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DOC: release 0.5.6

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Victor Grau Serrat
2018-03-22 12:08:15 -06:00
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<h1>Catalyst Beginner Tutorial<a class="headerlink" href="#catalyst-beginner-tutorial" title="Permalink to this headline"></a></h1>
@@ -367,16 +230,16 @@ crypto asset in your universe.</p>
<h2>My first algorithm<a class="headerlink" href="#my-first-algorithm" title="Permalink to this headline"></a></h2>
<p>Lets take a look at a very simple algorithm from the <code class="docutils literal"><span class="pre">examples</span></code> directory:
<a class="reference external" href="https://github.com/enigmampc/catalyst/blob/master/catalyst/examples/buy_btc_simple.py">buy_btc_simple.py</a>:</p>
<div class="highlight-python"><div class="highlight"><pre><span class="kn">from</span> <span class="nn">catalyst.api</span> <span class="kn">import</span> <span class="n">order</span><span class="p">,</span> <span class="n">record</span><span class="p">,</span> <span class="n">symbol</span>
<div class="highlight-python"><div class="highlight"><pre><span></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="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="s">&#39;btc_usd&#39;</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">&#39;btc_usd&#39;</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="s">&#39;price&#39;</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">&#39;price&#39;</span><span class="p">))</span>
</pre></div>
</div>
<p>As you can see, we first have to import some functions we would like to
@@ -401,7 +264,7 @@ pricing data that Catalyst needs to run your simulation through a process called
form from the Enigma servers (which eventually will migrate to the Enigma Data
Marketplace), and stores it locally to make it available at runtime.</p>
<p>In order to ingest data, you need to run a command like the following:</p>
<div class="highlight-bash"><div class="highlight"><pre>catalyst ingest-exchange -x bitfinex -i btc_usd
<div class="highlight-bash"><div class="highlight"><pre><span></span>catalyst ingest-exchange -x bitfinex -i btc_usd
</pre></div>
</div>
<p>This instructs Catalyst to download pricing data from the <code class="docutils literal"><span class="pre">Bitfinex</span></code> exchange
@@ -411,10 +274,10 @@ our algorithm using historical pricing data from the Bitfinex exchange. By
default, Catalyst assumes that you want data with <code class="docutils literal"><span class="pre">daily</span></code> frequency (one candle
bar per day). If you want instead <code class="docutils literal"><span class="pre">minute</span></code> frequency (one candle bar for every
minute), you would need to specify it as follows:</p>
<div class="highlight-bash"><div class="highlight"><pre>catalyst ingest-exchange -x bitfinex -i btc_usd -f minute
<div class="highlight-bash"><div class="highlight"><pre><span></span>catalyst ingest-exchange -x bitfinex -i btc_usd -f minute
</pre></div>
</div>
<div class="highlight-python"><div class="highlight"><pre><span class="n">Ingesting</span> <span class="n">exchange</span> <span class="n">bundle</span> <span class="n">bitfinex</span><span class="o">...</span>
<div class="highlight-python"><div class="highlight"><pre><span></span><span class="n">Ingesting</span> <span class="n">exchange</span> <span class="n">bundle</span> <span class="n">bitfinex</span><span class="o">...</span>
<span class="p">[</span><span class="o">====================================</span><span class="p">]</span> <span class="n">Ingesting</span> <span class="n">daily</span> <span class="n">price</span> <span class="n">data</span> <span class="n">on</span> <span class="n">bitfinex</span><span class="p">:</span> <span class="mi">100</span><span class="o">%</span>
</pre></div>
</div>
@@ -441,7 +304,7 @@ to the exchange.</li>
<p>The <code class="docutils literal"><span class="pre">ingest-exchange</span></code> command in catalyst offers additional parameters to
further tweak the data ingestion process. You can learn more by running the
following from the command line:</p>
<div class="highlight-bash"><div class="highlight"><pre>catalyst ingest-exchange --help
<div class="highlight-bash"><div class="highlight"><pre><span></span>catalyst ingest-exchange --help
</pre></div>
</div>
</div>
@@ -466,11 +329,11 @@ have assimilated the contents of this tutorial.</p>
<p>After you installed Catalyst, you should be able to execute the following
from your command line (e.g. <code class="docutils literal"><span class="pre">cmd.exe</span></code> or the <code class="docutils literal"><span class="pre">Anaconda</span> <span class="pre">Prompt</span></code> on Windows,
or the Terminal application on MacOS).</p>
<div class="highlight-bash"><div class="highlight"><pre><span class="nv">$ </span>catalyst --help
<div class="highlight-bash"><div class="highlight"><pre><span></span>$ catalyst --help
</pre></div>
</div>
<p>This is the resulting output, simplified for eductional purposes:</p>
<div class="highlight-python"><div class="highlight"><pre><span class="n">Usage</span><span class="p">:</span> <span class="n">catalyst</span> <span class="p">[</span><span class="n">OPTIONS</span><span class="p">]</span> <span class="n">COMMAND</span> <span class="p">[</span><span class="n">ARGS</span><span class="p">]</span><span class="o">...</span>
<div class="highlight-python"><div class="highlight"><pre><span></span><span class="n">Usage</span><span class="p">:</span> <span class="n">catalyst</span> <span class="p">[</span><span class="n">OPTIONS</span><span class="p">]</span> <span class="n">COMMAND</span> <span class="p">[</span><span class="n">ARGS</span><span class="p">]</span><span class="o">...</span>
<span class="n">Top</span> <span class="n">level</span> <span class="n">catalyst</span> <span class="n">entry</span> <span class="n">point</span><span class="o">.</span>
@@ -491,10 +354,10 @@ given exchange, and the third mode <code class="docutils literal"><span class="p
trading live with it.</p>
<p>Let’s start with backtesting, so run this other command to learn more about
the available options:</p>
<div class="highlight-bash"><div class="highlight"><pre><span class="nv">$ </span>catalyst run --help
<div class="highlight-bash"><div class="highlight"><pre><span></span>$ catalyst run --help
</pre></div>
</div>
<div class="highlight-python"><div class="highlight"><pre><span class="n">Usage</span><span class="p">:</span> <span class="n">catalyst</span> <span class="n">run</span> <span class="p">[</span><span class="n">OPTIONS</span><span class="p">]</span>
<div class="highlight-python"><div class="highlight"><pre><span></span><span class="n">Usage</span><span class="p">:</span> <span class="n">catalyst</span> <span class="n">run</span> <span class="p">[</span><span class="n">OPTIONS</span><span class="p">]</span>
<span class="n">Run</span> <span class="n">a</span> <span class="n">backtest</span> <span class="k">for</span> <span class="n">the</span> <span class="n">given</span> <span class="n">algorithm</span><span class="o">.</span>
@@ -503,7 +366,7 @@ the available options:</p>
<span class="o">-</span><span class="n">t</span><span class="p">,</span> <span class="o">--</span><span class="n">algotext</span> <span class="n">TEXT</span> <span class="n">The</span> <span class="n">algorithm</span> <span class="n">script</span> <span class="n">to</span> <span class="n">run</span><span class="o">.</span>
<span class="o">-</span><span class="n">D</span><span class="p">,</span> <span class="o">--</span><span class="n">define</span> <span class="n">TEXT</span> <span class="n">Define</span> <span class="n">a</span> <span class="n">name</span> <span class="n">to</span> <span class="n">be</span> <span class="n">bound</span> <span class="ow">in</span> <span class="n">the</span> <span class="n">namespace</span>
<span class="n">before</span> <span class="n">executing</span> <span class="n">the</span> <span class="n">algotext</span><span class="o">.</span> <span class="n">For</span> <span class="n">example</span>
<span class="s">&#39;-Dname=value&#39;</span><span class="o">.</span> <span class="n">The</span> <span class="n">value</span> <span class="n">may</span> <span class="n">be</span> <span class="nb">any</span> <span class="n">python</span>
<span class="s1">&#39;-Dname=value&#39;</span><span class="o">.</span> <span class="n">The</span> <span class="n">value</span> <span class="n">may</span> <span class="n">be</span> <span class="nb">any</span> <span class="n">python</span>
<span class="n">expression</span><span class="o">.</span> <span class="n">These</span> <span class="n">are</span> <span class="n">evaluated</span> <span class="ow">in</span> <span class="n">order</span> <span class="n">so</span>
<span class="n">they</span> <span class="n">may</span> <span class="n">refer</span> <span class="n">to</span> <span class="n">previously</span> <span class="n">defined</span> <span class="n">names</span><span class="o">.</span>
<span class="o">--</span><span class="n">data</span><span class="o">-</span><span class="n">frequency</span> <span class="p">[</span><span class="n">daily</span><span class="o">|</span><span class="n">minute</span><span class="p">]</span>
@@ -518,7 +381,7 @@ the available options:</p>
<span class="o">-</span><span class="n">s</span><span class="p">,</span> <span class="o">--</span><span class="n">start</span> <span class="n">DATE</span> <span class="n">The</span> <span class="n">start</span> <span class="n">date</span> <span class="n">of</span> <span class="n">the</span> <span class="n">simulation</span><span class="o">.</span>
<span class="o">-</span><span class="n">e</span><span class="p">,</span> <span class="o">--</span><span class="n">end</span> <span class="n">DATE</span> <span class="n">The</span> <span class="n">end</span> <span class="n">date</span> <span class="n">of</span> <span class="n">the</span> <span class="n">simulation</span><span class="o">.</span>
<span class="o">-</span><span class="n">o</span><span class="p">,</span> <span class="o">--</span><span class="n">output</span> <span class="n">FILENAME</span> <span class="n">The</span> <span class="n">location</span> <span class="n">to</span> <span class="n">write</span> <span class="n">the</span> <span class="n">perf</span> <span class="n">data</span><span class="o">.</span> <span class="n">If</span> <span class="n">this</span>
<span class="ow">is</span> <span class="s">&#39;-&#39;</span> <span class="n">the</span> <span class="n">perf</span> <span class="n">will</span> <span class="n">be</span> <span class="n">written</span> <span class="n">to</span> <span class="n">stdout</span><span class="o">.</span>
<span class="ow">is</span> <span class="s1">&#39;-&#39;</span> <span class="n">the</span> <span class="n">perf</span> <span class="n">will</span> <span class="n">be</span> <span class="n">written</span> <span class="n">to</span> <span class="n">stdout</span><span class="o">.</span>
<span class="p">[</span><span class="n">default</span><span class="p">:</span> <span class="o">-</span><span class="p">]</span>
<span class="o">--</span><span class="k">print</span><span class="o">-</span><span class="n">algo</span> <span class="o">/</span> <span class="o">--</span><span class="n">no</span><span class="o">-</span><span class="k">print</span><span class="o">-</span><span class="n">algo</span> <span class="n">Print</span> <span class="n">the</span> <span class="n">algorithm</span> <span class="n">to</span> <span class="n">stdout</span><span class="o">.</span>
<span class="o">-</span><span class="n">x</span><span class="p">,</span> <span class="o">--</span><span class="n">exchange</span><span class="o">-</span><span class="n">name</span> <span class="p">[</span><span class="n">poloniex</span><span class="o">|</span><span class="n">bitfinex</span><span class="o">|</span><span class="n">bittrex</span><span class="p">]</span>
@@ -545,10 +408,10 @@ conveniently pass to the <code class="docutils literal"><span class="pre">-c</sp
command line args all the time.</p>
<p>Thus, to execute our algorithm from above and save the results to
<code class="docutils literal"><span class="pre">buy_btc_simple_out.pickle</span></code> we would call <code class="docutils literal"><span class="pre">catalyst</span> <span class="pre">run</span></code> as follows:</p>
<div class="highlight-bash"><div class="highlight"><pre>catalyst run -f buy_btc_simple.py -x bitfinex --start 2016-1-1 --end 2017-9-30 -c usd --capital-base <span class="m">100000</span> -o buy_btc_simple_out.pickle
<div class="highlight-bash"><div class="highlight"><pre><span></span>catalyst run -f buy_btc_simple.py -x bitfinex --start <span class="m">2016</span>-1-1 --end <span class="m">2017</span>-9-30 -c usd --capital-base <span class="m">100000</span> -o buy_btc_simple_out.pickle
</pre></div>
</div>
<div class="highlight-python"><div class="highlight"><pre><span class="n">INFO</span><span class="p">:</span> <span class="n">run_algo</span><span class="p">:</span> <span class="n">running</span> <span class="n">algo</span> <span class="ow">in</span> <span class="n">backtest</span> <span class="n">mode</span>
<div class="highlight-python"><div class="highlight"><pre><span></span><span class="n">INFO</span><span class="p">:</span> <span class="n">run_algo</span><span class="p">:</span> <span class="n">running</span> <span class="n">algo</span> <span class="ow">in</span> <span class="n">backtest</span> <span class="n">mode</span>
<span class="n">INFO</span><span class="p">:</span> <span class="n">exchange_algorithm</span><span class="p">:</span> <span class="n">initialized</span> <span class="n">trading</span> <span class="n">algorithm</span> <span class="ow">in</span> <span class="n">backtest</span> <span class="n">mode</span>
<span class="n">INFO</span><span class="p">:</span> <span class="n">Performance</span><span class="p">:</span> <span class="n">Simulated</span> <span class="mi">639</span> <span class="n">trading</span> <span class="n">days</span> <span class="n">out</span> <span class="n">of</span> <span class="mf">639.</span>
<span class="n">INFO</span><span class="p">:</span> <span class="n">Performance</span><span class="p">:</span> <span class="n">first</span> <span class="nb">open</span><span class="p">:</span> <span class="mi">2016</span><span class="o">-</span><span class="mo">01</span><span class="o">-</span><span class="mo">01</span> <span class="mo">00</span><span class="p">:</span><span class="mo">00</span><span class="p">:</span><span class="mo">00</span><span class="o">+</span><span class="mo">00</span><span class="p">:</span><span class="mo">00</span>
@@ -573,13 +436,13 @@ the fantastic <code class="docutils literal"><span class="pre">pandas</span></co
<code class="docutils literal"><span class="pre">catalyst</span></code> makes heavy usage of <a class="reference external" href="http://pandas.pydata.org/">pandas</a>,
especially for data analysis and outputting so it’s worth spending some time to
learn it.</p>
<div class="highlight-python"><div class="highlight"><pre><span class="kn">import</span> <span class="nn">pandas</span> <span class="kn">as</span> <span class="nn">pd</span>
<span class="n">perf</span> <span class="o">=</span> <span class="n">pd</span><span class="o">.</span><span class="n">read_pickle</span><span class="p">(</span><span class="s">&#39;buy_btc_simple_out.pickle&#39;</span><span class="p">)</span> <span class="c"># read in perf DataFrame</span>
<div class="highlight-python"><div class="highlight"><pre><span></span><span class="kn">import</span> <span class="nn">pandas</span> <span class="kn">as</span> <span class="nn">pd</span>
<span class="n">perf</span> <span class="o">=</span> <span class="n">pd</span><span class="o">.</span><span class="n">read_pickle</span><span class="p">(</span><span class="s1">&#39;buy_btc_simple_out.pickle&#39;</span><span class="p">)</span> <span class="c1"># read in perf DataFrame</span>
<span class="k">print</span><span class="p">(</span><span class="n">perf</span><span class="o">.</span><span class="n">head</span><span class="p">())</span>
</pre></div>
</div>
<p>Which we execute by running:</p>
<div class="highlight-bash"><div class="highlight"><pre><span class="nv">$ </span>python print_results.py
<div class="highlight-bash"><div class="highlight"><pre><span></span>$ python print_results.py
</pre></div>
</div>
<div style="max-height:1000px;max-width:1500px;overflow:auto;">
@@ -752,23 +615,23 @@ which is the pandas dataframe containing the performance data for our algorithm
that we reviewed above. Inside the <code class="docutils literal"><span class="pre">analyze()</span></code> function is where we can
analyze and visualize the results of our strategy. Here’s the revised simple
algorithm (note the addition of Line 1, and Lines 11-18)</p>
<div class="highlight-python"><div class="highlight"><pre><span class="kn">import</span> <span class="nn">matplotlib.pyplot</span> <span class="kn">as</span> <span class="nn">plt</span>
<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">from</span> <span class="nn">catalyst.api</span> <span class="kn">import</span> <span class="n">order</span><span class="p">,</span> <span class="n">record</span><span class="p">,</span> <span class="n">symbol</span>
<span class="k">def</span> <span class="nf">initialize</span><span class="p">(</span><span class="n">context</span><span class="p">):</span>
<span class="n">context</span><span class="o">.</span><span class="n">asset</span> <span class="o">=</span> <span class="n">symbol</span><span class="p">(</span><span class="s">&#39;btc_usd&#39;</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">&#39;btc_usd&#39;</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="s">&#39;price&#39;</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">&#39;price&#39;</span><span class="p">))</span>
<span class="k">def</span> <span class="nf">analyze</span><span class="p">(</span><span class="n">context</span><span class="p">,</span> <span class="n">perf</span><span class="p">):</span>
<span class="n">ax1</span> <span class="o">=</span> <span class="n">plt</span><span class="o">.</span><span class="n">subplot</span><span class="p">(</span><span class="mi">211</span><span class="p">)</span>
<span class="n">perf</span><span class="o">.</span><span class="n">portfolio_value</span><span class="o">.</span><span class="n">plot</span><span class="p">(</span><span class="n">ax</span><span class="o">=</span><span class="n">ax1</span><span class="p">)</span>
<span class="n">ax1</span><span class="o">.</span><span class="n">set_ylabel</span><span class="p">(</span><span class="s">&#39;portfolio value&#39;</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">&#39;portfolio value&#39;</span><span class="p">)</span>
<span class="n">ax2</span> <span class="o">=</span> <span class="n">plt</span><span class="o">.</span><span class="n">subplot</span><span class="p">(</span><span class="mi">212</span><span class="p">,</span> <span class="n">sharex</span><span class="o">=</span><span class="n">ax1</span><span class="p">)</span>
<span class="n">perf</span><span class="o">.</span><span class="n">btc</span><span class="o">.</span><span class="n">plot</span><span class="p">(</span><span class="n">ax</span><span class="o">=</span><span class="n">ax2</span><span class="p">)</span>
<span class="n">ax2</span><span class="o">.</span><span class="n">set_ylabel</span><span class="p">(</span><span class="s">&#39;bitcoin price&#39;</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">&#39;bitcoin price&#39;</span><span class="p">)</span>
<span class="n">plt</span><span class="o">.</span><span class="n">show</span><span class="p">()</span>
</pre></div>
</div>
@@ -777,7 +640,7 @@ algorithm (note the addition of Line 1, and Lines 11-18)</p>
alongside enigma-catalyst (with the exception of the <code class="docutils literal"><span class="pre">Conda</span></code> install, where it
was included by default inside the conda environment we created). If for any
reason you don’t have it installed, you can add it by running:</p>
<div class="highlight-bash"><div class="highlight"><pre><span class="o">(</span>catalyst<span class="o">)</span><span class="nv">$ </span>pip install matplotlib
<div class="highlight-bash"><div class="highlight"><pre><span></span><span class="o">(</span>catalyst<span class="o">)</span>$ pip install matplotlib
</pre></div>
</div>
<p>If everything works well, you’ll see the following chart:</p>
@@ -790,11 +653,11 @@ only bought bitcoin every chance it got.</p>
results refer to <a class="reference external" href="install.html#macos-virtualenv-matplotlib">MacOS + Matplotlib</a>.
Alternatively, some users have reported the following error when running an algo
in a Linux environment:</p>
<div class="highlight-python"><div class="highlight"><pre><span class="ne">ImportError</span><span class="p">:</span> <span class="n">No</span> <span class="n">module</span> <span class="n">named</span> <span class="n">_tkinter</span><span class="p">,</span> <span class="n">please</span> <span class="n">install</span> <span class="n">the</span> <span class="n">python</span><span class="o">-</span><span class="n">tk</span> <span class="n">package</span>
<div class="highlight-python"><div class="highlight"><pre><span></span><span class="ne">ImportError</span><span class="p">:</span> <span class="n">No</span> <span class="n">module</span> <span class="n">named</span> <span class="n">_tkinter</span><span class="p">,</span> <span class="n">please</span> <span class="n">install</span> <span class="n">the</span> <span class="n">python</span><span class="o">-</span><span class="n">tk</span> <span class="n">package</span>
</pre></div>
</div>
<p>Which can easily solved by running (in Ubuntu/Debian-based systems):</p>
<div class="highlight-python"><div class="highlight"><pre><span class="n">sudo</span> <span class="n">apt</span> <span class="n">install</span> <span class="n">python</span><span class="o">-</span><span class="n">tk</span>
<div class="highlight-python"><div class="highlight"><pre><span></span><span class="n">sudo</span> <span class="n">apt</span> <span class="n">install</span> <span class="n">python</span><span class="o">-</span><span class="n">tk</span>
</pre></div>
</div>
</div></blockquote>
@@ -826,7 +689,7 @@ follow. Most of the added some complexity has been added to beautify the output,
which you can skim through for now. A copy of this algorithm is available in
the <code class="docutils literal"><span class="pre">examples</span></code> directory:
<a class="reference external" href="https://github.com/enigmampc/catalyst/blob/master/catalyst/examples/dual_moving_average.py">dual_moving_average.py</a>.</p>
<div class="highlight-python"><div class="highlight"><pre><span class="kn">import</span> <span class="nn">matplotlib.pyplot</span> <span class="kn">as</span> <span class="nn">plt</span>
<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>
@@ -835,101 +698,101 @@ the <code class="docutils literal"><span class="pre">examples</span></code> dire
<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="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="s">&#39;dual_moving_average&#39;</span>
<span class="n">NAMESPACE</span> <span class="o">=</span> <span class="s1">&#39;dual_moving_average&#39;</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="s">&#39;ltc_usd&#39;</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">&#39;ltc_usd&#39;</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="k">def</span> <span class="nf">handle_data</span><span class="p">(</span><span class="n">context</span><span class="p">,</span> <span class="n">data</span><span class="p">):</span>
<span class="c"># define the windows for the moving averages</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="c"># Skip as many bars as long_window to properly compute the average</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">&lt;</span> <span class="n">long_window</span><span class="p">:</span>
<span class="k">return</span>
<span class="c"># Compute moving averages calling data.history() for each</span>
<span class="c"># moving average with the appropriate parameters. We choose to use</span>
<span class="c"># minute bars for this simulation -&gt; freq=&quot;1m&quot;</span>
<span class="c"># Returns a pandas dataframe.</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 -&gt; freq=&quot;1m&quot;</span>
<span class="c1"># Returns a pandas dataframe.</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="s">&#39;price&#39;</span><span class="p">,</span>
<span class="s1">&#39;price&#39;</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="s">&quot;1T&quot;</span><span class="p">,</span>
<span class="n">frequency</span><span class="o">=</span><span class="s2">&quot;1T&quot;</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="s">&#39;price&#39;</span><span class="p">,</span>
<span class="s1">&#39;price&#39;</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="s">&quot;1T&quot;</span><span class="p">,</span>
<span class="n">frequency</span><span class="o">=</span><span class="s2">&quot;1T&quot;</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="c"># Let&#39;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="s">&#39;price&#39;</span><span class="p">)</span>
<span class="c1"># Let&#39;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">&#39;price&#39;</span><span class="p">)</span>
<span class="c"># If base_price is not set, we use the current value. This is the</span>
<span class="c"># price at the first bar which we reference to calculate price_change.</span>
<span class="c1"># If base_price is not set, we use the current value. This is the</span>
<span class="c1"># price at the first bar which we reference to calculate price_change.</span>
<span class="k">if</span> <span class="n">context</span><span class="o">.</span><span class="n">base_price</span> <span class="ow">is</span> <span class="bp">None</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="n">price</span>
<span class="n">price_change</span> <span class="o">=</span> <span class="p">(</span><span class="n">price</span> <span class="o">-</span> <span class="n">context</span><span class="o">.</span><span class="n">base_price</span><span class="p">)</span> <span class="o">/</span> <span class="n">context</span><span class="o">.</span><span class="n">base_price</span>
<span class="c"># Save values for later inspection</span>
<span class="c1"># Save values for later inspection</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">cash</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">cash</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">short_mavg</span><span class="o">=</span><span class="n">short_mavg</span><span class="p">,</span>
<span class="n">long_mavg</span><span class="o">=</span><span class="n">long_mavg</span><span class="p">)</span>
<span class="c"># Since we are using limit orders, some orders may not execute immediately</span>
<span class="c"># we wait until all orders are executed before considering more trades.</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">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">&gt;</span> <span class="mi">0</span><span class="p">:</span>
<span class="k">return</span>
<span class="c"># Exit if we cannot trade</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">asset</span><span class="p">):</span>
<span class="k">return</span>
<span class="c"># We check what&#39;s our position on our portfolio and trade accordingly</span>
<span class="c1"># We check what&#39;s our position on our portfolio and trade accordingly</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">asset</span><span class="p">]</span><span class="o">.</span><span class="n">amount</span>
<span class="c"># Trading logic</span>
<span class="c1"># Trading logic</span>
<span class="k">if</span> <span class="n">short_mavg</span> <span class="o">&gt;</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="c"># we buy 100% of our portfolio for this asset</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">&lt;</span> <span class="n">long_mavg</span> <span class="ow">and</span> <span class="n">pos_amount</span> <span class="o">&gt;</span> <span class="mi">0</span><span class="p">:</span>
<span class="c"># we sell all our positions for this asset</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="c"># Get the base_currency that was passed as a parameter to the simulation</span>
<span class="c1"># Get the base_currency that was passed as a parameter to the simulation</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="c"># First chart: Plot portfolio value using base_currency</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>
<span class="n">perf</span><span class="o">.</span><span class="n">loc</span><span class="p">[:,</span> <span class="p">[</span><span class="s">&#39;portfolio_value&#39;</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">perf</span><span class="o">.</span><span class="n">loc</span><span class="p">[:,</span> <span class="p">[</span><span class="s1">&#39;portfolio_value&#39;</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">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="s">&#39;Portfolio Value</span><span class="se">\n</span><span class="s">({})&#39;</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">ax1</span><span class="o">.</span><span class="n">set_ylabel</span><span class="p">(</span><span class="s1">&#39;Portfolio Value</span><span class="se">\n</span><span class="s1">({})&#39;</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="c"># Second chart: Plot asset price, moving averages and buys/sells</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="s">&#39;price&#39;</span><span class="p">,</span> <span class="s">&#39;short_mavg&#39;</span><span class="p">,</span> <span class="s">&#39;long_mavg&#39;</span><span class="p">]]</span><span class="o">.</span><span class="n">plot</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">&#39;price&#39;</span><span class="p">,</span> <span class="s1">&#39;short_mavg&#39;</span><span class="p">,</span> <span class="s1">&#39;long_mavg&#39;</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="s">&#39;Price&#39;</span><span class="p">)</span>
<span class="n">label</span><span class="o">=</span><span class="s1">&#39;Price&#39;</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="s">&#39;{asset}</span><span class="se">\n</span><span class="s">({base})&#39;</span><span class="o">.</span><span class="n">format</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">&#39;{asset}</span><span class="se">\n</span><span class="s1">({base})&#39;</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>
@@ -938,72 +801,72 @@ the <code class="docutils literal"><span class="pre">examples</span></code> dire
<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>
<span class="n">buy_df</span> <span class="o">=</span> <span class="n">transaction_df</span><span class="p">[</span><span class="n">transaction_df</span><span class="p">[</span><span class="s">&#39;amount&#39;</span><span class="p">]</span> <span class="o">&gt;</span> <span class="mi">0</span><span class="p">]</span>
<span class="n">sell_df</span> <span class="o">=</span> <span class="n">transaction_df</span><span class="p">[</span><span class="n">transaction_df</span><span class="p">[</span><span class="s">&#39;amount&#39;</span><span class="p">]</span> <span class="o">&lt;</span> <span class="mi">0</span><span class="p">]</span>
<span class="n">buy_df</span> <span class="o">=</span> <span class="n">transaction_df</span><span class="p">[</span><span class="n">transaction_df</span><span class="p">[</span><span class="s1">&#39;amount&#39;</span><span class="p">]</span> <span class="o">&gt;</span> <span class="mi">0</span><span class="p">]</span>
<span class="n">sell_df</span> <span class="o">=</span> <span class="n">transaction_df</span><span class="p">[</span><span class="n">transaction_df</span><span class="p">[</span><span class="s1">&#39;amount&#39;</span><span class="p">]</span> <span class="o">&lt;</span> <span class="mi">0</span><span class="p">]</span>
<span class="n">ax2</span><span class="o">.</span><span class="n">scatter</span><span class="p">(</span>
<span class="n">buy_df</span><span class="o">.</span><span class="n">index</span><span class="o">.</span><span class="n">to_pydatetime</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="n">buy_df</span><span class="o">.</span><span class="n">index</span><span class="p">,</span> <span class="s">&#39;price&#39;</span><span class="p">],</span>
<span class="n">marker</span><span class="o">=</span><span class="s">&#39;^&#39;</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="n">buy_df</span><span class="o">.</span><span class="n">index</span><span class="p">,</span> <span class="s1">&#39;price&#39;</span><span class="p">],</span>
<span class="n">marker</span><span class="o">=</span><span class="s1">&#39;^&#39;</span><span class="p">,</span>
<span class="n">s</span><span class="o">=</span><span class="mi">100</span><span class="p">,</span>
<span class="n">c</span><span class="o">=</span><span class="s">&#39;green&#39;</span><span class="p">,</span>
<span class="n">label</span><span class="o">=</span><span class="s">&#39;&#39;</span>
<span class="n">c</span><span class="o">=</span><span class="s1">&#39;green&#39;</span><span class="p">,</span>
<span class="n">label</span><span class="o">=</span><span class="s1">&#39;&#39;</span>
<span class="p">)</span>
<span class="n">ax2</span><span class="o">.</span><span class="n">scatter</span><span class="p">(</span>
<span class="n">sell_df</span><span class="o">.</span><span class="n">index</span><span class="o">.</span><span class="n">to_pydatetime</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="n">sell_df</span><span class="o">.</span><span class="n">index</span><span class="p">,</span> <span class="s">&#39;price&#39;</span><span class="p">],</span>
<span class="n">marker</span><span class="o">=</span><span class="s">&#39;v&#39;</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="n">sell_df</span><span class="o">.</span><span class="n">index</span><span class="p">,</span> <span class="s1">&#39;price&#39;</span><span class="p">],</span>
<span class="n">marker</span><span class="o">=</span><span class="s1">&#39;v&#39;</span><span class="p">,</span>
<span class="n">s</span><span class="o">=</span><span class="mi">100</span><span class="p">,</span>
<span class="n">c</span><span class="o">=</span><span class="s">&#39;red&#39;</span><span class="p">,</span>
<span class="n">label</span><span class="o">=</span><span class="s">&#39;&#39;</span>
<span class="n">c</span><span class="o">=</span><span class="s1">&#39;red&#39;</span><span class="p">,</span>
<span class="n">label</span><span class="o">=</span><span class="s1">&#39;&#39;</span>
<span class="p">)</span>
<span class="c"># Third chart: Compare percentage change between our portfolio</span>
<span class="c"># and the price of the asset</span>
<span class="c1"># Third chart: Compare percentage change between our portfolio</span>
<span class="c1"># and the price of the asset</span>
<span class="n">ax3</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">413</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="s">&#39;algorithm_period_return&#39;</span><span class="p">,</span> <span class="s">&#39;price_change&#39;</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">ax3</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">&#39;algorithm_period_return&#39;</span><span class="p">,</span> <span class="s1">&#39;price_change&#39;</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">ax3</span><span class="p">)</span>
<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="s">&#39;Percent Change&#39;</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">&#39;Percent Change&#39;</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="c"># Fourth chart: Plot our cash</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="s">&#39;Cash</span><span class="se">\n</span><span class="s">({})&#39;</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">ax4</span><span class="o">.</span><span class="n">set_ylabel</span><span class="p">(</span><span class="s1">&#39;Cash</span><span class="se">\n</span><span class="s1">({})&#39;</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">plt</span><span class="o">.</span><span class="n">show</span><span class="p">()</span>
<span class="k">if</span> <span class="n">__name__</span> <span class="o">==</span> <span class="s">&#39;__main__&#39;</span><span class="p">:</span>
<span class="k">if</span> <span class="vm">__name__</span> <span class="o">==</span> <span class="s1">&#39;__main__&#39;</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="s">&#39;minute&#39;</span><span class="p">,</span>
<span class="n">data_frequency</span><span class="o">=</span><span class="s1">&#39;minute&#39;</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="s">&#39;bitfinex&#39;</span><span class="p">,</span>
<span class="n">exchange_name</span><span class="o">=</span><span class="s1">&#39;bitfinex&#39;</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="s">&#39;usd&#39;</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="s">&#39;2017-9-22&#39;</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="s">&#39;2017-9-23&#39;</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">base_currency</span><span class="o">=</span><span class="s1">&#39;usd&#39;</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">&#39;2017-9-22&#39;</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">&#39;2017-9-23&#39;</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>In order to run the code above, you have to ingest the needed data first:</p>
<div class="highlight-bash"><div class="highlight"><pre>catalyst ingest-exchange -x bitfinex -f minute -i ltc_usd
<div class="highlight-bash"><div class="highlight"><pre><span></span>catalyst ingest-exchange -x bitfinex -f minute -i ltc_usd
</pre></div>
</div>
<p>And then run the code above with the following command:</p>
<div class="highlight-bash"><div class="highlight"><pre>catalyst run -f dual_moving_average.py -x bitfinex -s 2017-9-22 -e 2017-9-23 --capital-base <span class="m">1000</span> --base-currency usd --data-frequency minute -o out.pickle
<div class="highlight-bash"><div class="highlight"><pre><span></span>catalyst run -f dual_moving_average.py -x bitfinex -s <span class="m">2017</span>-9-22 -e <span class="m">2017</span>-9-23 --capital-base <span class="m">1000</span> --base-currency usd --data-frequency minute -o out.pickle
</pre></div>
</div>
<p>Alternatively, we can make use of the <code class="docutils literal"><span class="pre">run_algorithm()</span></code> function included at
the end of the file, where we can specify all the simulation parameters, and
execute this file as a Python script:</p>
<div class="highlight-bash"><div class="highlight"><pre>python dual_moving_average.py
<div class="highlight-bash"><div class="highlight"><pre><span></span>python dual_moving_average.py
</pre></div>
</div>
<p>Either way, we obtain the following charts:</p>
@@ -1064,11 +927,11 @@ running algorithms through the command line.</p>
<p>In order to use Jupyter Notebook, you first have to install it inside your
environment. It’s available as <code class="docutils literal"><span class="pre">pip</span></code> package, so regardless of how you
installed Catalyst, go inside your catalyst environemnt and run:</p>
<div class="highlight-bash"><div class="highlight"><pre><span class="o">(</span>catalyst<span class="o">)</span><span class="nv">$ </span>pip install jupyter
<div class="highlight-bash"><div class="highlight"><pre><span></span><span class="o">(</span>catalyst<span class="o">)</span>$ pip install jupyter
</pre></div>
</div>
<p>Once you have Jupyter Notebook installed, every time you want to use it run:</p>
<div class="highlight-bash"><div class="highlight"><pre><span class="o">(</span>catalyst<span class="o">)</span><span class="nv">$ </span>jupyter notebook
<div class="highlight-bash"><div class="highlight"><pre><span></span><span class="o">(</span>catalyst<span class="o">)</span>$ jupyter notebook
</pre></div>
</div>
<p>A local server will launch, and will open a new window on your browser. That’s
@@ -1079,7 +942,7 @@ the interface through which you will interact with Jupyter Notebook.</p>
<p>Before running your algorithms inside the Jupyter Notebook, remember to ingest
the data from the command line interface (CLI). In the example below, you would
need to run first:</p>
<div class="highlight-bash"><div class="highlight"><pre>catalyst ingest-exchange -x bitfinex -i btc_usd
<div class="highlight-bash"><div class="highlight"><pre><span></span>catalyst ingest-exchange -x bitfinex -i btc_usd
</pre></div>
</div>
<p>To use Catalyst inside a Jupyter Noebook, you have to write your algorithm in a
@@ -1090,18 +953,18 @@ takes the same arguments as the command line interface. Thus to run the
algorithm just supply the same parameters as the CLI but without the -f
and -o arguments. We just have to execute the following cell after
importing <code class="docutils literal"><span class="pre">catalyst</span></code> to register the magic.</p>
<div class="code python highlight-python"><div class="highlight"><pre><span class="c"># Register the catalyst magic</span>
<div class="code python highlight-python"><div class="highlight"><pre><span></span><span class="c1"># Register the catalyst magic</span>
<span class="o">%</span><span class="n">load_ext</span> <span class="n">catalyst</span>
</pre></div>
</div>
<div class="code python highlight-python"><div class="highlight"><pre><span class="c"># Setup matplotlib to display graphs inline in this Notebook</span>
<div class="code python highlight-python"><div class="highlight"><pre><span></span><span class="c1"># Setup matplotlib to display graphs inline in this Notebook</span>
<span class="o">%</span><span class="n">matplotlib</span> <span class="n">inline</span>
</pre></div>
</div>
<p>Note below that we do not have to specify an input file (-f) since the
magic will use the contents of the cell and look for your algorithm
functions.</p>
<div class="code python highlight-python"><div class="highlight"><pre><span class="o">%%</span><span class="n">catalyst</span> <span class="o">--</span><span class="n">start</span> <span class="mi">2015</span><span class="o">-</span><span class="mi">3</span><span class="o">-</span><span class="mi">2</span> <span class="o">--</span><span class="n">end</span> <span class="mi">2017</span><span class="o">-</span><span class="mi">6</span><span class="o">-</span><span class="mi">28</span> <span class="o">--</span><span class="n">capital</span><span class="o">-</span><span class="n">base</span> <span class="mi">100000</span> <span class="o">-</span><span class="n">x</span> <span class="n">bitfinex</span> <span class="o">-</span><span class="n">c</span> <span class="n">usd</span>
<div class="code python highlight-python"><div class="highlight"><pre><span></span><span class="o">%%</span><span class="n">catalyst</span> <span class="o">--</span><span class="n">start</span> <span class="mi">2015</span><span class="o">-</span><span class="mi">3</span><span class="o">-</span><span class="mi">2</span> <span class="o">--</span><span class="n">end</span> <span class="mi">2017</span><span class="o">-</span><span class="mi">6</span><span class="o">-</span><span class="mi">28</span> <span class="o">--</span><span class="n">capital</span><span class="o">-</span><span class="n">base</span> <span class="mi">100000</span> <span class="o">-</span><span class="n">x</span> <span class="n">bitfinex</span> <span class="o">-</span><span class="n">c</span> <span class="n">usd</span>
<span class="kn">from</span> <span class="nn">catalyst.finance.slippage</span> <span class="kn">import</span> <span class="n">VolumeShareSlippage</span>
@@ -1114,13 +977,13 @@ functions.</p>
<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="s">&#39;btc_usd&#39;</span>
<span class="n">context</span><span class="o">.</span><span class="n">ASSET_NAME</span> <span class="o">=</span> <span class="s1">&#39;btc_usd&#39;</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>
<span class="c"># For all trading pairs in the poloniex bundle, the default denomination</span>
<span class="c"># currently supported by Catalyst is 1/1000th of a full coin. Use this</span>
<span class="c"># constant to scale the price of up to that of a full coin if desired.</span>
<span class="c1"># For all trading pairs in the poloniex bundle, the default denomination</span>
<span class="c1"># currently supported by Catalyst is 1/1000th of a full coin. Use this</span>
<span class="c1"># constant to scale the price of up to that of a full coin if desired.</span>
<span class="n">context</span><span class="o">.</span><span class="n">TICK_SIZE</span> <span class="o">=</span> <span class="mf">1000.0</span>
<span class="n">context</span><span class="o">.</span><span class="n">is_buying</span> <span class="o">=</span> <span class="bp">True</span>
@@ -1135,22 +998,22 @@ functions.</p>
<span class="n">target_hodl_value</span> <span class="o">=</span> <span class="n">context</span><span class="o">.</span><span class="n">TARGET_HODL_RATIO</span> <span class="o">*</span> <span class="n">starting_cash</span>
<span class="n">reserve_value</span> <span class="o">=</span> <span class="n">context</span><span class="o">.</span><span class="n">RESERVE_RATIO</span> <span class="o">*</span> <span class="n">starting_cash</span>
<span class="c"># Cancel any outstanding orders</span>
<span class="c1"># Cancel any outstanding orders</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">asset</span><span class="p">)</span> <span class="ow">or</span> <span class="p">[]</span>
<span class="k">for</span> <span class="n">order</span> <span class="ow">in</span> <span class="n">orders</span><span class="p">:</span>
<span class="n">cancel_order</span><span class="p">(</span><span class="n">order</span><span class="p">)</span>
<span class="c"># Stop buying after passing the reserve threshold</span>
<span class="c1"># Stop buying after passing the reserve threshold</span>
<span class="n">cash</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">cash</span>
<span class="k">if</span> <span class="n">cash</span> <span class="o">&lt;=</span> <span class="n">reserve_value</span><span class="p">:</span>
<span class="n">context</span><span class="o">.</span><span class="n">is_buying</span> <span class="o">=</span> <span class="bp">False</span>
<span class="c"># Retrieve current asset price from pricing data</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="s">&#39;price&#39;</span><span class="p">)</span>
<span class="c1"># Retrieve current asset price from pricing data</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">&#39;price&#39;</span><span class="p">)</span>
<span class="c"># Check if still buying and could (approximately) afford another purchase</span>
<span class="c1"># Check if still buying and could (approximately) afford another purchase</span>
<span class="k">if</span> <span class="n">context</span><span class="o">.</span><span class="n">is_buying</span> <span class="ow">and</span> <span class="n">cash</span> <span class="o">&gt;</span> <span class="n">price</span><span class="p">:</span>
<span class="c"># Place order to make position in asset equal to target_hodl_value</span>
<span class="c1"># Place order to make position in asset equal to target_hodl_value</span>
<span class="n">order_target_value</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="n">target_hodl_value</span><span class="p">,</span>
@@ -1159,7 +1022,7 @@ functions.</p>
<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">data</span><span class="o">.</span><span class="n">current</span><span class="p">(</span><span class="n">context</span><span class="o">.</span><span class="n">asset</span><span class="p">,</span> <span class="s">&#39;volume&#39;</span><span class="p">),</span>
<span class="n">volume</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">&#39;volume&#39;</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="n">starting_cash</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">starting_cash</span><span class="p">,</span>
<span class="n">leverage</span><span class="o">=</span><span class="n">context</span><span class="o">.</span><span class="n">account</span><span class="o">.</span><span class="n">leverage</span><span class="p">,</span>
@@ -1168,70 +1031,70 @@ functions.</p>
<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="kn">import</span> <span class="nn">matplotlib.pyplot</span> <span class="kn">as</span> <span class="nn">plt</span>
<span class="c"># Plot the portfolio and asset data.</span>
<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="s">&#39;portfolio_value&#39;</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="s">&#39;Portfolio Value (USD)&#39;</span><span class="p">)</span>
<span class="n">results</span><span class="p">[[</span><span class="s1">&#39;portfolio_value&#39;</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">&#39;Portfolio Value (USD)&#39;</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="s">&#39;{asset} (USD)&#39;</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="p">(</span><span class="n">context</span><span class="o">.</span><span class="n">TICK_SIZE</span> <span class="o">*</span> <span class="n">results</span><span class="p">[[</span><span class="s">&#39;price&#39;</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">ax2</span><span class="o">.</span><span class="n">set_ylabel</span><span class="p">(</span><span class="s1">&#39;{asset} (USD)&#39;</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="p">(</span><span class="n">context</span><span class="o">.</span><span class="n">TICK_SIZE</span> <span class="o">*</span> <span class="n">results</span><span class="p">[[</span><span class="s1">&#39;price&#39;</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>
<span class="n">buys</span> <span class="o">=</span> <span class="n">trans</span><span class="o">.</span><span class="n">ix</span><span class="p">[</span>
<span class="p">[</span><span class="n">t</span><span class="p">[</span><span class="mi">0</span><span class="p">][</span><span class="s">&#39;amount&#39;</span><span class="p">]</span> <span class="o">&gt;</span> <span class="mi">0</span> <span class="k">for</span> <span class="n">t</span> <span class="ow">in</span> <span class="n">trans</span><span class="o">.</span><span class="n">transactions</span><span class="p">]</span>
<span class="p">[</span><span class="n">t</span><span class="p">[</span><span class="mi">0</span><span class="p">][</span><span class="s1">&#39;amount&#39;</span><span class="p">]</span> <span class="o">&gt;</span> <span class="mi">0</span> <span class="k">for</span> <span class="n">t</span> <span class="ow">in</span> <span class="n">trans</span><span class="o">.</span><span class="n">transactions</span><span class="p">]</span>
<span class="p">]</span>
<span class="n">ax2</span><span class="o">.</span><span class="n">plot</span><span class="p">(</span>
<span class="n">buys</span><span class="o">.</span><span class="n">index</span><span class="p">,</span>
<span class="n">context</span><span class="o">.</span><span class="n">TICK_SIZE</span> <span class="o">*</span> <span class="n">results</span><span class="o">.</span><span class="n">price</span><span class="p">[</span><span class="n">buys</span><span class="o">.</span><span class="n">index</span><span class="p">],</span>
<span class="s">&#39;^&#39;</span><span class="p">,</span>
<span class="s1">&#39;^&#39;</span><span class="p">,</span>
<span class="n">markersize</span><span class="o">=</span><span class="mi">10</span><span class="p">,</span>
<span class="n">color</span><span class="o">=</span><span class="s">&#39;g&#39;</span><span class="p">,</span>
<span class="n">color</span><span class="o">=</span><span class="s1">&#39;g&#39;</span><span class="p">,</span>
<span class="p">)</span>
<span class="n">ax3</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">613</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="s">&#39;leverage&#39;</span><span class="p">,</span> <span class="s">&#39;alpha&#39;</span><span class="p">,</span> <span class="s">&#39;beta&#39;</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">ax3</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="s">&#39;Leverage &#39;</span><span class="p">)</span>
<span class="n">results</span><span class="p">[[</span><span class="s1">&#39;leverage&#39;</span><span class="p">,</span> <span class="s1">&#39;alpha&#39;</span><span class="p">,</span> <span class="s1">&#39;beta&#39;</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">ax3</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">&#39;Leverage &#39;</span><span class="p">)</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">614</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="s">&#39;starting_cash&#39;</span><span class="p">,</span> <span class="s">&#39;cash&#39;</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">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="s">&#39;Cash (USD)&#39;</span><span class="p">)</span>
<span class="n">results</span><span class="p">[[</span><span class="s1">&#39;starting_cash&#39;</span><span class="p">,</span> <span class="s1">&#39;cash&#39;</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">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">&#39;Cash (USD)&#39;</span><span class="p">)</span>
<span class="n">results</span><span class="p">[[</span>
<span class="s">&#39;treasury&#39;</span><span class="p">,</span>
<span class="s">&#39;algorithm&#39;</span><span class="p">,</span>
<span class="s">&#39;benchmark&#39;</span><span class="p">,</span>
<span class="s1">&#39;treasury&#39;</span><span class="p">,</span>
<span class="s1">&#39;algorithm&#39;</span><span class="p">,</span>
<span class="s1">&#39;benchmark&#39;</span><span class="p">,</span>
<span class="p">]]</span> <span class="o">=</span> <span class="n">results</span><span class="p">[[</span>
<span class="s">&#39;treasury_period_return&#39;</span><span class="p">,</span>
<span class="s">&#39;algorithm_period_return&#39;</span><span class="p">,</span>
<span class="s">&#39;benchmark_period_return&#39;</span><span class="p">,</span>
<span class="s1">&#39;treasury_period_return&#39;</span><span class="p">,</span>
<span class="s1">&#39;algorithm_period_return&#39;</span><span class="p">,</span>
<span class="s1">&#39;benchmark_period_return&#39;</span><span class="p">,</span>
<span class="p">]]</span>
<span class="n">ax5</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">615</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="s">&#39;treasury&#39;</span><span class="p">,</span>
<span class="s">&#39;algorithm&#39;</span><span class="p">,</span>
<span class="s">&#39;benchmark&#39;</span><span class="p">,</span>
<span class="s1">&#39;treasury&#39;</span><span class="p">,</span>
<span class="s1">&#39;algorithm&#39;</span><span class="p">,</span>
<span class="s1">&#39;benchmark&#39;</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="s">&#39;Percent Change&#39;</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">&#39;Percent Change&#39;</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="s">&#39;volume&#39;</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="s">&#39;Volume (mCoins/5min)&#39;</span><span class="p">)</span>
<span class="n">results</span><span class="p">[[</span><span class="s1">&#39;volume&#39;</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">&#39;Volume (mCoins/5min)&#39;</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>
<span class="c"># Show the plot.</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>
<span class="n">plt</span><span class="o">.</span><span class="n">show</span><span class="p">()</span>
</pre></div>
</div>
<div class="highlight-python"><div class="highlight"><pre><span class="p">[</span><span class="mi">2017</span><span class="o">-</span><span class="mi">08</span><span class="o">-</span><span class="mi">11</span> <span class="mo">07</span><span class="p">:</span><span class="mi">19</span><span class="p">:</span><span class="mf">46.411748</span><span class="p">]</span> <span class="n">INFO</span><span class="p">:</span> <span class="n">Loader</span><span class="p">:</span> <span class="n">Loading</span> <span class="n">benchmark</span> <span class="n">data</span> <span class="k">for</span> <span class="s">&#39;USDT_BTC&#39;</span> <span class="kn">from</span> <span class="mi">1989</span><span class="o">-</span><span class="mi">12</span><span class="o">-</span><span class="mi">31</span> <span class="mo">00</span><span class="p">:</span><span class="mo">00</span><span class="p">:</span><span class="mo">00</span><span class="o">+</span><span class="mo">00</span><span class="p">:</span><span class="mo">00</span> <span class="n">to</span> <span class="mi">2017</span><span class="o">-</span><span class="mi">08</span><span class="o">-</span><span class="mi">09</span> <span class="mo">00</span><span class="p">:</span><span class="mo">00</span><span class="p">:</span><span class="mo">00</span><span class="o">+</span><span class="mo">00</span><span class="p">:</span><span class="mo">00</span>
<div class="highlight-python"><div class="highlight"><pre><span></span><span class="p">[</span><span class="mi">2017</span><span class="o">-</span><span class="mi">08</span><span class="o">-</span><span class="mi">11</span> <span class="mo">07</span><span class="p">:</span><span class="mi">19</span><span class="p">:</span><span class="mf">46.411748</span><span class="p">]</span> <span class="n">INFO</span><span class="p">:</span> <span class="n">Loader</span><span class="p">:</span> <span class="n">Loading</span> <span class="n">benchmark</span> <span class="n">data</span> <span class="k">for</span> <span class="s1">&#39;USDT_BTC&#39;</span> <span class="kn">from</span> <span class="mi">1989</span><span class="o">-</span><span class="mi">12</span><span class="o">-</span><span class="mi">31</span> <span class="mo">00</span><span class="p">:</span><span class="mo">00</span><span class="p">:</span><span class="mo">00</span><span class="o">+</span><span class="mo">00</span><span class="p">:</span><span class="mo">00</span> <span class="n">to</span> <span class="mi">2017</span><span class="o">-</span><span class="mi">08</span><span class="o">-</span><span class="mi">09</span> <span class="mo">00</span><span class="p">:</span><span class="mo">00</span><span class="p">:</span><span class="mo">00</span><span class="o">+</span><span class="mo">00</span><span class="p">:</span><span class="mo">00</span>
<span class="p">[</span><span class="mi">2017</span><span class="o">-</span><span class="mi">08</span><span class="o">-</span><span class="mi">11</span> <span class="mo">07</span><span class="p">:</span><span class="mi">19</span><span class="p">:</span><span class="mf">46.418983</span><span class="p">]</span> <span class="n">INFO</span><span class="p">:</span> <span class="n">Loader</span><span class="p">:</span> <span class="n">Loading</span> <span class="n">data</span> <span class="k">for</span> <span class="o">/</span><span class="n">Users</span><span class="o">/&lt;</span><span class="n">snipped</span><span class="o">&gt;/.</span><span class="n">catalyst</span><span class="o">/</span><span class="n">data</span><span class="o">/</span><span class="n">USDT_BTC_benchmark</span><span class="o">.</span><span class="n">csv</span> <span class="n">failed</span> <span class="k">with</span> <span class="n">error</span> <span class="p">[</span><span class="n">Unknown</span> <span class="n">string</span> <span class="n">format</span><span class="p">]</span><span class="o">.</span>
<span class="p">[</span><span class="mi">2017</span><span class="o">-</span><span class="mi">08</span><span class="o">-</span><span class="mi">11</span> <span class="mo">07</span><span class="p">:</span><span class="mi">19</span><span class="p">:</span><span class="mf">46.419740</span><span class="p">]</span> <span class="n">INFO</span><span class="p">:</span> <span class="n">Loader</span><span class="p">:</span> <span class="n">Cache</span> <span class="n">at</span> <span class="o">/</span><span class="n">Users</span><span class="o">/&lt;</span><span class="n">snipped</span><span class="o">&gt;/.</span><span class="n">catalyst</span><span class="o">/</span><span class="n">data</span><span class="o">/</span><span class="n">USDT_BTC_benchmark</span><span class="o">.</span><span class="n">csv</span> <span class="n">does</span> <span class="ow">not</span> <span class="n">have</span> <span class="n">data</span> <span class="kn">from</span> <span class="mi">1990</span><span class="o">-</span><span class="mo">01</span><span class="o">-</span><span class="mo">01</span> <span class="mo">00</span><span class="p">:</span><span class="mo">00</span><span class="p">:</span><span class="mo">00</span><span class="o">+</span><span class="mo">00</span><span class="p">:</span><span class="mo">00</span> <span class="n">to</span> <span class="mi">2017</span><span class="o">-</span><span class="mi">08</span><span class="o">-</span><span class="mi">09</span> <span class="mo">00</span><span class="p">:</span><span class="mo">00</span><span class="p">:</span><span class="mo">00</span><span class="o">+</span><span class="mo">00</span><span class="p">:</span><span class="mf">00.</span>
<span class="p">[</span><span class="mi">2017</span><span class="o">-</span><span class="mi">08</span><span class="o">-</span><span class="mi">11</span> <span class="mo">07</span><span class="p">:</span><span class="mi">19</span><span class="p">:</span><span class="mf">46.420770</span><span class="p">]</span> <span class="n">INFO</span><span class="p">:</span> <span class="n">Loader</span><span class="p">:</span> <span class="n">Downloading</span> <span class="n">benchmark</span> <span class="n">data</span> <span class="k">for</span> <span class="s">&#39;USDT_BTC&#39;</span> <span class="kn">from</span> <span class="mi">1989</span><span class="o">-</span><span class="mi">12</span><span class="o">-</span><span class="mi">31</span> <span class="mo">00</span><span class="p">:</span><span class="mo">00</span><span class="p">:</span><span class="mo">00</span><span class="o">+</span><span class="mo">00</span><span class="p">:</span><span class="mo">00</span> <span class="n">to</span> <span class="mi">2017</span><span class="o">-</span><span class="mi">08</span><span class="o">-</span><span class="mi">09</span> <span class="mo">00</span><span class="p">:</span><span class="mo">00</span><span class="p">:</span><span class="mo">00</span><span class="o">+</span><span class="mo">00</span><span class="p">:</span><span class="mo">00</span>
<span class="p">[</span><span class="mi">2017</span><span class="o">-</span><span class="mi">08</span><span class="o">-</span><span class="mi">11</span> <span class="mo">07</span><span class="p">:</span><span class="mi">19</span><span class="p">:</span><span class="mf">50.060244</span><span class="p">]</span> <span class="n">WARNING</span><span class="p">:</span> <span class="n">Loader</span><span class="p">:</span> <span class="n">Still</span> <span class="n">don</span><span class="s">&#39;t have expected data after redownload!</span>
<span class="p">[</span><span class="mi">2017</span><span class="o">-</span><span class="mi">08</span><span class="o">-</span><span class="mi">11</span> <span class="mo">07</span><span class="p">:</span><span class="mi">19</span><span class="p">:</span><span class="mf">46.420770</span><span class="p">]</span> <span class="n">INFO</span><span class="p">:</span> <span class="n">Loader</span><span class="p">:</span> <span class="n">Downloading</span> <span class="n">benchmark</span> <span class="n">data</span> <span class="k">for</span> <span class="s1">&#39;USDT_BTC&#39;</span> <span class="kn">from</span> <span class="mi">1989</span><span class="o">-</span><span class="mi">12</span><span class="o">-</span><span class="mi">31</span> <span class="mo">00</span><span class="p">:</span><span class="mo">00</span><span class="p">:</span><span class="mo">00</span><span class="o">+</span><span class="mo">00</span><span class="p">:</span><span class="mo">00</span> <span class="n">to</span> <span class="mi">2017</span><span class="o">-</span><span class="mi">08</span><span class="o">-</span><span class="mi">09</span> <span class="mo">00</span><span class="p">:</span><span class="mo">00</span><span class="p">:</span><span class="mo">00</span><span class="o">+</span><span class="mo">00</span><span class="p">:</span><span class="mo">00</span>
<span class="p">[</span><span class="mi">2017</span><span class="o">-</span><span class="mi">08</span><span class="o">-</span><span class="mi">11</span> <span class="mo">07</span><span class="p">:</span><span class="mi">19</span><span class="p">:</span><span class="mf">50.060244</span><span class="p">]</span> <span class="n">WARNING</span><span class="p">:</span> <span class="n">Loader</span><span class="p">:</span> <span class="n">Still</span> <span class="n">don</span><span class="s1">&#39;t have expected data after redownload!</span>
<span class="p">[</span><span class="mi">2017</span><span class="o">-</span><span class="mi">08</span><span class="o">-</span><span class="mi">11</span> <span class="mo">07</span><span class="p">:</span><span class="mi">19</span><span class="p">:</span><span class="mf">50.097334</span><span class="p">]</span> <span class="n">WARNING</span><span class="p">:</span> <span class="n">Loader</span><span class="p">:</span> <span class="n">Refusing</span> <span class="n">to</span> <span class="n">download</span> <span class="n">new</span> <span class="n">treasury</span> <span class="n">data</span> <span class="n">because</span> <span class="n">a</span> <span class="n">download</span> <span class="n">succeeded</span> <span class="n">at</span> <span class="mi">2017</span><span class="o">-</span><span class="mi">08</span><span class="o">-</span><span class="mi">11</span> <span class="mo">06</span><span class="p">:</span><span class="mi">56</span><span class="p">:</span><span class="mi">49</span><span class="o">+</span><span class="mo">00</span><span class="p">:</span><span class="mf">00.</span>
<span class="p">[</span><span class="mi">2017</span><span class="o">-</span><span class="mi">08</span><span class="o">-</span><span class="mi">11</span> <span class="mo">07</span><span class="p">:</span><span class="mi">19</span><span class="p">:</span><span class="mf">54.618399</span><span class="p">]</span> <span class="n">INFO</span><span class="p">:</span> <span class="n">Performance</span><span class="p">:</span> <span class="n">Simulated</span> <span class="mi">851</span> <span class="n">trading</span> <span class="n">days</span> <span class="n">out</span> <span class="n">of</span> <span class="mf">851.</span>
<span class="p">[</span><span class="mi">2017</span><span class="o">-</span><span class="mi">08</span><span class="o">-</span><span class="mi">11</span> <span class="mo">07</span><span class="p">:</span><span class="mi">19</span><span class="p">:</span><span class="mf">54.619301</span><span class="p">]</span> <span class="n">INFO</span><span class="p">:</span> <span class="n">Performance</span><span class="p">:</span> <span class="n">first</span> <span class="nb">open</span><span class="p">:</span> <span class="mi">2015</span><span class="o">-</span><span class="mo">03</span><span class="o">-</span><span class="mo">01</span> <span class="mo">00</span><span class="p">:</span><span class="mo">00</span><span class="p">:</span><span class="mo">00</span><span class="o">+</span><span class="mo">00</span><span class="p">:</span><span class="mo">00</span>
@@ -2608,7 +2471,7 @@ functions.</p>
</p></div><p>Also, instead of defining an output file we are accessing it via the “_”
variable that will be created in the name space and contain the
performance DataFrame.</p>
<div class="code python highlight-python"><div class="highlight"><pre><span class="n">_</span><span class="o">.</span><span class="n">head</span><span class="p">()</span>
<div class="code python highlight-python"><div class="highlight"><pre><span></span><span class="n">_</span><span class="o">.</span><span class="n">head</span><span class="p">()</span>
</pre></div>
</div>
<div><table border="1" class="dataframe"><thead><tr style="text-align: right;"><th></th><th><p>algo_volatility</p>
@@ -2799,15 +2662,19 @@ problems on our <a class="reference external" href="https://github.com/enigmampc
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@@ -2817,9 +2684,10 @@ problems on our <a class="reference external" href="https://github.com/enigmampc
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@@ -2840,7 +2708,8 @@ problems on our <a class="reference external" href="https://github.com/enigmampc
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