Updated Market Timing strategy.

pyalgotrade/barfeed/csvfeed.py

@@ -246,6 +246,9 @@ def setColumnName(self, col, name):
         self.__columnNames[col] = name
 
     def setDateTimeFormat(self, dateTimeFormat):
+        """
+        Set the format string to use with strptime to parse datetime column.
+        """
         self.__dateTimeFormat = dateTimeFormat
 
     def setBarClass(self, barClass):

samples/market_timing.output

@@ -1,16 +1,31 @@
-2014-05-25 22:36:59,740 yahoofinance [INFO] Creating data directory
-2014-05-25 22:36:59,740 yahoofinance [INFO] Downloading SPY 2007 to data/SPY-2007-yahoofinance.csv
-2014-05-25 22:37:06,332 yahoofinance [INFO] Downloading VTI 2007 to data/VTI-2007-yahoofinance.csv
-2014-05-25 22:37:10,666 yahoofinance [INFO] Downloading DBC 2007 to data/DBC-2007-yahoofinance.csv
-2014-05-25 22:37:13,102 yahoofinance [INFO] Downloading IEF 2007 to data/IEF-2007-yahoofinance.csv
-2014-05-25 22:37:19,394 yahoofinance [INFO] Downloading VEU 2007 to data/VEU-2007-yahoofinance.csv
-2014-05-25 22:37:27,378 yahoofinance [INFO] Downloading VNQ 2007 to data/VNQ-2007-yahoofinance.csv
-2014-05-25 22:37:32,771 yahoofinance [INFO] Downloading SPY 2008 to data/SPY-2008-yahoofinance.csv
-2014-05-25 22:37:38,326 yahoofinance [INFO] Downloading VTI 2008 to data/VTI-2008-yahoofinance.csv
-2014-05-25 22:37:42,262 yahoofinance [INFO] Downloading DBC 2008 to data/DBC-2008-yahoofinance.csv
+Loading bars from SPY-2007-yahoofinance.csv
+Loading bars from VTI-2007-yahoofinance.csv
+Loading bars from DBC-2007-yahoofinance.csv
+Loading bars from IEF-2007-yahoofinance.csv
+Loading bars from VEU-2007-yahoofinance.csv
+Loading bars from VNQ-2007-yahoofinance.csv
+Loading bars from SPY-2008-yahoofinance.csv
+Loading bars from VTI-2008-yahoofinance.csv
+Loading bars from DBC-2008-yahoofinance.csv
+Loading bars from IEF-2008-yahoofinance.csv
 .
 .
 .
+2013-10-01 00:00:00 strategy [INFO] Best for class US Stocks: VTI
+2013-10-01 00:00:00 strategy [INFO] Best for class Commodities: None
+2013-10-01 00:00:00 strategy [INFO] Best for class US 10 Year Government Bonds: None
+2013-10-01 00:00:00 strategy [INFO] Best for class Foreign Stocks: VEU
+2013-10-01 00:00:00 strategy [INFO] Best for class Real Estate: None
+2013-10-01 00:00:00 strategy [INFO] Placing market order for -2 VEU shares
+2013-11-01 00:00:00 strategy [INFO] Rebalancing
+2013-11-01 00:00:00 strategy [INFO] Best for class US Stocks: VTI
+2013-11-01 00:00:00 strategy [INFO] Best for class Commodities: None
+2013-11-01 00:00:00 strategy [INFO] Best for class US 10 Year Government Bonds: None
+2013-11-01 00:00:00 strategy [INFO] Best for class Foreign Stocks: VEU
+2013-11-01 00:00:00 strategy [INFO] Best for class Real Estate: VNQ
+2013-11-01 00:00:00 strategy [INFO] Placing market order for -1 VTI shares
+2013-11-01 00:00:00 strategy [INFO] Placing market order for -1 VEU shares
+2013-11-01 00:00:00 strategy [INFO] Placing market order for 39 VNQ shares
 2013-12-02 00:00:00 strategy [INFO] Rebalancing
 2013-12-02 00:00:00 strategy [INFO] Best for class US Stocks: VTI
 2013-12-02 00:00:00 strategy [INFO] Best for class Commodities: None

samples/market_timing.py

@@ -1,6 +1,6 @@
 from pyalgotrade import strategy
 from pyalgotrade import plotter
-from pyalgotrade.tools import yahoofinance
+from pyalgotrade.barfeed import yahoofeed
 from pyalgotrade.technical import ma
 from pyalgotrade.technical import cumret
 from pyalgotrade.stratanalyzer import sharpe
@@ -137,12 +137,19 @@ def main(plot):
         "Commodities": ["DBC"],
     }
 
-    # Download the bars.
+    # Load the bars. These files were manually downloaded from Yahoo Finance.
+    feed = yahoofeed.Feed()
     instruments = ["SPY"]
     for assetClass in instrumentsByClass:
         instruments.extend(instrumentsByClass[assetClass])
-    feed = yahoofinance.build_feed(instruments, 2007, 2013, "data", skipErrors=True)
 
+    for year in range(2007, 2013+1):
+        for instrument in instruments:
+            fileName = "%s-%d-yahoofinance.csv" % (instrument, year)
+            print "Loading bars from %s" % fileName
+            feed.addBarsFromCSV(instrument, fileName)
+
+    # Build the strategy and attach some metrics.
     strat = MarketTiming(feed, instrumentsByClass, initialCash)
     sharpeRatioAnalyzer = sharpe.SharpeRatio()
     strat.attachAnalyzer(sharpeRatioAnalyzer)

testcases/doc_test.py

@@ -296,15 +296,14 @@ def testQuandl(self):
             )
 
     def testMarketTiming(self):
-        init_data_path()
         files = []
         instruments = ["VTI", "VEU", "IEF", "VNQ", "DBC", "SPY"]
         for year in range(2007, 2013+1):
             for symbol in instruments:
                 fileName = "%s-%d-yahoofinance.csv" % (symbol, year)
                 files.append(os.path.join("samples", "data", fileName))
 
-        with common.CopyFiles(files, "data"):
+        with common.CopyFiles(files, "."):
             code = """import sys
 sys.path.append('samples')
 import market_timing