The vectorize function is a yet another trick to reduce the number of loops in your programs. We will let it calculate the profit of a single trading day:
First, load the data:
o, h, l, c = np.loadtxt('BHP.csv', delimiter=',', usecols=(3,4, 5, 6), unpack=True)The
vectorizefunction is the NumPy equivalent of the Pythonmapfunction. Call thevectorizefunction, giving it as an argument thecalc_profitfunction that we still have to write:func = np.vectorize(calc_profit)
We can now apply
funcas if it is a function. Apply thefuncresult that we got, to the price arrays:profits = func(o, h, l, c)
The
calc_profitfunction is pretty simple. First, we try to buy slightly below the open price. If this is outside of the daily range, then, obviously our attempt failed and no profit was made, or we incurred a loss, therefore, we will return0. Otherwise, we sell at the close price and the profit is just the difference between the buy price and the close...