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DOC: beginner tutorial
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Victor Grau Serrat
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Zipline Beginner Tutorial
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-------------------------
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Catalyst Beginner Tutorial
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--------------------------
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Basics
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~~~~~~
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Zipline is an open-source algorithmic trading simulator written in
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Python.
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Catalyst is an open-source algorithmic trading simulator for crypto
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assets written in Python.
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The source can be found at: https://github.com/quantopian/zipline
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The source can be found at: https://github.com/enigmampc/catalyst
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Some benefits include:
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- Support for several of the top crypto-exchanges by trading volume.
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- Realistic: slippage, transaction costs, order delays.
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- Stream-based: Process each event individually, avoids look-ahead
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bias.
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- Batteries included: Common transforms (moving average) as well as
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common risk calculations (Sharpe).
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- Developed and continuously updated by
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`Quantopian <https://www.quantopian.com>`__ which provides an
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easy-to-use web-interface to Zipline, 10 years of minute-resolution
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historical US stock data, and live-trading capabilities. This
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tutorial is directed at users wishing to use Zipline without using
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Quantopian. If you instead want to get started on Quantopian, see
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`here <https://www.quantopian.com/faq#get-started>`__.
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`Enigma MPC <https://www.enigma.co>`__ which is building the Enigma
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data marketplace protocol as well as Catalyst, the first application
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that will run on our protocol. Powered by our financial data
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marketplace, Catalyst empowers users to share and curate data and
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build profitable, data-driven investment strategies.
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This tutorial assumes that you have zipline correctly installed, see the
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`installation
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instructions <https://github.com/quantopian/zipline#installation>`__ if
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you haven't set up zipline yet.
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This tutorial assumes that you have Catalyst correctly installed, see the
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:doc:`installation instructions <install>` if you haven't set up
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Catalyst yet.
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Every ``zipline`` algorithm consists of two functions you have to
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Every ``catalyst`` algorithm consists of at least two functions you have to
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define:
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* ``initialize(context)``
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* ``handle_data(context, data)``
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Before the start of the algorithm, ``zipline`` calls the
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Before the start of the algorithm, ``catalyst`` calls the
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``initialize()`` function and passes in a ``context`` variable.
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``context`` is a persistent namespace for you to store variables you
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need to access from one algorithm iteration to the next.
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After the algorithm has been initialized, ``zipline`` calls the
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After the algorithm has been initialized, ``catalyst`` calls the
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``handle_data()`` function once for each event. At every call, it passes
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the same ``context`` variable and an event-frame called ``data``
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containing the current trading bar with open, high, low, and close
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(OHLC) prices as well as volume for each stock in your universe. For
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more information on these functions, see the `relevant part of the
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Quantopian docs <https://www.quantopian.com/help#api-toplevel>`__.
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(OHLC) prices as well as volume for each crypto asset in your universe.
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.. For more information on these functions, see the `relevant part of the
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.. Quantopian docs <https://www.quantopian.com/help#api-toplevel>`.
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My first algorithm
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~~~~~~~~~~~~~~~~~~
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Lets take a look at a very simple algorithm from the ``examples``
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directory, ``buyapple.py``:
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directory, ``buy_btc.py``:
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.. code-block:: python
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from zipline.examples import buyapple
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buyapple??
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.. code-block:: python
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from zipline.api import order, record, symbol
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from catalyst.api import order, record, symbol
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def initialize(context):
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pass
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context.asset = symbol('btc_usd')
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def handle_data(context, data):
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order(symbol('AAPL'), 10)
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record(AAPL=data.current(symbol('AAPL'), 'price'))
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order(context.asset, 1)
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record(btc = data.current(context.asset, 'price'))
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As you can see, we first have to import some functions we would like to
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use. All functions commonly used in your algorithm can be found in
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``zipline.api``. Here we are using :func:`~zipline.api.order()` which takes two
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arguments: a security object, and a number specifying how many stocks you would
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like to order (if negative, :func:`~zipline.api.order()` will sell/short
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stocks). In this case we want to order 10 shares of Apple at each iteration. For
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more documentation on ``order()``, see the `Quantopian docs
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<https://www.quantopian.com/help#api-order>`__.
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``catalyst.api``. Here we are using :func:`~catalyst.api.order()` which takes two
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arguments: a cryptoasset object, and a number specifying how many assets you would
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like to order (if negative, :func:`~catalyst.api.order()` will sell/short
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assets). In this case we want to order 1 bitcoin at each iteration.
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Finally, the :func:`~zipline.api.record` function allows you to save the value
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.. For more documentation on ``order()``, see the `Quantopian docs
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.. <https://www.quantopian.com/help#api-order>`__.
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Finally, the :func:`~catalyst.api.record` function allows you to save the value
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of a variable at each iteration. You provide it with a name for the variable
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together with the variable itself: ``varname=var``. After the algorithm
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finished running you will have access to each variable value you tracked
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with :func:`~zipline.api.record` under the name you provided (we will see this
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further below). You also see how we can access the current price data of the
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AAPL stock in the ``data`` event frame (for more information see
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`here <https://www.quantopian.com/help#api-event-properties>`__.
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with :func:`~catalyst.api.record` under the name you provided (we will see this
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further below). You also see how we can access the current price data of
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a bitcoin in the ``data`` event frame.
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.. (for more information see `here <https://www.quantopian.com/help#api-event-properties>`__.
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Running the algorithm
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~~~~~~~~~~~~~~~~~~~~~
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To now test this algorithm on financial data, ``zipline`` provides three
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interfaces: A command-line interface, ``IPython Notebook`` magic, and
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:func:`~zipline.run_algorithm`.
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To can now test this algorithm on crypto data, ``catalyst`` provides three
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interfaces:
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Ingesting Data
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- A command-line interface,
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- ``IPython Notebook`` magic,
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- and :func:`~catalyst.run_algorithm`.
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Ingesting data
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^^^^^^^^^^^^^^
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If you haven't ingested the data, run:
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.. code-block:: bash
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In previous versions of Catalyst you needed to manually ingest data before running
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your algorithm to make it available at runtime. Starting with version 0.3, the
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algorithm will automagically ingest the data it needs the first time that encounters
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a data request for data that it doesn't have.
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$ zipline ingest [-b <bundle>]
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Still, we believe it is important for you to have a high-level understanding
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of how data is managed:
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where ``<bundle>`` is the name of the bundle to ingest, defaulting to
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:ref:`quantopian-quandl <quantopian-quandl-mirror>`.
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- Pricing data is split and packaged into ``bundles``: chunks of data organized
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as time series that are kept up to date daily on Enigma's servers. Catalyst
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downloads the bundles that needs at any given time, and reconstructs the whole
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dataset in your hard drive.
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you can check out the :ref:`ingesting data <ingesting-data>` section for
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more detail.
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- Pricing data is provided in ``daily`` and ``minute`` resolution. Those are different
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bundle datasets, and are managed separately.
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- Bundles are exchange-specific, as the pricing data is specific to the trades that
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happen in each exchange. You can optionally specify which exchange you want pricing
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data from.
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- Catalyst keeps track of all the downloaded bundles, so that it only has to download
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them once, and will do incremental updates as needed.
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- When running in ``live trading`` mode, Catalyst will first look for historical
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pricing data in the locally stored bundles. If there is anything missing, Catalyst will
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hit the exchange for the most recent data, and merge it with the local bundle to make
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it available for future iterations.
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If you want to learn more, check out the :ref:`ingesting data <ingesting-data>` section
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for more detail.
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Command line interface
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^^^^^^^^^^^^^^^^^^^^^^
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After you installed zipline you should be able to execute the following
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After you installed Catalyst you should be able to execute the following
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from your command line (e.g. ``cmd.exe`` on Windows, or the Terminal app
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on OSX):
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on OSX). Displaying here a simplified output for eductional purposes:
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.. code-block:: bash
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$ zipline run --help
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$ catalyst --help
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.. parsed-literal::
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Usage: zipline run [OPTIONS]
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Usage: catalyst [OPTIONS] COMMAND [ARGS]...
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Run a backtest for the given algorithm.
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Top level catalyst entry point.
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Options:
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--version Show the version and exit.
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--help Show this message and exit.
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Commands:
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ingest-exchange Ingest data for the given exchange.
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live Trade live with the given algorithm.
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run Run a backtest for the given algorithm.
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There are three main modes you can run on Catalyst. The first being ``ingest-exchange``
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for data ingestion, which we have summarized in the previous section. The second
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is ``live`` to use your algorithm to trade live against a given exchange, and the
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third mode ``run`` is to backtest your algorithm before trading live with it.
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Let's start with backtesting, so run this other command to learn more about
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the available options:
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.. code-block:: bash
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$ catalyst run --help
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.. parsed-literal::
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||||
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Usage: catalyst run [OPTIONS]
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Run a backtest for the given algorithm.
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Options:
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-f, --algofile FILENAME The file that contains the algorithm to run.
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-t, --algotext TEXT The algorithm script to run.
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-D, --define TEXT Define a name to be bound in the namespace
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before executing the algotext. For example
|
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'-Dname=value'. The value may be any python
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expression. These are evaluated in order so
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they may refer to previously defined names.
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--data-frequency [daily|minute]
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The data frequency of the simulation.
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[default: daily]
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--capital-base FLOAT The starting capital for the simulation.
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[default: 10000000.0]
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-b, --bundle BUNDLE-NAME The data bundle to use for the simulation.
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[default: poloniex]
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--bundle-timestamp TIMESTAMP The date to lookup data on or before.
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[default: <current-time>]
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-s, --start DATE The start date of the simulation.
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-e, --end DATE The end date of the simulation.
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-o, --output FILENAME The location to write the perf data. If this
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is '-' the perf will be written to stdout.
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[default: -]
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--print-algo / --no-print-algo Print the algorithm to stdout.
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-x, --exchange-name [poloniex|bitfinex|bittrex]
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The name of the targeted exchange
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(supported: bitfinex, bittrex, poloniex).
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-n, --algo-namespace TEXT A label assigned to the algorithm for data
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storage purposes.
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-c, --base-currency TEXT The base currency used to calculate
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statistics (e.g. usd, btc, eth).
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--help Show this message and exit.
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Options:
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-f, --algofile FILENAME The file that contains the algorithm to run.
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-t, --algotext TEXT The algorithm script to run.
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-D, --define TEXT Define a name to be bound in the namespace
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before executing the algotext. For example
|
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'-Dname=value'. The value may be any python
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expression. These are evaluated in order so
|
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they may refer to previously defined names.
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--data-frequency [minute|daily]
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The data frequency of the simulation.
|
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[default: daily]
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--capital-base FLOAT The starting capital for the simulation.
|
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[default: 10000000.0]
|
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-b, --bundle BUNDLE-NAME The data bundle to use for the simulation.
|
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[default: quantopian-quandl]
|
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--bundle-timestamp TIMESTAMP The date to lookup data on or before.
|
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[default: <current-time>]
|
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-s, --start DATE The start date of the simulation.
|
||||
-e, --end DATE The end date of the simulation.
|
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-o, --output FILENAME The location to write the perf data. If this
|
||||
is '-' the perf will be written to stdout.
|
||||
[default: -]
|
||||
--print-algo / --no-print-algo Print the algorithm to stdout.
|
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--help Show this message and exit.
|
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|
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As you can see there are a couple of flags that specify where to find your
|
||||
algorithm (``-f``) as well as parameters specifying which data to use,
|
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defaulting to the :ref:`quantopian-quandl-mirror`. There are also arguments for
|
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the date range to run the algorithm over (``--start`` and ``--end``). Finally,
|
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you'll want to save the performance metrics of your algorithm so that you can
|
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analyze how it performed. This is done via the ``--output`` flag and will cause
|
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it to write the performance ``DataFrame`` in the pickle Python file format.
|
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Note that you can also define a configuration file with these parameters that
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||||
you can then conveniently pass to the ``-c`` option so that you don't have to
|
||||
supply the command line args all the time (see the .conf files in the examples
|
||||
directory).
|
||||
algorithm (``-f``) as well as a parameter to specify which exchange to use.
|
||||
There are also arguments for the date range to run the algorithm over
|
||||
(``--start`` and ``--end``). Finally, you'll want to save the performance
|
||||
metrics of your algorithm so that you can analyze how it performed. This is
|
||||
done via the ``--output`` flag and will cause it to write the performance
|
||||
``DataFrame`` in the pickle Python file format. Note that you can also define
|
||||
a configuration file with these parameters that you can then conveniently pass
|
||||
to the ``-c`` option so that you don't have to supply the command line args
|
||||
all the time (see the .conf files in the examples directory).
|
||||
|
||||
Thus, to execute our algorithm from above and save the results to
|
||||
``buyapple_out.pickle`` we would call ``zipline run`` as follows:
|
||||
``buy_btc_simple_out.pickle`` we would call ``catalyst run`` as follows:
|
||||
|
||||
.. code-block:: python
|
||||
|
||||
zipline run -f ../../zipline/examples/buyapple.py --start 2000-1-1 --end 2014-1-1 -o buyapple_out.pickle
|
||||
catalyst run -f buy_btc_simple.py -x bitfinex --start 2016-1-1 --end 2016-9-29 -o buy_simple_btc_out.pickle
|
||||
|
||||
|
||||
.. parsed-literal::
|
||||
..
|
||||
.. parsed-literal
|
||||
|
||||
AAPL
|
||||
[2015-11-04 22:45:32.820166] INFO: Performance: Simulated 3521 trading days out of 3521.
|
||||
[2015-11-04 22:45:32.820314] INFO: Performance: first open: 2000-01-03 14:31:00+00:00
|
||||
[2015-11-04 22:45:32.820401] INFO: Performance: last close: 2013-12-31 21:00:00+00:00
|
||||
.. AAPL
|
||||
.. [2015-11-04 22:45:32.820166] INFO: Performance: Simulated 3521 trading days out of 3521.
|
||||
.. [2015-11-04 22:45:32.820314] INFO: Performance: first open: 2000-01-03 14:31:00+00:00
|
||||
.. [2015-11-04 22:45:32.820401] INFO: Performance: last close: 2013-12-31 21:00:00+00:00
|
||||
|
||||
|
||||
``run`` first calls the ``initialize()`` function, and then
|
||||
streams the historical stock price day-by-day through ``handle_data()``.
|
||||
After each call to ``handle_data()`` we instruct ``zipline`` to order 10
|
||||
stocks of AAPL. After the call of the ``order()`` function, ``zipline``
|
||||
streams the historical asset price day-by-day through ``handle_data()``.
|
||||
After each call to ``handle_data()`` we instruct ``catalyst`` to order 1
|
||||
bitcoin. After the call of the ``order()`` function, ``catalyst``
|
||||
enters the ordered stock and amount in the order book. After the
|
||||
``handle_data()`` function has finished, ``zipline`` looks for any open
|
||||
``handle_data()`` function has finished, ``catalyst`` looks for any open
|
||||
orders and tries to fill them. If the trading volume is high enough for
|
||||
this stock, the order is executed after adding the commission and
|
||||
this asset, the order is executed after adding the commission and
|
||||
applying the slippage model which models the influence of your order on
|
||||
the stock price, so your algorithm will be charged more than just the
|
||||
stock price \* 10. (Note, that you can also change the commission and
|
||||
slippage model that ``zipline`` uses, see the `Quantopian
|
||||
docs <https://www.quantopian.com/help#ide-slippage>`__ for more
|
||||
information).
|
||||
asset price. (Note, that you can also change the commission and
|
||||
slippage model that ``catalyst`` uses).
|
||||
|
||||
Lets take a quick look at the performance ``DataFrame``. For this, we
|
||||
.. see the `Quantopian docs <https://www.quantopian.com/help#ide-slippage>`__
|
||||
.. for more information).
|
||||
|
||||
Let's take a quick look at the performance ``DataFrame``. For this, we
|
||||
use ``pandas`` from inside the IPython Notebook and print the first ten
|
||||
rows. Note that ``zipline`` makes heavy usage of ``pandas``, especially
|
||||
for data input and outputting so it's worth spending some time to learn
|
||||
it.
|
||||
rows. Note that ``catalyst`` makes heavy usage of
|
||||
`pandas <http://pandas.pydata.org/>`_, especially for data input and
|
||||
outputting so it's worth spending some time to learn it.
|
||||
|
||||
.. code-block:: python
|
||||
|
||||
import pandas as pd
|
||||
perf = pd.read_pickle('buyapple_out.pickle') # read in perf DataFrame
|
||||
perf = pd.read_pickle('buy_btc_simple_out.pickle') # read in perf DataFrame
|
||||
perf.head()
|
||||
|
||||
.. raw:: html
|
||||
|
||||
<div style="max-height:1000px;max-width:1500px;overflow:auto;">
|
||||
<table border="1" class="dataframe">
|
||||
<thead>
|
||||
<tr style="text-align: right;">
|
||||
<th></th>
|
||||
<th>AAPL</th>
|
||||
<th>algo_volatility</th>
|
||||
<th>algorithm_period_return</th>
|
||||
<th>alpha</th>
|
||||
<th>benchmark_period_return</th>
|
||||
<th>benchmark_volatility</th>
|
||||
<th>beta</th>
|
||||
<th>capital_used</th>
|
||||
<th>ending_cash</th>
|
||||
<th>ending_exposure</th>
|
||||
<th>...</th>
|
||||
<th>short_exposure</th>
|
||||
<th>short_value</th>
|
||||
<th>shorts_count</th>
|
||||
<th>sortino</th>
|
||||
<th>starting_cash</th>
|
||||
<th>starting_exposure</th>
|
||||
<th>starting_value</th>
|
||||
<th>trading_days</th>
|
||||
<th>transactions</th>
|
||||
<th>treasury_period_return</th>
|
||||
</tr>
|
||||
</thead>
|
||||
<tbody>
|
||||
<tr>
|
||||
<th>2000-01-03 21:00:00</th>
|
||||
<td>3.738314</td>
|
||||
<td>0.000000e+00</td>
|
||||
<td>0.000000e+00</td>
|
||||
<td>-0.065800</td>
|
||||
<td>-0.009549</td>
|
||||
<td>0.000000</td>
|
||||
<td>0.000000</td>
|
||||
<td>0.00000</td>
|
||||
<td>10000000.00000</td>
|
||||
<td>0.00000</td>
|
||||
<td>...</td>
|
||||
<td>0</td>
|
||||
<td>0</td>
|
||||
<td>0</td>
|
||||
<td>0.000000</td>
|
||||
<td>10000000.00000</td>
|
||||
<td>0.00000</td>
|
||||
<td>0.00000</td>
|
||||
<td>1</td>
|
||||
<td>[]</td>
|
||||
<td>0.0658</td>
|
||||
</tr>
|
||||
<tr>
|
||||
<th>2000-01-04 21:00:00</th>
|
||||
<td>3.423135</td>
|
||||
<td>3.367492e-07</td>
|
||||
<td>-3.000000e-08</td>
|
||||
<td>-0.064897</td>
|
||||
<td>-0.047528</td>
|
||||
<td>0.323229</td>
|
||||
<td>0.000001</td>
|
||||
<td>-34.53135</td>
|
||||
<td>9999965.46865</td>
|
||||
<td>34.23135</td>
|
||||
<td>...</td>
|
||||
<td>0</td>
|
||||
<td>0</td>
|
||||
<td>0</td>
|
||||
<td>0.000000</td>
|
||||
<td>10000000.00000</td>
|
||||
<td>0.00000</td>
|
||||
<td>0.00000</td>
|
||||
<td>2</td>
|
||||
<td>[{u'order_id': u'513357725cb64a539e3dd02b47da7...</td>
|
||||
<td>0.0649</td>
|
||||
</tr>
|
||||
<tr>
|
||||
<th>2000-01-05 21:00:00</th>
|
||||
<td>3.473229</td>
|
||||
<td>4.001918e-07</td>
|
||||
<td>-9.906000e-09</td>
|
||||
<td>-0.066196</td>
|
||||
<td>-0.045697</td>
|
||||
<td>0.329321</td>
|
||||
<td>0.000001</td>
|
||||
<td>-35.03229</td>
|
||||
<td>9999930.43636</td>
|
||||
<td>69.46458</td>
|
||||
<td>...</td>
|
||||
<td>0</td>
|
||||
<td>0</td>
|
||||
<td>0</td>
|
||||
<td>0.000000</td>
|
||||
<td>9999965.46865</td>
|
||||
<td>34.23135</td>
|
||||
<td>34.23135</td>
|
||||
<td>3</td>
|
||||
<td>[{u'order_id': u'd7d4ad03cfec4d578c0d817dc3829...</td>
|
||||
<td>0.0662</td>
|
||||
</tr>
|
||||
<tr>
|
||||
<th>2000-01-06 21:00:00</th>
|
||||
<td>3.172661</td>
|
||||
<td>4.993979e-06</td>
|
||||
<td>-6.410420e-07</td>
|
||||
<td>-0.065758</td>
|
||||
<td>-0.044785</td>
|
||||
<td>0.298325</td>
|
||||
<td>-0.000006</td>
|
||||
<td>-32.02661</td>
|
||||
<td>9999898.40975</td>
|
||||
<td>95.17983</td>
|
||||
<td>...</td>
|
||||
<td>0</td>
|
||||
<td>0</td>
|
||||
<td>0</td>
|
||||
<td>-12731.780516</td>
|
||||
<td>9999930.43636</td>
|
||||
<td>69.46458</td>
|
||||
<td>69.46458</td>
|
||||
<td>4</td>
|
||||
<td>[{u'order_id': u'1fbf5e9bfd7c4d9cb2e8383e1085e...</td>
|
||||
<td>0.0657</td>
|
||||
</tr>
|
||||
<tr>
|
||||
<th>2000-01-07 21:00:00</th>
|
||||
<td>3.322945</td>
|
||||
<td>5.977002e-06</td>
|
||||
<td>-2.201900e-07</td>
|
||||
<td>-0.065206</td>
|
||||
<td>-0.018908</td>
|
||||
<td>0.375301</td>
|
||||
<td>0.000005</td>
|
||||
<td>-33.52945</td>
|
||||
<td>9999864.88030</td>
|
||||
<td>132.91780</td>
|
||||
<td>...</td>
|
||||
<td>0</td>
|
||||
<td>0</td>
|
||||
<td>0</td>
|
||||
<td>-12629.274583</td>
|
||||
<td>9999898.40975</td>
|
||||
<td>95.17983</td>
|
||||
<td>95.17983</td>
|
||||
<td>5</td>
|
||||
<td>[{u'order_id': u'9ea6b142ff09466b9113331a37437...</td>
|
||||
<td>0.0652</td>
|
||||
</tr>
|
||||
</tbody>
|
||||
</table>
|
||||
<p>5 rows × 39 columns</p>
|
||||
</div>
|
||||
|
||||
|
||||
|
||||
As you can see, there is a row for each trading day, starting on the
|
||||
first business day of 2000. In the columns you can find various
|
||||
There is a row for each trading day, starting on the first day of our
|
||||
simulation Jan 1st, 2016. In the columns you can find various
|
||||
information about the state of your algorithm. The very first column
|
||||
``AAPL`` was placed there by the ``record()`` function mentioned earlier
|
||||
and allows us to plot the price of apple. For example, we could easily
|
||||
``btc`` was placed there by the ``record()`` function mentioned earlier
|
||||
and allows us to plot the price of bitcoin. For example, we could easily
|
||||
examine now how our portfolio value changed over time compared to the
|
||||
AAPL stock price.
|
||||
bitcoin price.
|
||||
|
||||
.. code-block:: python
|
||||
|
||||
%pylab inline
|
||||
figsize(12, 12)
|
||||
import matplotlib.pyplot as plt
|
||||
|
||||
ax1 = plt.subplot(211)
|
||||
perf.portfolio_value.plot(ax=ax1)
|
||||
ax1.set_ylabel('portfolio value')
|
||||
ax2 = plt.subplot(212, sharex=ax1)
|
||||
perf.AAPL.plot(ax=ax2)
|
||||
ax2.set_ylabel('AAPL stock price')
|
||||
|
||||
.. parsed-literal::
|
||||
|
||||
Populating the interactive namespace from numpy and matplotlib
|
||||
|
||||
.. parsed-literal::
|
||||
|
||||
<matplotlib.text.Text at 0x7ff5c6147f90>
|
||||
|
||||
.. image:: tutorial_files/tutorial_11_2.png
|
||||
|
||||
|
||||
As you can see, our algorithm performance as assessed by the
|
||||
``portfolio_value`` closely matches that of the AAPL stock price. This
|
||||
is not surprising as our algorithm only bought AAPL every chance it got.
|
||||
|
||||
IPython Notebook
|
||||
~~~~~~~~~~~~~~~~
|
||||
|
||||
The `IPython Notebook <http://ipython.org/notebook.html>`__ is a very
|
||||
powerful browser-based interface to a Python interpreter (this tutorial
|
||||
was written in it). As it is already the de-facto interface for most
|
||||
quantitative researchers ``zipline`` provides an easy way to run your
|
||||
algorithm inside the Notebook without requiring you to use the CLI.
|
||||
|
||||
To use it you have to write your algorithm in a cell and let ``zipline``
|
||||
know that it is supposed to run this algorithm. This is done via the
|
||||
``%%zipline`` IPython magic command that is available after you
|
||||
``import zipline`` from within the IPython Notebook. This magic takes
|
||||
the same arguments as the command line interface described above. Thus
|
||||
to run the algorithm from above with the same parameters we just have to
|
||||
execute the following cell after importing ``zipline`` to register the
|
||||
magic.
|
||||
|
||||
.. code-block:: python
|
||||
|
||||
%load_ext zipline
|
||||
|
||||
.. code-block:: python
|
||||
|
||||
%%zipline --start 2000-1-1 --end 2014-1-1
|
||||
from zipline.api import symbol, order, record
|
||||
|
||||
def initialize(context):
|
||||
pass
|
||||
|
||||
def handle_data(context, data):
|
||||
order(symbol('AAPL'), 10)
|
||||
record(AAPL=data[symbol('AAPL')].price)
|
||||
|
||||
Note that we did not have to specify an input file as above since the
|
||||
magic will use the contents of the cell and look for your algorithm
|
||||
functions there. Also, instead of defining an output file we are
|
||||
specifying a variable name with ``-o`` that will be created in the name
|
||||
space and contain the performance ``DataFrame`` we looked at above.
|
||||
|
||||
.. code-block:: python
|
||||
|
||||
_.head()
|
||||
|
||||
.. raw:: html
|
||||
|
||||
<div style="max-height:1000px;max-width:1500px;overflow:auto;">
|
||||
<table border="1" class="dataframe">
|
||||
<thead>
|
||||
<tr style="text-align: right;">
|
||||
<th></th>
|
||||
<th>AAPL</th>
|
||||
<th>algo_volatility</th>
|
||||
<th>algorithm_period_return</th>
|
||||
<th>alpha</th>
|
||||
<th>benchmark_period_return</th>
|
||||
<th>benchmark_volatility</th>
|
||||
<th>beta</th>
|
||||
<th>capital_used</th>
|
||||
<th>ending_cash</th>
|
||||
<th>ending_exposure</th>
|
||||
<th>...</th>
|
||||
<th>short_exposure</th>
|
||||
<th>short_value</th>
|
||||
<th>shorts_count</th>
|
||||
<th>sortino</th>
|
||||
<th>starting_cash</th>
|
||||
<th>starting_exposure</th>
|
||||
<th>starting_value</th>
|
||||
<th>trading_days</th>
|
||||
<th>transactions</th>
|
||||
<th>treasury_period_return</th>
|
||||
</tr>
|
||||
</thead>
|
||||
<tbody>
|
||||
<tr>
|
||||
<th>2000-01-03 21:00:00</th>
|
||||
<td>3.738314</td>
|
||||
<td>0.000000e+00</td>
|
||||
<td>0.000000e+00</td>
|
||||
<td>-0.065800</td>
|
||||
<td>-0.009549</td>
|
||||
<td>0.000000</td>
|
||||
<td>0.000000</td>
|
||||
<td>0.00000</td>
|
||||
<td>10000000.00000</td>
|
||||
<td>0.00000</td>
|
||||
<td>...</td>
|
||||
<td>0</td>
|
||||
<td>0</td>
|
||||
<td>0</td>
|
||||
<td>0.000000</td>
|
||||
<td>10000000.00000</td>
|
||||
<td>0.00000</td>
|
||||
<td>0.00000</td>
|
||||
<td>1</td>
|
||||
<td>[]</td>
|
||||
<td>0.0658</td>
|
||||
</tr>
|
||||
<tr>
|
||||
<th>2000-01-04 21:00:00</th>
|
||||
<td>3.423135</td>
|
||||
<td>3.367492e-07</td>
|
||||
<td>-3.000000e-08</td>
|
||||
<td>-0.064897</td>
|
||||
<td>-0.047528</td>
|
||||
<td>0.323229</td>
|
||||
<td>0.000001</td>
|
||||
<td>-34.53135</td>
|
||||
<td>9999965.46865</td>
|
||||
<td>34.23135</td>
|
||||
<td>...</td>
|
||||
<td>0</td>
|
||||
<td>0</td>
|
||||
<td>0</td>
|
||||
<td>0.000000</td>
|
||||
<td>10000000.00000</td>
|
||||
<td>0.00000</td>
|
||||
<td>0.00000</td>
|
||||
<td>2</td>
|
||||
<td>[{u'commission': 0.3, u'amount': 10, u'sid': 0...</td>
|
||||
<td>0.0649</td>
|
||||
</tr>
|
||||
<tr>
|
||||
<th>2000-01-05 21:00:00</th>
|
||||
<td>3.473229</td>
|
||||
<td>4.001918e-07</td>
|
||||
<td>-9.906000e-09</td>
|
||||
<td>-0.066196</td>
|
||||
<td>-0.045697</td>
|
||||
<td>0.329321</td>
|
||||
<td>0.000001</td>
|
||||
<td>-35.03229</td>
|
||||
<td>9999930.43636</td>
|
||||
<td>69.46458</td>
|
||||
<td>...</td>
|
||||
<td>0</td>
|
||||
<td>0</td>
|
||||
<td>0</td>
|
||||
<td>0.000000</td>
|
||||
<td>9999965.46865</td>
|
||||
<td>34.23135</td>
|
||||
<td>34.23135</td>
|
||||
<td>3</td>
|
||||
<td>[{u'commission': 0.3, u'amount': 10, u'sid': 0...</td>
|
||||
<td>0.0662</td>
|
||||
</tr>
|
||||
<tr>
|
||||
<th>2000-01-06 21:00:00</th>
|
||||
<td>3.172661</td>
|
||||
<td>4.993979e-06</td>
|
||||
<td>-6.410420e-07</td>
|
||||
<td>-0.065758</td>
|
||||
<td>-0.044785</td>
|
||||
<td>0.298325</td>
|
||||
<td>-0.000006</td>
|
||||
<td>-32.02661</td>
|
||||
<td>9999898.40975</td>
|
||||
<td>95.17983</td>
|
||||
<td>...</td>
|
||||
<td>0</td>
|
||||
<td>0</td>
|
||||
<td>0</td>
|
||||
<td>-12731.780516</td>
|
||||
<td>9999930.43636</td>
|
||||
<td>69.46458</td>
|
||||
<td>69.46458</td>
|
||||
<td>4</td>
|
||||
<td>[{u'commission': 0.3, u'amount': 10, u'sid': 0...</td>
|
||||
<td>0.0657</td>
|
||||
</tr>
|
||||
<tr>
|
||||
<th>2000-01-07 21:00:00</th>
|
||||
<td>3.322945</td>
|
||||
<td>5.977002e-06</td>
|
||||
<td>-2.201900e-07</td>
|
||||
<td>-0.065206</td>
|
||||
<td>-0.018908</td>
|
||||
<td>0.375301</td>
|
||||
<td>0.000005</td>
|
||||
<td>-33.52945</td>
|
||||
<td>9999864.88030</td>
|
||||
<td>132.91780</td>
|
||||
<td>...</td>
|
||||
<td>0</td>
|
||||
<td>0</td>
|
||||
<td>0</td>
|
||||
<td>-12629.274583</td>
|
||||
<td>9999898.40975</td>
|
||||
<td>95.17983</td>
|
||||
<td>95.17983</td>
|
||||
<td>5</td>
|
||||
<td>[{u'commission': 0.3, u'amount': 10, u'sid': 0...</td>
|
||||
<td>0.0652</td>
|
||||
</tr>
|
||||
</tbody>
|
||||
</table>
|
||||
<p>5 rows × 39 columns</p>
|
||||
</div>
|
||||
Our algorithm performance as assessed by the
|
||||
``portfolio_value`` closely matches that of the bitcoin price. This
|
||||
is not surprising as our algorithm only bought bitcoin every chance it got.
|
||||
|
||||
|
||||
Access to previous prices using ``history``
|
||||
@@ -627,22 +300,16 @@ we need a new concept: History
|
||||
``data.history()`` is a convenience function that keeps a rolling window of
|
||||
data for you. The first argument is the number of bars you want to
|
||||
collect, the second argument is the unit (either ``'1d'`` for ``'1m'``
|
||||
but note that you need to have minute-level data for using ``1m``). For
|
||||
a more detailed description ``history()``'s features, see the
|
||||
`Quantopian docs <https://www.quantopian.com/help#ide-history>`__.
|
||||
Let's look at the strategy which should make this clear:
|
||||
but note that you need to have minute-level data for using ``1m``). This is
|
||||
a function we use in the ``handle_data()`` section:
|
||||
|
||||
.. code-block:: python
|
||||
|
||||
%%zipline --start 2000-1-1 --end 2012-1-1 -o dma.pickle
|
||||
from catalyst.api import order, record, symbol
|
||||
|
||||
|
||||
from zipline.api import order_target, record, symbol
|
||||
|
||||
def initialize(context):
|
||||
def initialize(context):
|
||||
context.i = 0
|
||||
context.asset = symbol('AAPL')
|
||||
|
||||
context.asset = symbol('btc_usd')
|
||||
|
||||
def handle_data(context, data):
|
||||
# Skip first 300 days to get full windows
|
||||
@@ -665,67 +332,22 @@ Let's look at the strategy which should make this clear:
|
||||
order_target(context.asset, 0)
|
||||
|
||||
# Save values for later inspection
|
||||
record(AAPL=data.current(context.asset, 'price'),
|
||||
record(btc=data.current(context.asset, 'price'),
|
||||
short_mavg=short_mavg,
|
||||
long_mavg=long_mavg)
|
||||
|
||||
|
||||
def analyze(context, perf):
|
||||
fig = plt.figure()
|
||||
ax1 = fig.add_subplot(211)
|
||||
perf.portfolio_value.plot(ax=ax1)
|
||||
ax1.set_ylabel('portfolio value in $')
|
||||
|
||||
ax2 = fig.add_subplot(212)
|
||||
perf['AAPL'].plot(ax=ax2)
|
||||
perf[['short_mavg', 'long_mavg']].plot(ax=ax2)
|
||||
|
||||
perf_trans = perf.ix[[t != [] for t in perf.transactions]]
|
||||
buys = perf_trans.ix[[t[0]['amount'] > 0 for t in perf_trans.transactions]]
|
||||
sells = perf_trans.ix[
|
||||
[t[0]['amount'] < 0 for t in perf_trans.transactions]]
|
||||
ax2.plot(buys.index, perf.short_mavg.ix[buys.index],
|
||||
'^', markersize=10, color='m')
|
||||
ax2.plot(sells.index, perf.short_mavg.ix[sells.index],
|
||||
'v', markersize=10, color='k')
|
||||
ax2.set_ylabel('price in $')
|
||||
plt.legend(loc=0)
|
||||
plt.show()
|
||||
|
||||
.. image:: tutorial_files/tutorial_22_1.png
|
||||
|
||||
Here we are explicitly defining an ``analyze()`` function that gets
|
||||
automatically called once the backtest is done (this is not possible on
|
||||
Quantopian currently).
|
||||
|
||||
Although it might not be directly apparent, the power of ``history()``
|
||||
(pun intended) can not be under-estimated as most algorithms make use of
|
||||
prior market developments in one form or another. You could easily
|
||||
devise a strategy that trains a classifier with
|
||||
`scikit-learn <http://scikit-learn.org/stable/>`__ which tries to
|
||||
predict future market movements based on past prices (note, that most of
|
||||
the ``scikit-learn`` functions require ``numpy.ndarray``\ s rather than
|
||||
``pandas.DataFrame``\ s, so you can simply pass the underlying
|
||||
``ndarray`` of a ``DataFrame`` via ``.values``).
|
||||
|
||||
We also used the ``order_target()`` function above. This and other
|
||||
functions like it can make order management and portfolio rebalancing
|
||||
much easier. See the `Quantopian documentation on order
|
||||
functions <https://www.quantopian.com/help#api-order-methods>`__ fore
|
||||
more details.
|
||||
|
||||
Conclusions
|
||||
~~~~~~~~~~~
|
||||
|
||||
We hope that this tutorial gave you a little insight into the
|
||||
architecture, API, and features of ``zipline``. For next steps, check
|
||||
architecture, API, and features of ``catalyst``. For next steps, check
|
||||
out some of the
|
||||
`examples <https://github.com/quantopian/zipline/tree/master/zipline/examples>`__.
|
||||
`examples <https://github.com/enigmampc/catalyst/tree/master/catalyst/examples>`__.
|
||||
The natural next step would be too look into the
|
||||
`buy_and_hodl <https://github.com/enigmampc/catalyst/blob/master/catalyst/examples/buy_and_hodl.py>`_
|
||||
example, which is a more elaborated and realistic version of the ``buy_btc_simple`` example presented in this tutorial.
|
||||
|
||||
Feel free to ask questions on `our mailing
|
||||
list <https://groups.google.com/forum/#!forum/zipline>`__, report
|
||||
problems on our `GitHub issue
|
||||
tracker <https://github.com/quantopian/zipline/issues?state=open>`__,
|
||||
`get
|
||||
involved <https://github.com/quantopian/zipline/wiki/Contribution-Requests>`__,
|
||||
and `checkout Quantopian <https://quantopian.com>`__.
|
||||
Feel free to ask questions on the ``#catalyst_dev`` channel of our
|
||||
`Discord group <https://discord.gg/SJK32GY>`__ and report
|
||||
problems on our `GitHub issue tracker <https://github.com/enigmampc/catalyst/issues>`__.
|
||||
|
||||
+1
-1
@@ -8,7 +8,7 @@ Table of Contents
|
||||
:maxdepth: 1
|
||||
|
||||
install
|
||||
.. beginner-tutorial
|
||||
beginner-tutorial
|
||||
.. bundles
|
||||
.. development-guidelines
|
||||
.. appendix
|
||||
|
||||
@@ -9,8 +9,13 @@ Features
|
||||
========
|
||||
|
||||
- Ease of use: Catalyst tries to get out of your way so that you can
|
||||
focus on algorithm development. See examples provided.
|
||||
- Support for several of the top crypto-exchanges by trading volume.
|
||||
focus on algorithm development. See
|
||||
`examples <https://github.com/enigmampc/catalyst/tree/master/catalyst/examples>`_
|
||||
provided.
|
||||
- Support for several of the top crypto-exchanges by trading volume:
|
||||
`Bitfinex <https://www.bitfinex.com>`_, `Bittrex <http://www.bittrex.com>`_,
|
||||
and `Poloniex <https://www.poloniex.com>`_.
|
||||
- Secure: You and only you have access to each exchange API keys for your accounts.
|
||||
- Input of historical pricing data of all crypto-assets by exchange,
|
||||
with daily and minute resolution.
|
||||
- Backtesting and live-trading functionality, with a seamless transition
|
||||
|
||||
@@ -89,6 +89,21 @@
|
||||
<li class="toctree-l2"><a class="reference internal" href="install.html#getting-help">Getting Help</a></li>
|
||||
</ul>
|
||||
</li>
|
||||
<li class="toctree-l1"><a class="reference internal" href="beginner-tutorial.html">Catalyst Beginner Tutorial</a><ul>
|
||||
<li class="toctree-l2"><a class="reference internal" href="beginner-tutorial.html#basics">Basics</a></li>
|
||||
<li class="toctree-l2"><a class="reference internal" href="beginner-tutorial.html#my-first-algorithm">My first algorithm</a></li>
|
||||
<li class="toctree-l2"><a class="reference internal" href="beginner-tutorial.html#running-the-algorithm">Running the algorithm</a><ul>
|
||||
<li class="toctree-l3"><a class="reference internal" href="beginner-tutorial.html#ingesting-data">Ingesting data</a></li>
|
||||
<li class="toctree-l3"><a class="reference internal" href="beginner-tutorial.html#command-line-interface">Command line interface</a></li>
|
||||
</ul>
|
||||
</li>
|
||||
<li class="toctree-l2"><a class="reference internal" href="beginner-tutorial.html#access-to-previous-prices-using-history">Access to previous prices using <code class="docutils literal"><span class="pre">history</span></code></a><ul>
|
||||
<li class="toctree-l3"><a class="reference internal" href="beginner-tutorial.html#working-example-dual-moving-average-cross-over">Working example: Dual Moving Average Cross-Over</a></li>
|
||||
</ul>
|
||||
</li>
|
||||
<li class="toctree-l2"><a class="reference internal" href="beginner-tutorial.html#conclusions">Conclusions</a></li>
|
||||
</ul>
|
||||
</li>
|
||||
</ul>
|
||||
|
||||
|
||||
|
||||
+169
-522
@@ -8,7 +8,7 @@
|
||||
|
||||
<meta name="viewport" content="width=device-width, initial-scale=1.0">
|
||||
|
||||
<title>Zipline Beginner Tutorial — Catalyst 0.3 documentation</title>
|
||||
<title>Catalyst Beginner Tutorial — Catalyst 0.3 documentation</title>
|
||||
|
||||
|
||||
|
||||
@@ -30,7 +30,8 @@
|
||||
|
||||
|
||||
|
||||
<link rel="top" title="Catalyst 0.3 documentation" href="index.html"/>
|
||||
<link rel="top" title="Catalyst 0.3 documentation" href="index.html"/>
|
||||
<link rel="prev" title="Install" href="install.html"/>
|
||||
|
||||
|
||||
<script src="_static/js/modernizr.min.js"></script>
|
||||
@@ -69,7 +70,7 @@
|
||||
|
||||
|
||||
|
||||
<ul>
|
||||
<ul class="current">
|
||||
<li class="toctree-l1"><a class="reference internal" href="install.html">Install</a><ul>
|
||||
<li class="toctree-l2"><a class="reference internal" href="install.html#installing-with-pip">Installing with <code class="docutils literal"><span class="pre">pip</span></code></a><ul>
|
||||
<li class="toctree-l3"><a class="reference internal" href="install.html#gnu-linux">GNU/Linux</a></li>
|
||||
@@ -89,6 +90,21 @@
|
||||
<li class="toctree-l2"><a class="reference internal" href="install.html#getting-help">Getting Help</a></li>
|
||||
</ul>
|
||||
</li>
|
||||
<li class="toctree-l1 current"><a class="current reference internal" href="">Catalyst Beginner Tutorial</a><ul>
|
||||
<li class="toctree-l2"><a class="reference internal" href="#basics">Basics</a></li>
|
||||
<li class="toctree-l2"><a class="reference internal" href="#my-first-algorithm">My first algorithm</a></li>
|
||||
<li class="toctree-l2"><a class="reference internal" href="#running-the-algorithm">Running the algorithm</a><ul>
|
||||
<li class="toctree-l3"><a class="reference internal" href="#ingesting-data">Ingesting data</a></li>
|
||||
<li class="toctree-l3"><a class="reference internal" href="#command-line-interface">Command line interface</a></li>
|
||||
</ul>
|
||||
</li>
|
||||
<li class="toctree-l2"><a class="reference internal" href="#access-to-previous-prices-using-history">Access to previous prices using <code class="docutils literal"><span class="pre">history</span></code></a><ul>
|
||||
<li class="toctree-l3"><a class="reference internal" href="#working-example-dual-moving-average-cross-over">Working example: Dual Moving Average Cross-Over</a></li>
|
||||
</ul>
|
||||
</li>
|
||||
<li class="toctree-l2"><a class="reference internal" href="#conclusions">Conclusions</a></li>
|
||||
</ul>
|
||||
</li>
|
||||
</ul>
|
||||
|
||||
|
||||
@@ -113,7 +129,7 @@
|
||||
<ul class="wy-breadcrumbs">
|
||||
<li><a href="index.html">Docs</a> »</li>
|
||||
|
||||
<li>Zipline Beginner Tutorial</li>
|
||||
<li>Catalyst Beginner Tutorial</li>
|
||||
<li class="wy-breadcrumbs-aside">
|
||||
|
||||
|
||||
@@ -126,111 +142,146 @@
|
||||
</div>
|
||||
<div role="main" class="document">
|
||||
|
||||
<div class="section" id="zipline-beginner-tutorial">
|
||||
<h1>Zipline Beginner Tutorial<a class="headerlink" href="#zipline-beginner-tutorial" title="Permalink to this headline">¶</a></h1>
|
||||
<div class="section" id="catalyst-beginner-tutorial">
|
||||
<h1>Catalyst Beginner Tutorial<a class="headerlink" href="#catalyst-beginner-tutorial" title="Permalink to this headline">¶</a></h1>
|
||||
<div class="section" id="basics">
|
||||
<h2>Basics<a class="headerlink" href="#basics" title="Permalink to this headline">¶</a></h2>
|
||||
<p>Zipline is an open-source algorithmic trading simulator written in
|
||||
Python.</p>
|
||||
<p>The source can be found at: <a class="reference external" href="https://github.com/quantopian/zipline">https://github.com/quantopian/zipline</a></p>
|
||||
<p>Catalyst is an open-source algorithmic trading simulator for crypto
|
||||
assets written in Python.</p>
|
||||
<p>The source can be found at: <a class="reference external" href="https://github.com/enigmampc/catalyst">https://github.com/enigmampc/catalyst</a></p>
|
||||
<p>Some benefits include:</p>
|
||||
<ul class="simple">
|
||||
<li>Support for several of the top crypto-exchanges by trading volume.</li>
|
||||
<li>Realistic: slippage, transaction costs, order delays.</li>
|
||||
<li>Stream-based: Process each event individually, avoids look-ahead
|
||||
bias.</li>
|
||||
<li>Batteries included: Common transforms (moving average) as well as
|
||||
common risk calculations (Sharpe).</li>
|
||||
<li>Developed and continuously updated by
|
||||
<a class="reference external" href="https://www.quantopian.com">Quantopian</a> which provides an
|
||||
easy-to-use web-interface to Zipline, 10 years of minute-resolution
|
||||
historical US stock data, and live-trading capabilities. This
|
||||
tutorial is directed at users wishing to use Zipline without using
|
||||
Quantopian. If you instead want to get started on Quantopian, see
|
||||
<a class="reference external" href="https://www.quantopian.com/faq#get-started">here</a>.</li>
|
||||
<a class="reference external" href="https://www.enigma.co">Enigma MPC</a> which is building the Enigma
|
||||
data marketplace protocol as well as Catalyst, the first application
|
||||
that will run on our protocol. Powered by our financial data
|
||||
marketplace, Catalyst empowers users to share and curate data and
|
||||
build profitable, data-driven investment strategies.</li>
|
||||
</ul>
|
||||
<p>This tutorial assumes that you have zipline correctly installed, see the
|
||||
<a class="reference external" href="https://github.com/quantopian/zipline#installation">installation
|
||||
instructions</a> if
|
||||
you haven’t set up zipline yet.</p>
|
||||
<p>Every <code class="docutils literal"><span class="pre">zipline</span></code> algorithm consists of two functions you have to
|
||||
<p>This tutorial assumes that you have Catalyst correctly installed, see the
|
||||
<a class="reference internal" href="install.html"><em>installation instructions</em></a> if you haven’t set up
|
||||
Catalyst yet.</p>
|
||||
<p>Every <code class="docutils literal"><span class="pre">catalyst</span></code> algorithm consists of at least two functions you have to
|
||||
define:</p>
|
||||
<ul class="simple">
|
||||
<li><code class="docutils literal"><span class="pre">initialize(context)</span></code></li>
|
||||
<li><code class="docutils literal"><span class="pre">handle_data(context,</span> <span class="pre">data)</span></code></li>
|
||||
</ul>
|
||||
<p>Before the start of the algorithm, <code class="docutils literal"><span class="pre">zipline</span></code> calls the
|
||||
<p>Before the start of the algorithm, <code class="docutils literal"><span class="pre">catalyst</span></code> calls the
|
||||
<code class="docutils literal"><span class="pre">initialize()</span></code> function and passes in a <code class="docutils literal"><span class="pre">context</span></code> variable.
|
||||
<code class="docutils literal"><span class="pre">context</span></code> is a persistent namespace for you to store variables you
|
||||
need to access from one algorithm iteration to the next.</p>
|
||||
<p>After the algorithm has been initialized, <code class="docutils literal"><span class="pre">zipline</span></code> calls the
|
||||
<p>After the algorithm has been initialized, <code class="docutils literal"><span class="pre">catalyst</span></code> calls the
|
||||
<code class="docutils literal"><span class="pre">handle_data()</span></code> function once for each event. At every call, it passes
|
||||
the same <code class="docutils literal"><span class="pre">context</span></code> variable and an event-frame called <code class="docutils literal"><span class="pre">data</span></code>
|
||||
containing the current trading bar with open, high, low, and close
|
||||
(OHLC) prices as well as volume for each stock in your universe. For
|
||||
more information on these functions, see the <a class="reference external" href="https://www.quantopian.com/help#api-toplevel">relevant part of the
|
||||
Quantopian docs</a>.</p>
|
||||
(OHLC) prices as well as volume for each crypto asset in your universe.</p>
|
||||
</div>
|
||||
<div class="section" id="my-first-algorithm">
|
||||
<h2>My first algorithm<a class="headerlink" href="#my-first-algorithm" title="Permalink to this headline">¶</a></h2>
|
||||
<p>Lets take a look at a very simple algorithm from the <code class="docutils literal"><span class="pre">examples</span></code>
|
||||
directory, <code class="docutils literal"><span class="pre">buyapple.py</span></code>:</p>
|
||||
<div class="highlight-python"><div class="highlight"><pre>from zipline.examples import buyapple
|
||||
buyapple??
|
||||
</pre></div>
|
||||
</div>
|
||||
<div class="highlight-python"><div class="highlight"><pre><span class="kn">from</span> <span class="nn">zipline.api</span> <span class="kn">import</span> <span class="n">order</span><span class="p">,</span> <span class="n">record</span><span class="p">,</span> <span class="n">symbol</span>
|
||||
directory, <code class="docutils literal"><span class="pre">buy_btc.py</span></code>:</p>
|
||||
<div class="highlight-python"><div class="highlight"><pre><span class="kn">from</span> <span class="nn">catalyst.api</span> <span class="kn">import</span> <span class="n">order</span><span class="p">,</span> <span class="n">record</span><span class="p">,</span> <span class="n">symbol</span>
|
||||
|
||||
|
||||
<span class="k">def</span> <span class="nf">initialize</span><span class="p">(</span><span class="n">context</span><span class="p">):</span>
|
||||
<span class="k">pass</span>
|
||||
<span class="n">context</span><span class="o">.</span><span class="n">asset</span> <span class="o">=</span> <span class="n">symbol</span><span class="p">(</span><span class="s">'btc_usd'</span><span class="p">)</span>
|
||||
|
||||
|
||||
<span class="k">def</span> <span class="nf">handle_data</span><span class="p">(</span><span class="n">context</span><span class="p">,</span> <span class="n">data</span><span class="p">):</span>
|
||||
<span class="n">order</span><span class="p">(</span><span class="n">symbol</span><span class="p">(</span><span class="s">'AAPL'</span><span class="p">),</span> <span class="mi">10</span><span class="p">)</span>
|
||||
<span class="n">record</span><span class="p">(</span><span class="n">AAPL</span><span class="o">=</span><span class="n">data</span><span class="o">.</span><span class="n">current</span><span class="p">(</span><span class="n">symbol</span><span class="p">(</span><span class="s">'AAPL'</span><span class="p">),</span> <span class="s">'price'</span><span class="p">))</span>
|
||||
<span class="n">order</span><span class="p">(</span><span class="n">context</span><span class="o">.</span><span class="n">asset</span><span class="p">,</span> <span class="mi">1</span><span class="p">)</span>
|
||||
<span class="n">record</span><span class="p">(</span><span class="n">btc</span> <span class="o">=</span> <span class="n">data</span><span class="o">.</span><span class="n">current</span><span class="p">(</span><span class="n">context</span><span class="o">.</span><span class="n">asset</span><span class="p">,</span> <span class="s">'price'</span><span class="p">))</span>
|
||||
</pre></div>
|
||||
</div>
|
||||
<p>As you can see, we first have to import some functions we would like to
|
||||
use. All functions commonly used in your algorithm can be found in
|
||||
<code class="docutils literal"><span class="pre">zipline.api</span></code>. Here we are using <code class="xref py py-func docutils literal"><span class="pre">order()</span></code> which takes two
|
||||
arguments: a security object, and a number specifying how many stocks you would
|
||||
<code class="docutils literal"><span class="pre">catalyst.api</span></code>. Here we are using <code class="xref py py-func docutils literal"><span class="pre">order()</span></code> which takes two
|
||||
arguments: a cryptoasset object, and a number specifying how many assets you would
|
||||
like to order (if negative, <code class="xref py py-func docutils literal"><span class="pre">order()</span></code> will sell/short
|
||||
stocks). In this case we want to order 10 shares of Apple at each iteration. For
|
||||
more documentation on <code class="docutils literal"><span class="pre">order()</span></code>, see the <a class="reference external" href="https://www.quantopian.com/help#api-order">Quantopian docs</a>.</p>
|
||||
assets). In this case we want to order 1 bitcoin at each iteration.</p>
|
||||
<p>Finally, the <code class="xref py py-func docutils literal"><span class="pre">record()</span></code> function allows you to save the value
|
||||
of a variable at each iteration. You provide it with a name for the variable
|
||||
together with the variable itself: <code class="docutils literal"><span class="pre">varname=var</span></code>. After the algorithm
|
||||
finished running you will have access to each variable value you tracked
|
||||
with <code class="xref py py-func docutils literal"><span class="pre">record()</span></code> under the name you provided (we will see this
|
||||
further below). You also see how we can access the current price data of the
|
||||
AAPL stock in the <code class="docutils literal"><span class="pre">data</span></code> event frame (for more information see
|
||||
<a class="reference external" href="https://www.quantopian.com/help#api-event-properties">here</a>.</p>
|
||||
further below). You also see how we can access the current price data of
|
||||
a bitcoin in the <code class="docutils literal"><span class="pre">data</span></code> event frame.</p>
|
||||
</div>
|
||||
<div class="section" id="running-the-algorithm">
|
||||
<h2>Running the algorithm<a class="headerlink" href="#running-the-algorithm" title="Permalink to this headline">¶</a></h2>
|
||||
<p>To now test this algorithm on financial data, <code class="docutils literal"><span class="pre">zipline</span></code> provides three
|
||||
interfaces: A command-line interface, <code class="docutils literal"><span class="pre">IPython</span> <span class="pre">Notebook</span></code> magic, and
|
||||
<code class="xref py py-func docutils literal"><span class="pre">run_algorithm()</span></code>.</p>
|
||||
<p>To can now test this algorithm on crypto data, <code class="docutils literal"><span class="pre">catalyst</span></code> provides three
|
||||
interfaces:</p>
|
||||
<ul class="simple">
|
||||
<li>A command-line interface,</li>
|
||||
<li><code class="docutils literal"><span class="pre">IPython</span> <span class="pre">Notebook</span></code> magic,</li>
|
||||
<li>and <code class="xref py py-func docutils literal"><span class="pre">run_algorithm()</span></code>.</li>
|
||||
</ul>
|
||||
<div class="section" id="ingesting-data">
|
||||
<h3>Ingesting Data<a class="headerlink" href="#ingesting-data" title="Permalink to this headline">¶</a></h3>
|
||||
<p>If you haven’t ingested the data, run:</p>
|
||||
<div class="highlight-bash"><div class="highlight"><pre><span class="nv">$ </span>zipline ingest <span class="o">[</span>-b <bundle><span class="o">]</span>
|
||||
</pre></div>
|
||||
</div>
|
||||
<p>where <code class="docutils literal"><span class="pre"><bundle></span></code> is the name of the bundle to ingest, defaulting to
|
||||
<a class="reference internal" href="bundles.html#quantopian-quandl-mirror"><span>quantopian-quandl</span></a>.</p>
|
||||
<p>you can check out the <a class="reference internal" href="bundles.html#ingesting-data"><span>ingesting data</span></a> section for
|
||||
more detail.</p>
|
||||
<h3>Ingesting data<a class="headerlink" href="#ingesting-data" title="Permalink to this headline">¶</a></h3>
|
||||
<p>In previous versions of Catalyst you needed to manually ingest data before running
|
||||
your algorithm to make it available at runtime. Starting with version 0.3, the
|
||||
algorithm will automagically ingest the data it needs the first time that encounters
|
||||
a data request for data that it doesn’t have.</p>
|
||||
<p>Still, we believe it is important for you to have a high-level understanding
|
||||
of how data is managed:</p>
|
||||
<ul class="simple">
|
||||
<li>Pricing data is split and packaged into <code class="docutils literal"><span class="pre">bundles</span></code>: chunks of data organized
|
||||
as time series that are kept up to date daily on Enigma’s servers. Catalyst
|
||||
downloads the bundles that needs at any given time, and reconstructs the whole
|
||||
dataset in your hard drive.</li>
|
||||
<li>Pricing data is provided in <code class="docutils literal"><span class="pre">daily</span></code> and <code class="docutils literal"><span class="pre">minute</span></code> resolution. Those are different
|
||||
bundle datasets, and are managed separately.</li>
|
||||
<li>Bundles are exchange-specific, as the pricing data is specific to the trades that
|
||||
happen in each exchange. You can optionally specify which exchange you want pricing
|
||||
data from.</li>
|
||||
<li>Catalyst keeps track of all the downloaded bundles, so that it only has to download
|
||||
them once, and will do incremental updates as needed.</li>
|
||||
<li>When running in <code class="docutils literal"><span class="pre">live</span> <span class="pre">trading</span></code> mode, Catalyst will first look for historical
|
||||
pricing data in the locally stored bundles. If there is anything missing, Catalyst will
|
||||
hit the exchange for the most recent data, and merge it with the local bundle to make
|
||||
it available for future iterations.</li>
|
||||
</ul>
|
||||
<p>If you want to learn more, check out the <a class="reference internal" href="bundles.html#ingesting-data"><span>ingesting data</span></a> section
|
||||
for more detail.</p>
|
||||
</div>
|
||||
<div class="section" id="command-line-interface">
|
||||
<h3>Command line interface<a class="headerlink" href="#command-line-interface" title="Permalink to this headline">¶</a></h3>
|
||||
<p>After you installed zipline you should be able to execute the following
|
||||
<p>After you installed Catalyst you should be able to execute the following
|
||||
from your command line (e.g. <code class="docutils literal"><span class="pre">cmd.exe</span></code> on Windows, or the Terminal app
|
||||
on OSX):</p>
|
||||
<div class="highlight-bash"><div class="highlight"><pre><span class="nv">$ </span>zipline run --help
|
||||
on OSX). Displaying here a simplified output for eductional purposes:</p>
|
||||
<div class="highlight-bash"><div class="highlight"><pre><span class="nv">$ </span>catalyst --help
|
||||
</pre></div>
|
||||
</div>
|
||||
<div class="highlight-python"><div class="highlight"><pre>Usage: zipline run [OPTIONS]
|
||||
<div class="highlight-python"><div class="highlight"><pre>Usage: catalyst [OPTIONS] COMMAND [ARGS]...
|
||||
|
||||
Top level catalyst entry point.
|
||||
|
||||
Options:
|
||||
--version Show the version and exit.
|
||||
--help Show this message and exit.
|
||||
|
||||
Commands:
|
||||
ingest-exchange Ingest data for the given exchange.
|
||||
live Trade live with the given algorithm.
|
||||
run Run a backtest for the given algorithm.
|
||||
</pre></div>
|
||||
</div>
|
||||
<p>There are three main modes you can run on Catalyst. The first being <code class="docutils literal"><span class="pre">ingest-exchange</span></code>
|
||||
for data ingestion, which we have summarized in the previous section. The second
|
||||
is <code class="docutils literal"><span class="pre">live</span></code> to use your algorithm to trade live against a given exchange, and the
|
||||
third mode <code class="docutils literal"><span class="pre">run</span></code> is to backtest your algorithm before trading live with it.</p>
|
||||
<p>Let’s start with backtesting, so run this other command to learn more about
|
||||
the available options:</p>
|
||||
<div class="highlight-bash"><div class="highlight"><pre><span class="nv">$ </span>catalyst run --help
|
||||
</pre></div>
|
||||
</div>
|
||||
<div class="highlight-python"><div class="highlight"><pre>Usage: catalyst run [OPTIONS]
|
||||
|
||||
Run a backtest for the given algorithm.
|
||||
|
||||
@@ -242,13 +293,13 @@ Options:
|
||||
'-Dname=value'. The value may be any python
|
||||
expression. These are evaluated in order so
|
||||
they may refer to previously defined names.
|
||||
--data-frequency [minute|daily]
|
||||
--data-frequency [daily|minute]
|
||||
The data frequency of the simulation.
|
||||
[default: daily]
|
||||
--capital-base FLOAT The starting capital for the simulation.
|
||||
[default: 10000000.0]
|
||||
-b, --bundle BUNDLE-NAME The data bundle to use for the simulation.
|
||||
[default: quantopian-quandl]
|
||||
[default: poloniex]
|
||||
--bundle-timestamp TIMESTAMP The date to lookup data on or before.
|
||||
[default: <current-time>]
|
||||
-s, --start DATE The start date of the simulation.
|
||||
@@ -257,428 +308,65 @@ Options:
|
||||
is '-' the perf will be written to stdout.
|
||||
[default: -]
|
||||
--print-algo / --no-print-algo Print the algorithm to stdout.
|
||||
-x, --exchange-name [poloniex|bitfinex|bittrex]
|
||||
The name of the targeted exchange
|
||||
(supported: bitfinex, bittrex, poloniex).
|
||||
-n, --algo-namespace TEXT A label assigned to the algorithm for data
|
||||
storage purposes.
|
||||
-c, --base-currency TEXT The base currency used to calculate
|
||||
statistics (e.g. usd, btc, eth).
|
||||
--help Show this message and exit.
|
||||
</pre></div>
|
||||
</div>
|
||||
<p>As you can see there are a couple of flags that specify where to find your
|
||||
algorithm (<code class="docutils literal"><span class="pre">-f</span></code>) as well as parameters specifying which data to use,
|
||||
defaulting to the <a class="reference internal" href="bundles.html#quantopian-quandl-mirror"><span>Quantopian Quandl WIKI Mirror</span></a>. There are also arguments for
|
||||
the date range to run the algorithm over (<code class="docutils literal"><span class="pre">--start</span></code> and <code class="docutils literal"><span class="pre">--end</span></code>). Finally,
|
||||
you’ll want to save the performance metrics of your algorithm so that you can
|
||||
analyze how it performed. This is done via the <code class="docutils literal"><span class="pre">--output</span></code> flag and will cause
|
||||
it to write the performance <code class="docutils literal"><span class="pre">DataFrame</span></code> in the pickle Python file format.
|
||||
Note that you can also define a configuration file with these parameters that
|
||||
you can then conveniently pass to the <code class="docutils literal"><span class="pre">-c</span></code> option so that you don’t have to
|
||||
supply the command line args all the time (see the .conf files in the examples
|
||||
directory).</p>
|
||||
algorithm (<code class="docutils literal"><span class="pre">-f</span></code>) as well as a parameter to specify which exchange to use.
|
||||
There are also arguments for the date range to run the algorithm over
|
||||
(<code class="docutils literal"><span class="pre">--start</span></code> and <code class="docutils literal"><span class="pre">--end</span></code>). Finally, you’ll want to save the performance
|
||||
metrics of your algorithm so that you can analyze how it performed. This is
|
||||
done via the <code class="docutils literal"><span class="pre">--output</span></code> flag and will cause it to write the performance
|
||||
<code class="docutils literal"><span class="pre">DataFrame</span></code> in the pickle Python file format. Note that you can also define
|
||||
a configuration file with these parameters that you can then conveniently pass
|
||||
to the <code class="docutils literal"><span class="pre">-c</span></code> option so that you don’t have to supply the command line args
|
||||
all the time (see the .conf files in the examples directory).</p>
|
||||
<p>Thus, to execute our algorithm from above and save the results to
|
||||
<code class="docutils literal"><span class="pre">buyapple_out.pickle</span></code> we would call <code class="docutils literal"><span class="pre">zipline</span> <span class="pre">run</span></code> as follows:</p>
|
||||
<div class="highlight-python"><div class="highlight"><pre><span class="n">zipline</span> <span class="n">run</span> <span class="o">-</span><span class="n">f</span> <span class="o">../../</span><span class="n">zipline</span><span class="o">/</span><span class="n">examples</span><span class="o">/</span><span class="n">buyapple</span><span class="o">.</span><span class="n">py</span> <span class="o">--</span><span class="n">start</span> <span class="mi">2000</span><span class="o">-</span><span class="mi">1</span><span class="o">-</span><span class="mi">1</span> <span class="o">--</span><span class="n">end</span> <span class="mi">2014</span><span class="o">-</span><span class="mi">1</span><span class="o">-</span><span class="mi">1</span> <span class="o">-</span><span class="n">o</span> <span class="n">buyapple_out</span><span class="o">.</span><span class="n">pickle</span>
|
||||
</pre></div>
|
||||
</div>
|
||||
<div class="highlight-python"><div class="highlight"><pre>AAPL
|
||||
[2015-11-04 22:45:32.820166] INFO: Performance: Simulated 3521 trading days out of 3521.
|
||||
[2015-11-04 22:45:32.820314] INFO: Performance: first open: 2000-01-03 14:31:00+00:00
|
||||
[2015-11-04 22:45:32.820401] INFO: Performance: last close: 2013-12-31 21:00:00+00:00
|
||||
<code class="docutils literal"><span class="pre">buy_btc_simple_out.pickle</span></code> we would call <code class="docutils literal"><span class="pre">catalyst</span> <span class="pre">run</span></code> as follows:</p>
|
||||
<div class="highlight-python"><div class="highlight"><pre><span class="n">catalyst</span> <span class="n">run</span> <span class="o">-</span><span class="n">f</span> <span class="n">buy_btc_simple</span><span class="o">.</span><span class="n">py</span> <span class="o">-</span><span class="n">x</span> <span class="n">bitfinex</span> <span class="o">--</span><span class="n">start</span> <span class="mi">2016</span><span class="o">-</span><span class="mi">1</span><span class="o">-</span><span class="mi">1</span> <span class="o">--</span><span class="n">end</span> <span class="mi">2016</span><span class="o">-</span><span class="mi">9</span><span class="o">-</span><span class="mi">29</span> <span class="o">-</span><span class="n">o</span> <span class="n">buy_simple_btc_out</span><span class="o">.</span><span class="n">pickle</span>
|
||||
</pre></div>
|
||||
</div>
|
||||
<p><code class="docutils literal"><span class="pre">run</span></code> first calls the <code class="docutils literal"><span class="pre">initialize()</span></code> function, and then
|
||||
streams the historical stock price day-by-day through <code class="docutils literal"><span class="pre">handle_data()</span></code>.
|
||||
After each call to <code class="docutils literal"><span class="pre">handle_data()</span></code> we instruct <code class="docutils literal"><span class="pre">zipline</span></code> to order 10
|
||||
stocks of AAPL. After the call of the <code class="docutils literal"><span class="pre">order()</span></code> function, <code class="docutils literal"><span class="pre">zipline</span></code>
|
||||
streams the historical asset price day-by-day through <code class="docutils literal"><span class="pre">handle_data()</span></code>.
|
||||
After each call to <code class="docutils literal"><span class="pre">handle_data()</span></code> we instruct <code class="docutils literal"><span class="pre">catalyst</span></code> to order 1
|
||||
bitcoin. After the call of the <code class="docutils literal"><span class="pre">order()</span></code> function, <code class="docutils literal"><span class="pre">catalyst</span></code>
|
||||
enters the ordered stock and amount in the order book. After the
|
||||
<code class="docutils literal"><span class="pre">handle_data()</span></code> function has finished, <code class="docutils literal"><span class="pre">zipline</span></code> looks for any open
|
||||
<code class="docutils literal"><span class="pre">handle_data()</span></code> function has finished, <code class="docutils literal"><span class="pre">catalyst</span></code> looks for any open
|
||||
orders and tries to fill them. If the trading volume is high enough for
|
||||
this stock, the order is executed after adding the commission and
|
||||
this asset, the order is executed after adding the commission and
|
||||
applying the slippage model which models the influence of your order on
|
||||
the stock price, so your algorithm will be charged more than just the
|
||||
stock price * 10. (Note, that you can also change the commission and
|
||||
slippage model that <code class="docutils literal"><span class="pre">zipline</span></code> uses, see the <a class="reference external" href="https://www.quantopian.com/help#ide-slippage">Quantopian
|
||||
docs</a> for more
|
||||
information).</p>
|
||||
<p>Lets take a quick look at the performance <code class="docutils literal"><span class="pre">DataFrame</span></code>. For this, we
|
||||
asset price. (Note, that you can also change the commission and
|
||||
slippage model that <code class="docutils literal"><span class="pre">catalyst</span></code> uses).</p>
|
||||
<p>Let’s take a quick look at the performance <code class="docutils literal"><span class="pre">DataFrame</span></code>. For this, we
|
||||
use <code class="docutils literal"><span class="pre">pandas</span></code> from inside the IPython Notebook and print the first ten
|
||||
rows. Note that <code class="docutils literal"><span class="pre">zipline</span></code> makes heavy usage of <code class="docutils literal"><span class="pre">pandas</span></code>, especially
|
||||
for data input and outputting so it’s worth spending some time to learn
|
||||
it.</p>
|
||||
rows. Note that <code class="docutils literal"><span class="pre">catalyst</span></code> makes heavy usage of
|
||||
<a class="reference external" href="http://pandas.pydata.org/">pandas</a>, especially for data input and
|
||||
outputting so it’s worth spending some time to learn it.</p>
|
||||
<div class="highlight-python"><div class="highlight"><pre><span class="kn">import</span> <span class="nn">pandas</span> <span class="kn">as</span> <span class="nn">pd</span>
|
||||
<span class="n">perf</span> <span class="o">=</span> <span class="n">pd</span><span class="o">.</span><span class="n">read_pickle</span><span class="p">(</span><span class="s">'buyapple_out.pickle'</span><span class="p">)</span> <span class="c"># read in perf DataFrame</span>
|
||||
<span class="n">perf</span> <span class="o">=</span> <span class="n">pd</span><span class="o">.</span><span class="n">read_pickle</span><span class="p">(</span><span class="s">'buy_btc_simple_out.pickle'</span><span class="p">)</span> <span class="c"># read in perf DataFrame</span>
|
||||
<span class="n">perf</span><span class="o">.</span><span class="n">head</span><span class="p">()</span>
|
||||
</pre></div>
|
||||
</div>
|
||||
<div style="max-height:1000px;max-width:1500px;overflow:auto;">
|
||||
<table border="1" class="dataframe">
|
||||
<thead>
|
||||
<tr style="text-align: right;">
|
||||
<th></th>
|
||||
<th>AAPL</th>
|
||||
<th>algo_volatility</th>
|
||||
<th>algorithm_period_return</th>
|
||||
<th>alpha</th>
|
||||
<th>benchmark_period_return</th>
|
||||
<th>benchmark_volatility</th>
|
||||
<th>beta</th>
|
||||
<th>capital_used</th>
|
||||
<th>ending_cash</th>
|
||||
<th>ending_exposure</th>
|
||||
<th>...</th>
|
||||
<th>short_exposure</th>
|
||||
<th>short_value</th>
|
||||
<th>shorts_count</th>
|
||||
<th>sortino</th>
|
||||
<th>starting_cash</th>
|
||||
<th>starting_exposure</th>
|
||||
<th>starting_value</th>
|
||||
<th>trading_days</th>
|
||||
<th>transactions</th>
|
||||
<th>treasury_period_return</th>
|
||||
</tr>
|
||||
</thead>
|
||||
<tbody>
|
||||
<tr>
|
||||
<th>2000-01-03 21:00:00</th>
|
||||
<td>3.738314</td>
|
||||
<td>0.000000e+00</td>
|
||||
<td>0.000000e+00</td>
|
||||
<td>-0.065800</td>
|
||||
<td>-0.009549</td>
|
||||
<td>0.000000</td>
|
||||
<td>0.000000</td>
|
||||
<td>0.00000</td>
|
||||
<td>10000000.00000</td>
|
||||
<td>0.00000</td>
|
||||
<td>...</td>
|
||||
<td>0</td>
|
||||
<td>0</td>
|
||||
<td>0</td>
|
||||
<td>0.000000</td>
|
||||
<td>10000000.00000</td>
|
||||
<td>0.00000</td>
|
||||
<td>0.00000</td>
|
||||
<td>1</td>
|
||||
<td>[]</td>
|
||||
<td>0.0658</td>
|
||||
</tr>
|
||||
<tr>
|
||||
<th>2000-01-04 21:00:00</th>
|
||||
<td>3.423135</td>
|
||||
<td>3.367492e-07</td>
|
||||
<td>-3.000000e-08</td>
|
||||
<td>-0.064897</td>
|
||||
<td>-0.047528</td>
|
||||
<td>0.323229</td>
|
||||
<td>0.000001</td>
|
||||
<td>-34.53135</td>
|
||||
<td>9999965.46865</td>
|
||||
<td>34.23135</td>
|
||||
<td>...</td>
|
||||
<td>0</td>
|
||||
<td>0</td>
|
||||
<td>0</td>
|
||||
<td>0.000000</td>
|
||||
<td>10000000.00000</td>
|
||||
<td>0.00000</td>
|
||||
<td>0.00000</td>
|
||||
<td>2</td>
|
||||
<td>[{u'order_id': u'513357725cb64a539e3dd02b47da7...</td>
|
||||
<td>0.0649</td>
|
||||
</tr>
|
||||
<tr>
|
||||
<th>2000-01-05 21:00:00</th>
|
||||
<td>3.473229</td>
|
||||
<td>4.001918e-07</td>
|
||||
<td>-9.906000e-09</td>
|
||||
<td>-0.066196</td>
|
||||
<td>-0.045697</td>
|
||||
<td>0.329321</td>
|
||||
<td>0.000001</td>
|
||||
<td>-35.03229</td>
|
||||
<td>9999930.43636</td>
|
||||
<td>69.46458</td>
|
||||
<td>...</td>
|
||||
<td>0</td>
|
||||
<td>0</td>
|
||||
<td>0</td>
|
||||
<td>0.000000</td>
|
||||
<td>9999965.46865</td>
|
||||
<td>34.23135</td>
|
||||
<td>34.23135</td>
|
||||
<td>3</td>
|
||||
<td>[{u'order_id': u'd7d4ad03cfec4d578c0d817dc3829...</td>
|
||||
<td>0.0662</td>
|
||||
</tr>
|
||||
<tr>
|
||||
<th>2000-01-06 21:00:00</th>
|
||||
<td>3.172661</td>
|
||||
<td>4.993979e-06</td>
|
||||
<td>-6.410420e-07</td>
|
||||
<td>-0.065758</td>
|
||||
<td>-0.044785</td>
|
||||
<td>0.298325</td>
|
||||
<td>-0.000006</td>
|
||||
<td>-32.02661</td>
|
||||
<td>9999898.40975</td>
|
||||
<td>95.17983</td>
|
||||
<td>...</td>
|
||||
<td>0</td>
|
||||
<td>0</td>
|
||||
<td>0</td>
|
||||
<td>-12731.780516</td>
|
||||
<td>9999930.43636</td>
|
||||
<td>69.46458</td>
|
||||
<td>69.46458</td>
|
||||
<td>4</td>
|
||||
<td>[{u'order_id': u'1fbf5e9bfd7c4d9cb2e8383e1085e...</td>
|
||||
<td>0.0657</td>
|
||||
</tr>
|
||||
<tr>
|
||||
<th>2000-01-07 21:00:00</th>
|
||||
<td>3.322945</td>
|
||||
<td>5.977002e-06</td>
|
||||
<td>-2.201900e-07</td>
|
||||
<td>-0.065206</td>
|
||||
<td>-0.018908</td>
|
||||
<td>0.375301</td>
|
||||
<td>0.000005</td>
|
||||
<td>-33.52945</td>
|
||||
<td>9999864.88030</td>
|
||||
<td>132.91780</td>
|
||||
<td>...</td>
|
||||
<td>0</td>
|
||||
<td>0</td>
|
||||
<td>0</td>
|
||||
<td>-12629.274583</td>
|
||||
<td>9999898.40975</td>
|
||||
<td>95.17983</td>
|
||||
<td>95.17983</td>
|
||||
<td>5</td>
|
||||
<td>[{u'order_id': u'9ea6b142ff09466b9113331a37437...</td>
|
||||
<td>0.0652</td>
|
||||
</tr>
|
||||
</tbody>
|
||||
</table>
|
||||
<p>5 rows × 39 columns</p>
|
||||
</div><p>As you can see, there is a row for each trading day, starting on the
|
||||
first business day of 2000. In the columns you can find various
|
||||
<p>There is a row for each trading day, starting on the first day of our
|
||||
simulation Jan 1st, 2016. In the columns you can find various
|
||||
information about the state of your algorithm. The very first column
|
||||
<code class="docutils literal"><span class="pre">AAPL</span></code> was placed there by the <code class="docutils literal"><span class="pre">record()</span></code> function mentioned earlier
|
||||
and allows us to plot the price of apple. For example, we could easily
|
||||
<code class="docutils literal"><span class="pre">btc</span></code> was placed there by the <code class="docutils literal"><span class="pre">record()</span></code> function mentioned earlier
|
||||
and allows us to plot the price of bitcoin. For example, we could easily
|
||||
examine now how our portfolio value changed over time compared to the
|
||||
AAPL stock price.</p>
|
||||
<div class="highlight-python"><div class="highlight"><pre><span class="o">%</span><span class="n">pylab</span> <span class="n">inline</span>
|
||||
<span class="n">figsize</span><span class="p">(</span><span class="mi">12</span><span class="p">,</span> <span class="mi">12</span><span class="p">)</span>
|
||||
<span class="kn">import</span> <span class="nn">matplotlib.pyplot</span> <span class="kn">as</span> <span class="nn">plt</span>
|
||||
|
||||
<span class="n">ax1</span> <span class="o">=</span> <span class="n">plt</span><span class="o">.</span><span class="n">subplot</span><span class="p">(</span><span class="mi">211</span><span class="p">)</span>
|
||||
<span class="n">perf</span><span class="o">.</span><span class="n">portfolio_value</span><span class="o">.</span><span class="n">plot</span><span class="p">(</span><span class="n">ax</span><span class="o">=</span><span class="n">ax1</span><span class="p">)</span>
|
||||
<span class="n">ax1</span><span class="o">.</span><span class="n">set_ylabel</span><span class="p">(</span><span class="s">'portfolio value'</span><span class="p">)</span>
|
||||
<span class="n">ax2</span> <span class="o">=</span> <span class="n">plt</span><span class="o">.</span><span class="n">subplot</span><span class="p">(</span><span class="mi">212</span><span class="p">,</span> <span class="n">sharex</span><span class="o">=</span><span class="n">ax1</span><span class="p">)</span>
|
||||
<span class="n">perf</span><span class="o">.</span><span class="n">AAPL</span><span class="o">.</span><span class="n">plot</span><span class="p">(</span><span class="n">ax</span><span class="o">=</span><span class="n">ax2</span><span class="p">)</span>
|
||||
<span class="n">ax2</span><span class="o">.</span><span class="n">set_ylabel</span><span class="p">(</span><span class="s">'AAPL stock price'</span><span class="p">)</span>
|
||||
</pre></div>
|
||||
</div>
|
||||
<div class="highlight-python"><div class="highlight"><pre>Populating the interactive namespace from numpy and matplotlib
|
||||
</pre></div>
|
||||
</div>
|
||||
<div class="highlight-python"><div class="highlight"><pre><matplotlib.text.Text at 0x7ff5c6147f90>
|
||||
</pre></div>
|
||||
</div>
|
||||
<img alt="_images/tutorial_11_2.png" src="_images/tutorial_11_2.png" />
|
||||
<p>As you can see, our algorithm performance as assessed by the
|
||||
<code class="docutils literal"><span class="pre">portfolio_value</span></code> closely matches that of the AAPL stock price. This
|
||||
is not surprising as our algorithm only bought AAPL every chance it got.</p>
|
||||
bitcoin price.</p>
|
||||
<p>Our algorithm performance as assessed by the
|
||||
<code class="docutils literal"><span class="pre">portfolio_value</span></code> closely matches that of the bitcoin price. This
|
||||
is not surprising as our algorithm only bought bitcoin every chance it got.</p>
|
||||
</div>
|
||||
</div>
|
||||
<div class="section" id="ipython-notebook">
|
||||
<h2>IPython Notebook<a class="headerlink" href="#ipython-notebook" title="Permalink to this headline">¶</a></h2>
|
||||
<p>The <a class="reference external" href="http://ipython.org/notebook.html">IPython Notebook</a> is a very
|
||||
powerful browser-based interface to a Python interpreter (this tutorial
|
||||
was written in it). As it is already the de-facto interface for most
|
||||
quantitative researchers <code class="docutils literal"><span class="pre">zipline</span></code> provides an easy way to run your
|
||||
algorithm inside the Notebook without requiring you to use the CLI.</p>
|
||||
<p>To use it you have to write your algorithm in a cell and let <code class="docutils literal"><span class="pre">zipline</span></code>
|
||||
know that it is supposed to run this algorithm. This is done via the
|
||||
<code class="docutils literal"><span class="pre">%%zipline</span></code> IPython magic command that is available after you
|
||||
<code class="docutils literal"><span class="pre">import</span> <span class="pre">zipline</span></code> from within the IPython Notebook. This magic takes
|
||||
the same arguments as the command line interface described above. Thus
|
||||
to run the algorithm from above with the same parameters we just have to
|
||||
execute the following cell after importing <code class="docutils literal"><span class="pre">zipline</span></code> to register the
|
||||
magic.</p>
|
||||
<div class="highlight-python"><div class="highlight"><pre><span class="o">%</span><span class="n">load_ext</span> <span class="n">zipline</span>
|
||||
</pre></div>
|
||||
</div>
|
||||
<div class="highlight-python"><div class="highlight"><pre><span class="o">%%</span><span class="n">zipline</span> <span class="o">--</span><span class="n">start</span> <span class="mi">2000</span><span class="o">-</span><span class="mi">1</span><span class="o">-</span><span class="mi">1</span> <span class="o">--</span><span class="n">end</span> <span class="mi">2014</span><span class="o">-</span><span class="mi">1</span><span class="o">-</span><span class="mi">1</span>
|
||||
<span class="kn">from</span> <span class="nn">zipline.api</span> <span class="kn">import</span> <span class="n">symbol</span><span class="p">,</span> <span class="n">order</span><span class="p">,</span> <span class="n">record</span>
|
||||
|
||||
<span class="k">def</span> <span class="nf">initialize</span><span class="p">(</span><span class="n">context</span><span class="p">):</span>
|
||||
<span class="k">pass</span>
|
||||
|
||||
<span class="k">def</span> <span class="nf">handle_data</span><span class="p">(</span><span class="n">context</span><span class="p">,</span> <span class="n">data</span><span class="p">):</span>
|
||||
<span class="n">order</span><span class="p">(</span><span class="n">symbol</span><span class="p">(</span><span class="s">'AAPL'</span><span class="p">),</span> <span class="mi">10</span><span class="p">)</span>
|
||||
<span class="n">record</span><span class="p">(</span><span class="n">AAPL</span><span class="o">=</span><span class="n">data</span><span class="p">[</span><span class="n">symbol</span><span class="p">(</span><span class="s">'AAPL'</span><span class="p">)]</span><span class="o">.</span><span class="n">price</span><span class="p">)</span>
|
||||
</pre></div>
|
||||
</div>
|
||||
<p>Note that we did not have to specify an input file as above since the
|
||||
magic will use the contents of the cell and look for your algorithm
|
||||
functions there. Also, instead of defining an output file we are
|
||||
specifying a variable name with <code class="docutils literal"><span class="pre">-o</span></code> that will be created in the name
|
||||
space and contain the performance <code class="docutils literal"><span class="pre">DataFrame</span></code> we looked at above.</p>
|
||||
<div class="highlight-python"><div class="highlight"><pre><span class="n">_</span><span class="o">.</span><span class="n">head</span><span class="p">()</span>
|
||||
</pre></div>
|
||||
</div>
|
||||
<div style="max-height:1000px;max-width:1500px;overflow:auto;">
|
||||
<table border="1" class="dataframe">
|
||||
<thead>
|
||||
<tr style="text-align: right;">
|
||||
<th></th>
|
||||
<th>AAPL</th>
|
||||
<th>algo_volatility</th>
|
||||
<th>algorithm_period_return</th>
|
||||
<th>alpha</th>
|
||||
<th>benchmark_period_return</th>
|
||||
<th>benchmark_volatility</th>
|
||||
<th>beta</th>
|
||||
<th>capital_used</th>
|
||||
<th>ending_cash</th>
|
||||
<th>ending_exposure</th>
|
||||
<th>...</th>
|
||||
<th>short_exposure</th>
|
||||
<th>short_value</th>
|
||||
<th>shorts_count</th>
|
||||
<th>sortino</th>
|
||||
<th>starting_cash</th>
|
||||
<th>starting_exposure</th>
|
||||
<th>starting_value</th>
|
||||
<th>trading_days</th>
|
||||
<th>transactions</th>
|
||||
<th>treasury_period_return</th>
|
||||
</tr>
|
||||
</thead>
|
||||
<tbody>
|
||||
<tr>
|
||||
<th>2000-01-03 21:00:00</th>
|
||||
<td>3.738314</td>
|
||||
<td>0.000000e+00</td>
|
||||
<td>0.000000e+00</td>
|
||||
<td>-0.065800</td>
|
||||
<td>-0.009549</td>
|
||||
<td>0.000000</td>
|
||||
<td>0.000000</td>
|
||||
<td>0.00000</td>
|
||||
<td>10000000.00000</td>
|
||||
<td>0.00000</td>
|
||||
<td>...</td>
|
||||
<td>0</td>
|
||||
<td>0</td>
|
||||
<td>0</td>
|
||||
<td>0.000000</td>
|
||||
<td>10000000.00000</td>
|
||||
<td>0.00000</td>
|
||||
<td>0.00000</td>
|
||||
<td>1</td>
|
||||
<td>[]</td>
|
||||
<td>0.0658</td>
|
||||
</tr>
|
||||
<tr>
|
||||
<th>2000-01-04 21:00:00</th>
|
||||
<td>3.423135</td>
|
||||
<td>3.367492e-07</td>
|
||||
<td>-3.000000e-08</td>
|
||||
<td>-0.064897</td>
|
||||
<td>-0.047528</td>
|
||||
<td>0.323229</td>
|
||||
<td>0.000001</td>
|
||||
<td>-34.53135</td>
|
||||
<td>9999965.46865</td>
|
||||
<td>34.23135</td>
|
||||
<td>...</td>
|
||||
<td>0</td>
|
||||
<td>0</td>
|
||||
<td>0</td>
|
||||
<td>0.000000</td>
|
||||
<td>10000000.00000</td>
|
||||
<td>0.00000</td>
|
||||
<td>0.00000</td>
|
||||
<td>2</td>
|
||||
<td>[{u'commission': 0.3, u'amount': 10, u'sid': 0...</td>
|
||||
<td>0.0649</td>
|
||||
</tr>
|
||||
<tr>
|
||||
<th>2000-01-05 21:00:00</th>
|
||||
<td>3.473229</td>
|
||||
<td>4.001918e-07</td>
|
||||
<td>-9.906000e-09</td>
|
||||
<td>-0.066196</td>
|
||||
<td>-0.045697</td>
|
||||
<td>0.329321</td>
|
||||
<td>0.000001</td>
|
||||
<td>-35.03229</td>
|
||||
<td>9999930.43636</td>
|
||||
<td>69.46458</td>
|
||||
<td>...</td>
|
||||
<td>0</td>
|
||||
<td>0</td>
|
||||
<td>0</td>
|
||||
<td>0.000000</td>
|
||||
<td>9999965.46865</td>
|
||||
<td>34.23135</td>
|
||||
<td>34.23135</td>
|
||||
<td>3</td>
|
||||
<td>[{u'commission': 0.3, u'amount': 10, u'sid': 0...</td>
|
||||
<td>0.0662</td>
|
||||
</tr>
|
||||
<tr>
|
||||
<th>2000-01-06 21:00:00</th>
|
||||
<td>3.172661</td>
|
||||
<td>4.993979e-06</td>
|
||||
<td>-6.410420e-07</td>
|
||||
<td>-0.065758</td>
|
||||
<td>-0.044785</td>
|
||||
<td>0.298325</td>
|
||||
<td>-0.000006</td>
|
||||
<td>-32.02661</td>
|
||||
<td>9999898.40975</td>
|
||||
<td>95.17983</td>
|
||||
<td>...</td>
|
||||
<td>0</td>
|
||||
<td>0</td>
|
||||
<td>0</td>
|
||||
<td>-12731.780516</td>
|
||||
<td>9999930.43636</td>
|
||||
<td>69.46458</td>
|
||||
<td>69.46458</td>
|
||||
<td>4</td>
|
||||
<td>[{u'commission': 0.3, u'amount': 10, u'sid': 0...</td>
|
||||
<td>0.0657</td>
|
||||
</tr>
|
||||
<tr>
|
||||
<th>2000-01-07 21:00:00</th>
|
||||
<td>3.322945</td>
|
||||
<td>5.977002e-06</td>
|
||||
<td>-2.201900e-07</td>
|
||||
<td>-0.065206</td>
|
||||
<td>-0.018908</td>
|
||||
<td>0.375301</td>
|
||||
<td>0.000005</td>
|
||||
<td>-33.52945</td>
|
||||
<td>9999864.88030</td>
|
||||
<td>132.91780</td>
|
||||
<td>...</td>
|
||||
<td>0</td>
|
||||
<td>0</td>
|
||||
<td>0</td>
|
||||
<td>-12629.274583</td>
|
||||
<td>9999898.40975</td>
|
||||
<td>95.17983</td>
|
||||
<td>95.17983</td>
|
||||
<td>5</td>
|
||||
<td>[{u'commission': 0.3, u'amount': 10, u'sid': 0...</td>
|
||||
<td>0.0652</td>
|
||||
</tr>
|
||||
</tbody>
|
||||
</table>
|
||||
<p>5 rows × 39 columns</p>
|
||||
</div></div>
|
||||
<div class="section" id="access-to-previous-prices-using-history">
|
||||
<h2>Access to previous prices using <code class="docutils literal"><span class="pre">history</span></code><a class="headerlink" href="#access-to-previous-prices-using-history" title="Permalink to this headline">¶</a></h2>
|
||||
<div class="section" id="working-example-dual-moving-average-cross-over">
|
||||
@@ -697,19 +385,13 @@ we need a new concept: History</p>
|
||||
<p><code class="docutils literal"><span class="pre">data.history()</span></code> is a convenience function that keeps a rolling window of
|
||||
data for you. The first argument is the number of bars you want to
|
||||
collect, the second argument is the unit (either <code class="docutils literal"><span class="pre">'1d'</span></code> for <code class="docutils literal"><span class="pre">'1m'</span></code>
|
||||
but note that you need to have minute-level data for using <code class="docutils literal"><span class="pre">1m</span></code>). For
|
||||
a more detailed description <code class="docutils literal"><span class="pre">history()</span></code>‘s features, see the
|
||||
<a class="reference external" href="https://www.quantopian.com/help#ide-history">Quantopian docs</a>.
|
||||
Let’s look at the strategy which should make this clear:</p>
|
||||
<div class="highlight-python"><div class="highlight"><pre><span class="o">%%</span><span class="n">zipline</span> <span class="o">--</span><span class="n">start</span> <span class="mi">2000</span><span class="o">-</span><span class="mi">1</span><span class="o">-</span><span class="mi">1</span> <span class="o">--</span><span class="n">end</span> <span class="mi">2012</span><span class="o">-</span><span class="mi">1</span><span class="o">-</span><span class="mi">1</span> <span class="o">-</span><span class="n">o</span> <span class="n">dma</span><span class="o">.</span><span class="n">pickle</span>
|
||||
but note that you need to have minute-level data for using <code class="docutils literal"><span class="pre">1m</span></code>). This is
|
||||
a function we use in the <code class="docutils literal"><span class="pre">handle_data()</span></code> section:</p>
|
||||
<div class="highlight-python"><div class="highlight"><pre> <span class="kn">from</span> <span class="nn">catalyst.api</span> <span class="kn">import</span> <span class="n">order</span><span class="p">,</span> <span class="n">record</span><span class="p">,</span> <span class="n">symbol</span>
|
||||
|
||||
|
||||
<span class="kn">from</span> <span class="nn">zipline.api</span> <span class="kn">import</span> <span class="n">order_target</span><span class="p">,</span> <span class="n">record</span><span class="p">,</span> <span class="n">symbol</span>
|
||||
|
||||
<span class="k">def</span> <span class="nf">initialize</span><span class="p">(</span><span class="n">context</span><span class="p">):</span>
|
||||
<span class="k">def</span> <span class="nf">initialize</span><span class="p">(</span><span class="n">context</span><span class="p">):</span>
|
||||
<span class="n">context</span><span class="o">.</span><span class="n">i</span> <span class="o">=</span> <span class="mi">0</span>
|
||||
<span class="n">context</span><span class="o">.</span><span class="n">asset</span> <span class="o">=</span> <span class="n">symbol</span><span class="p">(</span><span class="s">'AAPL'</span><span class="p">)</span>
|
||||
|
||||
<span class="n">context</span><span class="o">.</span><span class="n">asset</span> <span class="o">=</span> <span class="n">symbol</span><span class="p">(</span><span class="s">'btc_usd'</span><span class="p">)</span>
|
||||
|
||||
<span class="k">def</span> <span class="nf">handle_data</span><span class="p">(</span><span class="n">context</span><span class="p">,</span> <span class="n">data</span><span class="p">):</span>
|
||||
<span class="c"># Skip first 300 days to get full windows</span>
|
||||
@@ -732,67 +414,25 @@ Let’s look at the strategy which should make this clear:</p>
|
||||
<span class="n">order_target</span><span class="p">(</span><span class="n">context</span><span class="o">.</span><span class="n">asset</span><span class="p">,</span> <span class="mi">0</span><span class="p">)</span>
|
||||
|
||||
<span class="c"># Save values for later inspection</span>
|
||||
<span class="n">record</span><span class="p">(</span><span class="n">AAPL</span><span class="o">=</span><span class="n">data</span><span class="o">.</span><span class="n">current</span><span class="p">(</span><span class="n">context</span><span class="o">.</span><span class="n">asset</span><span class="p">,</span> <span class="s">'price'</span><span class="p">),</span>
|
||||
<span class="n">record</span><span class="p">(</span><span class="n">btc</span><span class="o">=</span><span class="n">data</span><span class="o">.</span><span class="n">current</span><span class="p">(</span><span class="n">context</span><span class="o">.</span><span class="n">asset</span><span class="p">,</span> <span class="s">'price'</span><span class="p">),</span>
|
||||
<span class="n">short_mavg</span><span class="o">=</span><span class="n">short_mavg</span><span class="p">,</span>
|
||||
<span class="n">long_mavg</span><span class="o">=</span><span class="n">long_mavg</span><span class="p">)</span>
|
||||
|
||||
|
||||
<span class="k">def</span> <span class="nf">analyze</span><span class="p">(</span><span class="n">context</span><span class="p">,</span> <span class="n">perf</span><span class="p">):</span>
|
||||
<span class="n">fig</span> <span class="o">=</span> <span class="n">plt</span><span class="o">.</span><span class="n">figure</span><span class="p">()</span>
|
||||
<span class="n">ax1</span> <span class="o">=</span> <span class="n">fig</span><span class="o">.</span><span class="n">add_subplot</span><span class="p">(</span><span class="mi">211</span><span class="p">)</span>
|
||||
<span class="n">perf</span><span class="o">.</span><span class="n">portfolio_value</span><span class="o">.</span><span class="n">plot</span><span class="p">(</span><span class="n">ax</span><span class="o">=</span><span class="n">ax1</span><span class="p">)</span>
|
||||
<span class="n">ax1</span><span class="o">.</span><span class="n">set_ylabel</span><span class="p">(</span><span class="s">'portfolio value in $'</span><span class="p">)</span>
|
||||
|
||||
<span class="n">ax2</span> <span class="o">=</span> <span class="n">fig</span><span class="o">.</span><span class="n">add_subplot</span><span class="p">(</span><span class="mi">212</span><span class="p">)</span>
|
||||
<span class="n">perf</span><span class="p">[</span><span class="s">'AAPL'</span><span class="p">]</span><span class="o">.</span><span class="n">plot</span><span class="p">(</span><span class="n">ax</span><span class="o">=</span><span class="n">ax2</span><span class="p">)</span>
|
||||
<span class="n">perf</span><span class="p">[[</span><span class="s">'short_mavg'</span><span class="p">,</span> <span class="s">'long_mavg'</span><span class="p">]]</span><span class="o">.</span><span class="n">plot</span><span class="p">(</span><span class="n">ax</span><span class="o">=</span><span class="n">ax2</span><span class="p">)</span>
|
||||
|
||||
<span class="n">perf_trans</span> <span class="o">=</span> <span class="n">perf</span><span class="o">.</span><span class="n">ix</span><span class="p">[[</span><span class="n">t</span> <span class="o">!=</span> <span class="p">[]</span> <span class="k">for</span> <span class="n">t</span> <span class="ow">in</span> <span class="n">perf</span><span class="o">.</span><span class="n">transactions</span><span class="p">]]</span>
|
||||
<span class="n">buys</span> <span class="o">=</span> <span class="n">perf_trans</span><span class="o">.</span><span class="n">ix</span><span class="p">[[</span><span class="n">t</span><span class="p">[</span><span class="mi">0</span><span class="p">][</span><span class="s">'amount'</span><span class="p">]</span> <span class="o">></span> <span class="mi">0</span> <span class="k">for</span> <span class="n">t</span> <span class="ow">in</span> <span class="n">perf_trans</span><span class="o">.</span><span class="n">transactions</span><span class="p">]]</span>
|
||||
<span class="n">sells</span> <span class="o">=</span> <span class="n">perf_trans</span><span class="o">.</span><span class="n">ix</span><span class="p">[</span>
|
||||
<span class="p">[</span><span class="n">t</span><span class="p">[</span><span class="mi">0</span><span class="p">][</span><span class="s">'amount'</span><span class="p">]</span> <span class="o"><</span> <span class="mi">0</span> <span class="k">for</span> <span class="n">t</span> <span class="ow">in</span> <span class="n">perf_trans</span><span class="o">.</span><span class="n">transactions</span><span class="p">]]</span>
|
||||
<span class="n">ax2</span><span class="o">.</span><span class="n">plot</span><span class="p">(</span><span class="n">buys</span><span class="o">.</span><span class="n">index</span><span class="p">,</span> <span class="n">perf</span><span class="o">.</span><span class="n">short_mavg</span><span class="o">.</span><span class="n">ix</span><span class="p">[</span><span class="n">buys</span><span class="o">.</span><span class="n">index</span><span class="p">],</span>
|
||||
<span class="s">'^'</span><span class="p">,</span> <span class="n">markersize</span><span class="o">=</span><span class="mi">10</span><span class="p">,</span> <span class="n">color</span><span class="o">=</span><span class="s">'m'</span><span class="p">)</span>
|
||||
<span class="n">ax2</span><span class="o">.</span><span class="n">plot</span><span class="p">(</span><span class="n">sells</span><span class="o">.</span><span class="n">index</span><span class="p">,</span> <span class="n">perf</span><span class="o">.</span><span class="n">short_mavg</span><span class="o">.</span><span class="n">ix</span><span class="p">[</span><span class="n">sells</span><span class="o">.</span><span class="n">index</span><span class="p">],</span>
|
||||
<span class="s">'v'</span><span class="p">,</span> <span class="n">markersize</span><span class="o">=</span><span class="mi">10</span><span class="p">,</span> <span class="n">color</span><span class="o">=</span><span class="s">'k'</span><span class="p">)</span>
|
||||
<span class="n">ax2</span><span class="o">.</span><span class="n">set_ylabel</span><span class="p">(</span><span class="s">'price in $'</span><span class="p">)</span>
|
||||
<span class="n">plt</span><span class="o">.</span><span class="n">legend</span><span class="p">(</span><span class="n">loc</span><span class="o">=</span><span class="mi">0</span><span class="p">)</span>
|
||||
<span class="n">plt</span><span class="o">.</span><span class="n">show</span><span class="p">()</span>
|
||||
</pre></div>
|
||||
</div>
|
||||
<img alt="_images/tutorial_22_1.png" src="_images/tutorial_22_1.png" />
|
||||
<p>Here we are explicitly defining an <code class="docutils literal"><span class="pre">analyze()</span></code> function that gets
|
||||
automatically called once the backtest is done (this is not possible on
|
||||
Quantopian currently).</p>
|
||||
<p>Although it might not be directly apparent, the power of <code class="docutils literal"><span class="pre">history()</span></code>
|
||||
(pun intended) can not be under-estimated as most algorithms make use of
|
||||
prior market developments in one form or another. You could easily
|
||||
devise a strategy that trains a classifier with
|
||||
<a class="reference external" href="http://scikit-learn.org/stable/">scikit-learn</a> which tries to
|
||||
predict future market movements based on past prices (note, that most of
|
||||
the <code class="docutils literal"><span class="pre">scikit-learn</span></code> functions require <code class="docutils literal"><span class="pre">numpy.ndarray</span></code>s rather than
|
||||
<code class="docutils literal"><span class="pre">pandas.DataFrame</span></code>s, so you can simply pass the underlying
|
||||
<code class="docutils literal"><span class="pre">ndarray</span></code> of a <code class="docutils literal"><span class="pre">DataFrame</span></code> via <code class="docutils literal"><span class="pre">.values</span></code>).</p>
|
||||
<p>We also used the <code class="docutils literal"><span class="pre">order_target()</span></code> function above. This and other
|
||||
functions like it can make order management and portfolio rebalancing
|
||||
much easier. See the <a class="reference external" href="https://www.quantopian.com/help#api-order-methods">Quantopian documentation on order
|
||||
functions</a> fore
|
||||
more details.</p>
|
||||
</div>
|
||||
</div>
|
||||
<div class="section" id="conclusions">
|
||||
<h2>Conclusions<a class="headerlink" href="#conclusions" title="Permalink to this headline">¶</a></h2>
|
||||
<p>We hope that this tutorial gave you a little insight into the
|
||||
architecture, API, and features of <code class="docutils literal"><span class="pre">zipline</span></code>. For next steps, check
|
||||
architecture, API, and features of <code class="docutils literal"><span class="pre">catalyst</span></code>. For next steps, check
|
||||
out some of the
|
||||
<a class="reference external" href="https://github.com/quantopian/zipline/tree/master/zipline/examples">examples</a>.</p>
|
||||
<p>Feel free to ask questions on <a class="reference external" href="https://groups.google.com/forum/#!forum/zipline">our mailing
|
||||
list</a>, report
|
||||
problems on our <a class="reference external" href="https://github.com/quantopian/zipline/issues?state=open">GitHub issue
|
||||
tracker</a>,
|
||||
<a class="reference external" href="https://github.com/quantopian/zipline/wiki/Contribution-Requests">get
|
||||
involved</a>,
|
||||
and <a class="reference external" href="https://quantopian.com">checkout Quantopian</a>.</p>
|
||||
<a class="reference external" href="https://github.com/enigmampc/catalyst/tree/master/catalyst/examples">examples</a>.
|
||||
The natural next step would be too look into the
|
||||
<a class="reference external" href="https://github.com/enigmampc/catalyst/blob/master/catalyst/examples/buy_and_hodl.py">buy_and_hodl</a>
|
||||
example, which is a more elaborated and realistic version of the <code class="docutils literal"><span class="pre">buy_btc_simple</span></code> example presented in this tutorial.</p>
|
||||
<p>Feel free to ask questions on the <code class="docutils literal"><span class="pre">#catalyst_dev</span></code> channel of our
|
||||
<a class="reference external" href="https://discord.gg/SJK32GY">Discord group</a> and report
|
||||
problems on our <a class="reference external" href="https://github.com/enigmampc/catalyst/issues">GitHub issue tracker</a>.</p>
|
||||
</div>
|
||||
</div>
|
||||
|
||||
@@ -800,6 +440,13 @@ and <a class="reference external" href="https://quantopian.com">checkout Quantop
|
||||
</div>
|
||||
<footer>
|
||||
|
||||
<div class="rst-footer-buttons" role="navigation" aria-label="footer navigation">
|
||||
|
||||
|
||||
<a href="install.html" class="btn btn-neutral" title="Install" accesskey="p"><span class="fa fa-arrow-circle-left"></span> Previous</a>
|
||||
|
||||
</div>
|
||||
|
||||
|
||||
<hr/>
|
||||
|
||||
|
||||
@@ -90,6 +90,21 @@
|
||||
<li class="toctree-l2"><a class="reference internal" href="install.html#getting-help">Getting Help</a></li>
|
||||
</ul>
|
||||
</li>
|
||||
<li class="toctree-l1"><a class="reference internal" href="beginner-tutorial.html">Catalyst Beginner Tutorial</a><ul>
|
||||
<li class="toctree-l2"><a class="reference internal" href="beginner-tutorial.html#basics">Basics</a></li>
|
||||
<li class="toctree-l2"><a class="reference internal" href="beginner-tutorial.html#my-first-algorithm">My first algorithm</a></li>
|
||||
<li class="toctree-l2"><a class="reference internal" href="beginner-tutorial.html#running-the-algorithm">Running the algorithm</a><ul>
|
||||
<li class="toctree-l3"><a class="reference internal" href="beginner-tutorial.html#ingesting-data">Ingesting data</a></li>
|
||||
<li class="toctree-l3"><a class="reference internal" href="beginner-tutorial.html#command-line-interface">Command line interface</a></li>
|
||||
</ul>
|
||||
</li>
|
||||
<li class="toctree-l2"><a class="reference internal" href="beginner-tutorial.html#access-to-previous-prices-using-history">Access to previous prices using <code class="docutils literal"><span class="pre">history</span></code></a><ul>
|
||||
<li class="toctree-l3"><a class="reference internal" href="beginner-tutorial.html#working-example-dual-moving-average-cross-over">Working example: Dual Moving Average Cross-Over</a></li>
|
||||
</ul>
|
||||
</li>
|
||||
<li class="toctree-l2"><a class="reference internal" href="beginner-tutorial.html#conclusions">Conclusions</a></li>
|
||||
</ul>
|
||||
</li>
|
||||
</ul>
|
||||
|
||||
|
||||
|
||||
+23
-2
@@ -90,6 +90,21 @@
|
||||
<li class="toctree-l2"><a class="reference internal" href="install.html#getting-help">Getting Help</a></li>
|
||||
</ul>
|
||||
</li>
|
||||
<li class="toctree-l1"><a class="reference internal" href="beginner-tutorial.html">Catalyst Beginner Tutorial</a><ul>
|
||||
<li class="toctree-l2"><a class="reference internal" href="beginner-tutorial.html#basics">Basics</a></li>
|
||||
<li class="toctree-l2"><a class="reference internal" href="beginner-tutorial.html#my-first-algorithm">My first algorithm</a></li>
|
||||
<li class="toctree-l2"><a class="reference internal" href="beginner-tutorial.html#running-the-algorithm">Running the algorithm</a><ul>
|
||||
<li class="toctree-l3"><a class="reference internal" href="beginner-tutorial.html#ingesting-data">Ingesting data</a></li>
|
||||
<li class="toctree-l3"><a class="reference internal" href="beginner-tutorial.html#command-line-interface">Command line interface</a></li>
|
||||
</ul>
|
||||
</li>
|
||||
<li class="toctree-l2"><a class="reference internal" href="beginner-tutorial.html#access-to-previous-prices-using-history">Access to previous prices using <code class="docutils literal"><span class="pre">history</span></code></a><ul>
|
||||
<li class="toctree-l3"><a class="reference internal" href="beginner-tutorial.html#working-example-dual-moving-average-cross-over">Working example: Dual Moving Average Cross-Over</a></li>
|
||||
</ul>
|
||||
</li>
|
||||
<li class="toctree-l2"><a class="reference internal" href="beginner-tutorial.html#conclusions">Conclusions</a></li>
|
||||
</ul>
|
||||
</li>
|
||||
</ul>
|
||||
|
||||
|
||||
@@ -139,8 +154,13 @@ data-driven investment strategies.</p>
|
||||
<h1>Features<a class="headerlink" href="#features" title="Permalink to this headline">¶</a></h1>
|
||||
<ul class="simple">
|
||||
<li>Ease of use: Catalyst tries to get out of your way so that you can
|
||||
focus on algorithm development. See examples provided.</li>
|
||||
<li>Support for several of the top crypto-exchanges by trading volume.</li>
|
||||
focus on algorithm development. See
|
||||
<a class="reference external" href="https://github.com/enigmampc/catalyst/tree/master/catalyst/examples">examples</a>
|
||||
provided.</li>
|
||||
<li>Support for several of the top crypto-exchanges by trading volume:
|
||||
<a class="reference external" href="https://www.bitfinex.com">Bitfinex</a>, <a class="reference external" href="http://www.bittrex.com">Bittrex</a>,
|
||||
and <a class="reference external" href="https://www.poloniex.com">Poloniex</a>.</li>
|
||||
<li>Secure: You and only you have access to each exchange API keys for your accounts.</li>
|
||||
<li>Input of historical pricing data of all crypto-assets by exchange,
|
||||
with daily and minute resolution.</li>
|
||||
<li>Backtesting and live-trading functionality, with a seamless transition
|
||||
@@ -160,6 +180,7 @@ visualization of state-of-the-art trading systems.</li>
|
||||
<div class="toctree-wrapper compound">
|
||||
<ul>
|
||||
<li class="toctree-l1"><a class="reference internal" href="install.html">Install</a></li>
|
||||
<li class="toctree-l1"><a class="reference internal" href="beginner-tutorial.html">Catalyst Beginner Tutorial</a></li>
|
||||
</ul>
|
||||
</div>
|
||||
</div>
|
||||
|
||||
+15
@@ -89,6 +89,21 @@
|
||||
<li class="toctree-l2"><a class="reference internal" href="install.html#getting-help">Getting Help</a></li>
|
||||
</ul>
|
||||
</li>
|
||||
<li class="toctree-l1"><a class="reference internal" href="beginner-tutorial.html">Catalyst Beginner Tutorial</a><ul>
|
||||
<li class="toctree-l2"><a class="reference internal" href="beginner-tutorial.html#basics">Basics</a></li>
|
||||
<li class="toctree-l2"><a class="reference internal" href="beginner-tutorial.html#my-first-algorithm">My first algorithm</a></li>
|
||||
<li class="toctree-l2"><a class="reference internal" href="beginner-tutorial.html#running-the-algorithm">Running the algorithm</a><ul>
|
||||
<li class="toctree-l3"><a class="reference internal" href="beginner-tutorial.html#ingesting-data">Ingesting data</a></li>
|
||||
<li class="toctree-l3"><a class="reference internal" href="beginner-tutorial.html#command-line-interface">Command line interface</a></li>
|
||||
</ul>
|
||||
</li>
|
||||
<li class="toctree-l2"><a class="reference internal" href="beginner-tutorial.html#access-to-previous-prices-using-history">Access to previous prices using <code class="docutils literal"><span class="pre">history</span></code></a><ul>
|
||||
<li class="toctree-l3"><a class="reference internal" href="beginner-tutorial.html#working-example-dual-moving-average-cross-over">Working example: Dual Moving Average Cross-Over</a></li>
|
||||
</ul>
|
||||
</li>
|
||||
<li class="toctree-l2"><a class="reference internal" href="beginner-tutorial.html#conclusions">Conclusions</a></li>
|
||||
</ul>
|
||||
</li>
|
||||
</ul>
|
||||
|
||||
|
||||
|
||||
+1
-1
File diff suppressed because one or more lines are too long
+23
-2
@@ -89,6 +89,22 @@
|
||||
<li class="toctree-l2"><a class="reference internal" href="install.html#getting-help">Getting Help</a></li>
|
||||
</ul>
|
||||
</li>
|
||||
<li class="toctree-l1"><a class="reference internal" href="beginner-tutorial.html">Catalyst Beginner Tutorial</a><ul>
|
||||
<li class="toctree-l2"><a class="reference internal" href="beginner-tutorial.html#basics">Basics</a></li>
|
||||
<li class="toctree-l2"><a class="reference internal" href="beginner-tutorial.html#my-first-algorithm">My first algorithm</a></li>
|
||||
<li class="toctree-l2"><a class="reference internal" href="beginner-tutorial.html#running-the-algorithm">Running the algorithm</a><ul>
|
||||
<li class="toctree-l3"><a class="reference internal" href="beginner-tutorial.html#ingesting-data">Ingesting Data</a></li>
|
||||
<li class="toctree-l3"><a class="reference internal" href="beginner-tutorial.html#command-line-interface">Command line interface</a></li>
|
||||
</ul>
|
||||
</li>
|
||||
<li class="toctree-l2"><a class="reference internal" href="beginner-tutorial.html#ipython-notebook">IPython Notebook</a></li>
|
||||
<li class="toctree-l2"><a class="reference internal" href="beginner-tutorial.html#access-to-previous-prices-using-history">Access to previous prices using <code class="docutils literal"><span class="pre">history</span></code></a><ul>
|
||||
<li class="toctree-l3"><a class="reference internal" href="beginner-tutorial.html#working-example-dual-moving-average-cross-over">Working example: Dual Moving Average Cross-Over</a></li>
|
||||
</ul>
|
||||
</li>
|
||||
<li class="toctree-l2"><a class="reference internal" href="beginner-tutorial.html#conclusions">Conclusions</a></li>
|
||||
</ul>
|
||||
</li>
|
||||
</ul>
|
||||
|
||||
|
||||
@@ -138,8 +154,13 @@ data-driven investment strategies.</p>
|
||||
<h1>Features<a class="headerlink" href="#features" title="Permalink to this headline">¶</a></h1>
|
||||
<ul class="simple">
|
||||
<li>Ease of use: Catalyst tries to get out of your way so that you can
|
||||
focus on algorithm development. See examples provided.</li>
|
||||
<li>Support for several of the top crypto-exchanges by trading volume.</li>
|
||||
focus on algorithm development. See
|
||||
<a class="reference external" href="https://github.com/enigmampc/catalyst/tree/master/catalyst/examples">examples</a>
|
||||
provided.</li>
|
||||
<li>Support for several of the top crypto-exchanges by trading volume:
|
||||
<a class="reference external" href="https://www.bitfinex.com">Bitfinex</a>, <a class="reference external" href="http://www.bittrex.com">Bittrex</a>,
|
||||
and <a class="reference external" href="https://www.poloniex.com">Poloniex</a>.</li>
|
||||
<li>Secure: You and only you have access to each exchange API keys for your accounts.</li>
|
||||
<li>Input of historical pricing data of all crypto-assets by exchange,
|
||||
with daily and minute resolution.</li>
|
||||
<li>Backtesting and live-trading functionality, with a seamless transition
|
||||
|
||||
Reference in New Issue
Block a user