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DOC: adjusting example params to match video tutorial

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Victor Grau Serrat
2017-11-28 12:24:53 -07:00
parent ffd1bc07cc
commit b63199e4e1
1 changed files with 17 additions and 13 deletions
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catalyst/examples/mean_reversion_simple.py
+17 -13
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@@ -5,6 +5,7 @@ import os
import tempfile
import time
import numpy as np
import pandas as pd
import talib
from logbook import Logger
@@ -31,14 +32,14 @@ def initialize(context):
# trading pairs) you want to backtest. You'll also want to define any
# parameters or values you're going to use.
# In our example, we're looking at Ether in USD Tether.
context.neo_eth = symbol('neo_eth')
# In our example, we're looking at Neo in USD.
context.neo_eth = symbol('neo_usd')
context.base_price = None
context.current_day = None
context.RSI_OVERSOLD = 50
context.RSI_OVERSOLD = 30
context.RSI_OVERBOUGHT = 80
context.CANDLE_SIZE = '5T'
context.CANDLE_SIZE = '15T'
context.start_time = time.time()
@@ -160,13 +161,13 @@ def analyze(context=None, perf=None):
# Plot the portfolio value over time.
ax1 = plt.subplot(611)
perf.loc[:, 'portfolio_value'].plot(ax=ax1)
ax1.set_ylabel('Portfolio Value ({})'.format(base_currency))
ax1.set_ylabel('Portfolio\nValue\n({})'.format(base_currency))
# Plot the price increase or decrease over time.
ax2 = plt.subplot(612, sharex=ax1)
perf.loc[:, 'price'].plot(ax=ax2, label='Price')
ax2.set_ylabel('{asset} ({base})'.format(
ax2.set_ylabel('{asset}\n({base})'.format(
asset=context.neo_eth.symbol, base=base_currency
))
@@ -195,18 +196,19 @@ def analyze(context=None, perf=None):
perf.loc[:, 'cash'].plot(
ax=ax4, label='Base Currency ({})'.format(base_currency)
)
ax4.set_ylabel('Cash ({})'.format(base_currency))
ax4.set_ylabel('Cash\n({})'.format(base_currency))
perf['algorithm'] = perf.loc[:, 'algorithm_period_return']
ax5 = plt.subplot(614, sharex=ax1)
perf.loc[:, ['algorithm', 'price_change']].plot(ax=ax5)
ax5.set_ylabel('Percent Change')
ax5.set_ylabel('Percent\nChange')
ax6 = plt.subplot(615, sharex=ax1)
perf.loc[:, 'rsi'].plot(ax=ax6, label='RSI')
ax6.axhline(70, color='darkgoldenrod')
ax6.axhline(30, color='darkgoldenrod')
ax6.set_ylabel('RSI')
ax6.axhline(context.RSI_OVERBOUGHT, color='darkgoldenrod')
ax6.axhline(context.RSI_OVERSOLD, color='darkgoldenrod')
if not transaction_df.empty:
ax6.scatter(
@@ -226,6 +228,8 @@ def analyze(context=None, perf=None):
label=''
)
plt.legend(loc=3)
start, end = ax6.get_ylim()
ax6.yaxis.set_ticks(np.arange(0, end, end/5))
# Show the plot.
plt.gcf().set_size_inches(18, 8)
@@ -245,10 +249,10 @@ if __name__ == '__main__':
timestr = time.strftime('%Y%m%d-%H%M%S')
out = os.path.join(folder, '{}.p'.format(timestr))
# catalyst run -f catalyst/examples/mean_reversion_simple.py -x poloniex -s 2017-10-1 -e 2017-11-10 -c usdt -n mean-reversion --data-frequency minute --capital-base 10000
# 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
run_algorithm(
capital_base=10000,
data_frequency='daily',
data_frequency='minute',
initialize=initialize,
handle_data=handle_data,
analyze=analyze,
@@ -270,6 +274,6 @@ if __name__ == '__main__':
exchange_name='bittrex',
live=True,
algo_namespace=NAMESPACE,
base_currency='eth',
base_currency='usd',
live_graph=False
)