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DOC: mean_reversion_simple algo added

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Victor Grau Serrat
2017-11-20 09:15:18 -07:00
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_sources/example-algos.txt
+274 -2
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@@ -6,8 +6,10 @@ This section documents a small number of example algorithms to complement the
beginner tutorial, and show how other trading algorithms can be implemented
using Catalyst:
Buy and Hodl
~~~~~~~~~~~~
.. _buy_and_hodl:
Buy and Hodl Algorithm
~~~~~~~~~~~~~~~~~~~~~~
source: `examples/buy_and_hodl.py <https://github.com/enigmampc/catalyst/blob/master/catalyst/examples/buy_and_hodl.py>`_
@@ -170,3 +172,273 @@ one day prior to the current date.
plt.gcf().set_size_inches(18, 8)
plt.show()
.. _mean_reversion:
Mean Reversion Algorithm
~~~~~~~~~~~~~~~~~~~~~~~~
source: `examples/mean_reversion_simple.py <https://github.com/enigmampc/catalyst/blob/master/catalyst/examples/mean_reversion_simple.py>`_
This algorithm is based on a simple momentum strategy. When the cryptoasset goes
up quickly, we're going to buy; when it goes down quickly, we're going to sell.
Hopefully, we'll ride the waves.
We are choosing to run this trading algorithm with the ``neo_usd`` currency pair
on the ``Bitfinex`` exchange. Thus, first ingest the historical pricing data
that we need, with minute resolution:
.. code-block:: bash
catalyst ingest-exchange -x bitfinex -f minute -i neo_usd
To run this algorithm, we are opting for the Python interpreter, instead of the
command line (CLI). All of the parameters for the simulation are specified in
lines 218-245, so in order to run the algorithm we just type:
.. code-block:: bash
python mean_reversion_simple.py
.. code-block:: python
import pandas as pd
import talib
from logbook import Logger
from catalyst import run_algorithm
from catalyst.api import symbol, record, order_target_percent, get_open_orders
from catalyst.exchange.stats_utils import extract_transactions
# We give a name to the algorithm which Catalyst will use to persist its state.
# In this example, Catalyst will create the `.catalyst/data/live_algos`
# directory. If we stop and start the algorithm, Catalyst will resume its
# state using the files included in the folder.
NAMESPACE = 'mean_reversion_simple'
log = Logger(NAMESPACE)
# To run an algorithm in Catalyst, you need two functions: initialize and
# handle_data.
def initialize(context):
# This initialize function sets any data or variables that you'll use in
# your algorithm. For instance, you'll want to define the trading pair (or
# trading pairs) you want to backtest. You'll also want to define any
# parameters or values you're going to use.
# In our example, we're looking at Ether in USD Tether.
context.neo_usd = symbol('neo_usd')
context.base_price = None
context.current_day = None
def handle_data(context, data):
# This handle_data function is where the real work is done. Our data is
# minute-level tick data, and each minute is called a frame. This function
# runs on each frame of the data.
# We flag the first period of each day.
# Since cryptocurrencies trade 24/7 the `before_trading_starts` handle
# would only execute once. This method works with minute and daily
# frequencies.
today = data.current_dt.floor('1D')
if today != context.current_day:
context.traded_today = False
context.current_day = today
# We're computing the volume-weighted-average-price of the security
# defined above, in the context.neo_usd variable. For this example, we're
# using three bars on the 15 min bars.
# The frequency attribute determine the bar size. We use this convention
# for the frequency alias:
# http://pandas.pydata.org/pandas-docs/stable/timeseries.html#offset-aliases
prices = data.history(
context.neo_usd,
fields='close',
bar_count=50,
frequency='15T'
)
# Ta-lib calculates various technical indicator based on price and
# volume arrays.
# In this example, we are comp
rsi = talib.RSI(prices.values, timeperiod=14)
# We need a variable for the current price of the security to compare to
# the average. Since we are requesting two fields, data.current()
# returns a DataFrame with
current = data.current(context.neo_usd, fields=['close', 'volume'])
price = current['close']
# If base_price is not set, we use the current value. This is the
# price at the first bar which we reference to calculate price_change.
if context.base_price is None:
context.base_price = price
price_change = (price - context.base_price) / context.base_price
cash = context.portfolio.cash
# Now that we've collected all current data for this frame, we use
# the record() method to save it. This data will be available as
# a parameter of the analyze() function for further analysis.
record(
price=price,
volume=current['volume'],
price_change=price_change,
rsi=rsi[-1],
cash=cash
)
# We are trying to avoid over-trading by limiting our trades to
# one per day.
if context.traded_today:
return
# Since we are using limit orders, some orders may not execute immediately
# we wait until all orders are executed before considering more trades.
orders = get_open_orders(context.neo_usd)
if len(orders) > 0:
return
# Exit if we cannot trade
if not data.can_trade(context.neo_usd):
return
# Another powerful built-in feature of the Catalyst backtester is the
# portfolio object. The portfolio object tracks your positions, cash,
# cost basis of specific holdings, and more. In this line, we calculate
# how long or short our position is at this minute.
pos_amount = context.portfolio.positions[context.neo_usd].amount
if rsi[-1] <= 30 and pos_amount == 0:
log.info(
'{}: buying - price: {}, rsi: {}'.format(
data.current_dt, price, rsi[-1]
)
)
order_target_percent(context.neo_usd, 1)
context.traded_today = True
elif rsi[-1] >= 80 and pos_amount > 0:
log.info(
'{}: selling - price: {}, rsi: {}'.format(
data.current_dt, price, rsi[-1]
)
)
order_target_percent(context.neo_usd, 0)
context.traded_today = True
def analyze(context=None, perf=None):
import matplotlib.pyplot as plt
# The base currency of the algo exchange
base_currency = context.exchanges.values()[0].base_currency.upper()
# Plot the portfolio value over time.
ax1 = plt.subplot(611)
perf.loc[:, 'portfolio_value'].plot(ax=ax1)
ax1.set_ylabel('Portfolio Value ({})'.format(base_currency))
# Plot the price increase or decrease over time.
ax2 = plt.subplot(612, sharex=ax1)
perf.loc[:, 'price'].plot(ax=ax2, label='Price')
ax2.set_ylabel('{asset} ({base})'.format(
asset=context.neo_usd.symbol, base=base_currency
))
transaction_df = extract_transactions(perf)
if not transaction_df.empty:
buy_df = transaction_df[transaction_df['amount'] > 0]
sell_df = transaction_df[transaction_df['amount'] < 0]
ax2.scatter(
buy_df.index.to_pydatetime(),
perf.loc[buy_df.index, 'price'],
marker='^',
s=100,
c='green',
label=''
)
ax2.scatter(
sell_df.index.to_pydatetime(),
perf.loc[sell_df.index, 'price'],
marker='v',
s=100,
c='red',
label=''
)
ax4 = plt.subplot(613, sharex=ax1)
perf.loc[:, 'cash'].plot(
ax=ax4, label='Base Currency ({})'.format(base_currency)
)
ax4.set_ylabel('Cash ({})'.format(base_currency))
perf['algorithm'] = perf.loc[:, 'algorithm_period_return']
ax5 = plt.subplot(614, sharex=ax1)
perf.loc[:, ['algorithm', 'price_change']].plot(ax=ax5)
ax5.set_ylabel('Percent Change')
ax6 = plt.subplot(615, sharex=ax1)
perf.loc[:, 'rsi'].plot(ax=ax6, label='RSI')
ax6.axhline(70, color='darkgoldenrod')
ax6.axhline(30, color='darkgoldenrod')
if not transaction_df.empty:
ax6.scatter(
buy_df.index.to_pydatetime(),
perf.loc[buy_df.index, 'rsi'],
marker='^',
s=100,
c='green',
label=''
)
ax6.scatter(
sell_df.index.to_pydatetime(),
perf.loc[sell_df.index, 'rsi'],
marker='v',
s=100,
c='red',
label=''
)
plt.legend(loc=3)
# Show the plot.
plt.gcf().set_size_inches(18, 8)
plt.show()
pass
if __name__ == '__main__':
# The execution mode: backtest or live
MODE = 'backtest'
if MODE == 'backtest':
# catalyst run -f catalyst/examples/mean_reversion_simple.py -x poloniex -s 2017-10-1 -e 2017-11-10 -c usdt -n mean-reversion --data-frequency minute --capital-base 10000
run_algorithm(
capital_base=10000,
data_frequency='minute',
initialize=initialize,
handle_data=handle_data,
analyze=analyze,
exchange_name='bitfinex',
algo_namespace=NAMESPACE,
base_currency='usd',
start=pd.to_datetime('2017-10-1', utc=True),
end=pd.to_datetime('2017-11-10', utc=True),
)
elif MODE == 'live':
run_algorithm(
initialize=initialize,
handle_data=handle_data,
analyze=analyze,
exchange_name='bitfinex',
live=True,
algo_namespace=NAMESPACE,
base_currency='usd',
live_graph=True
)
appendix.html
+2 -1
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@@ -120,7 +120,8 @@
</li>
<li class="toctree-l1"><a class="reference internal" href="naming-convention.html">Naming Convention</a></li>
<li class="toctree-l1"><a class="reference internal" href="example-algos.html">Example Algorithms</a><ul>
<li class="toctree-l2"><a class="reference internal" href="example-algos.html#buy-and-hodl">Buy and Hodl</a></li>
<li class="toctree-l2"><a class="reference internal" href="example-algos.html#buy-and-hodl-algorithm">Buy and Hodl Algorithm</a></li>
<li class="toctree-l2"><a class="reference internal" href="example-algos.html#mean-reversion-algorithm">Mean Reversion Algorithm</a></li>
</ul>
</li>
<li class="toctree-l1"><a class="reference internal" href="utilities.html">Utilities</a><ul>
beginner-tutorial.html
+7 -1
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@@ -122,7 +122,13 @@
</li>
<li class="toctree-l1"><a class="reference internal" href="naming-convention.html">Naming Convention</a></li>
<li class="toctree-l1"><a class="reference internal" href="example-algos.html">Example Algorithms</a><ul>
<li class="toctree-l2"><a class="reference internal" href="example-algos.html#buy-and-hodl">Buy and Hodl</a></li>
<li class="toctree-l2"><a class="reference internal" href="example-algos.html#buy-and-hodl-algorithm">Buy and Hodl Algorithm</a></li>
<li class="toctree-l2"><a class="reference internal" href="example-algos.html#mean-reversion-algorithm">Mean Reversion Algorithm</a></li>
</ul>
</li>
<li class="toctree-l1"><a class="reference internal" href="utilities.html">Utilities</a><ul>
<li class="toctree-l2"><a class="reference internal" href="utilities.html#output-to-csv-file">Output to CSV file</a></li>
<li class="toctree-l2"><a class="reference internal" href="utilities.html#extracting-market-data">Extracting market data</a></li>
</ul>
</li>
<li class="toctree-l1"><a class="reference internal" href="videos.html">Videos</a><ul>
bundles.html
+7 -1
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@@ -120,7 +120,13 @@
</li>
<li class="toctree-l1"><a class="reference internal" href="naming-convention.html">Naming Convention</a></li>
<li class="toctree-l1"><a class="reference internal" href="example-algos.html">Example Algorithms</a><ul>
<li class="toctree-l2"><a class="reference internal" href="example-algos.html#buy-and-hodl">Buy and Hodl</a></li>
<li class="toctree-l2"><a class="reference internal" href="example-algos.html#buy-and-hodl-algorithm">Buy and Hodl Algorithm</a></li>
<li class="toctree-l2"><a class="reference internal" href="example-algos.html#mean-reversion-algorithm">Mean Reversion Algorithm</a></li>
</ul>
</li>
<li class="toctree-l1"><a class="reference internal" href="utilities.html">Utilities</a><ul>
<li class="toctree-l2"><a class="reference internal" href="utilities.html#output-to-csv-file">Output to CSV file</a></li>
<li class="toctree-l2"><a class="reference internal" href="utilities.html#extracting-market-data">Extracting market data</a></li>
</ul>
</li>
<li class="toctree-l1"><a class="reference internal" href="videos.html">Videos</a><ul>
development-guidelines.html
+7 -1
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@@ -122,7 +122,13 @@
</li>
<li class="toctree-l1"><a class="reference internal" href="naming-convention.html">Naming Convention</a></li>
<li class="toctree-l1"><a class="reference internal" href="example-algos.html">Example Algorithms</a><ul>
<li class="toctree-l2"><a class="reference internal" href="example-algos.html#buy-and-hodl">Buy and Hodl</a></li>
<li class="toctree-l2"><a class="reference internal" href="example-algos.html#buy-and-hodl-algorithm">Buy and Hodl Algorithm</a></li>
<li class="toctree-l2"><a class="reference internal" href="example-algos.html#mean-reversion-algorithm">Mean Reversion Algorithm</a></li>
</ul>
</li>
<li class="toctree-l1"><a class="reference internal" href="utilities.html">Utilities</a><ul>
<li class="toctree-l2"><a class="reference internal" href="utilities.html#output-to-csv-file">Output to CSV file</a></li>
<li class="toctree-l2"><a class="reference internal" href="utilities.html#extracting-market-data">Extracting market data</a></li>
</ul>
</li>
<li class="toctree-l1"><a class="reference internal" href="videos.html">Videos</a><ul>
example-algos.html
+266 -3
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@@ -122,7 +122,8 @@
</li>
<li class="toctree-l1"><a class="reference internal" href="naming-convention.html">Naming Convention</a></li>
<li class="toctree-l1 current"><a class="current reference internal" href="">Example Algorithms</a><ul>
<li class="toctree-l2"><a class="reference internal" href="#buy-and-hodl">Buy and Hodl</a></li>
<li class="toctree-l2"><a class="reference internal" href="#buy-and-hodl-algorithm">Buy and Hodl Algorithm</a></li>
<li class="toctree-l2"><a class="reference internal" href="#mean-reversion-algorithm">Mean Reversion Algorithm</a></li>
</ul>
</li>
<li class="toctree-l1"><a class="reference internal" href="utilities.html">Utilities</a><ul>
@@ -242,8 +243,8 @@
<p>This section documents a small number of example algorithms to complement the
beginner tutorial, and show how other trading algorithms can be implemented
using Catalyst:</p>
<div class="section" id="buy-and-hodl">
<h2>Buy and Hodl<a class="headerlink" href="#buy-and-hodl" title="Permalink to this headline"></a></h2>
<div class="section" id="buy-and-hodl-algorithm">
<span id="buy-and-hodl"></span><h2>Buy and Hodl Algorithm<a class="headerlink" href="#buy-and-hodl-algorithm" title="Permalink to this headline"></a></h2>
<p>source: <a class="reference external" href="https://github.com/enigmampc/catalyst/blob/master/catalyst/examples/buy_and_hodl.py">examples/buy_and_hodl.py</a></p>
<p>First ingest the historical pricing data needed to run this algorithm:</p>
<div class="highlight-bash"><div class="highlight"><pre>catalyst ingest-exchange -x poloniex -f daily -i btc_usdt
@@ -398,6 +399,268 @@ one day prior to the current date.</p>
</pre></div>
</div>
</div>
<div class="section" id="mean-reversion-algorithm">
<span id="mean-reversion"></span><h2>Mean Reversion Algorithm<a class="headerlink" href="#mean-reversion-algorithm" title="Permalink to this headline"></a></h2>
<p>source: <a class="reference external" href="https://github.com/enigmampc/catalyst/blob/master/catalyst/examples/mean_reversion_simple.py">examples/mean_reversion_simple.py</a></p>
<p>This algorithm is based on a simple momentum strategy. When the cryptoasset goes
up quickly, we&#8217;re going to buy; when it goes down quickly, we&#8217;re going to sell.
Hopefully, we&#8217;ll ride the waves.</p>
<p>We are choosing to run this trading algorithm with the <code class="docutils literal"><span class="pre">neo_usd</span></code> currency pair
on the <code class="docutils literal"><span class="pre">Bitfinex</span></code> exchange. Thus, first ingest the historical pricing data
that we need, with minute resolution:</p>
<div class="highlight-bash"><div class="highlight"><pre>catalyst ingest-exchange -x bitfinex -f minute -i neo_usd
</pre></div>
</div>
<p>To run this algorithm, we are opting for the Python interpreter, instead of the
command line (CLI). All of the parameters for the simulation are specified in
lines 218-245, so in order to run the algorithm we just type:</p>
<div class="highlight-bash"><div class="highlight"><pre>python mean_reversion_simple.py
</pre></div>
</div>
<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="kn">import</span> <span class="nn">talib</span>
<span class="kn">from</span> <span class="nn">logbook</span> <span class="kn">import</span> <span class="n">Logger</span>
<span class="kn">from</span> <span class="nn">catalyst</span> <span class="kn">import</span> <span class="n">run_algorithm</span>
<span class="kn">from</span> <span class="nn">catalyst.api</span> <span class="kn">import</span> <span class="n">symbol</span><span class="p">,</span> <span class="n">record</span><span class="p">,</span> <span class="n">order_target_percent</span><span class="p">,</span> <span class="n">get_open_orders</span>
<span class="kn">from</span> <span class="nn">catalyst.exchange.stats_utils</span> <span class="kn">import</span> <span class="n">extract_transactions</span>
<span class="c"># We give a name to the algorithm which Catalyst will use to persist its state.</span>
<span class="c"># In this example, Catalyst will create the `.catalyst/data/live_algos`</span>
<span class="c"># directory. If we stop and start the algorithm, Catalyst will resume its</span>
<span class="c"># state using the files included in the folder.</span>
<span class="n">NAMESPACE</span> <span class="o">=</span> <span class="s">&#39;mean_reversion_simple&#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="c"># To run an algorithm in Catalyst, you need two functions: initialize and</span>
<span class="c"># handle_data.</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="c"># This initialize function sets any data or variables that you&#39;ll use in</span>
<span class="c"># your algorithm. For instance, you&#39;ll want to define the trading pair (or</span>
<span class="c"># trading pairs) you want to backtest. You&#39;ll also want to define any</span>
<span class="c"># parameters or values you&#39;re going to use.</span>
<span class="c"># In our example, we&#39;re looking at Ether in USD Tether.</span>
<span class="n">context</span><span class="o">.</span><span class="n">neo_usd</span> <span class="o">=</span> <span class="n">symbol</span><span class="p">(</span><span class="s">&#39;neo_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="n">context</span><span class="o">.</span><span class="n">current_day</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"># This handle_data function is where the real work is done. Our data is</span>
<span class="c"># minute-level tick data, and each minute is called a frame. This function</span>
<span class="c"># runs on each frame of the data.</span>
<span class="c"># We flag the first period of each day.</span>
<span class="c"># Since cryptocurrencies trade 24/7 the `before_trading_starts` handle</span>
<span class="c"># would only execute once. This method works with minute and daily</span>
<span class="c"># frequencies.</span>
<span class="n">today</span> <span class="o">=</span> <span class="n">data</span><span class="o">.</span><span class="n">current_dt</span><span class="o">.</span><span class="n">floor</span><span class="p">(</span><span class="s">&#39;1D&#39;</span><span class="p">)</span>
<span class="k">if</span> <span class="n">today</span> <span class="o">!=</span> <span class="n">context</span><span class="o">.</span><span class="n">current_day</span><span class="p">:</span>
<span class="n">context</span><span class="o">.</span><span class="n">traded_today</span> <span class="o">=</span> <span class="bp">False</span>
<span class="n">context</span><span class="o">.</span><span class="n">current_day</span> <span class="o">=</span> <span class="n">today</span>
<span class="c"># We&#39;re computing the volume-weighted-average-price of the security</span>
<span class="c"># defined above, in the context.neo_usd variable. For this example, we&#39;re</span>
<span class="c"># using three bars on the 15 min bars.</span>
<span class="c"># The frequency attribute determine the bar size. We use this convention</span>
<span class="c"># for the frequency alias:</span>
<span class="c"># http://pandas.pydata.org/pandas-docs/stable/timeseries.html#offset-aliases</span>
<span class="n">prices</span> <span class="o">=</span> <span class="n">data</span><span class="o">.</span><span class="n">history</span><span class="p">(</span>
<span class="n">context</span><span class="o">.</span><span class="n">neo_usd</span><span class="p">,</span>
<span class="n">fields</span><span class="o">=</span><span class="s">&#39;close&#39;</span><span class="p">,</span>
<span class="n">bar_count</span><span class="o">=</span><span class="mi">50</span><span class="p">,</span>
<span class="n">frequency</span><span class="o">=</span><span class="s">&#39;15T&#39;</span>
<span class="p">)</span>
<span class="c"># Ta-lib calculates various technical indicator based on price and</span>
<span class="c"># volume arrays.</span>
<span class="c"># In this example, we are comp</span>
<span class="n">rsi</span> <span class="o">=</span> <span class="n">talib</span><span class="o">.</span><span class="n">RSI</span><span class="p">(</span><span class="n">prices</span><span class="o">.</span><span class="n">values</span><span class="p">,</span> <span class="n">timeperiod</span><span class="o">=</span><span class="mi">14</span><span class="p">)</span>
<span class="c"># We need a variable for the current price of the security to compare to</span>
<span class="c"># the average. Since we are requesting two fields, data.current()</span>
<span class="c"># returns a DataFrame with</span>
<span class="n">current</span> <span class="o">=</span> <span class="n">data</span><span class="o">.</span><span class="n">current</span><span class="p">(</span><span class="n">context</span><span class="o">.</span><span class="n">neo_usd</span><span class="p">,</span> <span class="n">fields</span><span class="o">=</span><span class="p">[</span><span class="s">&#39;close&#39;</span><span class="p">,</span> <span class="s">&#39;volume&#39;</span><span class="p">])</span>
<span class="n">price</span> <span class="o">=</span> <span class="n">current</span><span class="p">[</span><span class="s">&#39;close&#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="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="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="c"># Now that we&#39;ve collected all current data for this frame, we use</span>
<span class="c"># the record() method to save it. This data will be available as</span>
<span class="c"># a parameter of the analyze() function for further analysis.</span>
<span class="n">record</span><span class="p">(</span>
<span class="n">price</span><span class="o">=</span><span class="n">price</span><span class="p">,</span>
<span class="n">volume</span><span class="o">=</span><span class="n">current</span><span class="p">[</span><span class="s">&#39;volume&#39;</span><span class="p">],</span>
<span class="n">price_change</span><span class="o">=</span><span class="n">price_change</span><span class="p">,</span>
<span class="n">rsi</span><span class="o">=</span><span class="n">rsi</span><span class="p">[</span><span class="o">-</span><span class="mi">1</span><span class="p">],</span>
<span class="n">cash</span><span class="o">=</span><span class="n">cash</span>
<span class="p">)</span>
<span class="c"># We are trying to avoid over-trading by limiting our trades to</span>
<span class="c"># one per day.</span>
<span class="k">if</span> <span class="n">context</span><span class="o">.</span><span class="n">traded_today</span><span class="p">:</span>
<span class="k">return</span>
<span class="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="n">orders</span> <span class="o">=</span> <span class="n">get_open_orders</span><span class="p">(</span><span class="n">context</span><span class="o">.</span><span class="n">neo_usd</span><span class="p">)</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="k">if</span> <span class="ow">not</span> <span class="n">data</span><span class="o">.</span><span class="n">can_trade</span><span class="p">(</span><span class="n">context</span><span class="o">.</span><span class="n">neo_usd</span><span class="p">):</span>
<span class="k">return</span>
<span class="c"># Another powerful built-in feature of the Catalyst backtester is the</span>
<span class="c"># portfolio object. The portfolio object tracks your positions, cash,</span>
<span class="c"># cost basis of specific holdings, and more. In this line, we calculate</span>
<span class="c"># how long or short our position is at this minute.</span>
<span class="n">pos_amount</span> <span class="o">=</span> <span class="n">context</span><span class="o">.</span><span class="n">portfolio</span><span class="o">.</span><span class="n">positions</span><span class="p">[</span><span class="n">context</span><span class="o">.</span><span class="n">neo_usd</span><span class="p">]</span><span class="o">.</span><span class="n">amount</span>
<span class="k">if</span> <span class="n">rsi</span><span class="p">[</span><span class="o">-</span><span class="mi">1</span><span class="p">]</span> <span class="o">&lt;=</span> <span class="mi">30</span> <span class="ow">and</span> <span class="n">pos_amount</span> <span class="o">==</span> <span class="mi">0</span><span class="p">:</span>
<span class="n">log</span><span class="o">.</span><span class="n">info</span><span class="p">(</span>
<span class="s">&#39;{}: buying - price: {}, rsi: {}&#39;</span><span class="o">.</span><span class="n">format</span><span class="p">(</span>
<span class="n">data</span><span class="o">.</span><span class="n">current_dt</span><span class="p">,</span> <span class="n">price</span><span class="p">,</span> <span class="n">rsi</span><span class="p">[</span><span class="o">-</span><span class="mi">1</span><span class="p">]</span>
<span class="p">)</span>
<span class="p">)</span>
<span class="n">order_target_percent</span><span class="p">(</span><span class="n">context</span><span class="o">.</span><span class="n">neo_usd</span><span class="p">,</span> <span class="mi">1</span><span class="p">)</span>
<span class="n">context</span><span class="o">.</span><span class="n">traded_today</span> <span class="o">=</span> <span class="bp">True</span>
<span class="k">elif</span> <span class="n">rsi</span><span class="p">[</span><span class="o">-</span><span class="mi">1</span><span class="p">]</span> <span class="o">&gt;=</span> <span class="mi">80</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="n">log</span><span class="o">.</span><span class="n">info</span><span class="p">(</span>
<span class="s">&#39;{}: selling - price: {}, rsi: {}&#39;</span><span class="o">.</span><span class="n">format</span><span class="p">(</span>
<span class="n">data</span><span class="o">.</span><span class="n">current_dt</span><span class="p">,</span> <span class="n">price</span><span class="p">,</span> <span class="n">rsi</span><span class="p">[</span><span class="o">-</span><span class="mi">1</span><span class="p">]</span>
<span class="p">)</span>
<span class="p">)</span>
<span class="n">order_target_percent</span><span class="p">(</span><span class="n">context</span><span class="o">.</span><span class="n">neo_usd</span><span class="p">,</span> <span class="mi">0</span><span class="p">)</span>
<span class="n">context</span><span class="o">.</span><span class="n">traded_today</span> <span class="o">=</span> <span class="bp">True</span>
<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">perf</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"># The base currency of the algo exchange</span>
<span class="n">base_currency</span> <span class="o">=</span> <span class="n">context</span><span class="o">.</span><span class="n">exchanges</span><span class="o">.</span><span class="n">values</span><span class="p">()[</span><span class="mi">0</span><span class="p">]</span><span class="o">.</span><span class="n">base_currency</span><span class="o">.</span><span class="n">upper</span><span class="p">()</span>
<span class="c"># Plot the portfolio value over time.</span>
<span class="n">ax1</span> <span class="o">=</span> <span class="n">plt</span><span class="o">.</span><span class="n">subplot</span><span class="p">(</span><span class="mi">611</span><span class="p">)</span>
<span class="n">perf</span><span class="o">.</span><span class="n">loc</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 ({})&#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="c"># Plot the price increase or decrease over time.</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">perf</span><span class="o">.</span><span class="n">loc</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">label</span><span class="o">=</span><span class="s">&#39;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="s">&#39;{asset} ({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">neo_usd</span><span class="o">.</span><span class="n">symbol</span><span class="p">,</span> <span class="n">base</span><span class="o">=</span><span class="n">base_currency</span>
<span class="p">))</span>
<span class="n">transaction_df</span> <span class="o">=</span> <span class="n">extract_transactions</span><span class="p">(</span><span class="n">perf</span><span class="p">)</span>
<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">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">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="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">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="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">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">perf</span><span class="o">.</span><span class="n">loc</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">label</span><span class="o">=</span><span class="s">&#39;Base Currency ({})&#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="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 ({})&#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">perf</span><span class="p">[</span><span class="s">&#39;algorithm&#39;</span><span class="p">]</span> <span class="o">=</span> <span class="n">perf</span><span class="o">.</span><span class="n">loc</span><span class="p">[:,</span> <span class="s">&#39;algorithm_period_return&#39;</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">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">perf</span><span class="o">.</span><span class="n">loc</span><span class="p">[:,</span> <span class="p">[</span><span class="s">&#39;algorithm&#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">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">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">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">perf</span><span class="o">.</span><span class="n">loc</span><span class="p">[:,</span> <span class="s">&#39;rsi&#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">label</span><span class="o">=</span><span class="s">&#39;RSI&#39;</span><span class="p">)</span>
<span class="n">ax6</span><span class="o">.</span><span class="n">axhline</span><span class="p">(</span><span class="mi">70</span><span class="p">,</span> <span class="n">color</span><span class="o">=</span><span class="s">&#39;darkgoldenrod&#39;</span><span class="p">)</span>
<span class="n">ax6</span><span class="o">.</span><span class="n">axhline</span><span class="p">(</span><span class="mi">30</span><span class="p">,</span> <span class="n">color</span><span class="o">=</span><span class="s">&#39;darkgoldenrod&#39;</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">ax6</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;rsi&#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">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="p">)</span>
<span class="n">ax6</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;rsi&#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">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="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="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>
<span class="k">pass</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="c"># The execution mode: backtest or live</span>
<span class="n">MODE</span> <span class="o">=</span> <span class="s">&#39;backtest&#39;</span>
<span class="k">if</span> <span class="n">MODE</span> <span class="o">==</span> <span class="s">&#39;backtest&#39;</span><span class="p">:</span>
<span class="c"># catalyst run -f catalyst/examples/mean_reversion_simple.py -x poloniex -s 2017-10-1 -e 2017-11-10 -c usdt -n mean-reversion --data-frequency minute --capital-base 10000</span>
<span class="n">run_algorithm</span><span class="p">(</span>
<span class="n">capital_base</span><span class="o">=</span><span class="mi">10000</span><span class="p">,</span>
<span class="n">data_frequency</span><span class="o">=</span><span class="s">&#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">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;2017-10-1&#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;2017-11-10&#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>
<span class="k">elif</span> <span class="n">MODE</span> <span class="o">==</span> <span class="s">&#39;live&#39;</span><span class="p">:</span>
<span class="n">run_algorithm</span><span class="p">(</span>
<span class="n">initialize</span><span class="o">=</span><span class="n">initialize</span><span class="p">,</span>
<span class="n">handle_data</span><span class="o">=</span><span class="n">handle_data</span><span class="p">,</span>
<span class="n">analyze</span><span class="o">=</span><span class="n">analyze</span><span class="p">,</span>
<span class="n">exchange_name</span><span class="o">=</span><span class="s">&#39;bitfinex&#39;</span><span class="p">,</span>
<span class="n">live</span><span class="o">=</span><span class="bp">True</span><span class="p">,</span>
<span class="n">algo_namespace</span><span class="o">=</span><span class="n">NAMESPACE</span><span class="p">,</span>
<span class="n">base_currency</span><span class="o">=</span><span class="s">&#39;usd&#39;</span><span class="p">,</span>
<span class="n">live_graph</span><span class="o">=</span><span class="bp">True</span>
<span class="p">)</span>
</pre></div>
</div>
</div>
</div>
genindex.html
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</li>
<li class="toctree-l1"><a class="reference internal" href="naming-convention.html">Naming Convention</a></li>
<li class="toctree-l1"><a class="reference internal" href="example-algos.html">Example Algorithms</a><ul>
<li class="toctree-l2"><a class="reference internal" href="example-algos.html#buy-and-hodl">Buy and Hodl</a></li>
<li class="toctree-l2"><a class="reference internal" href="example-algos.html#buy-and-hodl-algorithm">Buy and Hodl Algorithm</a></li>
<li class="toctree-l2"><a class="reference internal" href="example-algos.html#mean-reversion-algorithm">Mean Reversion Algorithm</a></li>
</ul>
</li>
<li class="toctree-l1"><a class="reference internal" href="utilities.html">Utilities</a><ul>
index.html
+2 -1
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</li>
<li class="toctree-l1"><a class="reference internal" href="naming-convention.html">Naming Convention</a></li>
<li class="toctree-l1"><a class="reference internal" href="example-algos.html">Example Algorithms</a><ul>
<li class="toctree-l2"><a class="reference internal" href="example-algos.html#buy-and-hodl">Buy and Hodl</a></li>
<li class="toctree-l2"><a class="reference internal" href="example-algos.html#buy-and-hodl-algorithm">Buy and Hodl Algorithm</a></li>
<li class="toctree-l2"><a class="reference internal" href="example-algos.html#mean-reversion-algorithm">Mean Reversion Algorithm</a></li>
</ul>
</li>
<li class="toctree-l1"><a class="reference internal" href="utilities.html">Utilities</a><ul>
install.html
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</li>
<li class="toctree-l1"><a class="reference internal" href="naming-convention.html">Naming Convention</a></li>
<li class="toctree-l1"><a class="reference internal" href="example-algos.html">Example Algorithms</a><ul>
<li class="toctree-l2"><a class="reference internal" href="example-algos.html#buy-and-hodl">Buy and Hodl</a></li>
<li class="toctree-l2"><a class="reference internal" href="example-algos.html#buy-and-hodl-algorithm">Buy and Hodl Algorithm</a></li>
<li class="toctree-l2"><a class="reference internal" href="example-algos.html#mean-reversion-algorithm">Mean Reversion Algorithm</a></li>
</ul>
</li>
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<li class="toctree-l2"><a class="reference internal" href="utilities.html#output-to-csv-file">Output to CSV file</a></li>
<li class="toctree-l2"><a class="reference internal" href="utilities.html#extracting-market-data">Extracting market data</a></li>
</ul>
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<li class="toctree-l1"><a class="reference internal" href="videos.html">Videos</a><ul>
jupyter.html
+7 -1
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@@ -122,7 +122,13 @@
</li>
<li class="toctree-l1"><a class="reference internal" href="naming-convention.html">Naming Convention</a></li>
<li class="toctree-l1"><a class="reference internal" href="example-algos.html">Example Algorithms</a><ul>
<li class="toctree-l2"><a class="reference internal" href="example-algos.html#buy-and-hodl">Buy and Hodl</a></li>
<li class="toctree-l2"><a class="reference internal" href="example-algos.html#buy-and-hodl-algorithm">Buy and Hodl Algorithm</a></li>
<li class="toctree-l2"><a class="reference internal" href="example-algos.html#mean-reversion-algorithm">Mean Reversion Algorithm</a></li>
</ul>
</li>
<li class="toctree-l1"><a class="reference internal" href="utilities.html">Utilities</a><ul>
<li class="toctree-l2"><a class="reference internal" href="utilities.html#output-to-csv-file">Output to CSV file</a></li>
<li class="toctree-l2"><a class="reference internal" href="utilities.html#extracting-market-data">Extracting market data</a></li>
</ul>
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<li class="toctree-l1"><a class="reference internal" href="videos.html">Videos</a><ul>
live-trading.html
+7 -1
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@@ -122,7 +122,13 @@
</li>
<li class="toctree-l1"><a class="reference internal" href="naming-convention.html">Naming Convention</a></li>
<li class="toctree-l1"><a class="reference internal" href="example-algos.html">Example Algorithms</a><ul>
<li class="toctree-l2"><a class="reference internal" href="example-algos.html#buy-and-hodl">Buy and Hodl</a></li>
<li class="toctree-l2"><a class="reference internal" href="example-algos.html#buy-and-hodl-algorithm">Buy and Hodl Algorithm</a></li>
<li class="toctree-l2"><a class="reference internal" href="example-algos.html#mean-reversion-algorithm">Mean Reversion Algorithm</a></li>
</ul>
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<li class="toctree-l2"><a class="reference internal" href="utilities.html#output-to-csv-file">Output to CSV file</a></li>
<li class="toctree-l2"><a class="reference internal" href="utilities.html#extracting-market-data">Extracting market data</a></li>
</ul>
</li>
<li class="toctree-l1"><a class="reference internal" href="videos.html">Videos</a><ul>
naming-convention.html
+7 -1
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</li>
<li class="toctree-l1 current"><a class="current reference internal" href="">Naming Convention</a></li>
<li class="toctree-l1"><a class="reference internal" href="example-algos.html">Example Algorithms</a><ul>
<li class="toctree-l2"><a class="reference internal" href="example-algos.html#buy-and-hodl">Buy and Hodl</a></li>
<li class="toctree-l2"><a class="reference internal" href="example-algos.html#buy-and-hodl-algorithm">Buy and Hodl Algorithm</a></li>
<li class="toctree-l2"><a class="reference internal" href="example-algos.html#mean-reversion-algorithm">Mean Reversion Algorithm</a></li>
</ul>
</li>
<li class="toctree-l1"><a class="reference internal" href="utilities.html">Utilities</a><ul>
<li class="toctree-l2"><a class="reference internal" href="utilities.html#output-to-csv-file">Output to CSV file</a></li>
<li class="toctree-l2"><a class="reference internal" href="utilities.html#extracting-market-data">Extracting market data</a></li>
</ul>
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objects.inv
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release-process.html
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</li>
<li class="toctree-l1"><a class="reference internal" href="naming-convention.html">Naming Convention</a></li>
<li class="toctree-l1"><a class="reference internal" href="example-algos.html">Example Algorithms</a><ul>
<li class="toctree-l2"><a class="reference internal" href="example-algos.html#buy-and-hodl">Buy and Hodl</a></li>
<li class="toctree-l2"><a class="reference internal" href="example-algos.html#buy-and-hodl-algorithm">Buy and Hodl Algorithm</a></li>
<li class="toctree-l2"><a class="reference internal" href="example-algos.html#mean-reversion-algorithm">Mean Reversion Algorithm</a></li>
</ul>
</li>
<li class="toctree-l1"><a class="reference internal" href="utilities.html">Utilities</a><ul>
<li class="toctree-l2"><a class="reference internal" href="utilities.html#output-to-csv-file">Output to CSV file</a></li>
<li class="toctree-l2"><a class="reference internal" href="utilities.html#extracting-market-data">Extracting market data</a></li>
</ul>
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<li class="toctree-l1"><a class="reference internal" href="videos.html">Videos</a><ul>
releases.html
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</li>
<li class="toctree-l1"><a class="reference internal" href="naming-convention.html">Naming Convention</a></li>
<li class="toctree-l1"><a class="reference internal" href="example-algos.html">Example Algorithms</a><ul>
<li class="toctree-l2"><a class="reference internal" href="example-algos.html#buy-and-hodl">Buy and Hodl</a></li>
<li class="toctree-l2"><a class="reference internal" href="example-algos.html#buy-and-hodl-algorithm">Buy and Hodl Algorithm</a></li>
<li class="toctree-l2"><a class="reference internal" href="example-algos.html#mean-reversion-algorithm">Mean Reversion Algorithm</a></li>
</ul>
</li>
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<li class="toctree-l2"><a class="reference internal" href="utilities.html#output-to-csv-file">Output to CSV file</a></li>
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<li class="toctree-l1"><a class="reference internal" href="videos.html">Videos</a><ul>
resources.html
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</li>
<li class="toctree-l1"><a class="reference internal" href="naming-convention.html">Naming Convention</a></li>
<li class="toctree-l1"><a class="reference internal" href="example-algos.html">Example Algorithms</a><ul>
<li class="toctree-l2"><a class="reference internal" href="example-algos.html#buy-and-hodl">Buy and Hodl</a></li>
<li class="toctree-l2"><a class="reference internal" href="example-algos.html#buy-and-hodl-algorithm">Buy and Hodl Algorithm</a></li>
<li class="toctree-l2"><a class="reference internal" href="example-algos.html#mean-reversion-algorithm">Mean Reversion Algorithm</a></li>
</ul>
</li>
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<li class="toctree-l2"><a class="reference internal" href="utilities.html#output-to-csv-file">Output to CSV file</a></li>
<li class="toctree-l2"><a class="reference internal" href="utilities.html#extracting-market-data">Extracting market data</a></li>
</ul>
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<li class="toctree-l1"><a class="reference internal" href="videos.html">Videos</a><ul>
search.html
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<li class="toctree-l1"><a class="reference internal" href="naming-convention.html">Naming Convention</a></li>
<li class="toctree-l1"><a class="reference internal" href="example-algos.html">Example Algorithms</a><ul>
<li class="toctree-l2"><a class="reference internal" href="example-algos.html#buy-and-hodl">Buy and Hodl</a></li>
<li class="toctree-l2"><a class="reference internal" href="example-algos.html#buy-and-hodl-algorithm">Buy and Hodl Algorithm</a></li>
<li class="toctree-l2"><a class="reference internal" href="example-algos.html#mean-reversion-algorithm">Mean Reversion Algorithm</a></li>
</ul>
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searchindex.js
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utilities.html
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</li>
<li class="toctree-l1"><a class="reference internal" href="naming-convention.html">Naming Convention</a></li>
<li class="toctree-l1"><a class="reference internal" href="example-algos.html">Example Algorithms</a><ul>
<li class="toctree-l2"><a class="reference internal" href="example-algos.html#buy-and-hodl">Buy and Hodl</a></li>
<li class="toctree-l2"><a class="reference internal" href="example-algos.html#buy-and-hodl-algorithm">Buy and Hodl Algorithm</a></li>
<li class="toctree-l2"><a class="reference internal" href="example-algos.html#mean-reversion-algorithm">Mean Reversion Algorithm</a></li>
</ul>
</li>
<li class="toctree-l1 current"><a class="current reference internal" href="">Utilities</a><ul>
videos.html
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<link rel="top" title="Catalyst 0.3 documentation" href="index.html"/>
<link rel="next" title="Resources" href="resources.html"/>
<link rel="prev" title="Example Algorithms" href="example-algos.html"/>
<link rel="prev" title="Utilities" href="utilities.html"/>
<script src="_static/js/modernizr.min.js"></script>
@@ -122,7 +122,13 @@
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<li class="toctree-l1"><a class="reference internal" href="naming-convention.html">Naming Convention</a></li>
<li class="toctree-l1"><a class="reference internal" href="example-algos.html">Example Algorithms</a><ul>
<li class="toctree-l2"><a class="reference internal" href="example-algos.html#buy-and-hodl">Buy and Hodl</a></li>
<li class="toctree-l2"><a class="reference internal" href="example-algos.html#buy-and-hodl-algorithm">Buy and Hodl Algorithm</a></li>
<li class="toctree-l2"><a class="reference internal" href="example-algos.html#mean-reversion-algorithm">Mean Reversion Algorithm</a></li>
</ul>
</li>
<li class="toctree-l1"><a class="reference internal" href="utilities.html">Utilities</a><ul>
<li class="toctree-l2"><a class="reference internal" href="utilities.html#output-to-csv-file">Output to CSV file</a></li>
<li class="toctree-l2"><a class="reference internal" href="utilities.html#extracting-market-data">Extracting market data</a></li>
</ul>
</li>
<li class="toctree-l1 current"><a class="current reference internal" href="">Videos</a><ul>
@@ -259,7 +265,7 @@
<a href="resources.html" class="btn btn-neutral float-right" title="Resources" accesskey="n">Next <span class="fa fa-arrow-circle-right"></span></a>
<a href="example-algos.html" class="btn btn-neutral" title="Example Algorithms" accesskey="p"><span class="fa fa-arrow-circle-left"></span> Previous</a>
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welcome.html
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<li class="toctree-l2"><a class="reference internal" href="example-algos.html#buy-and-hodl">Buy and Hodl</a></li>
<li class="toctree-l2"><a class="reference internal" href="example-algos.html#buy-and-hodl-algorithm">Buy and Hodl Algorithm</a></li>
<li class="toctree-l2"><a class="reference internal" href="example-algos.html#mean-reversion-algorithm">Mean Reversion Algorithm</a></li>
</ul>
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<li class="toctree-l2"><a class="reference internal" href="utilities.html#output-to-csv-file">Output to CSV file</a></li>
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