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DOC: linking example_algo to their sources
This commit is contained in:
Victor Grau Serrat
+1
-1
@@ -1879,7 +1879,7 @@ Assets.</p>
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<dl class="class">
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<dt id="catalyst.utils.calendars.TradingCalendar">
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<em class="property">class </em><code class="descclassname">catalyst.utils.calendars.</code><code class="descname">TradingCalendar</code><span class="sig-paren">(</span><em>start=Timestamp('1990-01-01 00:00:00+0000'</em>, <em>tz='UTC')</em>, <em>end=Timestamp('2019-02-21 15:47:44.100762+0000'</em>, <em>tz='UTC')</em><span class="sig-paren">)</span><a class="reference internal" href="_modules/catalyst/utils/calendars/trading_calendar.html#TradingCalendar"><span class="viewcode-link">[source]</span></a><a class="headerlink" href="#catalyst.utils.calendars.TradingCalendar" title="Permalink to this definition">¶</a></dt>
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<em class="property">class </em><code class="descclassname">catalyst.utils.calendars.</code><code class="descname">TradingCalendar</code><span class="sig-paren">(</span><em>start=Timestamp('1990-01-01 00:00:00+0000'</em>, <em>tz='UTC')</em>, <em>end=Timestamp('2019-02-21 22:39:49.439971+0000'</em>, <em>tz='UTC')</em><span class="sig-paren">)</span><a class="reference internal" href="_modules/catalyst/utils/calendars/trading_calendar.html#TradingCalendar"><span class="viewcode-link">[source]</span></a><a class="headerlink" href="#catalyst.utils.calendars.TradingCalendar" title="Permalink to this definition">¶</a></dt>
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<dd><p>An TradingCalendar represents the timing information of a single market
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exchange.</p>
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<p>The timing information is made up of two parts: sessions, and opens/closes.</p>
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+57
-35
@@ -689,19 +689,20 @@ follow. Most of the added some complexity has been added to beautify the output,
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which you can skim through for now. A copy of this algorithm is available in
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the <code class="docutils literal"><span class="pre">examples</span></code> directory:
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<a class="reference external" href="https://github.com/enigmampc/catalyst/blob/master/catalyst/examples/dual_moving_average.py">dual_moving_average.py</a>.</p>
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<div class="highlight-python"><div class="highlight"><pre><span></span><span class="kn">import</span> <span class="nn">numpy</span> <span class="kn">as</span> <span class="nn">np</span>
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<div class="highlight-python"><div class="highlight"><pre><span></span><span class="kn">import</span> <span class="nn">matplotlib.pyplot</span> <span class="kn">as</span> <span class="nn">plt</span>
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<span class="kn">import</span> <span class="nn">numpy</span> <span class="kn">as</span> <span class="nn">np</span>
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<span class="kn">import</span> <span class="nn">pandas</span> <span class="kn">as</span> <span class="nn">pd</span>
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<span class="kn">from</span> <span class="nn">logbook</span> <span class="kn">import</span> <span class="n">Logger</span>
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<span class="kn">import</span> <span class="nn">matplotlib.pyplot</span> <span class="kn">as</span> <span class="nn">plt</span>
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<span class="kn">from</span> <span class="nn">catalyst</span> <span class="kn">import</span> <span class="n">run_algorithm</span>
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<span class="kn">from</span> <span class="nn">catalyst.api</span> <span class="kn">import</span> <span class="p">(</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="p">,</span> <span class="n">order_target_percent</span><span class="p">,</span>
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<span class="n">get_open_orders</span><span class="p">)</span>
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<span class="kn">from</span> <span class="nn">catalyst.api</span> <span class="kn">import</span> <span class="p">(</span><span class="n">record</span><span class="p">,</span> <span class="n">symbol</span><span class="p">,</span> <span class="n">order_target_percent</span><span class="p">,</span>
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<span class="n">get_open_orders</span><span class="p">)</span>
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<span class="kn">from</span> <span class="nn">catalyst.exchange.utils.stats_utils</span> <span class="kn">import</span> <span class="n">extract_transactions</span>
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<span class="n">NAMESPACE</span> <span class="o">=</span> <span class="s1">'dual_moving_average'</span>
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<span class="n">log</span> <span class="o">=</span> <span class="n">Logger</span><span class="p">(</span><span class="n">NAMESPACE</span><span class="p">)</span>
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<span class="k">def</span> <span class="nf">initialize</span><span class="p">(</span><span class="n">context</span><span class="p">):</span>
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<span class="n">context</span><span class="o">.</span><span class="n">i</span> <span class="o">=</span> <span class="mi">0</span>
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<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="s1">'ltc_usd'</span><span class="p">)</span>
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@@ -710,22 +711,30 @@ the <code class="docutils literal"><span class="pre">examples</span></code> dire
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<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>
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<span class="c1"># define the windows for the moving averages</span>
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<span class="n">short_window</span> <span class="o">=</span> <span class="mi">50</span>
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<span class="n">long_window</span> <span class="o">=</span> <span class="mi">200</span>
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<span class="n">short_window</span> <span class="o">=</span> <span class="mi">2</span>
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<span class="n">long_window</span> <span class="o">=</span> <span class="mi">3</span>
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<span class="c1"># Skip as many bars as long_window to properly compute the average</span>
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<span class="n">context</span><span class="o">.</span><span class="n">i</span> <span class="o">+=</span> <span class="mi">1</span>
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<span class="k">if</span> <span class="n">context</span><span class="o">.</span><span class="n">i</span> <span class="o"><</span> <span class="n">long_window</span><span class="p">:</span>
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<span class="k">return</span>
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<span class="k">return</span>
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<span class="c1"># Compute moving averages calling data.history() for each</span>
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<span class="c1"># moving average with the appropriate parameters. We choose to use</span>
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<span class="c1"># minute bars for this simulation -> freq="1m"</span>
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<span class="c1"># Returns a pandas dataframe.</span>
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<span class="n">short_mavg</span> <span class="o">=</span> <span class="n">data</span><span class="o">.</span><span class="n">history</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="s1">'price'</span><span class="p">,</span>
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<span class="n">bar_count</span><span class="o">=</span><span class="n">short_window</span><span class="p">,</span> <span class="n">frequency</span><span class="o">=</span><span class="s2">"1m"</span><span class="p">)</span><span class="o">.</span><span class="n">mean</span><span class="p">()</span>
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<span class="n">long_mavg</span> <span class="o">=</span> <span class="n">data</span><span class="o">.</span><span class="n">history</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="s1">'price'</span><span class="p">,</span>
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<span class="n">bar_count</span><span class="o">=</span><span class="n">long_window</span><span class="p">,</span> <span class="n">frequency</span><span class="o">=</span><span class="s2">"1m"</span><span class="p">)</span><span class="o">.</span><span class="n">mean</span><span class="p">()</span>
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<span class="n">short_data</span> <span class="o">=</span> <span class="n">data</span><span class="o">.</span><span class="n">history</span><span class="p">(</span><span class="n">context</span><span class="o">.</span><span class="n">asset</span><span class="p">,</span>
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<span class="s1">'price'</span><span class="p">,</span>
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<span class="n">bar_count</span><span class="o">=</span><span class="n">short_window</span><span class="p">,</span>
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<span class="n">frequency</span><span class="o">=</span><span class="s2">"1T"</span><span class="p">,</span>
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<span class="p">)</span>
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<span class="n">short_mavg</span> <span class="o">=</span> <span class="n">short_data</span><span class="o">.</span><span class="n">mean</span><span class="p">()</span>
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<span class="n">long_data</span> <span class="o">=</span> <span class="n">data</span><span class="o">.</span><span class="n">history</span><span class="p">(</span><span class="n">context</span><span class="o">.</span><span class="n">asset</span><span class="p">,</span>
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<span class="s1">'price'</span><span class="p">,</span>
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<span class="n">bar_count</span><span class="o">=</span><span class="n">long_window</span><span class="p">,</span>
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<span class="n">frequency</span><span class="o">=</span><span class="s2">"1T"</span><span class="p">,</span>
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<span class="p">)</span>
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<span class="n">long_mavg</span> <span class="o">=</span> <span class="n">long_data</span><span class="o">.</span><span class="n">mean</span><span class="p">()</span>
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<span class="c1"># Let's keep the price of our asset in a more handy variable</span>
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<span class="n">price</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="s1">'price'</span><span class="p">)</span>
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@@ -758,15 +767,14 @@ the <code class="docutils literal"><span class="pre">examples</span></code> dire
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<span class="c1"># Trading logic</span>
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<span class="k">if</span> <span class="n">short_mavg</span> <span class="o">></span> <span class="n">long_mavg</span> <span class="ow">and</span> <span class="n">pos_amount</span> <span class="o">==</span> <span class="mi">0</span><span class="p">:</span>
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<span class="c1"># we buy 100% of our portfolio for this asset</span>
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<span class="n">order_target_percent</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>
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<span class="c1"># we buy 100% of our portfolio for this asset</span>
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<span class="n">order_target_percent</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>
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<span class="k">elif</span> <span class="n">short_mavg</span> <span class="o"><</span> <span class="n">long_mavg</span> <span class="ow">and</span> <span class="n">pos_amount</span> <span class="o">></span> <span class="mi">0</span><span class="p">:</span>
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<span class="c1"># we sell all our positions for this asset</span>
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<span class="n">order_target_percent</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>
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<span class="c1"># we sell all our positions for this asset</span>
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<span class="n">order_target_percent</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>
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<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>
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<span class="c1"># Get the base_currency that was passed as a parameter to the simulation</span>
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<span class="n">exchange</span> <span class="o">=</span> <span class="nb">list</span><span class="p">(</span><span class="n">context</span><span class="o">.</span><span class="n">exchanges</span><span class="o">.</span><span class="n">values</span><span class="p">())[</span><span class="mi">0</span><span class="p">]</span>
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<span class="n">base_currency</span> <span class="o">=</span> <span class="n">exchange</span><span class="o">.</span><span class="n">base_currency</span><span class="o">.</span><span class="n">upper</span><span class="p">()</span>
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@@ -777,18 +785,20 @@ the <code class="docutils literal"><span class="pre">examples</span></code> dire
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<span class="n">ax1</span><span class="o">.</span><span class="n">legend_</span><span class="o">.</span><span class="n">remove</span><span class="p">()</span>
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<span class="n">ax1</span><span class="o">.</span><span class="n">set_ylabel</span><span class="p">(</span><span class="s1">'Portfolio Value</span><span class="se">\n</span><span class="s1">({})'</span><span class="o">.</span><span class="n">format</span><span class="p">(</span><span class="n">base_currency</span><span class="p">))</span>
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<span class="n">start</span><span class="p">,</span> <span class="n">end</span> <span class="o">=</span> <span class="n">ax1</span><span class="o">.</span><span class="n">get_ylim</span><span class="p">()</span>
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<span class="n">ax1</span><span class="o">.</span><span class="n">yaxis</span><span class="o">.</span><span class="n">set_ticks</span><span class="p">(</span><span class="n">np</span><span class="o">.</span><span class="n">arange</span><span class="p">(</span><span class="n">start</span><span class="p">,</span> <span class="n">end</span><span class="p">,</span> <span class="p">(</span><span class="n">end</span><span class="o">-</span><span class="n">start</span><span class="p">)</span><span class="o">/</span><span class="mi">5</span><span class="p">))</span>
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<span class="n">ax1</span><span class="o">.</span><span class="n">yaxis</span><span class="o">.</span><span class="n">set_ticks</span><span class="p">(</span><span class="n">np</span><span class="o">.</span><span class="n">arange</span><span class="p">(</span><span class="n">start</span><span class="p">,</span> <span class="n">end</span><span class="p">,</span> <span class="p">(</span><span class="n">end</span> <span class="o">-</span> <span class="n">start</span><span class="p">)</span> <span class="o">/</span> <span class="mi">5</span><span class="p">))</span>
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<span class="c1"># Second chart: Plot asset price, moving averages and buys/sells</span>
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<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">412</span><span class="p">,</span> <span class="n">sharex</span><span class="o">=</span><span class="n">ax1</span><span class="p">)</span>
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<span class="n">perf</span><span class="o">.</span><span class="n">loc</span><span class="p">[:,</span> <span class="p">[</span><span class="s1">'price'</span><span class="p">,</span><span class="s1">'short_mavg'</span><span class="p">,</span><span class="s1">'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">label</span><span class="o">=</span><span class="s1">'Price'</span><span class="p">)</span>
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<span class="n">perf</span><span class="o">.</span><span class="n">loc</span><span class="p">[:,</span> <span class="p">[</span><span class="s1">'price'</span><span class="p">,</span> <span class="s1">'short_mavg'</span><span class="p">,</span> <span class="s1">'long_mavg'</span><span class="p">]]</span><span class="o">.</span><span class="n">plot</span><span class="p">(</span>
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<span class="n">ax</span><span class="o">=</span><span class="n">ax2</span><span class="p">,</span>
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<span class="n">label</span><span class="o">=</span><span class="s1">'Price'</span><span class="p">)</span>
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<span class="n">ax2</span><span class="o">.</span><span class="n">legend_</span><span class="o">.</span><span class="n">remove</span><span class="p">()</span>
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<span class="n">ax2</span><span class="o">.</span><span class="n">set_ylabel</span><span class="p">(</span><span class="s1">'{asset}</span><span class="se">\n</span><span class="s1">({base})'</span><span class="o">.</span><span class="n">format</span><span class="p">(</span>
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<span class="n">asset</span> <span class="o">=</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>
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<span class="n">base</span> <span class="o">=</span> <span class="n">base_currency</span>
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<span class="p">))</span>
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<span class="n">asset</span><span class="o">=</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>
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<span class="n">base</span><span class="o">=</span><span class="n">base_currency</span>
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<span class="p">))</span>
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<span class="n">start</span><span class="p">,</span> <span class="n">end</span> <span class="o">=</span> <span class="n">ax2</span><span class="o">.</span><span class="n">get_ylim</span><span class="p">()</span>
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<span class="n">ax2</span><span class="o">.</span><span class="n">yaxis</span><span class="o">.</span><span class="n">set_ticks</span><span class="p">(</span><span class="n">np</span><span class="o">.</span><span class="n">arange</span><span class="p">(</span><span class="n">start</span><span class="p">,</span> <span class="n">end</span><span class="p">,</span> <span class="p">(</span><span class="n">end</span><span class="o">-</span><span class="n">start</span><span class="p">)</span><span class="o">/</span><span class="mi">5</span><span class="p">))</span>
|
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<span class="n">ax2</span><span class="o">.</span><span class="n">yaxis</span><span class="o">.</span><span class="n">set_ticks</span><span class="p">(</span><span class="n">np</span><span class="o">.</span><span class="n">arange</span><span class="p">(</span><span class="n">start</span><span class="p">,</span> <span class="n">end</span><span class="p">,</span> <span class="p">(</span><span class="n">end</span> <span class="o">-</span> <span class="n">start</span><span class="p">)</span> <span class="o">/</span> <span class="mi">5</span><span class="p">))</span>
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<span class="n">transaction_df</span> <span class="o">=</span> <span class="n">extract_transactions</span><span class="p">(</span><span class="n">perf</span><span class="p">)</span>
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||||
<span class="k">if</span> <span class="ow">not</span> <span class="n">transaction_df</span><span class="o">.</span><span class="n">empty</span><span class="p">:</span>
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@@ -818,31 +828,43 @@ the <code class="docutils literal"><span class="pre">examples</span></code> dire
|
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<span class="n">ax3</span><span class="o">.</span><span class="n">legend_</span><span class="o">.</span><span class="n">remove</span><span class="p">()</span>
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<span class="n">ax3</span><span class="o">.</span><span class="n">set_ylabel</span><span class="p">(</span><span class="s1">'Percent Change'</span><span class="p">)</span>
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||||
<span class="n">start</span><span class="p">,</span> <span class="n">end</span> <span class="o">=</span> <span class="n">ax3</span><span class="o">.</span><span class="n">get_ylim</span><span class="p">()</span>
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||||
<span class="n">ax3</span><span class="o">.</span><span class="n">yaxis</span><span class="o">.</span><span class="n">set_ticks</span><span class="p">(</span><span class="n">np</span><span class="o">.</span><span class="n">arange</span><span class="p">(</span><span class="n">start</span><span class="p">,</span> <span class="n">end</span><span class="p">,</span> <span class="p">(</span><span class="n">end</span><span class="o">-</span><span class="n">start</span><span class="p">)</span><span class="o">/</span><span class="mi">5</span><span class="p">))</span>
|
||||
<span class="n">ax3</span><span class="o">.</span><span class="n">yaxis</span><span class="o">.</span><span class="n">set_ticks</span><span class="p">(</span><span class="n">np</span><span class="o">.</span><span class="n">arange</span><span class="p">(</span><span class="n">start</span><span class="p">,</span> <span class="n">end</span><span class="p">,</span> <span class="p">(</span><span class="n">end</span> <span class="o">-</span> <span class="n">start</span><span class="p">)</span> <span class="o">/</span> <span class="mi">5</span><span class="p">))</span>
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<span class="c1"># Fourth chart: Plot our cash</span>
|
||||
<span class="n">ax4</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">414</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">cash</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">ax4</span><span class="p">)</span>
|
||||
<span class="n">ax4</span><span class="o">.</span><span class="n">set_ylabel</span><span class="p">(</span><span class="s1">'Cash</span><span class="se">\n</span><span class="s1">({})'</span><span class="o">.</span><span class="n">format</span><span class="p">(</span><span class="n">base_currency</span><span class="p">))</span>
|
||||
<span class="n">start</span><span class="p">,</span> <span class="n">end</span> <span class="o">=</span> <span class="n">ax4</span><span class="o">.</span><span class="n">get_ylim</span><span class="p">()</span>
|
||||
<span class="n">ax4</span><span class="o">.</span><span class="n">yaxis</span><span class="o">.</span><span class="n">set_ticks</span><span class="p">(</span><span class="n">np</span><span class="o">.</span><span class="n">arange</span><span class="p">(</span><span class="mi">0</span><span class="p">,</span> <span class="n">end</span><span class="p">,</span> <span class="n">end</span><span class="o">/</span><span class="mi">5</span><span class="p">))</span>
|
||||
<span class="n">ax4</span><span class="o">.</span><span class="n">yaxis</span><span class="o">.</span><span class="n">set_ticks</span><span class="p">(</span><span class="n">np</span><span class="o">.</span><span class="n">arange</span><span class="p">(</span><span class="mi">0</span><span class="p">,</span> <span class="n">end</span><span class="p">,</span> <span class="n">end</span> <span class="o">/</span> <span class="mi">5</span><span class="p">))</span>
|
||||
|
||||
<span class="n">plt</span><span class="o">.</span><span class="n">show</span><span class="p">()</span>
|
||||
|
||||
|
||||
<span class="k">if</span> <span class="vm">__name__</span> <span class="o">==</span> <span class="s1">'__main__'</span><span class="p">:</span>
|
||||
<span class="n">run_algorithm</span><span class="p">(</span>
|
||||
<span class="n">capital_base</span><span class="o">=</span><span class="mi">1000</span><span class="p">,</span>
|
||||
<span class="n">data_frequency</span><span class="o">=</span><span class="s1">'minute'</span><span class="p">,</span>
|
||||
<span class="n">initialize</span><span class="o">=</span><span class="n">initialize</span><span class="p">,</span>
|
||||
<span class="n">handle_data</span><span class="o">=</span><span class="n">handle_data</span><span class="p">,</span>
|
||||
<span class="n">analyze</span><span class="o">=</span><span class="n">analyze</span><span class="p">,</span>
|
||||
<span class="n">exchange_name</span><span class="o">=</span><span class="s1">'bitfinex'</span><span class="p">,</span>
|
||||
<span class="n">algo_namespace</span><span class="o">=</span><span class="n">NAMESPACE</span><span class="p">,</span>
|
||||
<span class="n">base_currency</span><span class="o">=</span><span class="s1">'usd'</span><span class="p">,</span>
|
||||
<span class="n">start</span><span class="o">=</span><span class="n">pd</span><span class="o">.</span><span class="n">to_datetime</span><span class="p">(</span><span class="s1">'2017-9-22'</span><span class="p">,</span> <span class="n">utc</span><span class="o">=</span><span class="bp">True</span><span class="p">),</span>
|
||||
<span class="n">end</span><span class="o">=</span><span class="n">pd</span><span class="o">.</span><span class="n">to_datetime</span><span class="p">(</span><span class="s1">'2017-9-23'</span><span class="p">,</span> <span class="n">utc</span><span class="o">=</span><span class="bp">True</span><span class="p">),</span>
|
||||
<span class="p">)</span>
|
||||
<span class="n">capital_base</span><span class="o">=</span><span class="mi">1000</span><span class="p">,</span>
|
||||
<span class="n">data_frequency</span><span class="o">=</span><span class="s1">'minute'</span><span class="p">,</span>
|
||||
<span class="n">initialize</span><span class="o">=</span><span class="n">initialize</span><span class="p">,</span>
|
||||
<span class="n">handle_data</span><span class="o">=</span><span class="n">handle_data</span><span class="p">,</span>
|
||||
<span class="n">analyze</span><span class="o">=</span><span class="n">analyze</span><span class="p">,</span>
|
||||
<span class="n">exchange_name</span><span class="o">=</span><span class="s1">'bitfinex'</span><span class="p">,</span>
|
||||
<span class="n">algo_namespace</span><span class="o">=</span><span class="n">NAMESPACE</span><span class="p">,</span>
|
||||
<span class="n">base_currency</span><span class="o">=</span><span class="s1">'usd'</span><span class="p">,</span>
|
||||
<span class="n">simulate_orders</span><span class="o">=</span><span class="bp">True</span><span class="p">,</span>
|
||||
<span class="n">live</span><span class="o">=</span><span class="bp">True</span><span class="p">,</span>
|
||||
<span class="p">)</span>
|
||||
<span class="c1"># run_algorithm(</span>
|
||||
<span class="c1"># capital_base=1000,</span>
|
||||
<span class="c1"># data_frequency='minute',</span>
|
||||
<span class="c1"># initialize=initialize,</span>
|
||||
<span class="c1"># handle_data=handle_data,</span>
|
||||
<span class="c1"># analyze=analyze,</span>
|
||||
<span class="c1"># exchange_name='bitfinex',</span>
|
||||
<span class="c1"># algo_namespace=NAMESPACE,</span>
|
||||
<span class="c1"># base_currency='usd',</span>
|
||||
<span class="c1"># start=pd.to_datetime('2017-9-22', utc=True),</span>
|
||||
<span class="c1"># end=pd.to_datetime('2017-9-23', utc=True),</span>
|
||||
<span class="c1"># )</span>
|
||||
</pre></div>
|
||||
</div>
|
||||
<p>In order to run the code above, you have to ingest the needed data first:</p>
|
||||
|
||||
+343
-220
@@ -214,39 +214,60 @@ writting the following article:
|
||||
<span id="buy-btc-simple"></span><h2>Buy BTC Simple Algorithm<a class="headerlink" href="#buy-btc-simple-algorithm" title="Permalink to this headline">¶</a></h2>
|
||||
<p>Source code: <a class="reference external" href="https://github.com/enigmampc/catalyst/blob/master/catalyst/examples/buy_btc_simple.py">examples/buy_btc_simple.py</a></p>
|
||||
<div class="highlight-python"><div class="highlight"><pre><span></span><span class="sd">'''</span>
|
||||
<span class="sd"> Run this example, by executing the following from your terminal:</span>
|
||||
<span class="sd"> catalyst ingest-exchange -x bitfinex -f daily -i btc_usdt</span>
|
||||
<span class="sd"> catalyst run -f buy_btc_simple.py -x bitfinex --start 2016-1-1 --end 2017-9-30 -o buy_btc_simple_out.pickle</span>
|
||||
<span class="sd"> This is a very simple example referenced in the beginner's tutorial:</span>
|
||||
<span class="sd"> https://enigmampc.github.io/catalyst/beginner-tutorial.html</span>
|
||||
|
||||
<span class="sd"> If you want to run this code using another exchange, make sure that</span>
|
||||
<span class="sd"> the asset is available on that exchange. For example, if you were to run</span>
|
||||
<span class="sd"> it for exchange Poloniex, you would need to edit the following line:</span>
|
||||
<span class="sd"> Run this example, by executing the following from your terminal:</span>
|
||||
<span class="sd"> catalyst ingest-exchange -x bitfinex -f daily -i btc_usdt</span>
|
||||
<span class="sd"> catalyst run -f buy_btc_simple.py -x bitfinex --start 2016-1-1 \</span>
|
||||
<span class="sd"> --end 2017-9-30 -o buy_btc_simple_out.pickle</span>
|
||||
|
||||
<span class="sd"> context.asset = symbol('btc_usdt') # note 'usdt' instead of 'usd'</span>
|
||||
<span class="sd"> If you want to run this code using another exchange, make sure that</span>
|
||||
<span class="sd"> the asset is available on that exchange. For example, if you were to run</span>
|
||||
<span class="sd"> it for exchange Poloniex, you would need to edit the following line:</span>
|
||||
|
||||
<span class="sd"> and specify exchange poloniex as follows:</span>
|
||||
<span class="sd"> catalyst ingest-exchange -x poloniex -f daily -i btc_usdt</span>
|
||||
<span class="sd"> catalyst run -f buy_btc_simple.py -x poloniex --start 2016-1-1 --end 2017-9-30 -o buy_btc_simple_out.pickle</span>
|
||||
<span class="sd"> context.asset = symbol('btc_usdt') # note 'usdt' instead of 'usd'</span>
|
||||
|
||||
<span class="sd"> To see which assets are available on each exchange, visit:</span>
|
||||
<span class="sd"> https://www.enigma.co/catalyst/status</span>
|
||||
<span class="sd"> and specify exchange poloniex as follows:</span>
|
||||
<span class="sd"> catalyst ingest-exchange -x poloniex -f daily -i btc_usdt</span>
|
||||
<span class="sd"> catalyst run -f buy_btc_simple.py -x poloniex --start 2016-1-1 \</span>
|
||||
<span class="sd"> --end 2017-9-30 -o buy_btc_simple_out.pickle</span>
|
||||
|
||||
<span class="sd"> To see which assets are available on each exchange, visit:</span>
|
||||
<span class="sd"> https://www.enigma.co/catalyst/status</span>
|
||||
<span class="sd">'''</span>
|
||||
|
||||
<span class="kn">from</span> <span class="nn">catalyst</span> <span class="kn">import</span> <span class="n">run_algorithm</span>
|
||||
<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">import</span> <span class="nn">pandas</span> <span class="kn">as</span> <span class="nn">pd</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">asset</span> <span class="o">=</span> <span class="n">symbol</span><span class="p">(</span><span class="s1">'btc_usd'</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="s1">'btc_usdt'</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">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="s1">'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="s1">'price'</span><span class="p">))</span>
|
||||
|
||||
|
||||
<span class="k">if</span> <span class="vm">__name__</span> <span class="o">==</span> <span class="s1">'__main__'</span><span class="p">:</span>
|
||||
<span class="n">run_algorithm</span><span class="p">(</span>
|
||||
<span class="n">capital_base</span><span class="o">=</span><span class="mi">10000</span><span class="p">,</span>
|
||||
<span class="n">data_frequency</span><span class="o">=</span><span class="s1">'daily'</span><span class="p">,</span>
|
||||
<span class="n">initialize</span><span class="o">=</span><span class="n">initialize</span><span class="p">,</span>
|
||||
<span class="n">handle_data</span><span class="o">=</span><span class="n">handle_data</span><span class="p">,</span>
|
||||
<span class="n">exchange_name</span><span class="o">=</span><span class="s1">'poloniex'</span><span class="p">,</span>
|
||||
<span class="n">algo_namespace</span><span class="o">=</span><span class="s1">'buy_and_hodl'</span><span class="p">,</span>
|
||||
<span class="n">base_currency</span><span class="o">=</span><span class="s1">'usdt'</span><span class="p">,</span>
|
||||
<span class="n">start</span><span class="o">=</span><span class="n">pd</span><span class="o">.</span><span class="n">to_datetime</span><span class="p">(</span><span class="s1">'2015-03-01'</span><span class="p">,</span> <span class="n">utc</span><span class="o">=</span><span class="bp">True</span><span class="p">),</span>
|
||||
<span class="n">end</span><span class="o">=</span><span class="n">pd</span><span class="o">.</span><span class="n">to_datetime</span><span class="p">(</span><span class="s1">'2017-10-31'</span><span class="p">,</span> <span class="n">utc</span><span class="o">=</span><span class="bp">True</span><span class="p">),</span>
|
||||
<span class="p">)</span>
|
||||
</pre></div>
|
||||
</div>
|
||||
<p>This simple algorithm does not produce any output nor displays any chart.</p>
|
||||
</div>
|
||||
<div class="section" id="buy-and-hodl-algorithm">
|
||||
<span id="buy-and-hodl"></span><h2>Buy and Hodl Algorithm<a class="headerlink" href="#buy-and-hodl-algorithm" title="Permalink to this headline">¶</a></h2>
|
||||
<p>Source code: <a class="reference external" href="https://github.com/enigmampc/catalyst/blob/master/catalyst/examples/buy_and_hodl.py">examples/buy_and_hodl.py</a></p>
|
||||
<p>First ingest the historical pricing data needed to run this algorithm:</p>
|
||||
<div class="highlight-bash"><div class="highlight"><pre><span></span>catalyst ingest-exchange -x bitfinex -f daily -i btc_usd
|
||||
</pre></div>
|
||||
@@ -266,6 +287,7 @@ date interval with the <code class="docutils literal"><span class="pre">--start<
|
||||
that 2015-3-1 is the earliest date that Catalyst supports (if you choose an
|
||||
earlier date, you’ll get an error), and the most recent date you can choose is
|
||||
one day prior to the current date.</p>
|
||||
<p>Source code: <a class="reference external" href="https://github.com/enigmampc/catalyst/blob/master/catalyst/examples/buy_and_hodl.py">examples/buy_and_hodl.py</a></p>
|
||||
<div class="highlight-python"><div class="highlight"><pre><span></span><span class="ch">#!/usr/bin/env python</span>
|
||||
<span class="c1">#</span>
|
||||
<span class="c1"># Copyright 2017 Enigma MPC, Inc.</span>
|
||||
@@ -287,11 +309,11 @@ one day prior to the current date.</p>
|
||||
|
||||
<span class="kn">from</span> <span class="nn">catalyst</span> <span class="kn">import</span> <span class="n">run_algorithm</span>
|
||||
<span class="kn">from</span> <span class="nn">catalyst.api</span> <span class="kn">import</span> <span class="p">(</span><span class="n">order_target_value</span><span class="p">,</span> <span class="n">symbol</span><span class="p">,</span> <span class="n">record</span><span class="p">,</span>
|
||||
<span class="n">cancel_order</span><span class="p">,</span> <span class="n">get_open_orders</span><span class="p">,</span> <span class="p">)</span>
|
||||
<span class="n">cancel_order</span><span class="p">,</span> <span class="n">get_open_orders</span><span class="p">,</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">ASSET_NAME</span> <span class="o">=</span> <span class="s1">'btc_usd'</span>
|
||||
<span class="n">context</span><span class="o">.</span><span class="n">ASSET_NAME</span> <span class="o">=</span> <span class="s1">'btc_usdt'</span>
|
||||
<span class="n">context</span><span class="o">.</span><span class="n">TARGET_HODL_RATIO</span> <span class="o">=</span> <span class="mf">0.8</span>
|
||||
<span class="n">context</span><span class="o">.</span><span class="n">RESERVE_RATIO</span> <span class="o">=</span> <span class="mf">1.0</span> <span class="o">-</span> <span class="n">context</span><span class="o">.</span><span class="n">TARGET_HODL_RATIO</span>
|
||||
|
||||
@@ -345,10 +367,10 @@ one day prior to the current date.</p>
|
||||
<span class="c1"># Plot the portfolio and asset data.</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">611</span><span class="p">)</span>
|
||||
<span class="n">results</span><span class="p">[[</span><span class="s1">'portfolio_value'</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">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="s1">'Portfolio Value (USD)'</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="s1">'Portfolio</span><span class="se">\n</span><span class="s1">Value</span><span class="se">\n</span><span class="s1">(USD)'</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">612</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">ax2</span><span class="o">.</span><span class="n">set_ylabel</span><span class="p">(</span><span class="s1">'{asset} (USD)'</span><span class="o">.</span><span class="n">format</span><span class="p">(</span><span class="n">asset</span><span class="o">=</span><span class="n">context</span><span class="o">.</span><span class="n">ASSET_NAME</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="s1">'{asset}</span><span class="se">\n</span><span class="s1">(USD)'</span><span class="o">.</span><span class="n">format</span><span class="p">(</span><span class="n">asset</span><span class="o">=</span><span class="n">context</span><span class="o">.</span><span class="n">ASSET_NAME</span><span class="p">))</span>
|
||||
<span class="n">results</span><span class="p">[[</span><span class="s1">'price'</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">trans</span> <span class="o">=</span> <span class="n">results</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">results</span><span class="o">.</span><span class="n">transactions</span><span class="p">]]</span>
|
||||
@@ -388,11 +410,11 @@ one day prior to the current date.</p>
|
||||
<span class="s1">'algorithm'</span><span class="p">,</span>
|
||||
<span class="s1">'benchmark'</span><span class="p">,</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">ax5</span><span class="p">)</span>
|
||||
<span class="n">ax5</span><span class="o">.</span><span class="n">set_ylabel</span><span class="p">(</span><span class="s1">'Percent Change'</span><span class="p">)</span>
|
||||
<span class="n">ax5</span><span class="o">.</span><span class="n">set_ylabel</span><span class="p">(</span><span class="s1">'Percent</span><span class="se">\n</span><span class="s1">Change'</span><span class="p">)</span>
|
||||
|
||||
<span class="n">ax6</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">616</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">results</span><span class="p">[[</span><span class="s1">'volume'</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">ax6</span><span class="p">)</span>
|
||||
<span class="n">ax6</span><span class="o">.</span><span class="n">set_ylabel</span><span class="p">(</span><span class="s1">'Volume (mCoins/5min)'</span><span class="p">)</span>
|
||||
<span class="n">ax6</span><span class="o">.</span><span class="n">set_ylabel</span><span class="p">(</span><span class="s1">'Volume'</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">3</span><span class="p">)</span>
|
||||
|
||||
@@ -408,9 +430,9 @@ one day prior to the current date.</p>
|
||||
<span class="n">initialize</span><span class="o">=</span><span class="n">initialize</span><span class="p">,</span>
|
||||
<span class="n">handle_data</span><span class="o">=</span><span class="n">handle_data</span><span class="p">,</span>
|
||||
<span class="n">analyze</span><span class="o">=</span><span class="n">analyze</span><span class="p">,</span>
|
||||
<span class="n">exchange_name</span><span class="o">=</span><span class="s1">'bitfinex'</span><span class="p">,</span>
|
||||
<span class="n">exchange_name</span><span class="o">=</span><span class="s1">'poloniex'</span><span class="p">,</span>
|
||||
<span class="n">algo_namespace</span><span class="o">=</span><span class="s1">'buy_and_hodl'</span><span class="p">,</span>
|
||||
<span class="n">base_currency</span><span class="o">=</span><span class="s1">'usd'</span><span class="p">,</span>
|
||||
<span class="n">base_currency</span><span class="o">=</span><span class="s1">'usdt'</span><span class="p">,</span>
|
||||
<span class="n">start</span><span class="o">=</span><span class="n">pd</span><span class="o">.</span><span class="n">to_datetime</span><span class="p">(</span><span class="s1">'2015-03-01'</span><span class="p">,</span> <span class="n">utc</span><span class="o">=</span><span class="bp">True</span><span class="p">),</span>
|
||||
<span class="n">end</span><span class="o">=</span><span class="n">pd</span><span class="o">.</span><span class="n">to_datetime</span><span class="p">(</span><span class="s1">'2017-10-31'</span><span class="p">,</span> <span class="n">utc</span><span class="o">=</span><span class="bp">True</span><span class="p">),</span>
|
||||
<span class="p">)</span>
|
||||
@@ -420,22 +442,23 @@ one day prior to the current date.</p>
|
||||
</div>
|
||||
<div class="section" id="dual-moving-average-crossover">
|
||||
<span id="dual-moving-average"></span><h2>Dual Moving Average Crossover<a class="headerlink" href="#dual-moving-average-crossover" title="Permalink to this headline">¶</a></h2>
|
||||
<p>Source Code: <a class="reference external" href="https://github.com/enigmampc/catalyst/blob/master/catalyst/examples/dual_moving_average.py">examples/dual_moving_average.py</a></p>
|
||||
<p>This strategy is covered in detail in the last part of
|
||||
<a class="reference external" href="beginner-tutorial.html#history">this tutorial</a>.</p>
|
||||
<div class="highlight-python"><div class="highlight"><pre><span></span><span class="kn">import</span> <span class="nn">numpy</span> <span class="kn">as</span> <span class="nn">np</span>
|
||||
<p>Source Code: <a class="reference external" href="https://github.com/enigmampc/catalyst/blob/master/catalyst/examples/dual_moving_average.py">examples/dual_moving_average.py</a></p>
|
||||
<div class="highlight-python"><div class="highlight"><pre><span></span><span class="kn">import</span> <span class="nn">matplotlib.pyplot</span> <span class="kn">as</span> <span class="nn">plt</span>
|
||||
<span class="kn">import</span> <span class="nn">numpy</span> <span class="kn">as</span> <span class="nn">np</span>
|
||||
<span class="kn">import</span> <span class="nn">pandas</span> <span class="kn">as</span> <span class="nn">pd</span>
|
||||
<span class="kn">from</span> <span class="nn">logbook</span> <span class="kn">import</span> <span class="n">Logger</span>
|
||||
<span class="kn">import</span> <span class="nn">matplotlib.pyplot</span> <span class="kn">as</span> <span class="nn">plt</span>
|
||||
|
||||
<span class="kn">from</span> <span class="nn">catalyst</span> <span class="kn">import</span> <span class="n">run_algorithm</span>
|
||||
<span class="kn">from</span> <span class="nn">catalyst.api</span> <span class="kn">import</span> <span class="p">(</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="p">,</span> <span class="n">order_target_percent</span><span class="p">,</span>
|
||||
<span class="n">get_open_orders</span><span class="p">)</span>
|
||||
<span class="kn">from</span> <span class="nn">catalyst.exchange.stats_utils</span> <span class="kn">import</span> <span class="n">extract_transactions</span>
|
||||
<span class="kn">from</span> <span class="nn">catalyst.api</span> <span class="kn">import</span> <span class="p">(</span><span class="n">record</span><span class="p">,</span> <span class="n">symbol</span><span class="p">,</span> <span class="n">order_target_percent</span><span class="p">,</span>
|
||||
<span class="n">get_open_orders</span><span class="p">)</span>
|
||||
<span class="kn">from</span> <span class="nn">catalyst.exchange.utils.stats_utils</span> <span class="kn">import</span> <span class="n">extract_transactions</span>
|
||||
|
||||
<span class="n">NAMESPACE</span> <span class="o">=</span> <span class="s1">'dual_moving_average'</span>
|
||||
<span class="n">log</span> <span class="o">=</span> <span class="n">Logger</span><span class="p">(</span><span class="n">NAMESPACE</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="s1">'ltc_usd'</span><span class="p">)</span>
|
||||
@@ -444,22 +467,30 @@ one day prior to the current date.</p>
|
||||
|
||||
<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="c1"># define the windows for the moving averages</span>
|
||||
<span class="n">short_window</span> <span class="o">=</span> <span class="mi">50</span>
|
||||
<span class="n">long_window</span> <span class="o">=</span> <span class="mi">200</span>
|
||||
<span class="n">short_window</span> <span class="o">=</span> <span class="mi">2</span>
|
||||
<span class="n">long_window</span> <span class="o">=</span> <span class="mi">3</span>
|
||||
|
||||
<span class="c1"># Skip as many bars as long_window to properly compute the average</span>
|
||||
<span class="n">context</span><span class="o">.</span><span class="n">i</span> <span class="o">+=</span> <span class="mi">1</span>
|
||||
<span class="k">if</span> <span class="n">context</span><span class="o">.</span><span class="n">i</span> <span class="o"><</span> <span class="n">long_window</span><span class="p">:</span>
|
||||
<span class="k">return</span>
|
||||
<span class="k">return</span>
|
||||
|
||||
<span class="c1"># Compute moving averages calling data.history() for each</span>
|
||||
<span class="c1"># moving average with the appropriate parameters. We choose to use</span>
|
||||
<span class="c1"># minute bars for this simulation -> freq="1m"</span>
|
||||
<span class="c1"># Returns a pandas dataframe.</span>
|
||||
<span class="n">short_mavg</span> <span class="o">=</span> <span class="n">data</span><span class="o">.</span><span class="n">history</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="s1">'price'</span><span class="p">,</span>
|
||||
<span class="n">bar_count</span><span class="o">=</span><span class="n">short_window</span><span class="p">,</span> <span class="n">frequency</span><span class="o">=</span><span class="s2">"1m"</span><span class="p">)</span><span class="o">.</span><span class="n">mean</span><span class="p">()</span>
|
||||
<span class="n">long_mavg</span> <span class="o">=</span> <span class="n">data</span><span class="o">.</span><span class="n">history</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="s1">'price'</span><span class="p">,</span>
|
||||
<span class="n">bar_count</span><span class="o">=</span><span class="n">long_window</span><span class="p">,</span> <span class="n">frequency</span><span class="o">=</span><span class="s2">"1m"</span><span class="p">)</span><span class="o">.</span><span class="n">mean</span><span class="p">()</span>
|
||||
<span class="n">short_data</span> <span class="o">=</span> <span class="n">data</span><span class="o">.</span><span class="n">history</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="s1">'price'</span><span class="p">,</span>
|
||||
<span class="n">bar_count</span><span class="o">=</span><span class="n">short_window</span><span class="p">,</span>
|
||||
<span class="n">frequency</span><span class="o">=</span><span class="s2">"1T"</span><span class="p">,</span>
|
||||
<span class="p">)</span>
|
||||
<span class="n">short_mavg</span> <span class="o">=</span> <span class="n">short_data</span><span class="o">.</span><span class="n">mean</span><span class="p">()</span>
|
||||
<span class="n">long_data</span> <span class="o">=</span> <span class="n">data</span><span class="o">.</span><span class="n">history</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="s1">'price'</span><span class="p">,</span>
|
||||
<span class="n">bar_count</span><span class="o">=</span><span class="n">long_window</span><span class="p">,</span>
|
||||
<span class="n">frequency</span><span class="o">=</span><span class="s2">"1T"</span><span class="p">,</span>
|
||||
<span class="p">)</span>
|
||||
<span class="n">long_mavg</span> <span class="o">=</span> <span class="n">long_data</span><span class="o">.</span><span class="n">mean</span><span class="p">()</span>
|
||||
|
||||
<span class="c1"># Let's keep the price of our asset in a more handy variable</span>
|
||||
<span class="n">price</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="s1">'price'</span><span class="p">)</span>
|
||||
@@ -492,17 +523,17 @@ one day prior to the current date.</p>
|
||||
|
||||
<span class="c1"># Trading logic</span>
|
||||
<span class="k">if</span> <span class="n">short_mavg</span> <span class="o">></span> <span class="n">long_mavg</span> <span class="ow">and</span> <span class="n">pos_amount</span> <span class="o">==</span> <span class="mi">0</span><span class="p">:</span>
|
||||
<span class="c1"># we buy 100% of our portfolio for this asset</span>
|
||||
<span class="n">order_target_percent</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="c1"># we buy 100% of our portfolio for this asset</span>
|
||||
<span class="n">order_target_percent</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="k">elif</span> <span class="n">short_mavg</span> <span class="o"><</span> <span class="n">long_mavg</span> <span class="ow">and</span> <span class="n">pos_amount</span> <span class="o">></span> <span class="mi">0</span><span class="p">:</span>
|
||||
<span class="c1"># we sell all our positions for this asset</span>
|
||||
<span class="n">order_target_percent</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="c1"># we sell all our positions for this asset</span>
|
||||
<span class="n">order_target_percent</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="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="c1"># Get the base_currency that was passed as a parameter to the simulation</span>
|
||||
<span class="n">base_currency</span> <span class="o">=</span> <span class="n">context</span><span class="o">.</span><span class="n">exchanges</span><span class="o">.</span><span class="n">values</span><span class="p">()[</span><span class="mi">0</span><span class="p">]</span><span class="o">.</span><span class="n">base_currency</span><span class="o">.</span><span class="n">upper</span><span class="p">()</span>
|
||||
<span class="n">exchange</span> <span class="o">=</span> <span class="nb">list</span><span class="p">(</span><span class="n">context</span><span class="o">.</span><span class="n">exchanges</span><span class="o">.</span><span class="n">values</span><span class="p">())[</span><span class="mi">0</span><span class="p">]</span>
|
||||
<span class="n">base_currency</span> <span class="o">=</span> <span class="n">exchange</span><span class="o">.</span><span class="n">base_currency</span><span class="o">.</span><span class="n">upper</span><span class="p">()</span>
|
||||
|
||||
<span class="c1"># First chart: Plot portfolio value using base_currency</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">411</span><span class="p">)</span>
|
||||
@@ -510,18 +541,20 @@ one day prior to the current date.</p>
|
||||
<span class="n">ax1</span><span class="o">.</span><span class="n">legend_</span><span class="o">.</span><span class="n">remove</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="s1">'Portfolio Value</span><span class="se">\n</span><span class="s1">({})'</span><span class="o">.</span><span class="n">format</span><span class="p">(</span><span class="n">base_currency</span><span class="p">))</span>
|
||||
<span class="n">start</span><span class="p">,</span> <span class="n">end</span> <span class="o">=</span> <span class="n">ax1</span><span class="o">.</span><span class="n">get_ylim</span><span class="p">()</span>
|
||||
<span class="n">ax1</span><span class="o">.</span><span class="n">yaxis</span><span class="o">.</span><span class="n">set_ticks</span><span class="p">(</span><span class="n">np</span><span class="o">.</span><span class="n">arange</span><span class="p">(</span><span class="n">start</span><span class="p">,</span> <span class="n">end</span><span class="p">,</span> <span class="p">(</span><span class="n">end</span><span class="o">-</span><span class="n">start</span><span class="p">)</span><span class="o">/</span><span class="mi">5</span><span class="p">))</span>
|
||||
<span class="n">ax1</span><span class="o">.</span><span class="n">yaxis</span><span class="o">.</span><span class="n">set_ticks</span><span class="p">(</span><span class="n">np</span><span class="o">.</span><span class="n">arange</span><span class="p">(</span><span class="n">start</span><span class="p">,</span> <span class="n">end</span><span class="p">,</span> <span class="p">(</span><span class="n">end</span> <span class="o">-</span> <span class="n">start</span><span class="p">)</span> <span class="o">/</span> <span class="mi">5</span><span class="p">))</span>
|
||||
|
||||
<span class="c1"># Second chart: Plot asset price, moving averages and buys/sells</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">412</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">loc</span><span class="p">[:,</span> <span class="p">[</span><span class="s1">'price'</span><span class="p">,</span><span class="s1">'short_mavg'</span><span class="p">,</span><span class="s1">'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">label</span><span class="o">=</span><span class="s1">'Price'</span><span class="p">)</span>
|
||||
<span class="n">perf</span><span class="o">.</span><span class="n">loc</span><span class="p">[:,</span> <span class="p">[</span><span class="s1">'price'</span><span class="p">,</span> <span class="s1">'short_mavg'</span><span class="p">,</span> <span class="s1">'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">label</span><span class="o">=</span><span class="s1">'Price'</span><span class="p">)</span>
|
||||
<span class="n">ax2</span><span class="o">.</span><span class="n">legend_</span><span class="o">.</span><span class="n">remove</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="s1">'{asset}</span><span class="se">\n</span><span class="s1">({base})'</span><span class="o">.</span><span class="n">format</span><span class="p">(</span>
|
||||
<span class="n">asset</span> <span class="o">=</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="n">base</span> <span class="o">=</span> <span class="n">base_currency</span>
|
||||
<span class="p">))</span>
|
||||
<span class="n">asset</span><span class="o">=</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="n">base</span><span class="o">=</span><span class="n">base_currency</span>
|
||||
<span class="p">))</span>
|
||||
<span class="n">start</span><span class="p">,</span> <span class="n">end</span> <span class="o">=</span> <span class="n">ax2</span><span class="o">.</span><span class="n">get_ylim</span><span class="p">()</span>
|
||||
<span class="n">ax2</span><span class="o">.</span><span class="n">yaxis</span><span class="o">.</span><span class="n">set_ticks</span><span class="p">(</span><span class="n">np</span><span class="o">.</span><span class="n">arange</span><span class="p">(</span><span class="n">start</span><span class="p">,</span> <span class="n">end</span><span class="p">,</span> <span class="p">(</span><span class="n">end</span><span class="o">-</span><span class="n">start</span><span class="p">)</span><span class="o">/</span><span class="mi">5</span><span class="p">))</span>
|
||||
<span class="n">ax2</span><span class="o">.</span><span class="n">yaxis</span><span class="o">.</span><span class="n">set_ticks</span><span class="p">(</span><span class="n">np</span><span class="o">.</span><span class="n">arange</span><span class="p">(</span><span class="n">start</span><span class="p">,</span> <span class="n">end</span><span class="p">,</span> <span class="p">(</span><span class="n">end</span> <span class="o">-</span> <span class="n">start</span><span class="p">)</span> <span class="o">/</span> <span class="mi">5</span><span class="p">))</span>
|
||||
|
||||
<span class="n">transaction_df</span> <span class="o">=</span> <span class="n">extract_transactions</span><span class="p">(</span><span class="n">perf</span><span class="p">)</span>
|
||||
<span class="k">if</span> <span class="ow">not</span> <span class="n">transaction_df</span><span class="o">.</span><span class="n">empty</span><span class="p">:</span>
|
||||
@@ -551,38 +584,49 @@ one day prior to the current date.</p>
|
||||
<span class="n">ax3</span><span class="o">.</span><span class="n">legend_</span><span class="o">.</span><span class="n">remove</span><span class="p">()</span>
|
||||
<span class="n">ax3</span><span class="o">.</span><span class="n">set_ylabel</span><span class="p">(</span><span class="s1">'Percent Change'</span><span class="p">)</span>
|
||||
<span class="n">start</span><span class="p">,</span> <span class="n">end</span> <span class="o">=</span> <span class="n">ax3</span><span class="o">.</span><span class="n">get_ylim</span><span class="p">()</span>
|
||||
<span class="n">ax3</span><span class="o">.</span><span class="n">yaxis</span><span class="o">.</span><span class="n">set_ticks</span><span class="p">(</span><span class="n">np</span><span class="o">.</span><span class="n">arange</span><span class="p">(</span><span class="n">start</span><span class="p">,</span> <span class="n">end</span><span class="p">,</span> <span class="p">(</span><span class="n">end</span><span class="o">-</span><span class="n">start</span><span class="p">)</span><span class="o">/</span><span class="mi">5</span><span class="p">))</span>
|
||||
<span class="n">ax3</span><span class="o">.</span><span class="n">yaxis</span><span class="o">.</span><span class="n">set_ticks</span><span class="p">(</span><span class="n">np</span><span class="o">.</span><span class="n">arange</span><span class="p">(</span><span class="n">start</span><span class="p">,</span> <span class="n">end</span><span class="p">,</span> <span class="p">(</span><span class="n">end</span> <span class="o">-</span> <span class="n">start</span><span class="p">)</span> <span class="o">/</span> <span class="mi">5</span><span class="p">))</span>
|
||||
|
||||
<span class="c1"># Fourth chart: Plot our cash</span>
|
||||
<span class="n">ax4</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">414</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">cash</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">ax4</span><span class="p">)</span>
|
||||
<span class="n">ax4</span><span class="o">.</span><span class="n">set_ylabel</span><span class="p">(</span><span class="s1">'Cash</span><span class="se">\n</span><span class="s1">({})'</span><span class="o">.</span><span class="n">format</span><span class="p">(</span><span class="n">base_currency</span><span class="p">))</span>
|
||||
<span class="n">start</span><span class="p">,</span> <span class="n">end</span> <span class="o">=</span> <span class="n">ax4</span><span class="o">.</span><span class="n">get_ylim</span><span class="p">()</span>
|
||||
<span class="n">ax4</span><span class="o">.</span><span class="n">yaxis</span><span class="o">.</span><span class="n">set_ticks</span><span class="p">(</span><span class="n">np</span><span class="o">.</span><span class="n">arange</span><span class="p">(</span><span class="mi">0</span><span class="p">,</span> <span class="n">end</span><span class="p">,</span> <span class="n">end</span><span class="o">/</span><span class="mi">5</span><span class="p">))</span>
|
||||
<span class="n">ax4</span><span class="o">.</span><span class="n">yaxis</span><span class="o">.</span><span class="n">set_ticks</span><span class="p">(</span><span class="n">np</span><span class="o">.</span><span class="n">arange</span><span class="p">(</span><span class="mi">0</span><span class="p">,</span> <span class="n">end</span><span class="p">,</span> <span class="n">end</span> <span class="o">/</span> <span class="mi">5</span><span class="p">))</span>
|
||||
|
||||
<span class="n">plt</span><span class="o">.</span><span class="n">show</span><span class="p">()</span>
|
||||
|
||||
|
||||
<span class="k">if</span> <span class="vm">__name__</span> <span class="o">==</span> <span class="s1">'__main__'</span><span class="p">:</span>
|
||||
<span class="n">run_algorithm</span><span class="p">(</span>
|
||||
<span class="n">capital_base</span><span class="o">=</span><span class="mi">1000</span><span class="p">,</span>
|
||||
<span class="n">data_frequency</span><span class="o">=</span><span class="s1">'minute'</span><span class="p">,</span>
|
||||
<span class="n">initialize</span><span class="o">=</span><span class="n">initialize</span><span class="p">,</span>
|
||||
<span class="n">handle_data</span><span class="o">=</span><span class="n">handle_data</span><span class="p">,</span>
|
||||
<span class="n">analyze</span><span class="o">=</span><span class="n">analyze</span><span class="p">,</span>
|
||||
<span class="n">exchange_name</span><span class="o">=</span><span class="s1">'bitfinex'</span><span class="p">,</span>
|
||||
<span class="n">algo_namespace</span><span class="o">=</span><span class="n">NAMESPACE</span><span class="p">,</span>
|
||||
<span class="n">base_currency</span><span class="o">=</span><span class="s1">'usd'</span><span class="p">,</span>
|
||||
<span class="n">start</span><span class="o">=</span><span class="n">pd</span><span class="o">.</span><span class="n">to_datetime</span><span class="p">(</span><span class="s1">'2017-9-22'</span><span class="p">,</span> <span class="n">utc</span><span class="o">=</span><span class="bp">True</span><span class="p">),</span>
|
||||
<span class="n">end</span><span class="o">=</span><span class="n">pd</span><span class="o">.</span><span class="n">to_datetime</span><span class="p">(</span><span class="s1">'2017-9-23'</span><span class="p">,</span> <span class="n">utc</span><span class="o">=</span><span class="bp">True</span><span class="p">),</span>
|
||||
<span class="p">)</span>
|
||||
<span class="n">capital_base</span><span class="o">=</span><span class="mi">1000</span><span class="p">,</span>
|
||||
<span class="n">data_frequency</span><span class="o">=</span><span class="s1">'minute'</span><span class="p">,</span>
|
||||
<span class="n">initialize</span><span class="o">=</span><span class="n">initialize</span><span class="p">,</span>
|
||||
<span class="n">handle_data</span><span class="o">=</span><span class="n">handle_data</span><span class="p">,</span>
|
||||
<span class="n">analyze</span><span class="o">=</span><span class="n">analyze</span><span class="p">,</span>
|
||||
<span class="n">exchange_name</span><span class="o">=</span><span class="s1">'bitfinex'</span><span class="p">,</span>
|
||||
<span class="n">algo_namespace</span><span class="o">=</span><span class="n">NAMESPACE</span><span class="p">,</span>
|
||||
<span class="n">base_currency</span><span class="o">=</span><span class="s1">'usd'</span><span class="p">,</span>
|
||||
<span class="n">simulate_orders</span><span class="o">=</span><span class="bp">True</span><span class="p">,</span>
|
||||
<span class="n">live</span><span class="o">=</span><span class="bp">True</span><span class="p">,</span>
|
||||
<span class="p">)</span>
|
||||
<span class="c1"># run_algorithm(</span>
|
||||
<span class="c1"># capital_base=1000,</span>
|
||||
<span class="c1"># data_frequency='minute',</span>
|
||||
<span class="c1"># initialize=initialize,</span>
|
||||
<span class="c1"># handle_data=handle_data,</span>
|
||||
<span class="c1"># analyze=analyze,</span>
|
||||
<span class="c1"># exchange_name='bitfinex',</span>
|
||||
<span class="c1"># algo_namespace=NAMESPACE,</span>
|
||||
<span class="c1"># base_currency='usd',</span>
|
||||
<span class="c1"># start=pd.to_datetime('2017-9-22', utc=True),</span>
|
||||
<span class="c1"># end=pd.to_datetime('2017-9-23', utc=True),</span>
|
||||
<span class="c1"># )</span>
|
||||
</pre></div>
|
||||
</div>
|
||||
<img alt="https://s3.amazonaws.com/enigmaco-docs/github.io/tutorial_dual_moving_average.png" src="https://s3.amazonaws.com/enigmaco-docs/github.io/tutorial_dual_moving_average.png" />
|
||||
</div>
|
||||
<div class="section" id="mean-reversion-algorithm">
|
||||
<span id="mean-reversion"></span><h2>Mean Reversion Algorithm<a class="headerlink" href="#mean-reversion-algorithm" title="Permalink to this headline">¶</a></h2>
|
||||
<p>Source code: <a class="reference external" href="https://github.com/enigmampc/catalyst/blob/master/catalyst/examples/mean_reversion_simple.py">examples/mean_reversion_simple.py</a></p>
|
||||
<p>This algorithm is based on a simple momentum strategy. When the cryptoasset goes
|
||||
up quickly, we’re going to buy; when it goes down quickly, we’re going to sell.
|
||||
Hopefully, we’ll ride the waves.</p>
|
||||
@@ -598,7 +642,11 @@ lines 218-245, so in order to run the algorithm we just type:</p>
|
||||
<div class="highlight-bash"><div class="highlight"><pre><span></span>python mean_reversion_simple.py
|
||||
</pre></div>
|
||||
</div>
|
||||
<div class="highlight-python"><div class="highlight"><pre><span></span><span class="kn">import</span> <span class="nn">os</span>
|
||||
<p>Source code: <a class="reference external" href="https://github.com/enigmampc/catalyst/blob/master/catalyst/examples/mean_reversion_simple.py">examples/mean_reversion_simple.py</a></p>
|
||||
<div class="highlight-python"><div class="highlight"><pre><span></span><span class="c1"># For this example, we're going to write a simple momentum script. When the</span>
|
||||
<span class="c1"># stock goes up quickly, we're going to buy; when it goes down quickly, we're</span>
|
||||
<span class="c1"># going to sell. Hopefully we'll ride the waves.</span>
|
||||
<span class="kn">import</span> <span class="nn">os</span>
|
||||
<span class="kn">import</span> <span class="nn">tempfile</span>
|
||||
<span class="kn">import</span> <span class="nn">time</span>
|
||||
|
||||
@@ -609,7 +657,7 @@ lines 218-245, so in order to run the algorithm we just type:</p>
|
||||
|
||||
<span class="kn">from</span> <span class="nn">catalyst</span> <span class="kn">import</span> <span class="n">run_algorithm</span>
|
||||
<span class="kn">from</span> <span class="nn">catalyst.api</span> <span class="kn">import</span> <span class="n">symbol</span><span class="p">,</span> <span class="n">record</span><span class="p">,</span> <span class="n">order_target_percent</span><span class="p">,</span> <span class="n">get_open_orders</span>
|
||||
<span class="kn">from</span> <span class="nn">catalyst.exchange.stats_utils</span> <span class="kn">import</span> <span class="n">extract_transactions</span>
|
||||
<span class="kn">from</span> <span class="nn">catalyst.exchange.utils.stats_utils</span> <span class="kn">import</span> <span class="n">extract_transactions</span>
|
||||
<span class="c1"># We give a name to the algorithm which Catalyst will use to persist its state.</span>
|
||||
<span class="c1"># In this example, Catalyst will create the `.catalyst/data/live_algos`</span>
|
||||
<span class="c1"># directory. If we stop and start the algorithm, Catalyst will resume its</span>
|
||||
@@ -629,17 +677,20 @@ lines 218-245, so in order to run the algorithm we just type:</p>
|
||||
<span class="c1"># trading pairs) you want to backtest. You'll also want to define any</span>
|
||||
<span class="c1"># parameters or values you're going to use.</span>
|
||||
|
||||
<span class="c1"># In our example, we're looking at Neo in USD.</span>
|
||||
<span class="n">context</span><span class="o">.</span><span class="n">neo_eth</span> <span class="o">=</span> <span class="n">symbol</span><span class="p">(</span><span class="s1">'neo_usd'</span><span class="p">)</span>
|
||||
<span class="c1"># In our example, we're looking at Neo in Ether.</span>
|
||||
<span class="n">context</span><span class="o">.</span><span class="n">market</span> <span class="o">=</span> <span class="n">symbol</span><span class="p">(</span><span class="s1">'bnb_eth'</span><span class="p">)</span>
|
||||
<span class="n">context</span><span class="o">.</span><span class="n">base_price</span> <span class="o">=</span> <span class="bp">None</span>
|
||||
<span class="n">context</span><span class="o">.</span><span class="n">current_day</span> <span class="o">=</span> <span class="bp">None</span>
|
||||
|
||||
<span class="n">context</span><span class="o">.</span><span class="n">RSI_OVERSOLD</span> <span class="o">=</span> <span class="mi">30</span>
|
||||
<span class="n">context</span><span class="o">.</span><span class="n">RSI_OVERBOUGHT</span> <span class="o">=</span> <span class="mi">80</span>
|
||||
<span class="n">context</span><span class="o">.</span><span class="n">RSI_OVERSOLD</span> <span class="o">=</span> <span class="mi">60</span>
|
||||
<span class="n">context</span><span class="o">.</span><span class="n">RSI_OVERBOUGHT</span> <span class="o">=</span> <span class="mi">70</span>
|
||||
<span class="n">context</span><span class="o">.</span><span class="n">CANDLE_SIZE</span> <span class="o">=</span> <span class="s1">'15T'</span>
|
||||
|
||||
<span class="n">context</span><span class="o">.</span><span class="n">start_time</span> <span class="o">=</span> <span class="n">time</span><span class="o">.</span><span class="n">time</span><span class="p">()</span>
|
||||
|
||||
<span class="n">context</span><span class="o">.</span><span class="n">set_commission</span><span class="p">(</span><span class="n">maker</span><span class="o">=</span><span class="mf">0.001</span><span class="p">,</span> <span class="n">taker</span><span class="o">=</span><span class="mf">0.002</span><span class="p">)</span>
|
||||
<span class="n">context</span><span class="o">.</span><span class="n">set_slippage</span><span class="p">(</span><span class="n">spread</span><span class="o">=</span><span class="mf">0.001</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="c1"># This handle_data function is where the real work is done. Our data is</span>
|
||||
@@ -656,14 +707,14 @@ lines 218-245, so in order to run the algorithm we just type:</p>
|
||||
<span class="n">context</span><span class="o">.</span><span class="n">current_day</span> <span class="o">=</span> <span class="n">today</span>
|
||||
|
||||
<span class="c1"># We're computing the volume-weighted-average-price of the security</span>
|
||||
<span class="c1"># defined above, in the context.neo_eth variable. For this example, we're</span>
|
||||
<span class="c1"># defined above, in the context.market variable. For this example, we're</span>
|
||||
<span class="c1"># using three bars on the 15 min bars.</span>
|
||||
|
||||
<span class="c1"># The frequency attribute determine the bar size. We use this convention</span>
|
||||
<span class="c1"># for the frequency alias:</span>
|
||||
<span class="c1"># http://pandas.pydata.org/pandas-docs/stable/timeseries.html#offset-aliases</span>
|
||||
<span class="n">prices</span> <span class="o">=</span> <span class="n">data</span><span class="o">.</span><span class="n">history</span><span class="p">(</span>
|
||||
<span class="n">context</span><span class="o">.</span><span class="n">neo_eth</span><span class="p">,</span>
|
||||
<span class="n">context</span><span class="o">.</span><span class="n">market</span><span class="p">,</span>
|
||||
<span class="n">fields</span><span class="o">=</span><span class="s1">'close'</span><span class="p">,</span>
|
||||
<span class="n">bar_count</span><span class="o">=</span><span class="mi">50</span><span class="p">,</span>
|
||||
<span class="n">frequency</span><span class="o">=</span><span class="n">context</span><span class="o">.</span><span class="n">CANDLE_SIZE</span>
|
||||
@@ -678,7 +729,7 @@ lines 218-245, so in order to run the algorithm we just type:</p>
|
||||
<span class="c1"># We need a variable for the current price of the security to compare to</span>
|
||||
<span class="c1"># the average. Since we are requesting two fields, data.current()</span>
|
||||
<span class="c1"># returns a DataFrame with</span>
|
||||
<span class="n">current</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">neo_eth</span><span class="p">,</span> <span class="n">fields</span><span class="o">=</span><span class="p">[</span><span class="s1">'close'</span><span class="p">,</span> <span class="s1">'volume'</span><span class="p">])</span>
|
||||
<span class="n">current</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">market</span><span class="p">,</span> <span class="n">fields</span><span class="o">=</span><span class="p">[</span><span class="s1">'close'</span><span class="p">,</span> <span class="s1">'volume'</span><span class="p">])</span>
|
||||
<span class="n">price</span> <span class="o">=</span> <span class="n">current</span><span class="p">[</span><span class="s1">'close'</span><span class="p">]</span>
|
||||
|
||||
<span class="c1"># If base_price is not set, we use the current value. This is the</span>
|
||||
@@ -692,34 +743,36 @@ lines 218-245, so in order to run the algorithm we just type:</p>
|
||||
<span class="c1"># Now that we've collected all current data for this frame, we use</span>
|
||||
<span class="c1"># the record() method to save it. This data will be available as</span>
|
||||
<span class="c1"># a parameter of the analyze() function for further analysis.</span>
|
||||
|
||||
<span class="n">record</span><span class="p">(</span>
|
||||
<span class="n">price</span><span class="o">=</span><span class="n">price</span><span class="p">,</span>
|
||||
<span class="n">volume</span><span class="o">=</span><span class="n">current</span><span class="p">[</span><span class="s1">'volume'</span><span class="p">],</span>
|
||||
<span class="n">price</span><span class="o">=</span><span class="n">price</span><span class="p">,</span>
|
||||
<span class="n">price_change</span><span class="o">=</span><span class="n">price_change</span><span class="p">,</span>
|
||||
<span class="n">rsi</span><span class="o">=</span><span class="n">rsi</span><span class="p">[</span><span class="o">-</span><span class="mi">1</span><span class="p">],</span>
|
||||
<span class="n">cash</span><span class="o">=</span><span class="n">cash</span>
|
||||
<span class="p">)</span>
|
||||
|
||||
<span class="c1"># We are trying to avoid over-trading by limiting our trades to</span>
|
||||
<span class="c1"># one per day.</span>
|
||||
<span class="k">if</span> <span class="n">context</span><span class="o">.</span><span class="n">traded_today</span><span class="p">:</span>
|
||||
<span class="k">return</span>
|
||||
|
||||
<span class="c1"># TODO: retest with open orders</span>
|
||||
<span class="c1"># Since we are using limit orders, some orders may not execute immediately</span>
|
||||
<span class="c1"># we wait until all orders are executed before considering more trades.</span>
|
||||
<span class="n">orders</span> <span class="o">=</span> <span class="n">get_open_orders</span><span class="p">(</span><span class="n">context</span><span class="o">.</span><span class="n">neo_eth</span><span class="p">)</span>
|
||||
<span class="n">orders</span> <span class="o">=</span> <span class="n">context</span><span class="o">.</span><span class="n">blotter</span><span class="o">.</span><span class="n">open_orders</span>
|
||||
<span class="k">if</span> <span class="nb">len</span><span class="p">(</span><span class="n">orders</span><span class="p">)</span> <span class="o">></span> <span class="mi">0</span><span class="p">:</span>
|
||||
<span class="n">log</span><span class="o">.</span><span class="n">info</span><span class="p">(</span><span class="s1">'exiting because orders are open: {}'</span><span class="o">.</span><span class="n">format</span><span class="p">(</span><span class="n">orders</span><span class="p">))</span>
|
||||
<span class="k">return</span>
|
||||
|
||||
<span class="c1"># Exit if we cannot trade</span>
|
||||
<span class="k">if</span> <span class="ow">not</span> <span class="n">data</span><span class="o">.</span><span class="n">can_trade</span><span class="p">(</span><span class="n">context</span><span class="o">.</span><span class="n">neo_eth</span><span class="p">):</span>
|
||||
<span class="k">if</span> <span class="ow">not</span> <span class="n">data</span><span class="o">.</span><span class="n">can_trade</span><span class="p">(</span><span class="n">context</span><span class="o">.</span><span class="n">market</span><span class="p">):</span>
|
||||
<span class="k">return</span>
|
||||
|
||||
<span class="c1"># Another powerful built-in feature of the Catalyst backtester is the</span>
|
||||
<span class="c1"># portfolio object. The portfolio object tracks your positions, cash,</span>
|
||||
<span class="c1"># cost basis of specific holdings, and more. In this line, we calculate</span>
|
||||
<span class="c1"># how long or short our position is at this minute.</span>
|
||||
<span class="n">pos_amount</span> <span class="o">=</span> <span class="n">context</span><span class="o">.</span><span class="n">portfolio</span><span class="o">.</span><span class="n">positions</span><span class="p">[</span><span class="n">context</span><span class="o">.</span><span class="n">neo_eth</span><span class="p">]</span><span class="o">.</span><span class="n">amount</span>
|
||||
<span class="n">pos_amount</span> <span class="o">=</span> <span class="n">context</span><span class="o">.</span><span class="n">portfolio</span><span class="o">.</span><span class="n">positions</span><span class="p">[</span><span class="n">context</span><span class="o">.</span><span class="n">market</span><span class="p">]</span><span class="o">.</span><span class="n">amount</span>
|
||||
|
||||
<span class="k">if</span> <span class="n">rsi</span><span class="p">[</span><span class="o">-</span><span class="mi">1</span><span class="p">]</span> <span class="o"><=</span> <span class="n">context</span><span class="o">.</span><span class="n">RSI_OVERSOLD</span> <span class="ow">and</span> <span class="n">pos_amount</span> <span class="o">==</span> <span class="mi">0</span><span class="p">:</span>
|
||||
<span class="n">log</span><span class="o">.</span><span class="n">info</span><span class="p">(</span>
|
||||
@@ -730,7 +783,7 @@ lines 218-245, so in order to run the algorithm we just type:</p>
|
||||
<span class="c1"># Set a style for limit orders,</span>
|
||||
<span class="n">limit_price</span> <span class="o">=</span> <span class="n">price</span> <span class="o">*</span> <span class="mf">1.005</span>
|
||||
<span class="n">order_target_percent</span><span class="p">(</span>
|
||||
<span class="n">context</span><span class="o">.</span><span class="n">neo_eth</span><span class="p">,</span> <span class="mi">1</span><span class="p">,</span> <span class="n">limit_price</span><span class="o">=</span><span class="n">limit_price</span>
|
||||
<span class="n">context</span><span class="o">.</span><span class="n">market</span><span class="p">,</span> <span class="mi">1</span><span class="p">,</span> <span class="n">limit_price</span><span class="o">=</span><span class="n">limit_price</span>
|
||||
<span class="p">)</span>
|
||||
<span class="n">context</span><span class="o">.</span><span class="n">traded_today</span> <span class="o">=</span> <span class="bp">True</span>
|
||||
|
||||
@@ -742,7 +795,7 @@ lines 218-245, so in order to run the algorithm we just type:</p>
|
||||
<span class="p">)</span>
|
||||
<span class="n">limit_price</span> <span class="o">=</span> <span class="n">price</span> <span class="o">*</span> <span class="mf">0.995</span>
|
||||
<span class="n">order_target_percent</span><span class="p">(</span>
|
||||
<span class="n">context</span><span class="o">.</span><span class="n">neo_eth</span><span class="p">,</span> <span class="mi">0</span><span class="p">,</span> <span class="n">limit_price</span><span class="o">=</span><span class="n">limit_price</span>
|
||||
<span class="n">context</span><span class="o">.</span><span class="n">market</span><span class="p">,</span> <span class="mi">0</span><span class="p">,</span> <span class="n">limit_price</span><span class="o">=</span><span class="n">limit_price</span>
|
||||
<span class="p">)</span>
|
||||
<span class="n">context</span><span class="o">.</span><span class="n">traded_today</span> <span class="o">=</span> <span class="bp">True</span>
|
||||
|
||||
@@ -753,7 +806,7 @@ lines 218-245, so in order to run the algorithm we just type:</p>
|
||||
|
||||
<span class="kn">import</span> <span class="nn">matplotlib.pyplot</span> <span class="kn">as</span> <span class="nn">plt</span>
|
||||
<span class="c1"># The base currency of the algo exchange</span>
|
||||
<span class="n">base_currency</span> <span class="o">=</span> <span class="n">context</span><span class="o">.</span><span class="n">exchanges</span><span class="o">.</span><span class="n">values</span><span class="p">()[</span><span class="mi">0</span><span class="p">]</span><span class="o">.</span><span class="n">base_currency</span><span class="o">.</span><span class="n">upper</span><span class="p">()</span>
|
||||
<span class="n">base_currency</span> <span class="o">=</span> <span class="nb">list</span><span class="p">(</span><span class="n">context</span><span class="o">.</span><span class="n">exchanges</span><span class="o">.</span><span class="n">values</span><span class="p">())[</span><span class="mi">0</span><span class="p">]</span><span class="o">.</span><span class="n">base_currency</span><span class="o">.</span><span class="n">upper</span><span class="p">()</span>
|
||||
|
||||
<span class="c1"># Plot the portfolio value over time.</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">611</span><span class="p">)</span>
|
||||
@@ -765,7 +818,7 @@ lines 218-245, so in order to run the algorithm we just type:</p>
|
||||
<span class="n">perf</span><span class="o">.</span><span class="n">loc</span><span class="p">[:,</span> <span class="s1">'price'</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">label</span><span class="o">=</span><span class="s1">'Price'</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="s1">'{asset}</span><span class="se">\n</span><span class="s1">({base})'</span><span class="o">.</span><span class="n">format</span><span class="p">(</span>
|
||||
<span class="n">asset</span><span class="o">=</span><span class="n">context</span><span class="o">.</span><span class="n">neo_eth</span><span class="o">.</span><span class="n">symbol</span><span class="p">,</span> <span class="n">base</span><span class="o">=</span><span class="n">base_currency</span>
|
||||
<span class="n">asset</span><span class="o">=</span><span class="n">context</span><span class="o">.</span><span class="n">market</span><span class="o">.</span><span class="n">symbol</span><span class="p">,</span> <span class="n">base</span><span class="o">=</span><span class="n">base_currency</span>
|
||||
<span class="p">))</span>
|
||||
|
||||
<span class="n">transaction_df</span> <span class="o">=</span> <span class="n">extract_transactions</span><span class="p">(</span><span class="n">perf</span><span class="p">)</span>
|
||||
@@ -826,7 +879,7 @@ lines 218-245, so in order to run the algorithm we just type:</p>
|
||||
<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">3</span><span class="p">)</span>
|
||||
<span class="n">start</span><span class="p">,</span> <span class="n">end</span> <span class="o">=</span> <span class="n">ax6</span><span class="o">.</span><span class="n">get_ylim</span><span class="p">()</span>
|
||||
<span class="n">ax6</span><span class="o">.</span><span class="n">yaxis</span><span class="o">.</span><span class="n">set_ticks</span><span class="p">(</span><span class="n">np</span><span class="o">.</span><span class="n">arange</span><span class="p">(</span><span class="mi">0</span><span class="p">,</span> <span class="n">end</span><span class="p">,</span> <span class="n">end</span><span class="o">/</span><span class="mi">5</span><span class="p">))</span>
|
||||
<span class="n">ax6</span><span class="o">.</span><span class="n">yaxis</span><span class="o">.</span><span class="n">set_ticks</span><span class="p">(</span><span class="n">np</span><span class="o">.</span><span class="n">arange</span><span class="p">(</span><span class="mi">0</span><span class="p">,</span> <span class="n">end</span><span class="p">,</span> <span class="n">end</span> <span class="o">/</span> <span class="mi">5</span><span class="p">))</span>
|
||||
|
||||
<span class="c1"># Show the plot.</span>
|
||||
<span class="n">plt</span><span class="o">.</span><span class="n">gcf</span><span class="p">()</span><span class="o">.</span><span class="n">set_size_inches</span><span class="p">(</span><span class="mi">18</span><span class="p">,</span> <span class="mi">8</span><span class="p">)</span>
|
||||
@@ -836,9 +889,25 @@ lines 218-245, so in order to run the algorithm we just type:</p>
|
||||
|
||||
<span class="k">if</span> <span class="vm">__name__</span> <span class="o">==</span> <span class="s1">'__main__'</span><span class="p">:</span>
|
||||
<span class="c1"># The execution mode: backtest or live</span>
|
||||
<span class="n">MODE</span> <span class="o">=</span> <span class="s1">'backtest'</span>
|
||||
<span class="n">live</span> <span class="o">=</span> <span class="bp">True</span>
|
||||
|
||||
<span class="k">if</span> <span class="n">MODE</span> <span class="o">==</span> <span class="s1">'backtest'</span><span class="p">:</span>
|
||||
<span class="k">if</span> <span class="n">live</span><span class="p">:</span>
|
||||
<span class="n">run_algorithm</span><span class="p">(</span>
|
||||
<span class="n">capital_base</span><span class="o">=</span><span class="mf">0.1</span><span class="p">,</span>
|
||||
<span class="n">initialize</span><span class="o">=</span><span class="n">initialize</span><span class="p">,</span>
|
||||
<span class="n">handle_data</span><span class="o">=</span><span class="n">handle_data</span><span class="p">,</span>
|
||||
<span class="n">analyze</span><span class="o">=</span><span class="n">analyze</span><span class="p">,</span>
|
||||
<span class="n">exchange_name</span><span class="o">=</span><span class="s1">'binance'</span><span class="p">,</span>
|
||||
<span class="n">live</span><span class="o">=</span><span class="bp">True</span><span class="p">,</span>
|
||||
<span class="n">algo_namespace</span><span class="o">=</span><span class="n">NAMESPACE</span><span class="p">,</span>
|
||||
<span class="n">base_currency</span><span class="o">=</span><span class="s1">'eth'</span><span class="p">,</span>
|
||||
<span class="n">live_graph</span><span class="o">=</span><span class="bp">False</span><span class="p">,</span>
|
||||
<span class="n">simulate_orders</span><span class="o">=</span><span class="bp">False</span><span class="p">,</span>
|
||||
<span class="n">stats_output</span><span class="o">=</span><span class="bp">None</span><span class="p">,</span>
|
||||
<span class="c1"># auth_aliases=dict(poloniex='auth2')</span>
|
||||
<span class="p">)</span>
|
||||
|
||||
<span class="k">else</span><span class="p">:</span>
|
||||
<span class="n">folder</span> <span class="o">=</span> <span class="n">os</span><span class="o">.</span><span class="n">path</span><span class="o">.</span><span class="n">join</span><span class="p">(</span>
|
||||
<span class="n">tempfile</span><span class="o">.</span><span class="n">gettempdir</span><span class="p">(),</span> <span class="s1">'catalyst'</span><span class="p">,</span> <span class="n">NAMESPACE</span>
|
||||
<span class="p">)</span>
|
||||
@@ -846,34 +915,23 @@ lines 218-245, so in order to run the algorithm we just type:</p>
|
||||
|
||||
<span class="n">timestr</span> <span class="o">=</span> <span class="n">time</span><span class="o">.</span><span class="n">strftime</span><span class="p">(</span><span class="s1">'%Y%m</span><span class="si">%d</span><span class="s1">-%H%M%S'</span><span class="p">)</span>
|
||||
<span class="n">out</span> <span class="o">=</span> <span class="n">os</span><span class="o">.</span><span class="n">path</span><span class="o">.</span><span class="n">join</span><span class="p">(</span><span class="n">folder</span><span class="p">,</span> <span class="s1">'{}.p'</span><span class="o">.</span><span class="n">format</span><span class="p">(</span><span class="n">timestr</span><span class="p">))</span>
|
||||
<span class="c1"># catalyst run -f catalyst/examples/mean_reversion_simple.py -x bitfinex -s 2017-10-1 -e 2017-11-10 -c usdt -n mean-reversion --data-frequency minute --capital-base 10000</span>
|
||||
<span class="c1"># catalyst run -f catalyst/examples/mean_reversion_simple.py \</span>
|
||||
<span class="c1"># -x bitfinex -s 2017-10-1 -e 2017-11-10 -c usdt -n mean-reversion \</span>
|
||||
<span class="c1"># --data-frequency minute --capital-base 10000</span>
|
||||
<span class="n">run_algorithm</span><span class="p">(</span>
|
||||
<span class="n">capital_base</span><span class="o">=</span><span class="mi">10000</span><span class="p">,</span>
|
||||
<span class="n">capital_base</span><span class="o">=</span><span class="mf">0.035</span><span class="p">,</span>
|
||||
<span class="n">data_frequency</span><span class="o">=</span><span class="s1">'minute'</span><span class="p">,</span>
|
||||
<span class="n">initialize</span><span class="o">=</span><span class="n">initialize</span><span class="p">,</span>
|
||||
<span class="n">handle_data</span><span class="o">=</span><span class="n">handle_data</span><span class="p">,</span>
|
||||
<span class="n">analyze</span><span class="o">=</span><span class="n">analyze</span><span class="p">,</span>
|
||||
<span class="n">exchange_name</span><span class="o">=</span><span class="s1">'bitfinex'</span><span class="p">,</span>
|
||||
<span class="n">algo_namespace</span><span class="o">=</span><span class="n">NAMESPACE</span><span class="p">,</span>
|
||||
<span class="n">base_currency</span><span class="o">=</span><span class="s1">'usd'</span><span class="p">,</span>
|
||||
<span class="n">base_currency</span><span class="o">=</span><span class="s1">'btc'</span><span class="p">,</span>
|
||||
<span class="n">start</span><span class="o">=</span><span class="n">pd</span><span class="o">.</span><span class="n">to_datetime</span><span class="p">(</span><span class="s1">'2017-10-01'</span><span class="p">,</span> <span class="n">utc</span><span class="o">=</span><span class="bp">True</span><span class="p">),</span>
|
||||
<span class="n">end</span><span class="o">=</span><span class="n">pd</span><span class="o">.</span><span class="n">to_datetime</span><span class="p">(</span><span class="s1">'2017-11-10'</span><span class="p">,</span> <span class="n">utc</span><span class="o">=</span><span class="bp">True</span><span class="p">),</span>
|
||||
<span class="n">output</span><span class="o">=</span><span class="n">out</span>
|
||||
<span class="p">)</span>
|
||||
<span class="n">log</span><span class="o">.</span><span class="n">info</span><span class="p">(</span><span class="s1">'saved perf stats: {}'</span><span class="o">.</span><span class="n">format</span><span class="p">(</span><span class="n">out</span><span class="p">))</span>
|
||||
|
||||
<span class="k">elif</span> <span class="n">MODE</span> <span class="o">==</span> <span class="s1">'live'</span><span class="p">:</span>
|
||||
<span class="n">run_algorithm</span><span class="p">(</span>
|
||||
<span class="n">capital_base</span><span class="o">=</span><span class="mf">0.5</span><span class="p">,</span>
|
||||
<span class="n">initialize</span><span class="o">=</span><span class="n">initialize</span><span class="p">,</span>
|
||||
<span class="n">handle_data</span><span class="o">=</span><span class="n">handle_data</span><span class="p">,</span>
|
||||
<span class="n">analyze</span><span class="o">=</span><span class="n">analyze</span><span class="p">,</span>
|
||||
<span class="n">exchange_name</span><span class="o">=</span><span class="s1">'bittrex'</span><span class="p">,</span>
|
||||
<span class="n">live</span><span class="o">=</span><span class="bp">True</span><span class="p">,</span>
|
||||
<span class="n">algo_namespace</span><span class="o">=</span><span class="n">NAMESPACE</span><span class="p">,</span>
|
||||
<span class="n">base_currency</span><span class="o">=</span><span class="s1">'usd'</span><span class="p">,</span>
|
||||
<span class="n">live_graph</span><span class="o">=</span><span class="bp">False</span>
|
||||
<span class="p">)</span>
|
||||
</pre></div>
|
||||
</div>
|
||||
<img alt="https://s3.amazonaws.com/enigmaco-docs/github.io/example_mean_reversion_simple.png" src="https://s3.amazonaws.com/enigmaco-docs/github.io/example_mean_reversion_simple.png" />
|
||||
@@ -887,7 +945,6 @@ strategy.</p>
|
||||
</div>
|
||||
<div class="section" id="simple-universe">
|
||||
<span id="id1"></span><h2>Simple Universe<a class="headerlink" href="#simple-universe" title="Permalink to this headline">¶</a></h2>
|
||||
<p>Source code: <a class="reference external" href="https://github.com/enigmampc/catalyst/blob/master/catalyst/examples/simple_universe.py">examples/simple_universe.py</a></p>
|
||||
<p>This example aims to provide an easy way for users to learn how to
|
||||
collect data from any given exchange and select a subset of the available
|
||||
currency pairs for trading. You simply need to specify the exchange and
|
||||
@@ -909,24 +966,52 @@ of the file:</p>
|
||||
<div class="highlight-bash"><div class="highlight"><pre><span></span>catalyst ingest-exchange -x bitfinex -f minute
|
||||
</pre></div>
|
||||
</div>
|
||||
<div class="highlight-bash"><div class="highlight"><pre><span></span>python simple_universe.py
|
||||
</pre></div>
|
||||
</div>
|
||||
<p>Credits: This code was originally submitted by <a class="reference external" href="https://github.com/abnera">Abner Ayala-Acevedo</a>. Thank you!</p>
|
||||
<div class="highlight-python"><div class="highlight"><pre><span></span><span class="kn">from</span> <span class="nn">datetime</span> <span class="kn">import</span> <span class="n">timedelta</span>
|
||||
<p>Source code: <a class="reference external" href="https://github.com/enigmampc/catalyst/blob/master/catalyst/examples/simple_universe.py">examples/simple_universe.py</a></p>
|
||||
<div class="highlight-python"><div class="highlight"><pre><span></span><span class="sd">"""</span>
|
||||
<span class="sd">Requires Catalyst version 0.3.0 or above</span>
|
||||
<span class="sd">Tested on Catalyst version 0.3.3</span>
|
||||
|
||||
<span class="sd">This example aims to provide an easy way for users to learn how to</span>
|
||||
<span class="sd">collect data from any given exchange and select a subset of the available</span>
|
||||
<span class="sd">currency pairs for trading. You simply need to specify the exchange and</span>
|
||||
<span class="sd">the market (base_currency) that you want to focus on. You will then see</span>
|
||||
<span class="sd">how to create a universe of assets, and filter it based the market you</span>
|
||||
<span class="sd">desire.</span>
|
||||
|
||||
<span class="sd">The example prints out the closing price of all the pairs for a given</span>
|
||||
<span class="sd">market in a given exchange every 30 minutes. The example also contains</span>
|
||||
<span class="sd">the OHLCV data with minute-resolution for the past seven days which</span>
|
||||
<span class="sd">could be used to create indicators. Use this code as the backbone to</span>
|
||||
<span class="sd">create your own trading strategy.</span>
|
||||
|
||||
<span class="sd">The lookback_date variable is used to ensure data for a coin existed on</span>
|
||||
<span class="sd">the lookback period specified.</span>
|
||||
|
||||
<span class="sd">To run, execute the following two commands in a terminal (inside catalyst</span>
|
||||
<span class="sd">environment). The first one retrieves all the pricing data needed for this</span>
|
||||
<span class="sd">script to run (only needs to be run once), and the second one executes this</span>
|
||||
<span class="sd">script with the parameters specified in the run_algorithm() call at the end</span>
|
||||
<span class="sd">of the file:</span>
|
||||
|
||||
<span class="sd">catalyst ingest-exchange -x bitfinex -f minute</span>
|
||||
|
||||
<span class="sd">python simple_universe.py</span>
|
||||
|
||||
<span class="sd">"""</span>
|
||||
<span class="kn">from</span> <span class="nn">datetime</span> <span class="kn">import</span> <span class="n">timedelta</span>
|
||||
|
||||
<span class="kn">import</span> <span class="nn">numpy</span> <span class="kn">as</span> <span class="nn">np</span>
|
||||
<span class="kn">import</span> <span class="nn">pandas</span> <span class="kn">as</span> <span class="nn">pd</span>
|
||||
|
||||
<span class="kn">from</span> <span class="nn">catalyst</span> <span class="kn">import</span> <span class="n">run_algorithm</span>
|
||||
<span class="kn">from</span> <span class="nn">catalyst.exchange.utils.exchange_utils</span> <span class="kn">import</span> <span class="n">get_exchange_symbols</span>
|
||||
<span class="kn">from</span> <span class="nn">catalyst.api</span> <span class="kn">import</span> <span class="p">(</span><span class="n">symbols</span><span class="p">,</span> <span class="p">)</span>
|
||||
<span class="kn">from</span> <span class="nn">catalyst.exchange.utils.exchange_utils</span> <span class="kn">import</span> <span class="n">get_exchange_symbols</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="o">-</span><span class="mi">1</span> <span class="c1"># minute counter</span>
|
||||
<span class="n">context</span><span class="o">.</span><span class="n">exchange</span> <span class="o">=</span> <span class="n">context</span><span class="o">.</span><span class="n">exchanges</span><span class="o">.</span><span class="n">values</span><span class="p">()[</span><span class="mi">0</span><span class="p">]</span><span class="o">.</span><span class="n">name</span><span class="o">.</span><span class="n">lower</span><span class="p">()</span>
|
||||
<span class="n">context</span><span class="o">.</span><span class="n">base_currency</span> <span class="o">=</span> <span class="n">context</span><span class="o">.</span><span class="n">exchanges</span><span class="o">.</span><span class="n">values</span><span class="p">()[</span><span class="mi">0</span><span class="p">]</span><span class="o">.</span><span class="n">base_currency</span><span class="o">.</span><span class="n">lower</span><span class="p">()</span>
|
||||
<span class="n">context</span><span class="o">.</span><span class="n">exchange</span> <span class="o">=</span> <span class="nb">list</span><span class="p">(</span><span class="n">context</span><span class="o">.</span><span class="n">exchanges</span><span class="o">.</span><span class="n">values</span><span class="p">())[</span><span class="mi">0</span><span class="p">]</span><span class="o">.</span><span class="n">name</span><span class="o">.</span><span class="n">lower</span><span class="p">()</span>
|
||||
<span class="n">context</span><span class="o">.</span><span class="n">base_currency</span> <span class="o">=</span> <span class="nb">list</span><span class="p">(</span><span class="n">context</span><span class="o">.</span><span class="n">exchanges</span><span class="o">.</span><span class="n">values</span><span class="p">())[</span><span class="mi">0</span><span class="p">]</span><span class="o">.</span><span class="n">base_currency</span><span class="o">.</span><span class="n">lower</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>
|
||||
@@ -947,8 +1032,9 @@ of the file:</p>
|
||||
|
||||
<span class="c1"># get data every 30 minutes</span>
|
||||
<span class="n">minutes</span> <span class="o">=</span> <span class="mi">30</span>
|
||||
|
||||
<span class="c1"># get lookback_days of history data: that is 'lookback' number of bins</span>
|
||||
<span class="n">lookback</span> <span class="o">=</span> <span class="n">one_day_in_minutes</span> <span class="o">/</span> <span class="n">minutes</span> <span class="o">*</span> <span class="n">lookback_days</span>
|
||||
<span class="n">lookback</span> <span class="o">=</span> <span class="nb">int</span><span class="p">(</span><span class="n">one_day_in_minutes</span> <span class="o">/</span> <span class="n">minutes</span> <span class="o">*</span> <span class="n">lookback_days</span><span class="p">)</span>
|
||||
<span class="k">if</span> <span class="ow">not</span> <span class="n">context</span><span class="o">.</span><span class="n">i</span> <span class="o">%</span> <span class="n">minutes</span> <span class="ow">and</span> <span class="n">context</span><span class="o">.</span><span class="n">universe</span><span class="p">:</span>
|
||||
<span class="c1"># we iterate for every pair in the current universe</span>
|
||||
<span class="k">for</span> <span class="n">coin</span> <span class="ow">in</span> <span class="n">context</span><span class="o">.</span><span class="n">coins</span><span class="p">:</span>
|
||||
@@ -958,21 +1044,32 @@ of the file:</p>
|
||||
<span class="c1"># required for candlestick or indicators/signals. Return Pandas</span>
|
||||
<span class="c1"># DataFrames. 30T means 30-minute re-sampling of one minute data.</span>
|
||||
<span class="c1"># Adjust it to your desired time interval as needed.</span>
|
||||
<span class="n">opened</span> <span class="o">=</span> <span class="n">fill</span><span class="p">(</span><span class="n">data</span><span class="o">.</span><span class="n">history</span><span class="p">(</span><span class="n">coin</span><span class="p">,</span> <span class="s1">'open'</span><span class="p">,</span>
|
||||
<span class="n">bar_count</span><span class="o">=</span><span class="n">lookback</span><span class="p">,</span> <span class="n">frequency</span><span class="o">=</span><span class="s1">'30T'</span><span class="p">))</span><span class="o">.</span><span class="n">values</span>
|
||||
<span class="n">high</span> <span class="o">=</span> <span class="n">fill</span><span class="p">(</span><span class="n">data</span><span class="o">.</span><span class="n">history</span><span class="p">(</span><span class="n">coin</span><span class="p">,</span> <span class="s1">'high'</span><span class="p">,</span>
|
||||
<span class="n">bar_count</span><span class="o">=</span><span class="n">lookback</span><span class="p">,</span> <span class="n">frequency</span><span class="o">=</span><span class="s1">'30T'</span><span class="p">))</span><span class="o">.</span><span class="n">values</span>
|
||||
<span class="n">low</span> <span class="o">=</span> <span class="n">fill</span><span class="p">(</span><span class="n">data</span><span class="o">.</span><span class="n">history</span><span class="p">(</span><span class="n">coin</span><span class="p">,</span> <span class="s1">'low'</span><span class="p">,</span>
|
||||
<span class="n">bar_count</span><span class="o">=</span><span class="n">lookback</span><span class="p">,</span> <span class="n">frequency</span><span class="o">=</span><span class="s1">'30T'</span><span class="p">))</span><span class="o">.</span><span class="n">values</span>
|
||||
<span class="n">close</span> <span class="o">=</span> <span class="n">fill</span><span class="p">(</span><span class="n">data</span><span class="o">.</span><span class="n">history</span><span class="p">(</span><span class="n">coin</span><span class="p">,</span> <span class="s1">'price'</span><span class="p">,</span>
|
||||
<span class="n">bar_count</span><span class="o">=</span><span class="n">lookback</span><span class="p">,</span> <span class="n">frequency</span><span class="o">=</span><span class="s1">'30T'</span><span class="p">))</span><span class="o">.</span><span class="n">values</span>
|
||||
<span class="n">volume</span> <span class="o">=</span> <span class="n">fill</span><span class="p">(</span><span class="n">data</span><span class="o">.</span><span class="n">history</span><span class="p">(</span><span class="n">coin</span><span class="p">,</span> <span class="s1">'volume'</span><span class="p">,</span>
|
||||
<span class="n">bar_count</span><span class="o">=</span><span class="n">lookback</span><span class="p">,</span> <span class="n">frequency</span><span class="o">=</span><span class="s1">'30T'</span><span class="p">))</span><span class="o">.</span><span class="n">values</span>
|
||||
<span class="n">opened</span> <span class="o">=</span> <span class="n">fill</span><span class="p">(</span><span class="n">data</span><span class="o">.</span><span class="n">history</span><span class="p">(</span><span class="n">coin</span><span class="p">,</span>
|
||||
<span class="s1">'open'</span><span class="p">,</span>
|
||||
<span class="n">bar_count</span><span class="o">=</span><span class="n">lookback</span><span class="p">,</span>
|
||||
<span class="n">frequency</span><span class="o">=</span><span class="s1">'30T'</span><span class="p">))</span><span class="o">.</span><span class="n">values</span>
|
||||
<span class="n">high</span> <span class="o">=</span> <span class="n">fill</span><span class="p">(</span><span class="n">data</span><span class="o">.</span><span class="n">history</span><span class="p">(</span><span class="n">coin</span><span class="p">,</span>
|
||||
<span class="s1">'high'</span><span class="p">,</span>
|
||||
<span class="n">bar_count</span><span class="o">=</span><span class="n">lookback</span><span class="p">,</span>
|
||||
<span class="n">frequency</span><span class="o">=</span><span class="s1">'30T'</span><span class="p">))</span><span class="o">.</span><span class="n">values</span>
|
||||
<span class="n">low</span> <span class="o">=</span> <span class="n">fill</span><span class="p">(</span><span class="n">data</span><span class="o">.</span><span class="n">history</span><span class="p">(</span><span class="n">coin</span><span class="p">,</span>
|
||||
<span class="s1">'low'</span><span class="p">,</span>
|
||||
<span class="n">bar_count</span><span class="o">=</span><span class="n">lookback</span><span class="p">,</span>
|
||||
<span class="n">frequency</span><span class="o">=</span><span class="s1">'30T'</span><span class="p">))</span><span class="o">.</span><span class="n">values</span>
|
||||
<span class="n">close</span> <span class="o">=</span> <span class="n">fill</span><span class="p">(</span><span class="n">data</span><span class="o">.</span><span class="n">history</span><span class="p">(</span><span class="n">coin</span><span class="p">,</span>
|
||||
<span class="s1">'price'</span><span class="p">,</span>
|
||||
<span class="n">bar_count</span><span class="o">=</span><span class="n">lookback</span><span class="p">,</span>
|
||||
<span class="n">frequency</span><span class="o">=</span><span class="s1">'30T'</span><span class="p">))</span><span class="o">.</span><span class="n">values</span>
|
||||
<span class="n">volume</span> <span class="o">=</span> <span class="n">fill</span><span class="p">(</span><span class="n">data</span><span class="o">.</span><span class="n">history</span><span class="p">(</span><span class="n">coin</span><span class="p">,</span>
|
||||
<span class="s1">'volume'</span><span class="p">,</span>
|
||||
<span class="n">bar_count</span><span class="o">=</span><span class="n">lookback</span><span class="p">,</span>
|
||||
<span class="n">frequency</span><span class="o">=</span><span class="s1">'30T'</span><span class="p">))</span><span class="o">.</span><span class="n">values</span>
|
||||
|
||||
<span class="c1"># close[-1] is the last value in the set, which is the equivalent</span>
|
||||
<span class="c1"># to current price (as in the most recent value)</span>
|
||||
<span class="c1"># displays the minute price for each pair every 30 minutes</span>
|
||||
<span class="k">print</span><span class="p">(</span><span class="s1">'{now}: {pair} -</span><span class="se">\t</span><span class="s1">O:{o},</span><span class="se">\t</span><span class="s1">H:{h},</span><span class="se">\t</span><span class="s1">L:{c},</span><span class="se">\t</span><span class="s1">C{c},</span><span class="se">\t</span><span class="s1">V:{v}'</span><span class="o">.</span><span class="n">format</span><span class="p">(</span>
|
||||
<span class="k">print</span><span class="p">(</span><span class="s1">'{now}: {pair} -</span><span class="se">\t</span><span class="s1">O:{o},</span><span class="se">\t</span><span class="s1">H:{h},</span><span class="se">\t</span><span class="s1">L:{c},</span><span class="se">\t</span><span class="s1">C{c},'</span>
|
||||
<span class="s1">'</span><span class="se">\t</span><span class="s1">V:{v}'</span><span class="o">.</span><span class="n">format</span><span class="p">(</span>
|
||||
<span class="n">now</span><span class="o">=</span><span class="n">now</span><span class="p">,</span>
|
||||
<span class="n">pair</span><span class="o">=</span><span class="n">pair</span><span class="p">,</span>
|
||||
<span class="n">o</span><span class="o">=</span><span class="n">opened</span><span class="p">[</span><span class="o">-</span><span class="mi">1</span><span class="p">],</span>
|
||||
@@ -980,7 +1077,7 @@ of the file:</p>
|
||||
<span class="n">l</span><span class="o">=</span><span class="n">low</span><span class="p">[</span><span class="o">-</span><span class="mi">1</span><span class="p">],</span>
|
||||
<span class="n">c</span><span class="o">=</span><span class="n">close</span><span class="p">[</span><span class="o">-</span><span class="mi">1</span><span class="p">],</span>
|
||||
<span class="n">v</span><span class="o">=</span><span class="n">volume</span><span class="p">[</span><span class="o">-</span><span class="mi">1</span><span class="p">],</span>
|
||||
<span class="p">))</span>
|
||||
<span class="p">))</span>
|
||||
|
||||
<span class="c1"># -------------------------------------------------------------</span>
|
||||
<span class="c1"># --------------- Insert Your Strategy Here -------------------</span>
|
||||
@@ -998,13 +1095,15 @@ of the file:</p>
|
||||
<span class="n">json_symbols</span> <span class="o">=</span> <span class="n">get_exchange_symbols</span><span class="p">(</span><span class="n">context</span><span class="o">.</span><span class="n">exchange</span><span class="p">)</span>
|
||||
<span class="c1"># convert into a DataFrame for easier processing</span>
|
||||
<span class="n">df</span> <span class="o">=</span> <span class="n">pd</span><span class="o">.</span><span class="n">DataFrame</span><span class="o">.</span><span class="n">from_dict</span><span class="p">(</span><span class="n">json_symbols</span><span class="p">)</span><span class="o">.</span><span class="n">transpose</span><span class="p">()</span><span class="o">.</span><span class="n">astype</span><span class="p">(</span><span class="nb">str</span><span class="p">)</span>
|
||||
<span class="n">df</span><span class="p">[</span><span class="s1">'base_currency'</span><span class="p">]</span> <span class="o">=</span> <span class="n">df</span><span class="o">.</span><span class="n">apply</span><span class="p">(</span><span class="k">lambda</span> <span class="n">row</span><span class="p">:</span> <span class="n">row</span><span class="o">.</span><span class="n">symbol</span><span class="o">.</span><span class="n">split</span><span class="p">(</span><span class="s1">'_'</span><span class="p">)[</span><span class="mi">1</span><span class="p">],</span><span class="n">axis</span><span class="o">=</span><span class="mi">1</span><span class="p">)</span>
|
||||
<span class="n">df</span><span class="p">[</span><span class="s1">'market_currency'</span><span class="p">]</span> <span class="o">=</span> <span class="n">df</span><span class="o">.</span><span class="n">apply</span><span class="p">(</span><span class="k">lambda</span> <span class="n">row</span><span class="p">:</span> <span class="n">row</span><span class="o">.</span><span class="n">symbol</span><span class="o">.</span><span class="n">split</span><span class="p">(</span><span class="s1">'_'</span><span class="p">)[</span><span class="mi">0</span><span class="p">],</span><span class="n">axis</span><span class="o">=</span><span class="mi">1</span><span class="p">)</span>
|
||||
<span class="n">df</span><span class="p">[</span><span class="s1">'base_currency'</span><span class="p">]</span> <span class="o">=</span> <span class="n">df</span><span class="o">.</span><span class="n">apply</span><span class="p">(</span><span class="k">lambda</span> <span class="n">row</span><span class="p">:</span> <span class="n">row</span><span class="o">.</span><span class="n">symbol</span><span class="o">.</span><span class="n">split</span><span class="p">(</span><span class="s1">'_'</span><span class="p">)[</span><span class="mi">1</span><span class="p">],</span>
|
||||
<span class="n">axis</span><span class="o">=</span><span class="mi">1</span><span class="p">)</span>
|
||||
<span class="n">df</span><span class="p">[</span><span class="s1">'market_currency'</span><span class="p">]</span> <span class="o">=</span> <span class="n">df</span><span class="o">.</span><span class="n">apply</span><span class="p">(</span><span class="k">lambda</span> <span class="n">row</span><span class="p">:</span> <span class="n">row</span><span class="o">.</span><span class="n">symbol</span><span class="o">.</span><span class="n">split</span><span class="p">(</span><span class="s1">'_'</span><span class="p">)[</span><span class="mi">0</span><span class="p">],</span>
|
||||
<span class="n">axis</span><span class="o">=</span><span class="mi">1</span><span class="p">)</span>
|
||||
|
||||
<span class="c1"># Filter all the pairs to get only the ones for a given base_currency</span>
|
||||
<span class="n">df</span> <span class="o">=</span> <span class="n">df</span><span class="p">[</span><span class="n">df</span><span class="p">[</span><span class="s1">'base_currency'</span><span class="p">]</span> <span class="o">==</span> <span class="n">context</span><span class="o">.</span><span class="n">base_currency</span><span class="p">]</span>
|
||||
|
||||
<span class="c1"># Filter all the pairs to ensure that pair existed in the current date range</span>
|
||||
<span class="c1"># Filter all pairs to ensure that pair existed in the current date range</span>
|
||||
<span class="n">df</span> <span class="o">=</span> <span class="n">df</span><span class="p">[</span><span class="n">df</span><span class="o">.</span><span class="n">start_date</span> <span class="o"><</span> <span class="n">lookback_date</span><span class="p">]</span>
|
||||
<span class="n">df</span> <span class="o">=</span> <span class="n">df</span><span class="p">[</span><span class="n">df</span><span class="o">.</span><span class="n">end_daily</span> <span class="o">>=</span> <span class="n">current_date</span><span class="p">]</span>
|
||||
<span class="n">context</span><span class="o">.</span><span class="n">coins</span> <span class="o">=</span> <span class="n">symbols</span><span class="p">(</span><span class="o">*</span><span class="n">df</span><span class="o">.</span><span class="n">symbol</span><span class="p">)</span> <span class="c1"># convert all the pairs to symbols</span>
|
||||
@@ -1033,7 +1132,7 @@ of the file:</p>
|
||||
<span class="n">initialize</span><span class="o">=</span><span class="n">initialize</span><span class="p">,</span>
|
||||
<span class="n">handle_data</span><span class="o">=</span><span class="n">handle_data</span><span class="p">,</span>
|
||||
<span class="n">analyze</span><span class="o">=</span><span class="n">analyze</span><span class="p">,</span>
|
||||
<span class="n">exchange_name</span><span class="o">=</span><span class="s1">'bitfinex'</span><span class="p">,</span>
|
||||
<span class="n">exchange_name</span><span class="o">=</span><span class="s1">'poloniex'</span><span class="p">,</span>
|
||||
<span class="n">data_frequency</span><span class="o">=</span><span class="s1">'minute'</span><span class="p">,</span>
|
||||
<span class="n">base_currency</span><span class="o">=</span><span class="s1">'btc'</span><span class="p">,</span>
|
||||
<span class="n">live</span><span class="o">=</span><span class="bp">False</span><span class="p">,</span>
|
||||
@@ -1049,7 +1148,14 @@ 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 code was used
|
||||
in writting the following article:
|
||||
<a class="reference external" href="https://blog.enigma.co/markowitz-portfolio-optimization-for-cryptocurrencies-in-catalyst-b23c38652556">Markowitz Portfolio Optimization for Cryptocurrencies</a>.</p>
|
||||
<div class="highlight-python"><div class="highlight"><pre><span></span><span class="sd">'''</span>
|
||||
<p>Source code: <a class="reference external" href="https://github.com/enigmampc/catalyst/blob/master/catalyst/examples/portfolio_optimization.py">examples/simple_universe.py</a></p>
|
||||
<div class="highlight-python"><div class="highlight"><pre><span></span><span class="sd">'''Use this code to execute a portfolio optimization model. This code</span>
|
||||
<span class="sd"> will select the portfolio with the maximum Sharpe Ratio. The parameters</span>
|
||||
<span class="sd"> are set to use 180 days of historical data and rebalance every 30 days.</span>
|
||||
|
||||
<span class="sd"> This is the code used in the following article:</span>
|
||||
<span class="sd"> https://blog.enigma.co/markowitz-portfolio-optimization-for-cryptocurrencies-in-catalyst-b23c38652556</span>
|
||||
|
||||
<span class="sd"> You can run this code using the Python interpreter:</span>
|
||||
|
||||
<span class="sd"> $ python portfolio_optimization.py</span>
|
||||
@@ -1060,122 +1166,139 @@ in writting the following article:
|
||||
<span class="kn">import</span> <span class="nn">pytz</span>
|
||||
<span class="kn">import</span> <span class="nn">numpy</span> <span class="kn">as</span> <span class="nn">np</span>
|
||||
<span class="kn">import</span> <span class="nn">pandas</span> <span class="kn">as</span> <span class="nn">pd</span>
|
||||
<span class="kn">from</span> <span class="nn">scipy.optimize</span> <span class="kn">import</span> <span class="n">minimize</span>
|
||||
<span class="kn">import</span> <span class="nn">matplotlib.pyplot</span> <span class="kn">as</span> <span class="nn">plt</span>
|
||||
<span class="kn">from</span> <span class="nn">datetime</span> <span class="kn">import</span> <span class="n">datetime</span>
|
||||
|
||||
<span class="kn">from</span> <span class="nn">catalyst.api</span> <span class="kn">import</span> <span class="n">record</span><span class="p">,</span> <span class="n">symbol</span><span class="p">,</span> <span class="n">symbols</span><span class="p">,</span> <span class="n">order_target_percent</span>
|
||||
<span class="kn">from</span> <span class="nn">catalyst.api</span> <span class="kn">import</span> <span class="n">record</span><span class="p">,</span> <span class="n">symbols</span><span class="p">,</span> <span class="n">order_target_percent</span>
|
||||
<span class="kn">from</span> <span class="nn">catalyst.utils.run_algo</span> <span class="kn">import</span> <span class="n">run_algorithm</span>
|
||||
|
||||
<span class="n">np</span><span class="o">.</span><span class="n">set_printoptions</span><span class="p">(</span><span class="n">threshold</span><span class="o">=</span><span class="s1">'nan'</span><span class="p">,</span> <span class="n">suppress</span><span class="o">=</span><span class="bp">True</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="c1"># Portfolio assets list</span>
|
||||
<span class="n">context</span><span class="o">.</span><span class="n">assets</span> <span class="o">=</span> <span class="n">symbols</span><span class="p">(</span><span class="s1">'btc_usdt'</span><span class="p">,</span> <span class="s1">'eth_usdt'</span><span class="p">,</span> <span class="s1">'ltc_usdt'</span><span class="p">,</span> <span class="s1">'dash_usdt'</span><span class="p">,</span>
|
||||
<span class="s1">'xmr_usdt'</span><span class="p">)</span>
|
||||
<span class="n">context</span><span class="o">.</span><span class="n">nassets</span> <span class="o">=</span> <span class="nb">len</span><span class="p">(</span><span class="n">context</span><span class="o">.</span><span class="n">assets</span><span class="p">)</span>
|
||||
<span class="c1"># Set the time window that will be used to compute expected return</span>
|
||||
<span class="c1"># and asset correlations</span>
|
||||
<span class="n">context</span><span class="o">.</span><span class="n">window</span> <span class="o">=</span> <span class="mi">180</span>
|
||||
<span class="c1"># Set the number of days between each portfolio rebalancing</span>
|
||||
<span class="n">context</span><span class="o">.</span><span class="n">rebalance_period</span> <span class="o">=</span> <span class="mi">30</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="c1"># Portfolio assets list</span>
|
||||
<span class="n">context</span><span class="o">.</span><span class="n">assets</span> <span class="o">=</span> <span class="n">symbols</span><span class="p">(</span><span class="s1">'btc_usdt'</span><span class="p">,</span> <span class="s1">'eth_usdt'</span><span class="p">,</span> <span class="s1">'ltc_usdt'</span><span class="p">,</span> <span class="s1">'dash_usdt'</span><span class="p">,</span>
|
||||
<span class="s1">'xmr_usdt'</span><span class="p">)</span>
|
||||
<span class="n">context</span><span class="o">.</span><span class="n">nassets</span> <span class="o">=</span> <span class="nb">len</span><span class="p">(</span><span class="n">context</span><span class="o">.</span><span class="n">assets</span><span class="p">)</span>
|
||||
<span class="c1"># Set the time window that will be used to compute expected return</span>
|
||||
<span class="c1"># and asset correlations</span>
|
||||
<span class="n">context</span><span class="o">.</span><span class="n">window</span> <span class="o">=</span> <span class="mi">180</span>
|
||||
<span class="c1"># Set the number of days between each portfolio rebalancing</span>
|
||||
<span class="n">context</span><span class="o">.</span><span class="n">rebalance_period</span> <span class="o">=</span> <span class="mi">30</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="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="c1"># Only rebalance at the beggining of the algorithm execution and</span>
|
||||
<span class="c1"># every multiple of the rebalance period</span>
|
||||
<span class="k">if</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="ow">or</span> <span class="n">context</span><span class="o">.</span><span class="n">i</span><span class="o">%</span><span class="n">context</span><span class="o">.</span><span class="n">rebalance_period</span> <span class="o">==</span> <span class="mi">0</span><span class="p">:</span>
|
||||
<span class="n">n</span> <span class="o">=</span> <span class="n">context</span><span class="o">.</span><span class="n">window</span>
|
||||
<span class="n">prices</span> <span class="o">=</span> <span class="n">data</span><span class="o">.</span><span class="n">history</span><span class="p">(</span><span class="n">context</span><span class="o">.</span><span class="n">assets</span><span class="p">,</span> <span class="n">fields</span><span class="o">=</span><span class="s1">'price'</span><span class="p">,</span>
|
||||
<span class="n">bar_count</span><span class="o">=</span><span class="n">n</span><span class="o">+</span><span class="mi">1</span><span class="p">,</span> <span class="n">frequency</span><span class="o">=</span><span class="s1">'1d'</span><span class="p">)</span>
|
||||
<span class="n">pr</span> <span class="o">=</span> <span class="n">np</span><span class="o">.</span><span class="n">asmatrix</span><span class="p">(</span><span class="n">prices</span><span class="p">)</span>
|
||||
<span class="n">t_prices</span> <span class="o">=</span> <span class="n">prices</span><span class="o">.</span><span class="n">iloc</span><span class="p">[</span><span class="mi">1</span><span class="p">:</span><span class="n">n</span><span class="o">+</span><span class="mi">1</span><span class="p">]</span>
|
||||
<span class="n">t_val</span> <span class="o">=</span> <span class="n">t_prices</span><span class="o">.</span><span class="n">values</span>
|
||||
<span class="n">tminus_prices</span> <span class="o">=</span> <span class="n">prices</span><span class="o">.</span><span class="n">iloc</span><span class="p">[</span><span class="mi">0</span><span class="p">:</span><span class="n">n</span><span class="p">]</span>
|
||||
<span class="n">tminus_val</span> <span class="o">=</span> <span class="n">tminus_prices</span><span class="o">.</span><span class="n">values</span>
|
||||
<span class="c1"># Compute daily returns (r)</span>
|
||||
<span class="n">r</span> <span class="o">=</span> <span class="n">np</span><span class="o">.</span><span class="n">asmatrix</span><span class="p">(</span><span class="n">t_val</span><span class="o">/</span><span class="n">tminus_val</span><span class="o">-</span><span class="mi">1</span><span class="p">)</span>
|
||||
<span class="c1"># Compute the expected returns of each asset with the average</span>
|
||||
<span class="c1"># daily return for the selected time window</span>
|
||||
<span class="n">m</span> <span class="o">=</span> <span class="n">np</span><span class="o">.</span><span class="n">asmatrix</span><span class="p">(</span><span class="n">np</span><span class="o">.</span><span class="n">mean</span><span class="p">(</span><span class="n">r</span><span class="p">,</span> <span class="n">axis</span><span class="o">=</span><span class="mi">0</span><span class="p">))</span>
|
||||
<span class="c1"># ###</span>
|
||||
<span class="n">stds</span> <span class="o">=</span> <span class="n">np</span><span class="o">.</span><span class="n">std</span><span class="p">(</span><span class="n">r</span><span class="p">,</span> <span class="n">axis</span><span class="o">=</span><span class="mi">0</span><span class="p">)</span>
|
||||
<span class="c1"># Compute excess returns matrix (xr)</span>
|
||||
<span class="n">xr</span> <span class="o">=</span> <span class="n">r</span> <span class="o">-</span> <span class="n">m</span>
|
||||
<span class="c1"># Matrix algebra to get variance-covariance matrix</span>
|
||||
<span class="n">cov_m</span> <span class="o">=</span> <span class="n">np</span><span class="o">.</span><span class="n">dot</span><span class="p">(</span><span class="n">np</span><span class="o">.</span><span class="n">transpose</span><span class="p">(</span><span class="n">xr</span><span class="p">),</span><span class="n">xr</span><span class="p">)</span><span class="o">/</span><span class="n">n</span>
|
||||
<span class="c1"># Compute asset correlation matrix (informative only)</span>
|
||||
<span class="n">corr_m</span> <span class="o">=</span> <span class="n">cov_m</span><span class="o">/</span><span class="n">np</span><span class="o">.</span><span class="n">dot</span><span class="p">(</span><span class="n">np</span><span class="o">.</span><span class="n">transpose</span><span class="p">(</span><span class="n">stds</span><span class="p">),</span><span class="n">stds</span><span class="p">)</span>
|
||||
<span class="c1"># Only rebalance at the beggining of the algorithm execution and</span>
|
||||
<span class="c1"># every multiple of the rebalance period</span>
|
||||
<span class="k">if</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="ow">or</span> <span class="n">context</span><span class="o">.</span><span class="n">i</span> <span class="o">%</span> <span class="n">context</span><span class="o">.</span><span class="n">rebalance_period</span> <span class="o">==</span> <span class="mi">0</span><span class="p">:</span>
|
||||
<span class="n">n</span> <span class="o">=</span> <span class="n">context</span><span class="o">.</span><span class="n">window</span>
|
||||
<span class="n">prices</span> <span class="o">=</span> <span class="n">data</span><span class="o">.</span><span class="n">history</span><span class="p">(</span><span class="n">context</span><span class="o">.</span><span class="n">assets</span><span class="p">,</span> <span class="n">fields</span><span class="o">=</span><span class="s1">'price'</span><span class="p">,</span>
|
||||
<span class="n">bar_count</span><span class="o">=</span><span class="n">n</span> <span class="o">+</span> <span class="mi">1</span><span class="p">,</span> <span class="n">frequency</span><span class="o">=</span><span class="s1">'1d'</span><span class="p">)</span>
|
||||
<span class="n">pr</span> <span class="o">=</span> <span class="n">np</span><span class="o">.</span><span class="n">asmatrix</span><span class="p">(</span><span class="n">prices</span><span class="p">)</span>
|
||||
<span class="n">t_prices</span> <span class="o">=</span> <span class="n">prices</span><span class="o">.</span><span class="n">iloc</span><span class="p">[</span><span class="mi">1</span><span class="p">:</span><span class="n">n</span> <span class="o">+</span> <span class="mi">1</span><span class="p">]</span>
|
||||
<span class="n">t_val</span> <span class="o">=</span> <span class="n">t_prices</span><span class="o">.</span><span class="n">values</span>
|
||||
<span class="n">tminus_prices</span> <span class="o">=</span> <span class="n">prices</span><span class="o">.</span><span class="n">iloc</span><span class="p">[</span><span class="mi">0</span><span class="p">:</span><span class="n">n</span><span class="p">]</span>
|
||||
<span class="n">tminus_val</span> <span class="o">=</span> <span class="n">tminus_prices</span><span class="o">.</span><span class="n">values</span>
|
||||
<span class="c1"># Compute daily returns (r)</span>
|
||||
<span class="n">r</span> <span class="o">=</span> <span class="n">np</span><span class="o">.</span><span class="n">asmatrix</span><span class="p">(</span><span class="n">t_val</span> <span class="o">/</span> <span class="n">tminus_val</span> <span class="o">-</span> <span class="mi">1</span><span class="p">)</span>
|
||||
<span class="c1"># Compute the expected returns of each asset with the average</span>
|
||||
<span class="c1"># daily return for the selected time window</span>
|
||||
<span class="n">m</span> <span class="o">=</span> <span class="n">np</span><span class="o">.</span><span class="n">asmatrix</span><span class="p">(</span><span class="n">np</span><span class="o">.</span><span class="n">mean</span><span class="p">(</span><span class="n">r</span><span class="p">,</span> <span class="n">axis</span><span class="o">=</span><span class="mi">0</span><span class="p">))</span>
|
||||
<span class="c1"># ###</span>
|
||||
<span class="n">stds</span> <span class="o">=</span> <span class="n">np</span><span class="o">.</span><span class="n">std</span><span class="p">(</span><span class="n">r</span><span class="p">,</span> <span class="n">axis</span><span class="o">=</span><span class="mi">0</span><span class="p">)</span>
|
||||
<span class="c1"># Compute excess returns matrix (xr)</span>
|
||||
<span class="n">xr</span> <span class="o">=</span> <span class="n">r</span> <span class="o">-</span> <span class="n">m</span>
|
||||
<span class="c1"># Matrix algebra to get variance-covariance matrix</span>
|
||||
<span class="n">cov_m</span> <span class="o">=</span> <span class="n">np</span><span class="o">.</span><span class="n">dot</span><span class="p">(</span><span class="n">np</span><span class="o">.</span><span class="n">transpose</span><span class="p">(</span><span class="n">xr</span><span class="p">),</span> <span class="n">xr</span><span class="p">)</span> <span class="o">/</span> <span class="n">n</span>
|
||||
<span class="c1"># Compute asset correlation matrix (informative only)</span>
|
||||
<span class="n">corr_m</span> <span class="o">=</span> <span class="n">cov_m</span> <span class="o">/</span> <span class="n">np</span><span class="o">.</span><span class="n">dot</span><span class="p">(</span><span class="n">np</span><span class="o">.</span><span class="n">transpose</span><span class="p">(</span><span class="n">stds</span><span class="p">),</span> <span class="n">stds</span><span class="p">)</span>
|
||||
|
||||
<span class="c1"># Define portfolio optimization parameters</span>
|
||||
<span class="n">n_portfolios</span> <span class="o">=</span> <span class="mi">50000</span>
|
||||
<span class="n">results_array</span> <span class="o">=</span> <span class="n">np</span><span class="o">.</span><span class="n">zeros</span><span class="p">((</span><span class="mi">3</span><span class="o">+</span><span class="n">context</span><span class="o">.</span><span class="n">nassets</span><span class="p">,</span><span class="n">n_portfolios</span><span class="p">))</span>
|
||||
<span class="k">for</span> <span class="n">p</span> <span class="ow">in</span> <span class="nb">xrange</span><span class="p">(</span><span class="n">n_portfolios</span><span class="p">):</span>
|
||||
<span class="n">weights</span> <span class="o">=</span> <span class="n">np</span><span class="o">.</span><span class="n">random</span><span class="o">.</span><span class="n">random</span><span class="p">(</span><span class="n">context</span><span class="o">.</span><span class="n">nassets</span><span class="p">)</span>
|
||||
<span class="n">weights</span> <span class="o">/=</span> <span class="n">np</span><span class="o">.</span><span class="n">sum</span><span class="p">(</span><span class="n">weights</span><span class="p">)</span>
|
||||
<span class="n">w</span> <span class="o">=</span> <span class="n">np</span><span class="o">.</span><span class="n">asmatrix</span><span class="p">(</span><span class="n">weights</span><span class="p">)</span>
|
||||
<span class="n">p_r</span> <span class="o">=</span> <span class="n">np</span><span class="o">.</span><span class="n">sum</span><span class="p">(</span><span class="n">np</span><span class="o">.</span><span class="n">dot</span><span class="p">(</span><span class="n">w</span><span class="p">,</span><span class="n">np</span><span class="o">.</span><span class="n">transpose</span><span class="p">(</span><span class="n">m</span><span class="p">)))</span><span class="o">*</span><span class="mi">365</span>
|
||||
<span class="n">p_std</span> <span class="o">=</span> <span class="n">np</span><span class="o">.</span><span class="n">sqrt</span><span class="p">(</span><span class="n">np</span><span class="o">.</span><span class="n">dot</span><span class="p">(</span><span class="n">np</span><span class="o">.</span><span class="n">dot</span><span class="p">(</span><span class="n">w</span><span class="p">,</span><span class="n">cov_m</span><span class="p">),</span><span class="n">np</span><span class="o">.</span><span class="n">transpose</span><span class="p">(</span><span class="n">w</span><span class="p">)))</span><span class="o">*</span><span class="n">np</span><span class="o">.</span><span class="n">sqrt</span><span class="p">(</span><span class="mi">365</span><span class="p">)</span>
|
||||
<span class="c1"># Define portfolio optimization parameters</span>
|
||||
<span class="n">n_portfolios</span> <span class="o">=</span> <span class="mi">50000</span>
|
||||
<span class="n">results_array</span> <span class="o">=</span> <span class="n">np</span><span class="o">.</span><span class="n">zeros</span><span class="p">((</span><span class="mi">3</span> <span class="o">+</span> <span class="n">context</span><span class="o">.</span><span class="n">nassets</span><span class="p">,</span> <span class="n">n_portfolios</span><span class="p">))</span>
|
||||
<span class="k">for</span> <span class="n">p</span> <span class="ow">in</span> <span class="nb">xrange</span><span class="p">(</span><span class="n">n_portfolios</span><span class="p">):</span>
|
||||
<span class="n">weights</span> <span class="o">=</span> <span class="n">np</span><span class="o">.</span><span class="n">random</span><span class="o">.</span><span class="n">random</span><span class="p">(</span><span class="n">context</span><span class="o">.</span><span class="n">nassets</span><span class="p">)</span>
|
||||
<span class="n">weights</span> <span class="o">/=</span> <span class="n">np</span><span class="o">.</span><span class="n">sum</span><span class="p">(</span><span class="n">weights</span><span class="p">)</span>
|
||||
<span class="n">w</span> <span class="o">=</span> <span class="n">np</span><span class="o">.</span><span class="n">asmatrix</span><span class="p">(</span><span class="n">weights</span><span class="p">)</span>
|
||||
<span class="n">p_r</span> <span class="o">=</span> <span class="n">np</span><span class="o">.</span><span class="n">sum</span><span class="p">(</span><span class="n">np</span><span class="o">.</span><span class="n">dot</span><span class="p">(</span><span class="n">w</span><span class="p">,</span> <span class="n">np</span><span class="o">.</span><span class="n">transpose</span><span class="p">(</span><span class="n">m</span><span class="p">)))</span> <span class="o">*</span> <span class="mi">365</span>
|
||||
<span class="n">p_std</span> <span class="o">=</span> <span class="n">np</span><span class="o">.</span><span class="n">sqrt</span><span class="p">(</span><span class="n">np</span><span class="o">.</span><span class="n">dot</span><span class="p">(</span><span class="n">np</span><span class="o">.</span><span class="n">dot</span><span class="p">(</span><span class="n">w</span><span class="p">,</span> <span class="n">cov_m</span><span class="p">),</span>
|
||||
<span class="n">np</span><span class="o">.</span><span class="n">transpose</span><span class="p">(</span><span class="n">w</span><span class="p">)))</span> <span class="o">*</span> <span class="n">np</span><span class="o">.</span><span class="n">sqrt</span><span class="p">(</span><span class="mi">365</span><span class="p">)</span>
|
||||
|
||||
<span class="c1">#store results in results array</span>
|
||||
<span class="n">results_array</span><span class="p">[</span><span class="mi">0</span><span class="p">,</span><span class="n">p</span><span class="p">]</span> <span class="o">=</span> <span class="n">p_r</span>
|
||||
<span class="n">results_array</span><span class="p">[</span><span class="mi">1</span><span class="p">,</span><span class="n">p</span><span class="p">]</span> <span class="o">=</span> <span class="n">p_std</span>
|
||||
<span class="c1">#store Sharpe Ratio (return / volatility) - risk free rate element</span>
|
||||
<span class="c1">#excluded for simplicity</span>
|
||||
<span class="n">results_array</span><span class="p">[</span><span class="mi">2</span><span class="p">,</span><span class="n">p</span><span class="p">]</span> <span class="o">=</span> <span class="n">results_array</span><span class="p">[</span><span class="mi">0</span><span class="p">,</span><span class="n">p</span><span class="p">]</span> <span class="o">/</span> <span class="n">results_array</span><span class="p">[</span><span class="mi">1</span><span class="p">,</span><span class="n">p</span><span class="p">]</span>
|
||||
<span class="n">i</span> <span class="o">=</span> <span class="mi">0</span>
|
||||
<span class="k">for</span> <span class="n">iw</span> <span class="ow">in</span> <span class="n">weights</span><span class="p">:</span>
|
||||
<span class="n">results_array</span><span class="p">[</span><span class="mi">3</span><span class="o">+</span><span class="n">i</span><span class="p">,</span><span class="n">p</span><span class="p">]</span> <span class="o">=</span> <span class="n">weights</span><span class="p">[</span><span class="n">i</span><span class="p">]</span>
|
||||
<span class="n">i</span> <span class="o">+=</span> <span class="mi">1</span>
|
||||
<span class="c1"># store results in results array</span>
|
||||
<span class="n">results_array</span><span class="p">[</span><span class="mi">0</span><span class="p">,</span> <span class="n">p</span><span class="p">]</span> <span class="o">=</span> <span class="n">p_r</span>
|
||||
<span class="n">results_array</span><span class="p">[</span><span class="mi">1</span><span class="p">,</span> <span class="n">p</span><span class="p">]</span> <span class="o">=</span> <span class="n">p_std</span>
|
||||
<span class="c1"># store Sharpe Ratio (return / volatility) - risk free rate element</span>
|
||||
<span class="c1"># excluded for simplicity</span>
|
||||
<span class="n">results_array</span><span class="p">[</span><span class="mi">2</span><span class="p">,</span> <span class="n">p</span><span class="p">]</span> <span class="o">=</span> <span class="n">results_array</span><span class="p">[</span><span class="mi">0</span><span class="p">,</span> <span class="n">p</span><span class="p">]</span> <span class="o">/</span> <span class="n">results_array</span><span class="p">[</span><span class="mi">1</span><span class="p">,</span> <span class="n">p</span><span class="p">]</span>
|
||||
<span class="n">i</span> <span class="o">=</span> <span class="mi">0</span>
|
||||
<span class="k">for</span> <span class="n">iw</span> <span class="ow">in</span> <span class="n">weights</span><span class="p">:</span>
|
||||
<span class="n">results_array</span><span class="p">[</span><span class="mi">3</span> <span class="o">+</span> <span class="n">i</span><span class="p">,</span> <span class="n">p</span><span class="p">]</span> <span class="o">=</span> <span class="n">weights</span><span class="p">[</span><span class="n">i</span><span class="p">]</span>
|
||||
<span class="n">i</span> <span class="o">+=</span> <span class="mi">1</span>
|
||||
|
||||
<span class="c1">#convert results array to Pandas DataFrame</span>
|
||||
<span class="n">results_frame</span> <span class="o">=</span> <span class="n">pd</span><span class="o">.</span><span class="n">DataFrame</span><span class="p">(</span><span class="n">np</span><span class="o">.</span><span class="n">transpose</span><span class="p">(</span><span class="n">results_array</span><span class="p">),</span>
|
||||
<span class="n">columns</span><span class="o">=</span><span class="p">[</span><span class="s1">'r'</span><span class="p">,</span><span class="s1">'stdev'</span><span class="p">,</span><span class="s1">'sharpe'</span><span class="p">]</span><span class="o">+</span><span class="n">context</span><span class="o">.</span><span class="n">assets</span><span class="p">)</span>
|
||||
<span class="c1">#locate position of portfolio with highest Sharpe Ratio</span>
|
||||
<span class="n">max_sharpe_port</span> <span class="o">=</span> <span class="n">results_frame</span><span class="o">.</span><span class="n">iloc</span><span class="p">[</span><span class="n">results_frame</span><span class="p">[</span><span class="s1">'sharpe'</span><span class="p">]</span><span class="o">.</span><span class="n">idxmax</span><span class="p">()]</span>
|
||||
<span class="c1">#locate positon of portfolio with minimum standard deviation</span>
|
||||
<span class="n">min_vol_port</span> <span class="o">=</span> <span class="n">results_frame</span><span class="o">.</span><span class="n">iloc</span><span class="p">[</span><span class="n">results_frame</span><span class="p">[</span><span class="s1">'stdev'</span><span class="p">]</span><span class="o">.</span><span class="n">idxmin</span><span class="p">()]</span>
|
||||
<span class="c1"># convert results array to Pandas DataFrame</span>
|
||||
<span class="n">results_frame</span> <span class="o">=</span> <span class="n">pd</span><span class="o">.</span><span class="n">DataFrame</span><span class="p">(</span><span class="n">np</span><span class="o">.</span><span class="n">transpose</span><span class="p">(</span><span class="n">results_array</span><span class="p">),</span>
|
||||
<span class="n">columns</span><span class="o">=</span><span class="p">[</span><span class="s1">'r'</span><span class="p">,</span> <span class="s1">'stdev'</span><span class="p">,</span> <span class="s1">'sharpe'</span><span class="p">]</span>
|
||||
<span class="o">+</span> <span class="n">context</span><span class="o">.</span><span class="n">assets</span><span class="p">)</span>
|
||||
<span class="c1"># locate position of portfolio with highest Sharpe Ratio</span>
|
||||
<span class="n">max_sharpe_port</span> <span class="o">=</span> <span class="n">results_frame</span><span class="o">.</span><span class="n">iloc</span><span class="p">[</span><span class="n">results_frame</span><span class="p">[</span><span class="s1">'sharpe'</span><span class="p">]</span><span class="o">.</span><span class="n">idxmax</span><span class="p">()]</span>
|
||||
<span class="c1"># locate positon of portfolio with minimum standard deviation</span>
|
||||
<span class="c1"># min_vol_port = results_frame.iloc[results_frame['stdev'].idxmin()]</span>
|
||||
|
||||
<span class="c1">#order optimal weights for each asset</span>
|
||||
<span class="k">for</span> <span class="n">asset</span> <span class="ow">in</span> <span class="n">context</span><span class="o">.</span><span class="n">assets</span><span class="p">:</span>
|
||||
<span class="k">if</span> <span class="n">data</span><span class="o">.</span><span class="n">can_trade</span><span class="p">(</span><span class="n">asset</span><span class="p">):</span>
|
||||
<span class="n">order_target_percent</span><span class="p">(</span><span class="n">asset</span><span class="p">,</span> <span class="n">max_sharpe_port</span><span class="p">[</span><span class="n">asset</span><span class="p">])</span>
|
||||
<span class="c1"># order optimal weights for each asset</span>
|
||||
<span class="k">for</span> <span class="n">asset</span> <span class="ow">in</span> <span class="n">context</span><span class="o">.</span><span class="n">assets</span><span class="p">:</span>
|
||||
<span class="k">if</span> <span class="n">data</span><span class="o">.</span><span class="n">can_trade</span><span class="p">(</span><span class="n">asset</span><span class="p">):</span>
|
||||
<span class="n">order_target_percent</span><span class="p">(</span><span class="n">asset</span><span class="p">,</span> <span class="n">max_sharpe_port</span><span class="p">[</span><span class="n">asset</span><span class="p">])</span>
|
||||
|
||||
<span class="c1">#create scatter plot coloured by Sharpe Ratio</span>
|
||||
<span class="n">plt</span><span class="o">.</span><span class="n">scatter</span><span class="p">(</span><span class="n">results_frame</span><span class="o">.</span><span class="n">stdev</span><span class="p">,</span><span class="n">results_frame</span><span class="o">.</span><span class="n">r</span><span class="p">,</span><span class="n">c</span><span class="o">=</span><span class="n">results_frame</span><span class="o">.</span><span class="n">sharpe</span><span class="p">,</span><span class="n">cmap</span><span class="o">=</span><span class="s1">'RdYlGn'</span><span class="p">)</span>
|
||||
<span class="n">plt</span><span class="o">.</span><span class="n">xlabel</span><span class="p">(</span><span class="s1">'Volatility'</span><span class="p">)</span>
|
||||
<span class="n">plt</span><span class="o">.</span><span class="n">ylabel</span><span class="p">(</span><span class="s1">'Returns'</span><span class="p">)</span>
|
||||
<span class="n">plt</span><span class="o">.</span><span class="n">colorbar</span><span class="p">()</span>
|
||||
<span class="c1">#plot red star to highlight position of portfolio with highest Sharpe Ratio</span>
|
||||
<span class="n">plt</span><span class="o">.</span><span class="n">scatter</span><span class="p">(</span><span class="n">max_sharpe_port</span><span class="p">[</span><span class="mi">1</span><span class="p">],</span><span class="n">max_sharpe_port</span><span class="p">[</span><span class="mi">0</span><span class="p">],</span><span class="n">marker</span><span class="o">=</span><span class="s1">'o'</span><span class="p">,</span><span class="n">color</span><span class="o">=</span><span class="s1">'b'</span><span class="p">,</span><span class="n">s</span><span class="o">=</span><span class="mi">200</span><span class="p">)</span>
|
||||
<span class="c1">#plot green star to highlight position of minimum variance portfolio</span>
|
||||
<span class="n">plt</span><span class="o">.</span><span class="n">show</span><span class="p">()</span>
|
||||
<span class="k">print</span><span class="p">(</span><span class="n">max_sharpe_port</span><span class="p">)</span>
|
||||
<span class="n">record</span><span class="p">(</span><span class="n">pr</span><span class="o">=</span><span class="n">pr</span><span class="p">,</span><span class="n">r</span><span class="o">=</span><span class="n">r</span><span class="p">,</span> <span class="n">m</span><span class="o">=</span><span class="n">m</span><span class="p">,</span> <span class="n">stds</span><span class="o">=</span><span class="n">stds</span> <span class="p">,</span><span class="n">max_sharpe_port</span><span class="o">=</span><span class="n">max_sharpe_port</span><span class="p">,</span> <span class="n">corr_m</span><span class="o">=</span><span class="n">corr_m</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">1</span>
|
||||
<span class="c1"># create scatter plot coloured by Sharpe Ratio</span>
|
||||
<span class="n">plt</span><span class="o">.</span><span class="n">scatter</span><span class="p">(</span><span class="n">results_frame</span><span class="o">.</span><span class="n">stdev</span><span class="p">,</span>
|
||||
<span class="n">results_frame</span><span class="o">.</span><span class="n">r</span><span class="p">,</span>
|
||||
<span class="n">c</span><span class="o">=</span><span class="n">results_frame</span><span class="o">.</span><span class="n">sharpe</span><span class="p">,</span>
|
||||
<span class="n">cmap</span><span class="o">=</span><span class="s1">'RdYlGn'</span><span class="p">)</span>
|
||||
<span class="n">plt</span><span class="o">.</span><span class="n">xlabel</span><span class="p">(</span><span class="s1">'Volatility'</span><span class="p">)</span>
|
||||
<span class="n">plt</span><span class="o">.</span><span class="n">ylabel</span><span class="p">(</span><span class="s1">'Returns'</span><span class="p">)</span>
|
||||
<span class="n">plt</span><span class="o">.</span><span class="n">colorbar</span><span class="p">()</span>
|
||||
<span class="c1"># plot red star to highlight position of portfolio</span>
|
||||
<span class="c1"># with highest Sharpe Ratio</span>
|
||||
<span class="n">plt</span><span class="o">.</span><span class="n">scatter</span><span class="p">(</span><span class="n">max_sharpe_port</span><span class="p">[</span><span class="mi">1</span><span class="p">],</span>
|
||||
<span class="n">max_sharpe_port</span><span class="p">[</span><span class="mi">0</span><span class="p">],</span>
|
||||
<span class="n">marker</span><span class="o">=</span><span class="s1">'o'</span><span class="p">,</span>
|
||||
<span class="n">color</span><span class="o">=</span><span class="s1">'b'</span><span class="p">,</span>
|
||||
<span class="n">s</span><span class="o">=</span><span class="mi">200</span><span class="p">)</span>
|
||||
<span class="c1"># plot green star to highlight position of minimum variance portfolio</span>
|
||||
<span class="n">plt</span><span class="o">.</span><span class="n">show</span><span class="p">()</span>
|
||||
<span class="k">print</span><span class="p">(</span><span class="n">max_sharpe_port</span><span class="p">)</span>
|
||||
<span class="n">record</span><span class="p">(</span><span class="n">pr</span><span class="o">=</span><span class="n">pr</span><span class="p">,</span>
|
||||
<span class="n">r</span><span class="o">=</span><span class="n">r</span><span class="p">,</span>
|
||||
<span class="n">m</span><span class="o">=</span><span class="n">m</span><span class="p">,</span>
|
||||
<span class="n">stds</span><span class="o">=</span><span class="n">stds</span><span class="p">,</span>
|
||||
<span class="n">max_sharpe_port</span><span class="o">=</span><span class="n">max_sharpe_port</span><span class="p">,</span>
|
||||
<span class="n">corr_m</span><span class="o">=</span><span class="n">corr_m</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">1</span>
|
||||
|
||||
|
||||
<span class="k">def</span> <span class="nf">analyze</span><span class="p">(</span><span class="n">context</span><span class="o">=</span><span class="bp">None</span><span class="p">,</span> <span class="n">results</span><span class="o">=</span><span class="bp">None</span><span class="p">):</span>
|
||||
<span class="c1"># Form DataFrame with selected data</span>
|
||||
<span class="n">data</span> <span class="o">=</span> <span class="n">results</span><span class="p">[[</span><span class="s1">'pr'</span><span class="p">,</span><span class="s1">'r'</span><span class="p">,</span><span class="s1">'m'</span><span class="p">,</span><span class="s1">'stds'</span><span class="p">,</span><span class="s1">'max_sharpe_port'</span><span class="p">,</span><span class="s1">'corr_m'</span><span class="p">,</span><span class="s1">'portfolio_value'</span><span class="p">]]</span>
|
||||
<span class="c1"># Form DataFrame with selected data</span>
|
||||
<span class="n">data</span> <span class="o">=</span> <span class="n">results</span><span class="p">[[</span><span class="s1">'pr'</span><span class="p">,</span> <span class="s1">'r'</span><span class="p">,</span> <span class="s1">'m'</span><span class="p">,</span> <span class="s1">'stds'</span><span class="p">,</span> <span class="s1">'max_sharpe_port'</span><span class="p">,</span> <span class="s1">'corr_m'</span><span class="p">,</span>
|
||||
<span class="s1">'portfolio_value'</span><span class="p">]]</span>
|
||||
|
||||
<span class="c1"># Save results in CSV file</span>
|
||||
<span class="n">filename</span> <span class="o">=</span> <span class="n">os</span><span class="o">.</span><span class="n">path</span><span class="o">.</span><span class="n">splitext</span><span class="p">(</span><span class="n">os</span><span class="o">.</span><span class="n">path</span><span class="o">.</span><span class="n">basename</span><span class="p">(</span><span class="vm">__file__</span><span class="p">))[</span><span class="mi">0</span><span class="p">]</span>
|
||||
<span class="n">data</span><span class="o">.</span><span class="n">to_csv</span><span class="p">(</span><span class="n">filename</span> <span class="o">+</span> <span class="s1">'.csv'</span><span class="p">)</span>
|
||||
<span class="c1"># Save results in CSV file</span>
|
||||
<span class="n">filename</span> <span class="o">=</span> <span class="n">os</span><span class="o">.</span><span class="n">path</span><span class="o">.</span><span class="n">splitext</span><span class="p">(</span><span class="n">os</span><span class="o">.</span><span class="n">path</span><span class="o">.</span><span class="n">basename</span><span class="p">(</span><span class="vm">__file__</span><span class="p">))[</span><span class="mi">0</span><span class="p">]</span>
|
||||
<span class="n">data</span><span class="o">.</span><span class="n">to_csv</span><span class="p">(</span><span class="n">filename</span> <span class="o">+</span> <span class="s1">'.csv'</span><span class="p">)</span>
|
||||
|
||||
|
||||
<span class="c1"># Bitcoin data is available from 2015-3-2. Dates vary for other tokens.</span>
|
||||
<span class="n">start</span> <span class="o">=</span> <span class="n">datetime</span><span class="p">(</span><span class="mi">2017</span><span class="p">,</span> <span class="mi">1</span><span class="p">,</span> <span class="mi">1</span><span class="p">,</span> <span class="mi">0</span><span class="p">,</span> <span class="mi">0</span><span class="p">,</span> <span class="mi">0</span><span class="p">,</span> <span class="mi">0</span><span class="p">,</span> <span class="n">pytz</span><span class="o">.</span><span class="n">utc</span><span class="p">)</span>
|
||||
<span class="n">end</span> <span class="o">=</span> <span class="n">datetime</span><span class="p">(</span><span class="mi">2017</span><span class="p">,</span> <span class="mi">8</span><span class="p">,</span> <span class="mi">16</span><span class="p">,</span> <span class="mi">0</span><span class="p">,</span> <span class="mi">0</span><span class="p">,</span> <span class="mi">0</span><span class="p">,</span> <span class="mi">0</span><span class="p">,</span> <span class="n">pytz</span><span class="o">.</span><span class="n">utc</span><span class="p">)</span>
|
||||
<span class="n">results</span> <span class="o">=</span> <span class="n">run_algorithm</span><span class="p">(</span><span class="n">initialize</span><span class="o">=</span><span class="n">initialize</span><span class="p">,</span>
|
||||
<span class="n">handle_data</span><span class="o">=</span><span class="n">handle_data</span><span class="p">,</span>
|
||||
<span class="n">analyze</span><span class="o">=</span><span class="n">analyze</span><span class="p">,</span>
|
||||
<span class="n">start</span><span class="o">=</span><span class="n">start</span><span class="p">,</span>
|
||||
<span class="n">end</span><span class="o">=</span><span class="n">end</span><span class="p">,</span>
|
||||
<span class="n">exchange_name</span><span class="o">=</span><span class="s1">'poloniex'</span><span class="p">,</span>
|
||||
<span class="n">capital_base</span><span class="o">=</span><span class="mi">100000</span><span class="p">,</span> <span class="p">)</span>
|
||||
<span class="k">if</span> <span class="vm">__name__</span> <span class="o">==</span> <span class="s1">'__main__'</span><span class="p">:</span>
|
||||
<span class="c1"># Bitcoin data is available from 2015-3-2. Dates vary for other tokens.</span>
|
||||
<span class="n">start</span> <span class="o">=</span> <span class="n">datetime</span><span class="p">(</span><span class="mi">2017</span><span class="p">,</span> <span class="mi">1</span><span class="p">,</span> <span class="mi">1</span><span class="p">,</span> <span class="mi">0</span><span class="p">,</span> <span class="mi">0</span><span class="p">,</span> <span class="mi">0</span><span class="p">,</span> <span class="mi">0</span><span class="p">,</span> <span class="n">pytz</span><span class="o">.</span><span class="n">utc</span><span class="p">)</span>
|
||||
<span class="n">end</span> <span class="o">=</span> <span class="n">datetime</span><span class="p">(</span><span class="mi">2017</span><span class="p">,</span> <span class="mi">8</span><span class="p">,</span> <span class="mi">16</span><span class="p">,</span> <span class="mi">0</span><span class="p">,</span> <span class="mi">0</span><span class="p">,</span> <span class="mi">0</span><span class="p">,</span> <span class="mi">0</span><span class="p">,</span> <span class="n">pytz</span><span class="o">.</span><span class="n">utc</span><span class="p">)</span>
|
||||
<span class="n">results</span> <span class="o">=</span> <span class="n">run_algorithm</span><span class="p">(</span><span class="n">initialize</span><span class="o">=</span><span class="n">initialize</span><span class="p">,</span>
|
||||
<span class="n">handle_data</span><span class="o">=</span><span class="n">handle_data</span><span class="p">,</span>
|
||||
<span class="n">analyze</span><span class="o">=</span><span class="n">analyze</span><span class="p">,</span>
|
||||
<span class="n">start</span><span class="o">=</span><span class="n">start</span><span class="p">,</span>
|
||||
<span class="n">end</span><span class="o">=</span><span class="n">end</span><span class="p">,</span>
|
||||
<span class="n">exchange_name</span><span class="o">=</span><span class="s1">'poloniex'</span><span class="p">,</span>
|
||||
<span class="n">capital_base</span><span class="o">=</span><span class="mi">100000</span><span class="p">,</span>
|
||||
<span class="n">base_currency</span><span class="o">=</span><span class="s1">'usdt'</span><span class="p">,</span> <span class="p">)</span>
|
||||
</pre></div>
|
||||
</div>
|
||||
<img alt="https://cdn-images-1.medium.com/max/1600/0*EjjiKZHlYF3sn7yQ." class="align-center" src="https://cdn-images-1.medium.com/max/1600/0*EjjiKZHlYF3sn7yQ." />
|
||||
|
||||
+1
-1
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Reference in New Issue
Block a user