Portfólio de estratégias no Micro E-mini Russell 2000

# python m2k.py   (CSV: time,open,high,low,close,contract,roll)
F="M2K_M10.csv"
a,b,c,d=.03,.015,90,768
L=open(F).read().splitlines()
H=L[0].split(",")
I=[H.index(k) for k in("time","high","low","close","contract","roll")]
B=[]
for s in L[1:]:
    r=s.split(",")
    t,h,l,x,k,z=[r[i] for i in I]
    B.append((t,float(h),float(l),float(x),k,z=="True"))
N=len(B)
def q(t):
    y,m,e=int(t[:4]),int(t[5:7]),int(t[8:10])
    if m<3:y-=1
    return (y+y//4-y//100+y//400+[0,3,2,5,0,3,5,1,4,6,2,4][m-1]+e)%7+1
G={};R={}
for x in B:
    e=x[0][:10]
    u=G.setdefault(e,[0,1e18])
    u[0]=max(u[0],x[1]);u[1]=min(u[1],x[2])
    R[e]=R.get(e,False) or x[5]
K=list(G)
Y={K[i]:G[K[i-1]] for i in range(1,len(K))}
W=[q(x[0]) for x in B]
V=[0]*N
for i in range(1,N):
    V[i]=V[i-1]+(W[i]<W[i-1] or B[i][4]!=B[i-1][4])
n=S=0;z=-1;i=0
while i<N-1:
    t,h,l,x,k,_=B[i]
    m=int(t[11:13])*60+int(t[14:16])
    p=(W[i]-1)*1440+m
    f=i==N-1 or V[i+1]!=V[i]
    if t[:10] not in Y or R[t[:10]] or p>=8400 or p<1380 or f or(W[i]==6 and m+10>=1170)or t[:10]==z:i+=1;continue
    u,v=Y[t[:10]][0],Y[t[:10]][1]
    if u<=v or not(x-v)/(u-v)*100>c or int(t[11:13])>=12:i+=1;continue
    z=t[:10];g=x*(1-a);s=x*(1+b);j=i+1;w=B[j][3]
    while j<N:
        if V[j]!=V[i]:j-=1;w=B[j][3];break
        T=B[j]
        if T[2]<=g and T[1]>=s:raise SystemExit(T[0])
        if T[2]<=g:w=g;break
        if T[1]>=s:w=s;break
        w=T[3]
        if j==N-1 or V[j+1]!=V[j] or(W[j]==6 and int(T[0][11:13])*60+int(T[0][14:16])+10>=1170)or j-i>=d:break
        j+=1
    print("%s;%.1f;%.1f;%.1f"%(t,x,w,x-w))
    n+=1;S+=x-w;i=j
print(n,round(S))

Resultado em pontos, 1 contrato, antes de custos. A simulação das estratégias do portfólio segue a mesma mecânica de entrada, alvo, stop e saída; algumas têm variações (como stop móvel) que não aparecem neste exemplo. As regras e os parâmetros das quatro estratégias seguem confidenciais.