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- buy_BTFD: added params

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- stock::fetch: support slice by date if loaded from file

git-svn-id: http://moon:8086/svn/projects/Stock@334 fda53097-d464-4ada-af97-ba876c37ca34
This commit is contained in:
jens
2019-12-27 14:13:48 +00:00
parent a739314378
commit 8e8b9c2d95
3 changed files with 22 additions and 13 deletions
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agent.py
+8 -7
View File
@@ -1,7 +1,7 @@
import numpy as np import numpy as np
def buy_BTFD(name, data, range_days, cand_window, marker_key='close_n', thresh_max=-10, thresh_min=1, buy_callback=None): def buy_BTFD(name, data, range_days, params, marker_key='close_n', thresh_max=-5, thresh_min=1, buy_callback=None):
N = len(data['index']) N = len(data['index'])
key = 'BTFD' key = 'BTFD'
buy_list = {'index' : np.array([None]*N), key : np.array([None]*N)} buy_list = {'index' : np.array([None]*N), key : np.array([None]*N)}
@@ -10,20 +10,21 @@ def buy_BTFD(name, data, range_days, cand_window, marker_key='close_n', thresh_m
for n in range(N-range_days, N): for n in range(N-range_days, N):
vmax = data['Qmax'][n] vmax = data['Qmax'][n]
vmin = data['Qmin'][n] vmin = data['Qmin'][n]
trend = data['macd_fdd'][n] trend = data['macd_fd'][n]
trend2 = data['macd_fdd'][n]
index = data['index'][n] index = data['index'][n]
value = data[marker_key][n] value = data[marker_key][n]
if vmin <= thresh_min: if vmin <= params['thresh_min']:
if vmax <= thresh_max: if vmax <= params['thresh_max']:
cand = n cand = n
if trend >= 0: if trend2 >= 0:
do_buy = True do_buy = True
print ("{}: Buy on {} at {:0.2f}".format(name, index, value)) print ("{}: Buy on {} at {:0.2f}".format(name, index, value))
cand = None cand = None
if cand is not None: if cand is not None:
if n - cand <= cand_window: if n - cand <= params['cand_window']:
if trend >= 0: if trend2 >= 0:
do_buy = True do_buy = True
former = data[marker_key][cand] former = data[marker_key][cand]
print("{}: Delayed buy on {} at {:0.2f} ({:0.2f})".format(name, index, value, former-value)) print("{}: Delayed buy on {} at {:0.2f} ({:0.2f})".format(name, index, value, former-value))
robot.py
+1
View File
@@ -16,6 +16,7 @@ from stock import Stock
params = { params = {
'show_range_days' : 5, 'show_range_days' : 5,
'btfd' : {'thresh_max' : -10, 'thresh_min' : 1, 'cand_window' : 5},
'k_euro' : 1 / 1.11, 'k_euro' : 1 / 1.11,
'ema_alpha' : 0.75, 'ema_alpha' : 0.75,
'sma_days' : 10, 'sma_days' : 10,
stock.py
+13 -6
View File
@@ -72,11 +72,18 @@ class Stock(object):
hdf = pd.HDFStore(filename, 'r') hdf = pd.HDFStore(filename, 'r')
data = hdf[self.symbol] * self.currency_corr data = hdf[self.symbol] * self.currency_corr
N = len(data.index) start_pos = 0
self.data['index'] = np.array(data.index[0:N]) end_pos = 0
self.data['close'] = np.array(data['close'][0:N])
self.data['high'] = np.array(data['high'][0:N]) for index in data.index:
self.data['low'] = np.array(data['low'][0:N]) end_pos += 1
if str(end) in index:
break
self.data['index'] = np.array(data.index[start_pos:end_pos])
self.data['close'] = np.array(data['close'][start_pos:end_pos])
self.data['high'] = np.array(data['high'][start_pos:end_pos])
self.data['low'] = np.array(data['low'][start_pos:end_pos])
hdf.close() hdf.close()
@@ -113,7 +120,7 @@ class Stock(object):
self.data['macd_fdd'] = np.transpose(yf_dd) self.data['macd_fdd'] = np.transpose(yf_dd)
def analyze(self, buy_callback, range_days): def analyze(self, buy_callback, range_days):
return agent.buy_BTFD(self.symbol, self.data, marker_key='close_n', cand_window=5, range_days=range_days, buy_callback=buy_callback) return agent.buy_BTFD(self.symbol, self.data, params=self.params['btfd'], marker_key='close_n', range_days=range_days, buy_callback=buy_callback)
@staticmethod @staticmethod
def has_candidate(data, key): def has_candidate(data, key):