hunk ./HQuant.cabal 63
-        colour
+        colour,
+        data-accessor,
+        Finance-Quote-Yahoo
addfile ./HQuant/Chart.hs
hunk ./HQuant/Chart.hs 1
+module HQuant.Chart where
+
+import Data.List 
+--import Data.Time.Calendar (Day)
+import HQuant.History
+--import Data.Maybe
+import Graphics.Rendering.Chart
+import Graphics.Rendering.Chart.Gtk
+import Data.Colour
+import Data.Colour.Names
+import Data.Colour.SRGB
+import Data.Accessor
+import Data.Time.LocalTime
+
+lwidth :: Double
+lwidth = 0.4
+
+lineStyle ::  AlphaColour Double -> CairoLineStyle
+lineStyle color = line_width ^= 3 * lwidth
+            $ line_color ^= color
+            $ defaultPlotLines ^. plot_lines_style
+
+limitLineStyle :: Colour Double -> CairoLineStyle
+limitLineStyle color = line_width ^= lwidth
+            $ line_color ^= opaque color
+            -- $ line_dashes ^= [5,10]
+            $ defaultPlotLines ^. plot_lines_style
+
+plotLines :: [(x, y)] -> String-> AlphaColour Double-> PlotLines x y
+plotLines p title color = plot_lines_style ^= lineStyle color
+       $ plot_lines_values ^= [[ (d, v) | (d,v) <- p]]
+       $ plot_lines_title ^= title
+       $ defaultPlotLines
+
+--limits :: (Ord a, Ord a2) =>t -> [Either (Plot a1 (a -> a -> a)) (Plot a3 (a2 -> a2 -> a2))]
+--limits prices = [ Left $ hlinePlot "min/max" (limitLineStyle blue) min,
+--                        Left $ hlinePlot "" (limitLineStyle blue) max,
+--                        Right $ hlinePlot "min/max" (limitLineStyle green) min,
+--                        Right $ hlinePlot "" (limitLineStyle green) max ]
+
+bg ::  AlphaColour Double
+bg = opaque white -- $ sRGB 0 0 0.25
+fg ::  AlphaColour Double
+fg = opaque blue
+fg1 ::  AlphaColour Double
+fg1 = opaque red-- $ sRGB 0.0 0.0 0.15
+
+layoutStudy :: (PlotValue x, PlotValue y) => String -> [(x, y)] -> [(x, y)] -> Layout1 x y
+layoutStudy title prices study = layout1_title ^=title
+       $ layout1_background ^= solidFillStyle bg
+       $ updateAllAxesStyles (axis_grid_style ^= solidLine 1 fg1)
+       $ layout1_left_axis ^: laxis_override ^= axisGridHide
+       $ layout1_right_axis ^: laxis_override ^= axisGridHide
+       $ layout1_bottom_axis ^: laxis_override ^= axisGridHide
+ 	   $ layout1_plots ^= 
+      ([
+       Left  (toPlot $plotLines prices "Price" fg), 
+       Left (toPlot $plotLines study title fg1)]
+       )
+           $ layout1_grid_last ^= False
+           $ setLayout1Foreground fg
+           $ defaultLayout1
+
+layoutBuySells :: String -> [(LocalTime, Double)] -> [(LocalTime, Double)] -> [PlotPoint]-> [PlotPoint] -> Layout1 LocalTime Double
+layoutBuySells title prices study buys sells = layout1_title ^="SPY"
+       $ layout1_background ^= solidFillStyle bg
+       $ updateAllAxesStyles (axis_grid_style ^= solidLine 1 fg1)
+       $ layout1_left_axis ^: laxis_override ^= axisGridHide
+       $ layout1_right_axis ^: laxis_override ^= axisGridHide
+       $ layout1_bottom_axis ^: laxis_override ^= axisGridHide
+ 	   $ layout1_plots ^= 
+      ([
+       Left  (toPlot $plotLines prices "Price" fg), 
+       Left (toPlot $plotLines study title fg1)]
+       ++ map (\p -> Left $ hlinePlot "b" (limitLineStyle green) (plotPrice p)) buys
+       ++ map (\p -> Left $ vlinePlot "b" (limitLineStyle green) (fst$plotLocalTime p)) buys
+       ++ map (\p -> Left $ hlinePlot "s" (limitLineStyle red) (plotPrice p)) sells
+       ++ map (\p -> Left $ vlinePlot "s" (limitLineStyle red) (fst$plotLocalTime p)) sells
+       )-- ++ limits prices)
+           $ layout1_grid_last ^= False
+           $ setLayout1Foreground fg
+           $ defaultLayout1
+
+chartStudy :: String -> [(LocalTime,Double)] -> [(LocalTime,Double)] -> Renderable ()
+chartStudy title prices study = toRenderable $ layoutStudy title prices study
+
+chartBuySells :: String -> [(LocalTime,Double)] -> [(LocalTime,Double)] -> [PlotPoint]-> [PlotPoint] -> Renderable ()
+chartBuySells title prices study buys sells = toRenderable $ layoutBuySells title prices study buys sells
+
+priceChartStudy :: String -> [(LocalTime,Double)] -> [(LocalTime,Double)] -> IO ()
+priceChartStudy title pr st = renderableToWindow (chartStudy title pr st ) 640 480
+
+priceChartBuySells :: String -> [(LocalTime,Double)] -> [(LocalTime,Double)] -> [PlotPoint]-> [PlotPoint] -> IO ()
+priceChartBuySells title pr st bu se = renderableToWindow (chartBuySells title pr st bu se ) 640 480
hunk ./HQuant/FetchQuote.hs 3
-import Finance.Quote.Yahoo
+import qualified Finance.Quote.Yahoo as Y
hunk ./HQuant/FetchQuote.hs 5
-import Data.Time
hunk ./HQuant/FetchQuote.hs 6
-
-end :: Day
-end = fromGregorian 2010 4 8 :: Day
-
-start :: Day
-start = fromGregorian 2010 1 8 :: Day
+import HQuant.History
+import Data.Time
+import Data.Time.Clock
hunk ./HQuant/FetchQuote.hs 13
-toStringArray :: HistoricalQuote -> [String]
-toStringArray (HistoricalQuote _ d o h l c a v) = [show d, show o, show c,show  h, show l, show a, show v]
+toStringArray :: HistoryLine -> [String]
+toStringArray (HistoryLine (PDay d) o c h l a v) = [show d, show o, show c,show  h, show l, show a, show v]
+toStringArray (HistoryLine _ _ _ _ _ _ _) = error "not implimented"
+
+toHistory :: Y.HistoricalQuote -> HistoryLine
+toHistory (Y.HistoricalQuote _ d o h l c a v) = HistoryLine (PDay d) (realToFrac o) (realToFrac c) (realToFrac h) (realToFrac l) (realToFrac a) v
hunk ./HQuant/FetchQuote.hs 23
-writeHistory :: [Char] -> [HistoricalQuote] -> IO ()
+--writeHistory :: String -> [Y.HistoricalQuote] -> IO ()
+--writeHistory sym hist =
+--   writeFile (sym++".csv")
+--    $ map (show . toHistory) hist
+
+
+writeHistory :: String -> [HistoryLine] -> IO ()
hunk ./HQuant/FetchQuote.hs 31
-   writeFile (sym++".csv")
-    $ CSV.printCSV $ [headers] ++ map toStringArray hist
+    writeFile (sym++".csv")
+     $ CSV.printCSV $ [headers] ++ map toStringArray hist
hunk ./HQuant/FetchQuote.hs 35
+loadYahoo :: Y.QuoteSymbol -> Day -> IO [HistoryLine]
+loadYahoo sym start = do
+ t <- getCurrentTime
+ let end = utctDay t
+ h <- Y.getHistoricalQuote sym start end Y.Daily
+ case h of
+    Nothing -> error "getHistoricalQuote failed"
+    Just hist -> do
+      return $ map toHistory hist
+    
hunk ./HQuant/History.hs 6
+import Data.Time
+
+data Order = 
+  Order {
+    oDate :: UTCTime,
+    oShare :: Int,
+    oPrice :: Double
+  } deriving (Read, Show, Eq, Ord)
+
+data UnRealized = 
+  UnRealized { 
+    uOrders :: [Order],
+    uShares :: Int 
+  } deriving (Read, Show, Eq, Ord)
+
+data GainLoss = 
+  GainLoss {
+   gOrders :: [Order],
+    gProfit :: Double
+  } deriving (Read, Show, Eq, Ord)
+
+data Period = 
+  PDay Day |
+  PHour Int |
+  PMinutes Int |
+  PTick Int
+  deriving (Read, Show, Eq, Ord)
+
+data PlotPoint = 
+  PlotPoint {
+    plotPeriod :: Period,
+    plotPrice :: Double
+  } deriving (Read, Show, Eq, Ord)
+
+type TimePlot = [(PlotPoint)]
+
+data HistoryLine = 
+    HistoryLine { 
+--      symbol :: String,
+      hperiod :: Period,
+      open :: Double,
+      close :: Double,
+      high :: Double,
+      low :: Double,
+      adjclose :: Double,
+      volume :: Int
+    } deriving (Read, Show, Eq, Ord)
+
+historyUTCTime :: HistoryLine -> UTCTime
+historyUTCTime h = case (hperiod h) of
+  PDay d -> UTCTime d 0
+  _ -> error "not implimented"
hunk ./HQuant/History.hs 75
-data Period = 
-  PDay Day |
-  PHour Int |
-  PTick Int
-  deriving Show
+plotLocalTime :: PlotPoint -> (LocalTime, Double)
+plotLocalTime (PlotPoint p d) = (periodLocalTime p, d)
hunk ./HQuant/History.hs 79
-data HistoryLine = 
-    HistoryLine { 
-      symbol :: String,
-      hdate :: Day,
-      open :: Double,
-      close :: Double,
-      high :: Double,
-      low :: Double,
-      adjclose :: Double,
-      volume :: Int
-    } deriving Show
+sortHistory :: HistoryLine -> HistoryLine -> Ordering
+sortHistory a b  | hdate a < hdate b = LT
+         | otherwise = GT
+
+
+hdate :: HistoryLine -> Day
+hdate h = case hperiod h of
+  PDay d -> d
+  _ -> error "not a day"
hunk ./HQuant/History.hs 90
-strArrayToHistory s (d:o:c:h:l:a:v:_) = Just $HistoryLine s da op cl hi lo ad vo
+strArrayToHistory _symbol (d:o:c:h:l:a:v:_) = Just $ HistoryLine da op cl hi lo ad vo
hunk ./HQuant/History.hs 92
-    da = fromJust $ parseTime defaultTimeLocale "%F" d
+    da = PDay $ fromJust $ parseTime defaultTimeLocale "%F" d
hunk ./HQuant/LoadHistory.hs 7
+import Data.List
addfile ./HQuant/Studies.hs
hunk ./HQuant/Studies.hs 1
+module HQuant.Studies where
+
+import Data.List 
+--import Data.Time.Calendar (Day)
+import HQuant.History
+--import Data.Maybe
+
+
+crossesBelow1 :: [PlotPoint] -> [PlotPoint] -> [PlotPoint]
+crossesBelow1 [] _ = []
+crossesBelow1 _ [] = []
+crossesBelow1 (a:as) (b:bs) = crossesBelow a as b bs []
+
+crossesBelow ::PlotPoint -> [PlotPoint] -> PlotPoint  -> [PlotPoint] -> [PlotPoint] -> [PlotPoint]
+crossesBelow _ [] _ _ r = r 
+crossesBelow _ _ _ [] r = r
+crossesBelow l1 (n1:as) l2 (n2:bs) r = 
+  if (d1 == d2) then 
+   if (p1 < p2 && last1 >= last2) then -- && (last1 > last2) then 
+    crossesBelow n1 as n2 bs (n2:r) 
+   else crossesBelow n1 as n2 bs r
+  else 
+    error $(show d1)++"<>"++(show d2)
+  where 
+   d1 = plotPeriod n1
+   d2 = plotPeriod n2
+   p1 = plotPrice n1
+   p2 = plotPrice n2
+   last1 = plotPrice l1
+   last2 = plotPrice l2   
+
+
+crossesAbove1 :: [PlotPoint] -> [PlotPoint] -> [PlotPoint]
+crossesAbove1 [] _ = []
+crossesAbove1 _ [] = []
+crossesAbove1 (a:as) (b:bs) = crossesAbove a as b bs []
+
+crossesAbove ::PlotPoint -> [PlotPoint] -> PlotPoint  -> [PlotPoint] -> [PlotPoint] -> [PlotPoint]
+crossesAbove _ [] _ _ r = r 
+crossesAbove _ _ _ [] r = r
+crossesAbove l1 (n1:as) l2 (n2:bs) r = 
+  if (d1 == d2) then 
+   if (p1 > p2 && last1 <= last2) then -- && (last1 > last2) then 
+    crossesAbove n1 as n2 bs (n2:r) 
+   else crossesAbove n1 as n2 bs r
+  else 
+    error $(show d1)++"<>"++(show d2)
+  where 
+   d1 = plotPeriod n1
+   d2 = plotPeriod n2
+   p1 = plotPrice n1
+   p2 = plotPrice n2
+   last1 = plotPrice l1
+   last2 = plotPrice l2   
hunk ./HQuant/Technical.hs 4
-import Data.Time.Calendar (Day)
+--import Data.Time.Calendar (Day)
hunk ./HQuant/Technical.hs 6
+import Data.Maybe
hunk ./HQuant/Technical.hs 30
+assertForwardHistory :: [HistoryLine] -> [HistoryLine]
+assertForwardHistory  hs = hs
+--assertForwardHistory hs = if 
+--assert False x = error "assertion failed!"
hunk ./HQuant/Technical.hs 35
-type PlotPoint = (Period, Double)
-plotPeriod :: PlotPoint -> Period
-plotPeriod p = fst p
+simpleMovingAverage ::  Int -> [HistoryLine] -> [PlotPoint]
+simpleMovingAverage nperiods hs = reverse $ catMaybes $ mapPlot (hsSma nperiods) $ reverse hs
hunk ./HQuant/Technical.hs 38
-plotPrice :: (a,Double)-> Double
-plotPrice p = snd p
-
-
-sma :: Int -> [HistoryLine] -> PlotPoint
-sma n hs = ave n (nclose n hs)
+hsSma :: Int -> [HistoryLine] -> Maybe PlotPoint
+hsSma n hs = if length hs >= n then Just $ averagePlotPoints n (hClosePlotN n hs) else Nothing
hunk ./HQuant/Technical.hs 44
-mapPlot :: ([HistoryLine] -> PlotPoint) ->  [HistoryLine] -> [PlotPoint]
-mapPlot f  []               =  []
+mapPlot :: ([HistoryLine] -> Maybe PlotPoint) ->  [HistoryLine] -> [Maybe PlotPoint]
+mapPlot _  []               =  []
hunk ./HQuant/Technical.hs 48
-foldPlot :: (Double -> Double -> Double) -> Double -> [(a,Double)] ->  Double
-foldPlot f z []     =  z                 -- if the list is empty, the result is the initial value
+mapPlot2 :: ([HistoryLine] -> Maybe PlotPoint) ->  [HistoryLine] -> [Maybe PlotPoint]
+mapPlot2 _  []               =  []
+mapPlot2 f hs            =  f hs : mapPlot2 f (tail hs)
+
+foldPlot :: (Double -> Double -> Double) -> Double -> [PlotPoint] ->  Double
+foldPlot _ z []     =  z                 -- if the list is empty, the result is the initial value
hunk ./HQuant/Technical.hs 56
-ave :: Int -> [PlotPoint] -> PlotPoint
-ave n fs = (plotPeriod $ head fs, (*) (1.0/(fromIntegral n)) ( foldPlot (+) 0 fs) )
+averagePlotPoints :: Int -> [PlotPoint] -> PlotPoint
+averagePlotPoints n fs = PlotPoint (plotPeriod $ head fs) ((*) (1.0/(fromIntegral n)) ( foldPlot (+) 0 fs) )
hunk ./HQuant/Technical.hs 59
-nclose :: Int -> [HistoryLine] -> [PlotPoint]
-nclose n hs = map (\h -> (historyPeriod h, close h)) $ take n hs
+hClosePlotN :: Int -> [HistoryLine] -> [PlotPoint]
+hClosePlotN n hs = map (\h -> PlotPoint (historyPeriod h) (close h)) $ take n hs
hunk ./fetch.hs 1
+import HQuant.FetchQuote
+import Data.Time
+import Data.Time.Clock
+import System.Environment 
+import qualified Finance.Quote.Yahoo as Yahoo
+
+start :: Day
+start = fromGregorian 2010 1 1 :: Day
hunk ./fetch.hs 12
- h <- getHistoricalQuote sym start end Daily
- case h of
-    Nothing -> error "getHistoricalQuote failed"
-    Just hist -> do
-      writeHistory sym hist
- return ()
+  a <- getArgs
+  let sym = head a
+  hh <- loadYahoo sym start
+  writeHistory sym hh
hunk ./hquant.hs 1
-module Test2 where
+module Main where
hunk ./hquant.hs 3
-import Graphics.Rendering.Chart
-import Graphics.Rendering.Chart.Gtk
hunk ./hquant.hs 4
-import Data.Colour
-import Data.Colour.Names
-import Data.Colour.SRGB
-import Data.Accessor
-import System.Environment(getArgs)
---import Prices(prices)
-import HQuant.History
+import HQuant.History 
hunk ./hquant.hs 7
+import HQuant.Studies
hunk ./hquant.hs 9
+import Data.Maybe
+import HQuant.Chart
hunk ./hquant.hs 12
-lwidth = 1.0
+nperiods = 10
hunk ./hquant.hs 14
-lineStyle ::  AlphaColour Double -> CairoLineStyle
-lineStyle c = line_width ^= 3 * lwidth
-            $ line_color ^= c
-            $ defaultPlotLines ^. plot_lines_style
hunk ./hquant.hs 15
-limitLineStyle :: Colour Double -> CairoLineStyle
-limitLineStyle c = line_width ^= lwidth
-            $ line_color ^= opaque c
-            $ line_dashes ^= [5,10]
-            $ defaultPlotLines ^. plot_lines_style
-
---plotLines :: [(x[asrq], y[asrr])]-> String-> AlphaColour Double-> PlotLines x[asrq] y[asrr]
-plotLines prices title color = plot_lines_style ^= lineStyle color
-       $ plot_lines_values ^= [[ (d, v) | (d,v) <- prices]]
-       $ plot_lines_title ^= title
-       $ defaultPlotLines
-
-limits :: (Ord a, Ord a2) =>t -> [Either (Plot a1 (a -> a -> a)) (Plot a3 (a2 -> a2 -> a2))]
-limits prices = [ Left $ hlinePlot "min/max" (limitLineStyle blue) min,
-                        Left $ hlinePlot "" (limitLineStyle blue) max,
-                        Right $ hlinePlot "min/max" (limitLineStyle green) min,
-                        Right $ hlinePlot "" (limitLineStyle green) max ]
-
-bg ::  AlphaColour Double
-bg = opaque $ sRGB 0 0 0.25
-fg ::  AlphaColour Double
-fg = opaque white
-fg1 ::  AlphaColour Double
-fg1 = opaque red-- $ sRGB 0.0 0.0 0.15
-
-
-layout :: (PlotValue x, PlotValue y) => [(x, y)] -> [(x, y)] -> Layout1 x y
-layout prices study = layout1_title ^="Price History"
-       $ layout1_background ^= solidFillStyle bg
-       $ updateAllAxesStyles (axis_grid_style ^= solidLine 1 fg1)
-       $ layout1_left_axis ^: laxis_override ^= axisGridHide
-       $ layout1_right_axis ^: laxis_override ^= axisGridHide
-       $ layout1_bottom_axis ^: laxis_override ^= axisGridHide
- 	   $ layout1_plots ^= ([Left (toPlot $plotLines prices "Price" fg), Right (toPlot $plotLines study "study" fg1)])-- ++ limits prices)
-           $ layout1_grid_last ^= False
-           $ setLayout1Foreground fg
-           $ defaultLayout1
-
-chart :: [(LocalTime,Double)] -> [(LocalTime,Double)] -> Renderable ()
-chart prices study = toRenderable $ layout prices study
-
-nperiods = 6
hunk ./hquant.hs 16
-sma20 = sma nperiods
hunk ./hquant.hs 17
+buydate d (h:hs) = if hdate h == d then Just $ (PDay $hdate h, open h) else Nothing
+selldate d (h:hs) = if hdate h == d then Just $ ( PDay $ hdate h, close h) else Nothing
+
+buyShares shares a b = a + b * shares
+sellShares shares a b = a + b * shares
hunk ./hquant.hs 23
---main1 ["small"]  = renderableToPNGFile (chart prices2 0.25) 320 240 "test2_small.png"
---main1 ["big"]    = renderableToPNGFile (chart prices2 0.25) 800 600 "test2_big.png"
hunk ./hquant.hs 25
-  let hsplot = map (\h -> (historyLocalTime h, close h)) hs
-  let smaspy = drop nperiods $reverse $ mapPlot sma20 $ reverse hs
-  let sm = map (\(p,f) -> (periodLocalTime p, f)) smaspy
-  renderableToWindow  (chart hsplot sm) 640 480
+  let hsplot = map (\h -> PlotPoint (hperiod h) (close h)) hs :: [PlotPoint]
+  let smaspy = simpleMovingAverage nperiods hs :: [PlotPoint]
+  print smaspy
+  let start = head hsplot
+  let end = head $ reverse hsplot
+  let match = drop (nperiods-1) hsplot
+  print start
+  print end
+  let buys = reverse $crossesBelow1 smaspy match 
+  let sells = reverse $crossesAbove1 smaspy match 
+  --let profit = foldPlot (buyShares 100) 0 $ reverse $ drop 1 $ reverse buys
+  --let loss = foldPlot (buyShares 100) 0 sells
+  --print profit
+  --print loss
+  --print $ profit - loss
+  --buyAndHold start end 100
+  priceChartBuySells ("SMA("++show nperiods++")") (map plotLocalTime match) (map plotLocalTime smaspy) buys sells
+  
+  --renderableToPNGFile (chart (map plotLocalTime match) (map plotLocalTime smaspy)) 640 480 "spysma.png"
+  --renderableToWindow  (chart (map plotLocalTime match) (map plotLocalTime smaspy)) 640 480
+
hunk ./load.hs 1
-import HQuant.Chart
hunk ./load.hs 6
+import Data.Time.LocalTime
+import Data.Time
+import Data.Maybe (fromJust)
+import System.Locale (defaultTimeLocale)
+import Data.Time.Clock
addfile ./pairs.hs
hunk ./pairs.hs 1
+
+import HQuant.LoadHistory
+import HQuant.History
+import Data.Time
+import Data.Time.Clock
+import qualified Finance.Quote.Yahoo as Yahoo
+
+start :: Day
+start = fromGregorian 2010 1 1 :: Day
+
+buy h shares = Order (historyUTCTime h) shares (adjclose h)
+sell h shares = Order (historyUTCTime h) (negate shares) (adjclose h)
+
+orderPrice (Order _ shares price) = negate$price * (fromIntegral shares)
+
+--buy price multiplier shares = price * multiplier * shares
+--sell price multiplier shares = price * multiplier * (negate$shares)
+profit o1 o2 = (orderPrice o1) + (orderPrice o2)
+
+main :: IO ()
+main = do
+  let longShares = 60 * 1
+  let shotShared = 100 * 1
+  gld <- readHistory "GLD"
+  gdx <- readHistory "GDX"
+  let o1 = buy ( head gld) longShares
+  let c1 = sell (head $reverse gld)  longShares
+  let o2 = sell (head gdx)  shotShared
+  let c2 = buy (head $reverse gdx) shotShared
+  print o1
+  print c1
+  print o2
+  print c2
+
+  print $ orderPrice o1
+  print $ orderPrice o2
+
+  let p1 =profit o1 c1 
+  let p2 =profit o2 c2 
+  print p1
+  print p2
+  print $p1+p2
+
addfile ./spysma.hs
hunk ./spysma.hs 1
+module Main where
+
+import HQuant.History 
+import HQuant.LoadHistory
+import HQuant.Technical
+import Data.List 
+import HQuant.Chart
+
+nperiods = 10
+
+
+spy = readHistory "SPY"
+
+main          = do
+  hs <- spy 
+  let hsplot = map (\h -> PlotPoint (hperiod h) (close h)) hs :: [PlotPoint]
+  let smaspy = simpleMovingAverage nperiods hs :: [PlotPoint]
+  print smaspy
+  let start = head hsplot
+  let end = head $ reverse hsplot
+  let match = drop (nperiods-1) hsplot
+  priceChartStudy ("SMA("++show nperiods++")") (map plotLocalTime match) (map plotLocalTime smaspy)
+  
+
+