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BUG: fixed sample algo

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This commit is contained in:
Frederic Fortier
2018-02-08 17:10:41 -05:00
parent a820f66bdc
commit 00f232e2d7
1 changed files with 38 additions and 25 deletions
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catalyst/examples/dual_moving_average.py
+38 -25
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@@ -20,8 +20,8 @@ def initialize(context):
def handle_data(context, data):
# define the windows for the moving averages
short_window = 50
long_window = 200
short_window = 2
long_window = 2
# Skip as many bars as long_window to properly compute the average
context.i += 1
@@ -32,16 +32,18 @@ def handle_data(context, data):
# moving average with the appropriate parameters. We choose to use
# minute bars for this simulation -> freq="1m"
# Returns a pandas dataframe.
short_mavg = data.history(context.asset,
short_data = data.history(context.asset,
'price',
bar_count=short_window,
frequency="1m",
).mean()
long_mavg = data.history(context.asset,
frequency="1T",
)
short_mavg = short_data.mean()
long_data = data.history(context.asset,
'price',
bar_count=long_window,
frequency="1m",
).mean()
frequency="1T",
)
long_mavg = long_data.mean()
# Let's keep the price of our asset in a more handy variable
price = data.current(context.asset, 'price')
@@ -82,7 +84,6 @@ def handle_data(context, data):
def analyze(context, perf):
# Get the base_currency that was passed as a parameter to the simulation
exchange = list(context.exchanges.values())[0]
base_currency = exchange.base_currency.upper()
@@ -93,7 +94,7 @@ def analyze(context, perf):
ax1.legend_.remove()
ax1.set_ylabel('Portfolio Value\n({})'.format(base_currency))
start, end = ax1.get_ylim()
ax1.yaxis.set_ticks(np.arange(start, end, (end-start)/5))
ax1.yaxis.set_ticks(np.arange(start, end, (end - start) / 5))
# Second chart: Plot asset price, moving averages and buys/sells
ax2 = plt.subplot(412, sharex=ax1)
@@ -104,9 +105,9 @@ def analyze(context, perf):
ax2.set_ylabel('{asset}\n({base})'.format(
asset=context.asset.symbol,
base=base_currency
))
))
start, end = ax2.get_ylim()
ax2.yaxis.set_ticks(np.arange(start, end, (end-start)/5))
ax2.yaxis.set_ticks(np.arange(start, end, (end - start) / 5))
transaction_df = extract_transactions(perf)
if not transaction_df.empty:
@@ -136,28 +137,40 @@ def analyze(context, perf):
ax3.legend_.remove()
ax3.set_ylabel('Percent Change')
start, end = ax3.get_ylim()
ax3.yaxis.set_ticks(np.arange(start, end, (end-start)/5))
ax3.yaxis.set_ticks(np.arange(start, end, (end - start) / 5))
# Fourth chart: Plot our cash
ax4 = plt.subplot(414, sharex=ax1)
perf.cash.plot(ax=ax4)
ax4.set_ylabel('Cash\n({})'.format(base_currency))
start, end = ax4.get_ylim()
ax4.yaxis.set_ticks(np.arange(0, end, end/5))
ax4.yaxis.set_ticks(np.arange(0, end, end / 5))
plt.show()
if __name__ == '__main__':
run_algorithm(
capital_base=1000,
data_frequency='minute',
initialize=initialize,
handle_data=handle_data,
analyze=analyze,
exchange_name='bitfinex',
algo_namespace=NAMESPACE,
base_currency='usd',
start=pd.to_datetime('2017-9-22', utc=True),
end=pd.to_datetime('2017-9-23', utc=True),
)
capital_base=1000,
data_frequency='minute',
initialize=initialize,
handle_data=handle_data,
analyze=analyze,
exchange_name='bitfinex',
algo_namespace=NAMESPACE,
base_currency='usd',
simulate_orders=True,
live=True,
)
# run_algorithm(
# capital_base=1000,
# data_frequency='minute',
# initialize=initialize,
# handle_data=handle_data,
# analyze=analyze,
# exchange_name='bitfinex',
# algo_namespace=NAMESPACE,
# base_currency='usd',
# start=pd.to_datetime('2017-9-22', utc=True),
# end=pd.to_datetime('2017-9-23', utc=True),
# )