Merge branch 'master' into develop

2026-06-30 14:58:21 +08:00 · 2017-11-29 09:24:59 -07:00
parent daeccaed36 7abd992d17
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+'''Use this code to execute a portfolio optimization model. This code 
+   will select the portfolio with the maximum Sharpe Ratio. The parameters 
+   are set to use 180 days of historical data and rebalance every 30 days.
+   
+   This is the code used in the following article:
+   https://blog.enigma.co/markowitz-portfolio-optimization-for-cryptocurrencies-in-catalyst-b23c38652556
+
+   You can run this code using the Python interpreter:
+
+   $ python portfolio_optimization.py
+'''
+
+from __future__ import division
+import os
+import pytz
+import numpy as np
+import pandas as pd
+from scipy.optimize import minimize
+import matplotlib.pyplot as plt
+from datetime import datetime
+
+from catalyst.api import record, symbol, symbols, order_target_percent
+from catalyst.utils.run_algo import run_algorithm
+
+np.set_printoptions(threshold='nan', suppress=True)
+
+
+def initialize(context):
+   # Portfolio assets list
+   context.assets = symbols('btc_usdt', 'eth_usdt', 'ltc_usdt', 'dash_usdt',
+                            'xmr_usdt')
+   context.nassets = len(context.assets)
+   # Set the time window that will be used to compute expected return 
+   # and asset correlations
+   context.window = 180
+   # Set the number of days between each portfolio rebalancing
+   context.rebalance_period = 30                   
+   context.i = 0
+
+   
+def handle_data(context, data):
+   # Only rebalance at the beggining of the algorithm execution and 
+   # every multiple of the rebalance period
+   if context.i == 0 or context.i%context.rebalance_period == 0:
+       n = context.window
+       prices = data.history(context.assets, fields='price', 
+                             bar_count=n+1, frequency='1d') 
+       pr = np.asmatrix(prices)
+       t_prices = prices.iloc[1:n+1]
+       t_val = t_prices.values
+       tminus_prices = prices.iloc[0:n]
+       tminus_val = tminus_prices.values
+       # Compute daily returns (r)
+       r = np.asmatrix(t_val/tminus_val-1)
+       # Compute the expected returns of each asset with the average 
+       # daily return for the selected time window
+       m = np.asmatrix(np.mean(r, axis=0))
+       # ###
+       stds = np.std(r, axis=0)
+       # Compute excess returns matrix (xr)
+       xr = r - m
+       # Matrix algebra to get variance-covariance matrix
+       cov_m = np.dot(np.transpose(xr),xr)/n
+       # Compute asset correlation matrix (informative only)
+       corr_m = cov_m/np.dot(np.transpose(stds),stds)
+       
+       # Define portfolio optimization parameters
+       n_portfolios = 50000
+       results_array = np.zeros((3+context.nassets,n_portfolios))
+       for p in xrange(n_portfolios):
+           weights = np.random.random(context.nassets)
+           weights /= np.sum(weights)
+           w = np.asmatrix(weights)
+           p_r = np.sum(np.dot(w,np.transpose(m)))*365
+           p_std = np.sqrt(np.dot(np.dot(w,cov_m),np.transpose(w)))*np.sqrt(365)
+           
+           #store results in results array
+           results_array[0,p] = p_r
+           results_array[1,p] = p_std
+           #store Sharpe Ratio (return / volatility) - risk free rate element 
+           #excluded for simplicity
+           results_array[2,p] = results_array[0,p] / results_array[1,p]
+           i = 0
+           for iw in weights:
+               results_array[3+i,p] = weights[i]
+               i += 1
+       
+       #convert results array to Pandas DataFrame
+       results_frame = pd.DataFrame(np.transpose(results_array),
+                          columns=['r','stdev','sharpe']+context.assets)
+       #locate position of portfolio with highest Sharpe Ratio
+       max_sharpe_port = results_frame.iloc[results_frame['sharpe'].idxmax()]
+       #locate positon of portfolio with minimum standard deviation
+       min_vol_port = results_frame.iloc[results_frame['stdev'].idxmin()]
+       
+       #order optimal weights for each asset
+       for asset in context.assets:
+           if data.can_trade(asset):
+               order_target_percent(asset, max_sharpe_port[asset])
+       
+       #create scatter plot coloured by Sharpe Ratio
+       plt.scatter(results_frame.stdev,results_frame.r,c=results_frame.sharpe,cmap='RdYlGn')
+       plt.xlabel('Volatility')
+       plt.ylabel('Returns')
+       plt.colorbar()
+       #plot red star to highlight position of portfolio with highest Sharpe Ratio
+       plt.scatter(max_sharpe_port[1],max_sharpe_port[0],marker='o',color='b',s=200)
+       #plot green star to highlight position of minimum variance portfolio
+       plt.show()
+       print(max_sharpe_port)
+       record(pr=pr,r=r, m=m, stds=stds ,max_sharpe_port=max_sharpe_port, corr_m=corr_m)
+   context.i += 1
+   
+       
+def analyze(context=None, results=None):
+   # Form DataFrame with selected data
+   data = results[['pr','r','m','stds','max_sharpe_port','corr_m','portfolio_value']]
+   
+   # Save results in CSV file
+   filename = os.path.splitext(os.path.basename(__file__))[0]
+   data.to_csv(filename + '.csv')
+
+
+# Bitcoin data is available from 2015-3-2. Dates vary for other tokens.    
+start = datetime(2017, 1, 1, 0, 0, 0, 0, pytz.utc)
+end = datetime(2017, 8, 16, 0, 0, 0, 0, pytz.utc) 
+results = run_algorithm(initialize=initialize,
+                        handle_data=handle_data,
+                        analyze=analyze,
+                        start=start,
+                        end=end,
+                        exchange_name='poloniex',
+                        capital_base=100000, )