From e09695819e56f0c529913345c3ce6ff07094e454 Mon Sep 17 00:00:00 2001 From: Thomas Wiecki Date: Tue, 25 Sep 2012 16:10:50 -0400 Subject: [PATCH] Cleaned up example.py code. --- zipline/optimize/example.py | 15 ++------------- 1 file changed, 2 insertions(+), 13 deletions(-) diff --git a/zipline/optimize/example.py b/zipline/optimize/example.py index be6efb9f..a8af7569 100644 --- a/zipline/optimize/example.py +++ b/zipline/optimize/example.py @@ -8,13 +8,7 @@ import numpy as np import matplotlib.pyplot as plt import cProfile from zipline.gens.mavg import MovingAverage -from zipline.gens.cov import CovTransform, cov from zipline.algorithm import TradingAlgorithm -from zipline.gens.transform import BatchTransform, batch_transform - -@batch_transform -def cov(data): - return data.price.cov() class DMA(TradingAlgorithm): """Dual Moving Average algorithm. @@ -35,14 +29,9 @@ class DMA(TradingAlgorithm): market_aware=True, days=long_window) - self.cov = cov(sids=self.sids, refresh_period=1, days=5) - def handle_data(self, data): self.events += 1 - cov = self.cov.handle_data(data) - print cov - for sid in self.sids: # access transforms via their user-defined tag if (data[sid].short_mavg['price'] > data[sid].long_mavg['price']) and not self.invested[sid]: @@ -87,8 +76,8 @@ def load_close_px(indexes=None, stocks=None): def run((short_window, long_window)): #data = pd.DataFrame.from_csv('SP500.csv') - #data = pd.DataFrame.from_csv('aapl.csv') #load_close_px() - data = load_close_px() + data = pd.load('close_px.dat') + #data = load_close_px() myalgo = DMA([0, 1], amount=100, short_window=short_window, long_window=long_window) stats = myalgo.run(data) stats['sw'] = short_window