Examples with DataSource suite.trade.data.DataSource used on opensource projects

Example 6 with DataSource

use of suite.trade.data.DataSource in project suite by stupidsing.

the class StatisticalArbitrageTest method testMonteCarloBestBet.

@Test
public void testMonteCarloBestBet() {
    int nTrials = 10000;
    int nBets = 40;
    DataSource ds = cfg.dataSource(Asset.hsiSymbol).range(period).cleanse();
    float[] returns = ds.returns();
    for (float bet = 0f - 2f; bet < 1f + 2f; bet += .02f) {
        float notBet = 1f - bet;
        double sum = 0d;
        for (int i = 0; i < nTrials; i++) {
            double account = 1d;
            for (int j = 0; j < nBets; j++) {
                double return_ = returns[random.nextInt(returns.length)];
                account = notBet * account + bet * account * (1d + return_);
            }
            sum += account;
        }
        System.out.println("bet = " + To.string(bet) + ", avg outcome = " + To.string(sum / nTrials));
    }
}

Example 7 with DataSource

use of suite.trade.data.DataSource in project suite by stupidsing.

the class BackAllocatorTest method testStop.

@Test
public void testStop() {
    Time start = Time.of(2017, 1, 1);
    String symbol = "S";
    float[] prices = { 1f, .99f, .98f, .5f, .5f, .5f, 0f, 0f, 0f };
    BackAllocator ba0 = (akds, ts) -> index -> List.of(Pair.of(symbol, 1d));
    BackAllocator ba1 = ba0.stopLoss(.98d);
    int length = prices.length;
    long[] ts = Longs_.toArray(length, i -> start.addDays(i).epochSec());
    DataSource ds = DataSource.of(ts, prices);
    AlignKeyDataSource<String> akds = DataSource.alignAll(Read.from2(List.of(Pair.of(symbol, ds))));
    int[] indices = Ints_.toArray(length, i -> i);
    OnDateTime odt = ba1.allocate(akds, indices);
    List<Double> potentials = // 
    Ints_.range(// 
    indices.length).map(// 
    index -> 0 < index ? Read.from(odt.onDateTime(index)) : Read.<Pair<String, Double>>empty()).map(// 
    pairs -> pairs.toDouble(Obj_Dbl.sum(pair -> pair.t1))).toList();
    assertEquals(List.of(0d, 1d, 1d, 1d, 0d, 0d, 0d, 0d, 0d), potentials);
}

Example 8 with DataSource

use of suite.trade.data.DataSource in project suite by stupidsing.

the class BackAllocatorOld method questoQuella.

public BackAllocator questoQuella(String symbol0, String symbol1) {
    int tor = 64;
    double threshold = 0d;
    BackAllocator ba0 = (akds, indices) -> {
        Streamlet2<String, DataSource> dsBySymbol = akds.dsByKey;
        Map<String, DataSource> dsBySymbol_ = dsBySymbol.toMap();
        DataSource ds0 = dsBySymbol_.get(symbol0);
        DataSource ds1 = dsBySymbol_.get(symbol1);
        return index -> {
            int ix = index - 1;
            int i0 = ix - tor;
            double p0 = ds0.get(i0).t1, px = ds0.get(ix).t1;
            double q0 = ds1.get(i0).t1, qx = ds1.get(ix).t1;
            double pdiff = Quant.return_(p0, px);
            double qdiff = Quant.return_(q0, qx);
            if (threshold < Math.abs(pdiff - qdiff))
                return // 
                List.of(// 
                Pair.of(pdiff < qdiff ? symbol0 : symbol1, 1d), Pair.of(pdiff < qdiff ? symbol1 : symbol0, -1d));
            else
                return List.of();
        };
    };
    return ba0.filterByAsset(symbol -> String_.equals(symbol, symbol0) || String_.equals(symbol, symbol1));
}

Example 9 with DataSource

use of suite.trade.data.DataSource in project suite by stupidsing.

the class MovingAvgMeanReversionBackAllocator method backAllocator.

public BackAllocator backAllocator() {
    return (akds, indices) -> {
        Map<String, DataSource> dsBySymbol = akds.dsByKey.toMap();
        double dailyRiskFreeInterestRate = Trade_.riskFreeInterestRate(1);
        DataSourceView<String, MeanReversionStat> dsv = // 
        DataSourceView.of(tor, 256, akds, (symbol, ds, period) -> new MeanReversionStat(ds, period));
        return index -> {
            Map<String, MeanReversionStat> mrsBySymbol = // 
            akds.dsByKey.map2(// 
            (symbol, ds) -> dsv.get(symbol, index)).filterValue(// 
            mrsReversionStat -> mrsReversionStat != null).toMap();
            // ensure 0 < half-life: determine investment period
            return // 
            Read.from2(mrsBySymbol).filterValue(mrs -> // 
            mrs.adf < 0d && // 
            mrs.hurst < .5d && // 
            mrs.movingAvgMeanReversionRatio() < 0d).map2((symbol, mrs) -> {
                DataSource ds = dsBySymbol.get(symbol);
                double price = ds.prices[index - 1];
                double lma = mrs.latestMovingAverage();
                double diff = mrs.movingAvgMeanReversion.predict(new float[] { (float) lma, 1f });
                double dailyReturn = diff / price - dailyRiskFreeInterestRate;
                ReturnsStat returnsStat = ts.returnsStatDaily(ds.prices);
                double sharpe = returnsStat.sharpeRatio();
                double kelly = dailyReturn * price * price / mrs.movingAvgMeanReversion.sse;
                return new PotentialStat(dailyReturn, sharpe, kelly);
            }).filterValue(// 
            ps -> 0d < ps.kelly).cons(Asset.cashSymbol, // 
            new PotentialStat(Trade_.riskFreeInterestRate, 1d, 0d)).mapValue(// 
            ps -> ps.kelly).sortBy(// 
            (symbol, potential) -> -potential).take(// 
            top).toList();
        };
    };
}

Example 10 with DataSource

use of suite.trade.data.DataSource in project suite by stupidsing.

the class WalkForwardAllocTester method tick.

public String tick(Time time, Map<String, Float> priceBySymbol) {
    int last = windowSize - 1;
    System.arraycopy(times, 0, times, 1, last);
    times[last] = time.epochSec();
    for (Entry<String, DataSource> e : dsBySymbol.entrySet()) {
        String symbol = e.getKey();
        float[] prices = e.getValue().prices;
        System.arraycopy(prices, 0, prices, 1, last);
        prices[last] = priceBySymbol.get(symbol);
    }
    AlignKeyDataSource<String> akds = new AlignKeyDataSource<>(times, Read.from2(dsBySymbol));
    List<Pair<String, Double>> ratioBySymbol = wfa.allocate(akds, windowSize);
    UpdatePortfolio up = Trade_.updatePortfolio(time.ymdHms(), account, ratioBySymbol, assetBySymbol, Read.from2(priceBySymbol).mapValue(Eod::of).toMap());
    float valuation_;
    valuations.append(valuation_ = up.valuation0);
    for (Pair<String, Float> e : up.val0.streamlet()) holdBySymbol.compute(e.t0, (s, h) -> e.t1 / valuation_ + (h != null ? h : 0d));
    List<Trade> trades_ = up.trades;
    String actions;
    if (windowSize <= valuations.size())
        actions = play(trades_);
    else
        actions = "wait";
    return // 
    time.ymdHms() + ", valuation = " + // 
    valuation_ + ", portfolio = " + // 
    account + ", actions = " + actions;
}