subplots(3, sharex=True)
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df[[symbol]].plot(ax=ax[0])
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df[["Benchmark", "MACD Strat", "Three Strat"]].plot(ax=ax[1])
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df[["Orders Benchmark", "Orders MACD", "Orders Three"]].plot(ax=ax[2])
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for a in ax:
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a.grid()
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MultiCursor(fig.canvas, ax, color='r', lw=0.5)
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# plt.show()
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fig.set_size_inches(10, 8, forward=True)
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plt.savefig('figure_1.png', dpi=fig.dpi)
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def experiment1():
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symbol = "JPM"
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start_value = 10000
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sd = dt.datetime(2008, 1, 1) # in-sample
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ed = dt.datetime(2009, 12, 31) # in-sample
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# sd = dt.datetime(2010, 1, 1) # out-sample
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# ed = dt.datetime(2011, 12, 31) # out-sample
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# visualize_correlations(symbol, df)
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# plot_indicators(symbol, df)
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# compare_manual_strategies(symbol, start_value, sd, ed)
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df = util.get_data([symbol], pd.date_range(sd, ed))
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df.drop(columns=["SPY"], inplace=True)
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bs = BenchmarkStrategy()
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orders = bs.testPolicy(symbol, sd, ed, start_value)
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df["Benchmark"] = marketsim.compute_portvals(orders, start_value)
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df["Orders Benchmark"] = orders["Shares"]
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sl = StrategyLearner()
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orders = ms.testPolicy(symbol, sd, ed, start_value)
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df["SL"] = marketsim.compute_portvals(orders, start_value)
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df["Orders SL"] = orders["Shares"]
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# df["Holding Manual"] = orders["Shares"].cumsum()
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fig, ax = plt.subplots(3, sharex=True)
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df[[symbol]].plot(ax=ax[0])
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df[["Benchmark", "SL"]].plot(ax=ax[1])
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df[["Orders Benchmark", "Orders SL"]].plot(ax=ax[2])
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for a in ax:
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a.grid()
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MultiCursor(fig.canvas, ax, color='r', lw=0.5)
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plt.show()
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if __name__ == "__main__":
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experiment1()
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