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BLD: adjusting the marketplace sample algo

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Frederic Fortier
2018-02-08 00:02:40 -05:00
parent 7a89cfc02b
commit d2f9762fbf
2 changed files with 26 additions and 21 deletions
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catalyst/examples/mean_reversion_by_marketcap.py
+7 -3
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@@ -33,10 +33,14 @@ def initialize(context):
# parameters or values you're going to use.
# In our example, we're looking at Neo in Ether.
df = get_dataset(
'marketcap1234', start=context.datetime
) # type: pd.DataFrame
df = get_dataset('testmarketcap2') # type: pd.DataFrame
# Picking a specific date in our DataFrame
first_dt = df.index.get_level_values(0)[0]
# Since we use a MultiIndex with date / symbol, picking a date will
# result in a new DataFrame for the selected date with a single
# symbol index
df = df.xs(first_dt, level=0)
# Keep only the top coins by market cap
df = df.loc[df['market_cap_usd'].isin(df['market_cap_usd'].nlargest(100))]