diff options
Diffstat (limited to 'ema.py')
| -rw-r--r-- | ema.py | 63 |
1 files changed, 0 insertions, 63 deletions
@@ -1,63 +0,0 @@ -def compute_buy_sell_signals_ema(period1, period2, prices): - ema_5 = calc_emas(5, prices) - ema_13 = calc_emas(13, prices) - - -def calc_first_sma(period, prices): - prices_sum = 0 - for i in range(0, period): - prices_sum += prices[i] # 0, 1, 2, 3 ("popping" order) - # print('prices_sum:\t', prices_sum) - - return prices_sum / period - -def calc_emas(period, prices): - weighted_multiplier = 2.0 / (period + 1.0) - - # calculate the first ema - first_ema = calc_first_sma(period, prices) - - # calculate the rest ema's using that first - emas = [first_ema] * period - for i in range(period + 1, len(prices)): # 4, 5, 6, ... , last - last_ema = emas[-1] - if prices[i] == None or prices[i] == 0: - print(i) - next_ema = prices[i] * weighted_multiplier + last_ema * (1 - weighted_multiplier) - emas.append(next_ema) - return emas - -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 = [] # coming in, (time, cash, # current shares, # shares to buy) - sell_info = [] # (time, cash, # current shares, # shares to sell,) - 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, starting_money, buy_info, sell_info)
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