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

Example 16 with DataSource

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

the class StatisticalArbitrageTest method testCointegration.

// Auto-regressive test
@Test
public void testCointegration() {
    // 0004.HK, 0020.HK
    // 0011.HK, 0005.HK
    int tor = 8;
    String symbol0 = "0004.HK";
    String symbol1 = "0945.HK";
    AlignKeyDataSource<String> akds = cfg.dataSources(period, Read.each(symbol0, symbol1));
    Map<String, float[]> pricesBySymbol = akds.dsByKey.mapValue(DataSource::returns).toMap();
    int length = akds.ts.length;
    float[] prices0 = pricesBySymbol.get(symbol0);
    float[] prices1 = pricesBySymbol.get(symbol1);
    LinearRegression lr = stat.linearRegression(// 
    Ints_.range(tor, // 
    length).map(i -> FltObjPair.of(prices1[i], Floats_.toArray(tor, j -> prices0[i + j - tor]))));
    System.out.println(lr);
}

Example 17 with DataSource

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

the class SingleAllocBackTestTest method backTest.

private Map<String, SingleAllocBackTest> backTest(String code, String disp) {
    Strategos sr = new Strategos();
    DataSource ds = cfg.dataSource(code, period);
    return // 
    Read.<String, BuySellStrategy>empty2().cons("longHold", // 
    sr.longHold).cons("lowPassPrediction", // 
    sr.lowPassPrediction(128, 8, 8, .02f)).cons("movingAvgMeanReverting", // 
    sr.movingAvgMeanReverting(64, 8, .15f)).cons("macdSignalLineX", // 
    sr.macdSignalLineX(.8f, .9f, .85f)).cons("macdZeroLineX", // 
    sr.macdZeroLineX(.8f, .9f)).map2(// 
    (sn, strategy) -> backTest_(ds, disp + ", strategy = " + sn, strategy)).toMap();
}

Example 18 with DataSource

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

the class DailyMain method mamr.

// moving average mean reversion
private Result mamr(float factor) {
    String tag = "mamr";
    int nHoldDays = 8;
    Streamlet<Asset> assets = cfg.queryCompanies();
    BuySellStrategy strategy = new Strategos().movingAvgMeanReverting(64, nHoldDays, .15f);
    // pre-fetch quotes
    cfg.quote(assets.map(asset -> asset.symbol).toSet());
    // identify stocks that are mean-reverting
    Map<String, Boolean> backTestBySymbol = // 
    SerializedStoreCache.of(// 
    serialize.mapOfString(serialize.boolean_)).get(getClass().getSimpleName() + ".backTestBySymbol", () -> // 
    assets.map2(stock -> stock.symbol, stock -> {
        try {
            TimeRange period = TimeRange.threeYears();
            DataSource ds = cfg.dataSource(stock.symbol, period).range(period).validate();
            SingleAllocBackTest backTest = SingleAllocBackTest.test(ds, strategy);
            return MathUtil.isPositive(backTest.account.cash());
        } catch (Exception ex) {
            LogUtil.warn(ex + " for " + stock);
            return false;
        }
    }).toMap());
    TimeRange period = TimeRange.daysBefore(128);
    List<Trade> trades = new ArrayList<>();
    // capture signals
    for (Asset asset : assets) {
        String symbol = asset.symbol;
        if (backTestBySymbol.get(symbol))
            try {
                DataSource ds = cfg.dataSource(symbol, period).validate();
                float[] prices = ds.prices;
                int last = prices.length - 1;
                float latestPrice = prices[last];
                int signal = strategy.analyze(prices).get(last);
                int nShares = signal * asset.lotSize * Math.round(factor / nHoldDays / (asset.lotSize * latestPrice));
                Trade trade = Trade.of(nShares, symbol, latestPrice);
                if (signal != 0)
                    trades.add(trade);
            } catch (Exception ex) {
                LogUtil.warn(ex.getMessage() + " in " + asset);
            }
    }
    return new Result(tag, trades);
}