diff options
Diffstat (limited to 'analysis.py')
| -rw-r--r-- | analysis.py | 43 |
1 files changed, 40 insertions, 3 deletions
diff --git a/analysis.py b/analysis.py index 2b5ed59..644fe93 100644 --- a/analysis.py +++ b/analysis.py @@ -68,21 +68,21 @@ def interpolate_intersection(intersection_indices, timestamps, prices1, prices2) """ Returns the indices of where two arrays' values intersects """ -def find_intersections(prices1, prices2): +def find_intersections(prices1, prices2, offset=0): if len(prices1) != len(prices2): print("ERROR IN find_intersections: len of arrs not the same") return [] prev_p1 = prices1[0] prev_p2 = prices2[0] intersection_indices = set() - for i in range(1, len(prices1)): + for i in range(1 + offset, len(prices1)): next_p1 = prices1[i] next_p2 = prices2[i] # if the sign (negative to positive) changes, then there was an intersection between these pts sub_prev = prev_p1 - prev_p2 sub_next = next_p1 - next_p2 - if (sub_prev > 0 and sub_next < 0) or (sub_prev < 0 and sub_next > 0): # TODO, consider on the 0 case + if (sub_prev > 0 and sub_next < 0) or (sub_prev < 0 and sub_next > 0): intersection_indices.add((i-1, i)) if sub_next == 0: @@ -92,3 +92,40 @@ def find_intersections(prices1, prices2): prev_p2 = next_p2 return intersection_indices + +def calculate_profit(buy_line, sell_line, prices, timestamps, offset=0, starting_money=10000): + if len(buy_line) != len(sell_line): + print("ERROR IN find_intersections: len of arrs not the same") + return [] + is_bought = False + curr_money = 10000 + shares_owned = 0 + buy_info = [] + sell_info = [] + for i in range(offset, len(buy_line)): + current_b1 = buy_line[i] + current_sl = sell_line[i] + # if the sign is positive, we want to hold, if it's negative, we want to sell + sign_signal = current_b1 - current_sl + + if sign_signal > 0: + if not is_bought: + # buy the stock + shares_owned = curr_money / prices[i] + curr_money = 0 + buy_info.append((timestamps[i], prices[i], i)) + is_bought = True + if sign_signal < 0: + if is_bought: + # selling the stock + curr_money = prices[i] * shares_owned + shares_owned = 0 + sell_info.append((timestamps[i], prices[i], i)) + is_bought = False + + # TODO: consider end interval + total_assets = prices[-1] * shares_owned + curr_money + percent_gain = (total_assets - starting_money) / starting_money + return (percent_gain, total_assets, buy_info, sell_info) + +
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