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def compute_buy_sell_signals_ema(period1, period2, prices):
ema_5 = calc_emas(5, prices)
ema_13 = calc_emas(13, prices)
def calc_first_sma(period, prices):
prices_sum = 0
for i in range(0, period):
prices_sum += prices[i] # 0, 1, 2, 3 ("popping" order)
# print('prices_sum:\t', prices_sum)
return prices_sum / period
def calc_emas(period, prices):
weighted_multiplier = 2.0 / (period + 1.0)
# calculate the first ema
first_ema = calc_first_sma(period, prices)
# calculate the rest ema's using that first
emas = [first_ema] * period
for i in range(period + 1, len(prices)): # 4, 5, 6, ... , last
last_ema = emas[-1]
if prices[i] == None or prices[i] == 0:
print(i)
next_ema = prices[i] * weighted_multiplier + last_ema * (1 - weighted_multiplier)
emas.append(next_ema)
return emas
def calculate_profit(buy_line, sell_line, prices, timestamps, offset=0, starting_money=10000):
if len(buy_line) != len(sell_line):
print("ERROR IN find_intersections: len of arrs not the same")
return []
is_bought = False
curr_money = 10000
shares_owned = 0
buy_info = [] # coming in, (time, cash, # current shares, # shares to buy)
sell_info = [] # (time, cash, # current shares, # shares to sell,)
for i in range(offset, len(buy_line)):
current_b1 = buy_line[i]
current_sl = sell_line[i]
# if the sign is positive, we want to hold, if it's negative, we want to sell
sign_signal = current_b1 - current_sl
if sign_signal > 0:
if not is_bought:
# buy the stock
shares_owned = curr_money / prices[i]
curr_money = 0
buy_info.append((timestamps[i], prices[i], i))
is_bought = True
if sign_signal < 0:
if is_bought:
# selling the stock
curr_money = prices[i] * shares_owned
shares_owned = 0
sell_info.append((timestamps[i], prices[i], i))
is_bought = False
# TODO: consider end interval
total_assets = prices[-1] * shares_owned + curr_money
percent_gain = (total_assets - starting_money) / starting_money
return (percent_gain, total_assets, starting_money, buy_info, sell_info)
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