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pnl-maximizer.py
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pnl-maximizer.py
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from __future__ import print_function
import time
import datetime
import os, fnmatch
import psutil
import csv
import sys
import numpy as pynum
import pickle
from secrets import randbelow
arrReports=[]
def system_test():
rows = len(arrReports)
'''
PnL Diff, 0
Year, 1
Month, 2
Day, 3
Weekday, 4
Hour, 5
WeekOfYear, 6
WeekOfMonth, 7
PnL_Is_Positive 8
'''
# majority voting threshold value
#print(arrReports)
raw_pnl = 0.0
optimized_pnl=0.0
for r in range(rows):
#norm_pips += float(arrReports[r][0]) # pnl without optimization
raw_pnl += float(arrReports[r][0])
#days = [4,5,7,11,13,14,16,17,18,19,21,22,25,27,28] # sig-05k_10e2_2-hist.csv
#days = [4,5,7,8,11,13,14,16,18,19,24,25]
#weekdays = ["Monday", "Tuesday"]
if (int(arrReports[r][6]) in [8,14,16,20,21,25,28,30,33,41,46]):
continue
#print("counted: ",float(arrReports[r][0]))
'''
TODO Optimizations:
by weekdays
by weekdays + month
by day+month
by week of month
'''
#if ( (day==0 and (wk=="Tuesday" or wk=="Wednesday")) or (day==4 and wk=="Wednesday") or (day==8 and (wk=="Monday" or wk=="Friday")) or (day==12 and wk=="Monday") or (day==16 and (wk=="Monday" or wk=="Wednesday" or wk=="Thursday" or wk=="Friday")) or (day==29 and wk=="Friday") ): continue
#if (mn==2 or mn==5 or mn==6 or mn==8): continue
#if (hs == 8): continue
#if (hs==4 or hs==16): continue
#sig-05k_10f1_4-hist.csv
#before: 22.690999999999946 / optimized: 41.43799999999969
'''
todo:
1) implement week of the month
2) implement hash for complex rules
'''
''''
weekday_day = {
"Tuesday":1,
"Friday":1,
"Friday":2,
"Monday":3,
"Thursday":3,
"Friday":3,
"Monday":6,
"Monday":7,
"Wednesday":8,
"Thursday":8,
"Friday":8,
"Thursday":9,
"Monday":10,
"Wednesday":10
}
for a, b in weekday_day.items():
if (wk==a and day==b):
print (norm_pips, pips)
continue
'''
#if (day in [3,8,12,20,24,27]): continue
#sig-50k_77e2_8-hist.csv
#before: 1.3108399999999911 / optimized: 1.462359999999994
#month_filter = [1,6,8,9]
#if (month in month_filter) : continue
#sig-05k_10f1_4-hist.csv
#before: 22.72600000000024 / optimized: 44.248000000000104
#if (day in days): continue # before: 42.673999999999666 / optimized: 75.95000000000003 | sig-05k_10f1_4-hist.csv : before: 22.73600000000016 / optimized: 42.37100000000029
#if ( (wk=="Monday" and month==1) or (wk=="Monday" and month==2) or (wk=="Monday" and month==6) or (wk=="Monday" and month==8) or (wk=="Tuesday" and month==1) or (wk=="Tuesday" and month==5) or (wk=="Tuesday" and month==6) or (wk=="Tuesday" and month==8) or (wk=="Tuesday" and month==11) or(wk=="Wednesday" and month==2) or (wk=="Wednesday" and month==5) or (wk=="Wednesday" and month==7) or (wk=="Wednesday" and month==8) or (wk=="Thursday" and month==3) or (wk=="Thursday" and month==9) or (wk=="Thursday" and month==10) ): continue # before: 42.673999999999666 / optimized: 71.93999999999997
#if (wk in weekdays): continue
#if (mn==2 or mn==5 or mn==6 or mn==8 or hs==16 or hs==20): continue
# 16,17,20,21
#if (hs==1 or hs==2 or hs ==13 or hs ==14 or hs == 16 or hs ==17 or hs ==20 or hs ==21): continue # 52211
#optimized pnl
optimized_pnl += float(arrReports[r][0])
print("before: " + str(raw_pnl) + " / optimized: " + str(optimized_pnl))
def readcsv(filename):
#PnL Diff,Month,Day,Weekday,Hour
pnl=0
m=1
d=2
w=3
h=4
ifile = open(filename, "rU")
reader = csv.reader(ifile, delimiter=",")
a = []
r = 0
prev_pnl =0.0
for row in reader:
if (r==0):
r+=1
continue
'''
PnL Diff, 0
Year, 1
Month, 2
Day, 3
Weekday, 4
Hour, 5
WeekOfYear, 6
WeekOfMonth, 7
PnL_Is_Positive 8
'''
#print(row[0], row[1],row[2],row[3],row[4],row[5],row[6],row[7],row[8])
# construct this array: #
pnl_diff = float(row[0]) - prev_pnl
a.append( [ pnl_diff, row[1],row[2],row[3],row[4],row[5],row[6],row[7],row[8] ] )
prev_pnl = float(row[0])
ifile.close()
return a
if __name__ == "__main__":
print(sys.argv[1])
arrReports = readcsv(sys.argv[1]) # input a Watson file here (no headers addumed)
system_test()