stocksml.trade

EvaluateChoices(sdf, symbols, dates, choices, baseline=None)

Evaluate trading strategy choices

Parameters

• sdf (pandas.DataFrame) – symbol dataframe with price information

• symbols (list of str) – list of symbol tickers corresponding to the symbol enum in choices

• dates (list of str) – dates corresponding to choices, should match subset of pdf index values

• choices (list of tuples) – tuple of (action, symbol enum, limit) for each day. action is an enum of range 0-4 where [buy_limit, buy_sell, hold, sell_limit, sell_buy]. limit is the percent over/under open price (range -1 to 1)

• baseline (str) – ticker symbol to use for baseline buy-hold strategy. Default None will not compute a baseline (returns 0)

Returns

performance of choices and baseline as a fraction of initial cash and ledger log of trades

Return type

float, float, str