learning plus: Ta-lib + bigdata = stock analysis tool

如何用30分鐘, 打造出自己獨特程式交易系統. 話不多說,我們就直接開始吧!!!!
requirements

Ta-lib(support finance indicators)
bigdata(pandas, numpy, scipy, matplotlib...)
Ta-lib Cython wrapper (wrapper Ta-lib to python)

how to install in Mac

install Ta-lib (port install ta-lib)
install bigdata

port install py27-pandas
port install py27-numpy
port install py27-matplotlib
...

setup python search path for mac port

add the below info to "~/.bashrc"

"/opt/local/Library/Frameworks/Python.framework/Versions/2.7/lib/python2.7/site-packages"

source ~/.bashrc

install Ta-lib(wrapper)

https://github.com/funningboy/ta-lib

example case

買點

利用5日平均線大於10日平均線

賣點

持有天數最多只能有三天

結論

還是實在賺錢比較重要

ref:

https://github.com/funningboy/ta-lib/blob/master/tools/tdr_jump.py

results:

total profit is : -20.26

----------------------------------------------------------------------------------------------------

ma10 ma5 close high low open volume entry leave profit

2013-01-02 NaN NaN 723.25 727.00 716.55 719.42 2541300 0 0 0.00

2013-01-03 NaN NaN 723.67 731.93 720.72 724.93 2318200 0 0 0.00

import sys                                                                                                                                                                           
from datetime import datetime

import numpy as np
import talib
import matplotlib.finance as fin 
from pylab import show

from pandas import Index, DataFrame, Series
from pandas.core.datetools import BMonthEnd
from pandas import ols 


def getQuotes(symbol, start, end):
    """ get stock Quotes from Yahoo """

    quotes = fin.quotes_historical_yahoo(symbol, start, end)
    dates, open, close, high, low, volume = zip(*quotes)

    data = { 
        'open': open,
        'close': close,
        'high': high,
        'low': low,
        'volume': volume
    }   

    dates = Index([datetime.fromordinal(int(d)) for d in dates])
    return DataFrame(data, index=dates)


def getMA(quotes):
    """ get mv_avg indicator and update org quotes by joining two DataFrame """

    ma5 = talib.MA(quotes['close'],5)
    ma10 = talib.MA(quotes['close'],10)

    data = { 
            'ma5' : ma5,
            'ma10': ma10,
            }   

    update = DataFrame(data, index=quotes.index)
    return update.join(quotes)

def setEntryRule1(quotes):
    """ set entry rule when ma5 is cross-over ma10 """

    def rule1(quotes, index):
        rst = 1 if quotes['ma5'][index] > quotes['ma10'][index] else 0
        return rst

    quotes['entry'] = [rule1(quotes, index) for index in quotes.index]
    return quotes


def setLeaveRule1(quotes):
    """ set leave rule when the holding day is large than 3 days"""

    def rule1(quotes, position):
        if position - 3 >= 0:
            if quotes['entry'][position-3] == 1:
                return [1, quotes['close'][position] - quotes['close'][position-3]]
        return [0, 0]

    quotes['leave'], quotes['profit'] = zip(*[rule1(quotes, position) for position, index in enumerate(quotes.index)])
    return quotes


def getProfit(quotes):
    """ get profit report """

    print "total profit is : %s" %(sum(quotes['profit']))
    print "-" * 100
    print quotes


def main():
    # get stock info from start to end
    startDate = datetime(2013, 1, 1)
    endDate = datetime(2013, 1, 30)

    # get stock id
    goog = getQuotes('GOOG', startDate, endDate)
    goog = getMA(goog)

    goog = setEntryRule1(goog)
    goog = setLeaveRule1(goog)
    getProfit(goog)

if __name__ == '__main__':                                                                                                                                                           
    main()