simul_ema_cross.py

import csv
import re
import datetime
import itertools

def iter_prices(filename):
    PATTERN_DIGIT = re.compile(r'\d+')
    with open(filename) as f: # HTS-exported data
        reader = csv.reader(f)
        next(reader)
        for row in reader:
            date = datetime.date(*map(int, PATTERN_DIGIT.findall(row[0])))
            price = int(row[4])
            yield date, price


def main(filename):
    k5 = 2.0 / (5+1)
    k20 = 2.0 / (20+1)
    it = iter_prices(filename)
    prices = list(itertools.islice((p for d,p in it), 20))
    ema5, ema20 = sum(prices[-5:])/5.0, sum(prices[-20:])/20.0
    buy_price = 0

    initial = balance = 1000000
    transaction_cost_rate = 0.00015
    pos_prev = 0
    stock = 0
    y1 = []
    y2 = []
    for d,price in it:
        ema5 = price * k5 + ema5 * (1-k5)
        ema20 = price * k20 + ema20 * (1-k20)
        #print d,ema5,ema20
        pos = cmp(ema5, ema20)
        if pos and pos != pos_prev:
            pos_prev = pos
            if pos > 0:
                n = (balance // price)
                value = n * price
                transaction_cost = int(value * transaction_cost_rate)
                balance -= n * price
                balance -= transaction_cost
                stock += n
                print '{0} Buy  {1:,} * {2} ({3}) .. {4:,}'.format(
                    d, price, n, transaction_cost, balance+value)
                buy_price = price
            elif stock:
                value = price * stock
                transaction_cost = int(value * transaction_cost_rate)
                balance += value
                balance -= transaction_cost
                n = stock
                yn = '+' if price > buy_price else '-'
                print '{0} Sell {1:,} * {2} ({3}) .. {4:,} {5}'.format(
                    d, price, n, transaction_cost, balance, yn)
                stock = 0
        y1.append(ema5)
        y2.append(ema20)
    total = balance + stock*price
    print 'init. = {0:,}'.format(initial)
    print 'total = {0:,} ({1:,} + {2:,})'.format(total, balance, stock*price)
    print '{0:+.2%}'.format(float(total) / initial - 1)

    #from pylab import *
    #plot(y1)
    #plot(y2)
    #show()

main('a.csv')