mirror of
https://github.com/wassname/catalyst.git
synced 2026-06-28 02:44:59 +08:00
Victor Grau Serrat
868 lines
58 KiB
HTML
868 lines
58 KiB
HTML
|
|
|
|
<!DOCTYPE html>
|
|
<!--[if IE 8]><html class="no-js lt-ie9" lang="en" > <![endif]-->
|
|
<!--[if gt IE 8]><!--> <html class="no-js" lang="en" > <!--<![endif]-->
|
|
<head>
|
|
<meta charset="utf-8">
|
|
|
|
<meta name="viewport" content="width=device-width, initial-scale=1.0">
|
|
|
|
<title>Catalyst Beginner Tutorial — Catalyst 0.3 documentation</title>
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
<link rel="stylesheet" href="_static/css/theme.css" type="text/css" />
|
|
|
|
|
|
|
|
|
|
|
|
<link rel="top" title="Catalyst 0.3 documentation" href="index.html"/>
|
|
<link rel="next" title="Live Trading" href="live-trading.html"/>
|
|
<link rel="prev" title="Install" href="install.html"/>
|
|
|
|
|
|
<script src="_static/js/modernizr.min.js"></script>
|
|
|
|
</head>
|
|
|
|
<body class="wy-body-for-nav" role="document">
|
|
|
|
<div class="wy-grid-for-nav">
|
|
|
|
|
|
<nav data-toggle="wy-nav-shift" class="wy-nav-side">
|
|
<div class="wy-side-nav-search">
|
|
|
|
|
|
|
|
<a href="index.html" class="icon icon-home"> Catalyst
|
|
|
|
|
|
|
|
</a>
|
|
|
|
|
|
<div role="search">
|
|
<form id="rtd-search-form" class="wy-form" action="search.html" method="get">
|
|
<input type="text" name="q" placeholder="Search docs" />
|
|
<input type="hidden" name="check_keywords" value="yes" />
|
|
<input type="hidden" name="area" value="default" />
|
|
</form>
|
|
</div>
|
|
|
|
|
|
</div>
|
|
|
|
<div class="wy-menu wy-menu-vertical" data-spy="affix" role="navigation" aria-label="main navigation">
|
|
|
|
|
|
|
|
<ul class="current">
|
|
<li class="toctree-l1"><a class="reference internal" href="install.html">Install</a><ul>
|
|
<li class="toctree-l2"><a class="reference internal" href="install.html#installing-with-pip">Installing with <code class="docutils literal"><span class="pre">pip</span></code></a><ul>
|
|
<li class="toctree-l3"><a class="reference internal" href="install.html#gnu-linux">GNU/Linux</a></li>
|
|
<li class="toctree-l3"><a class="reference internal" href="install.html#osx">OSX</a><ul>
|
|
<li class="toctree-l4"><a class="reference internal" href="install.html#osx-virtualenv-matplotlib">OSX + virtualenv + matplotlib</a></li>
|
|
</ul>
|
|
</li>
|
|
<li class="toctree-l3"><a class="reference internal" href="install.html#windows">Windows</a></li>
|
|
<li class="toctree-l3"><a class="reference internal" href="install.html#amazon-linux-ami">Amazon Linux AMI</a></li>
|
|
<li class="toctree-l3"><a class="reference internal" href="install.html#troubleshooting-pip-install">Troubleshooting <code class="docutils literal"><span class="pre">pip</span></code> Install</a></li>
|
|
</ul>
|
|
</li>
|
|
<li class="toctree-l2"><a class="reference internal" href="install.html#installing-with-conda">Installing with <code class="docutils literal"><span class="pre">conda</span></code></a><ul>
|
|
<li class="toctree-l3"><a class="reference internal" href="install.html#troubleshooting-conda-install">Troubleshooting <code class="docutils literal"><span class="pre">conda</span></code> Install</a></li>
|
|
</ul>
|
|
</li>
|
|
<li class="toctree-l2"><a class="reference internal" href="install.html#getting-help">Getting Help</a></li>
|
|
</ul>
|
|
</li>
|
|
<li class="toctree-l1 current"><a class="current reference internal" href="">Catalyst Beginner Tutorial</a><ul>
|
|
<li class="toctree-l2"><a class="reference internal" href="#basics">Basics</a></li>
|
|
<li class="toctree-l2"><a class="reference internal" href="#my-first-algorithm">My first algorithm</a></li>
|
|
<li class="toctree-l2"><a class="reference internal" href="#running-the-algorithm">Running the algorithm</a><ul>
|
|
<li class="toctree-l3"><a class="reference internal" href="#ingesting-data">Ingesting data</a></li>
|
|
<li class="toctree-l3"><a class="reference internal" href="#command-line-interface">Command line interface</a></li>
|
|
</ul>
|
|
</li>
|
|
<li class="toctree-l2"><a class="reference internal" href="#access-to-previous-prices-using-history">Access to previous prices using <code class="docutils literal"><span class="pre">history</span></code></a><ul>
|
|
<li class="toctree-l3"><a class="reference internal" href="#working-example-dual-moving-average-cross-over">Working example: Dual Moving Average Cross-Over</a></li>
|
|
</ul>
|
|
</li>
|
|
<li class="toctree-l2"><a class="reference internal" href="#conclusions">Conclusions</a></li>
|
|
</ul>
|
|
</li>
|
|
<li class="toctree-l1"><a class="reference internal" href="live-trading.html">Live Trading</a><ul>
|
|
<li class="toctree-l2"><a class="reference internal" href="live-trading.html#supported-exchanges">Supported Exchanges</a></li>
|
|
<li class="toctree-l2"><a class="reference internal" href="live-trading.html#authentication">Authentication</a></li>
|
|
<li class="toctree-l2"><a class="reference internal" href="live-trading.html#currency-symbols">Currency Symbols</a></li>
|
|
<li class="toctree-l2"><a class="reference internal" href="live-trading.html#trading-an-algorithm">Trading an Algorithm</a></li>
|
|
</ul>
|
|
</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="videos.html">Videos</a><ul>
|
|
<li class="toctree-l2"><a class="reference internal" href="videos.html#installation-macos">Installation: MacOS</a></li>
|
|
<li class="toctree-l2"><a class="reference internal" href="videos.html#installation-windows">Installation: Windows</a></li>
|
|
</ul>
|
|
</li>
|
|
<li class="toctree-l1"><a class="reference internal" href="development-guidelines.html">Development Guidelines</a><ul>
|
|
<li class="toctree-l2"><a class="reference internal" href="development-guidelines.html#creating-a-development-environment">Creating a Development Environment</a></li>
|
|
<li class="toctree-l2"><a class="reference internal" href="development-guidelines.html#git-branching-structure">Git Branching Structure</a></li>
|
|
<li class="toctree-l2"><a class="reference internal" href="development-guidelines.html#contributing-to-the-docs">Contributing to the Docs</a></li>
|
|
<li class="toctree-l2"><a class="reference internal" href="development-guidelines.html#commit-messages">Commit messages</a></li>
|
|
<li class="toctree-l2"><a class="reference internal" href="development-guidelines.html#formatting-docstrings">Formatting Docstrings</a></li>
|
|
</ul>
|
|
</li>
|
|
<li class="toctree-l1"><a class="reference internal" href="releases.html">Release Notes</a><ul>
|
|
<li class="toctree-l2"><a class="reference internal" href="releases.html#development">Development</a><ul>
|
|
<li class="toctree-l3"><a class="reference internal" href="releases.html#highlights">Highlights</a></li>
|
|
<li class="toctree-l3"><a class="reference internal" href="releases.html#enhancements">Enhancements</a></li>
|
|
<li class="toctree-l3"><a class="reference internal" href="releases.html#experimental-features">Experimental Features</a></li>
|
|
<li class="toctree-l3"><a class="reference internal" href="releases.html#bug-fixes">Bug Fixes</a></li>
|
|
<li class="toctree-l3"><a class="reference internal" href="releases.html#performance">Performance</a></li>
|
|
<li class="toctree-l3"><a class="reference internal" href="releases.html#maintenance-and-refactorings">Maintenance and Refactorings</a></li>
|
|
<li class="toctree-l3"><a class="reference internal" href="releases.html#build">Build</a></li>
|
|
<li class="toctree-l3"><a class="reference internal" href="releases.html#documentation">Documentation</a></li>
|
|
<li class="toctree-l3"><a class="reference internal" href="releases.html#miscellaneous">Miscellaneous</a></li>
|
|
</ul>
|
|
</li>
|
|
<li class="toctree-l2"><a class="reference internal" href="releases.html#release-1-1-0">Release 1.1.0</a><ul>
|
|
<li class="toctree-l3"><a class="reference internal" href="releases.html#id1">Enhancements</a></li>
|
|
<li class="toctree-l3"><a class="reference internal" href="releases.html#id2">Bug Fixes</a></li>
|
|
<li class="toctree-l3"><a class="reference internal" href="releases.html#id3">Performance</a></li>
|
|
<li class="toctree-l3"><a class="reference internal" href="releases.html#id4">Maintenance and Refactorings</a></li>
|
|
<li class="toctree-l3"><a class="reference internal" href="releases.html#id5">Build</a></li>
|
|
<li class="toctree-l3"><a class="reference internal" href="releases.html#id6">Documentation</a></li>
|
|
<li class="toctree-l3"><a class="reference internal" href="releases.html#id7">Miscellaneous</a></li>
|
|
</ul>
|
|
</li>
|
|
<li class="toctree-l2"><a class="reference internal" href="releases.html#release-1-0-2">Release 1.0.2</a><ul>
|
|
<li class="toctree-l3"><a class="reference internal" href="releases.html#id8">Enhancements</a></li>
|
|
<li class="toctree-l3"><a class="reference internal" href="releases.html#experimental">Experimental</a></li>
|
|
<li class="toctree-l3"><a class="reference internal" href="releases.html#id9">Bug Fixes</a></li>
|
|
<li class="toctree-l3"><a class="reference internal" href="releases.html#id10">Performance</a></li>
|
|
<li class="toctree-l3"><a class="reference internal" href="releases.html#id11">Maintenance and Refactorings</a></li>
|
|
<li class="toctree-l3"><a class="reference internal" href="releases.html#id12">Documentation</a></li>
|
|
<li class="toctree-l3"><a class="reference internal" href="releases.html#testing">Testing</a></li>
|
|
<li class="toctree-l3"><a class="reference internal" href="releases.html#data-format-changes">Data Format Changes</a></li>
|
|
</ul>
|
|
</li>
|
|
<li class="toctree-l2"><a class="reference internal" href="releases.html#release-1-0-1">Release 1.0.1</a><ul>
|
|
<li class="toctree-l3"><a class="reference internal" href="releases.html#id13">Enhancements</a></li>
|
|
<li class="toctree-l3"><a class="reference internal" href="releases.html#id14">Bug Fixes</a></li>
|
|
<li class="toctree-l3"><a class="reference internal" href="releases.html#id15">Documentation</a></li>
|
|
</ul>
|
|
</li>
|
|
<li class="toctree-l2"><a class="reference internal" href="releases.html#release-1-0-0">Release 1.0.0</a><ul>
|
|
<li class="toctree-l3"><a class="reference internal" href="releases.html#id16">Highlights</a><ul>
|
|
<li class="toctree-l4"><a class="reference internal" href="releases.html#zipline-1-0-rewrite-1105">Zipline 1.0 Rewrite (#1105)</a></li>
|
|
<li class="toctree-l4"><a class="reference internal" href="releases.html#new-entry-points-1173-and-1178">New Entry Points (#1173 and #1178)</a></li>
|
|
<li class="toctree-l4"><a class="reference internal" href="releases.html#data-bundles-1173-and-1178">Data Bundles (#1173 and #1178)</a></li>
|
|
<li class="toctree-l4"><a class="reference internal" href="releases.html#string-support-in-pipeline-1174">String Support in Pipeline (#1174)</a></li>
|
|
</ul>
|
|
</li>
|
|
<li class="toctree-l3"><a class="reference internal" href="releases.html#id17">Enhancements</a></li>
|
|
<li class="toctree-l3"><a class="reference internal" href="releases.html#id18">Experimental Features</a></li>
|
|
<li class="toctree-l3"><a class="reference internal" href="releases.html#id19">Bug Fixes</a></li>
|
|
<li class="toctree-l3"><a class="reference internal" href="releases.html#id20">Performance</a></li>
|
|
<li class="toctree-l3"><a class="reference internal" href="releases.html#id21">Maintenance and Refactorings</a></li>
|
|
<li class="toctree-l3"><a class="reference internal" href="releases.html#id22">Build</a></li>
|
|
<li class="toctree-l3"><a class="reference internal" href="releases.html#id23">Documentation</a></li>
|
|
<li class="toctree-l3"><a class="reference internal" href="releases.html#id24">Miscellaneous</a></li>
|
|
</ul>
|
|
</li>
|
|
<li class="toctree-l2"><a class="reference internal" href="releases.html#release-0-9-0">Release 0.9.0</a><ul>
|
|
<li class="toctree-l3"><a class="reference internal" href="releases.html#id25">Highlights</a></li>
|
|
<li class="toctree-l3"><a class="reference internal" href="releases.html#id26">Enhancements</a></li>
|
|
<li class="toctree-l3"><a class="reference internal" href="releases.html#id27">Experimental Features</a></li>
|
|
<li class="toctree-l3"><a class="reference internal" href="releases.html#id28">Bug Fixes</a></li>
|
|
<li class="toctree-l3"><a class="reference internal" href="releases.html#id29">Performance</a></li>
|
|
<li class="toctree-l3"><a class="reference internal" href="releases.html#id30">Maintenance and Refactorings</a></li>
|
|
<li class="toctree-l3"><a class="reference internal" href="releases.html#id31">Build</a></li>
|
|
<li class="toctree-l3"><a class="reference internal" href="releases.html#id32">Documentation</a></li>
|
|
<li class="toctree-l3"><a class="reference internal" href="releases.html#id33">Miscellaneous</a></li>
|
|
</ul>
|
|
</li>
|
|
<li class="toctree-l2"><a class="reference internal" href="releases.html#release-0-8-4">Release 0.8.4</a><ul>
|
|
<li class="toctree-l3"><a class="reference internal" href="releases.html#id34">Highlights</a></li>
|
|
<li class="toctree-l3"><a class="reference internal" href="releases.html#id35">Enhancements</a></li>
|
|
<li class="toctree-l3"><a class="reference internal" href="releases.html#id36">Experimental Features</a></li>
|
|
<li class="toctree-l3"><a class="reference internal" href="releases.html#id37">Bug Fixes</a></li>
|
|
<li class="toctree-l3"><a class="reference internal" href="releases.html#id38">Performance</a></li>
|
|
<li class="toctree-l3"><a class="reference internal" href="releases.html#id39">Maintenance and Refactorings</a></li>
|
|
<li class="toctree-l3"><a class="reference internal" href="releases.html#id40">Build</a></li>
|
|
<li class="toctree-l3"><a class="reference internal" href="releases.html#id41">Documentation</a></li>
|
|
<li class="toctree-l3"><a class="reference internal" href="releases.html#id42">Miscellaneous</a></li>
|
|
</ul>
|
|
</li>
|
|
<li class="toctree-l2"><a class="reference internal" href="releases.html#release-0-8-3">Release 0.8.3</a></li>
|
|
<li class="toctree-l2"><a class="reference internal" href="releases.html#release-0-8-0">Release 0.8.0</a><ul>
|
|
<li class="toctree-l3"><a class="reference internal" href="releases.html#id43">Highlights</a></li>
|
|
<li class="toctree-l3"><a class="reference internal" href="releases.html#id44">Enhancements</a></li>
|
|
<li class="toctree-l3"><a class="reference internal" href="releases.html#id45">Experimental Features</a></li>
|
|
<li class="toctree-l3"><a class="reference internal" href="releases.html#id46">Bug Fixes</a></li>
|
|
<li class="toctree-l3"><a class="reference internal" href="releases.html#id47">Performance</a></li>
|
|
<li class="toctree-l3"><a class="reference internal" href="releases.html#id48">Maintenance and Refactorings</a></li>
|
|
<li class="toctree-l3"><a class="reference internal" href="releases.html#id49">Build</a></li>
|
|
<li class="toctree-l3"><a class="reference internal" href="releases.html#id50">Documentation</a></li>
|
|
</ul>
|
|
</li>
|
|
<li class="toctree-l2"><a class="reference internal" href="releases.html#release-0-7-0">Release 0.7.0</a><ul>
|
|
<li class="toctree-l3"><a class="reference internal" href="releases.html#id51">Highlights</a></li>
|
|
<li class="toctree-l3"><a class="reference internal" href="releases.html#id52">Enhancements</a></li>
|
|
<li class="toctree-l3"><a class="reference internal" href="releases.html#id53">Bug Fixes</a></li>
|
|
<li class="toctree-l3"><a class="reference internal" href="releases.html#id54">Performance</a></li>
|
|
<li class="toctree-l3"><a class="reference internal" href="releases.html#id55">Maintenance and Refactorings</a></li>
|
|
<li class="toctree-l3"><a class="reference internal" href="releases.html#id56">Build</a></li>
|
|
<li class="toctree-l3"><a class="reference internal" href="releases.html#contributors">Contributors</a></li>
|
|
</ul>
|
|
</li>
|
|
<li class="toctree-l2"><a class="reference internal" href="releases.html#release-0-6-1">Release 0.6.1</a><ul>
|
|
<li class="toctree-l3"><a class="reference internal" href="releases.html#id57">Highlights</a></li>
|
|
<li class="toctree-l3"><a class="reference internal" href="releases.html#id58">Enhancements</a></li>
|
|
<li class="toctree-l3"><a class="reference internal" href="releases.html#id59">Bug Fixes</a></li>
|
|
<li class="toctree-l3"><a class="reference internal" href="releases.html#id60">Performance</a></li>
|
|
<li class="toctree-l3"><a class="reference internal" href="releases.html#id61">Maintenance and Refactorings</a></li>
|
|
<li class="toctree-l3"><a class="reference internal" href="releases.html#id62">Build</a></li>
|
|
<li class="toctree-l3"><a class="reference internal" href="releases.html#id63">Contributors</a></li>
|
|
</ul>
|
|
</li>
|
|
</ul>
|
|
</li>
|
|
</ul>
|
|
|
|
|
|
|
|
</div>
|
|
|
|
</nav>
|
|
|
|
<section data-toggle="wy-nav-shift" class="wy-nav-content-wrap">
|
|
|
|
|
|
<nav class="wy-nav-top" role="navigation" aria-label="top navigation">
|
|
<i data-toggle="wy-nav-top" class="fa fa-bars"></i>
|
|
<a href="index.html">Catalyst</a>
|
|
</nav>
|
|
|
|
|
|
|
|
<div class="wy-nav-content">
|
|
<div class="rst-content">
|
|
<div role="navigation" aria-label="breadcrumbs navigation">
|
|
<ul class="wy-breadcrumbs">
|
|
<li><a href="index.html">Docs</a> »</li>
|
|
|
|
<li>Catalyst Beginner Tutorial</li>
|
|
<li class="wy-breadcrumbs-aside">
|
|
|
|
|
|
<a href="_sources/beginner-tutorial.txt" rel="nofollow"> View page source</a>
|
|
|
|
|
|
</li>
|
|
</ul>
|
|
<hr/>
|
|
</div>
|
|
<div role="main" class="document">
|
|
|
|
<div class="section" id="catalyst-beginner-tutorial">
|
|
<h1>Catalyst Beginner Tutorial<a class="headerlink" href="#catalyst-beginner-tutorial" title="Permalink to this headline">¶</a></h1>
|
|
<div class="section" id="basics">
|
|
<h2>Basics<a class="headerlink" href="#basics" title="Permalink to this headline">¶</a></h2>
|
|
<p>Catalyst is an open-source algorithmic trading simulator for crypto
|
|
assets written in Python.</p>
|
|
<p>The source can be found at: <a class="reference external" href="https://github.com/enigmampc/catalyst">https://github.com/enigmampc/catalyst</a></p>
|
|
<p>Some benefits include:</p>
|
|
<ul class="simple">
|
|
<li>Support for several of the top crypto-exchanges by trading volume.</li>
|
|
<li>Realistic: slippage, transaction costs, order delays.</li>
|
|
<li>Stream-based: Process each event individually, avoids look-ahead
|
|
bias.</li>
|
|
<li>Batteries included: Common transforms (moving average) as well as
|
|
common risk calculations (Sharpe).</li>
|
|
<li>Developed and continuously updated by
|
|
<a class="reference external" href="https://www.enigma.co">Enigma MPC</a> which is building the Enigma
|
|
data marketplace protocol as well as Catalyst, the first application
|
|
that will run on our protocol. Powered by our financial data
|
|
marketplace, Catalyst empowers users to share and curate data and
|
|
build profitable, data-driven investment strategies.</li>
|
|
</ul>
|
|
<p>This tutorial assumes that you have Catalyst correctly installed, see the
|
|
<a class="reference internal" href="install.html"><em>installation instructions</em></a> if you haven’t set up
|
|
Catalyst yet.</p>
|
|
<p>Every <code class="docutils literal"><span class="pre">catalyst</span></code> algorithm consists of at least two functions you have to
|
|
define:</p>
|
|
<ul class="simple">
|
|
<li><code class="docutils literal"><span class="pre">initialize(context)</span></code></li>
|
|
<li><code class="docutils literal"><span class="pre">handle_data(context,</span> <span class="pre">data)</span></code></li>
|
|
</ul>
|
|
<p>Before the start of the algorithm, <code class="docutils literal"><span class="pre">catalyst</span></code> calls the
|
|
<code class="docutils literal"><span class="pre">initialize()</span></code> function and passes in a <code class="docutils literal"><span class="pre">context</span></code> variable.
|
|
<code class="docutils literal"><span class="pre">context</span></code> is a persistent namespace for you to store variables you
|
|
need to access from one algorithm iteration to the next.</p>
|
|
<p>After the algorithm has been initialized, <code class="docutils literal"><span class="pre">catalyst</span></code> calls the
|
|
<code class="docutils literal"><span class="pre">handle_data()</span></code> function once for each event. At every call, it passes
|
|
the same <code class="docutils literal"><span class="pre">context</span></code> variable and an event-frame called <code class="docutils literal"><span class="pre">data</span></code>
|
|
containing the current trading bar with open, high, low, and close
|
|
(OHLC) prices as well as volume for each crypto asset in your universe.</p>
|
|
</div>
|
|
<div class="section" id="my-first-algorithm">
|
|
<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>
|
|
|
|
|
|
<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">'btc_usd'</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">'price'</span><span class="p">))</span>
|
|
</pre></div>
|
|
</div>
|
|
<p>As you can see, we first have to import some functions we would like to
|
|
use. All functions commonly used in your algorithm can be found in
|
|
<code class="docutils literal"><span class="pre">catalyst.api</span></code>. Here we are using <code class="xref py py-func docutils literal"><span class="pre">order()</span></code> which takes two
|
|
arguments: a cryptoasset object, and a number specifying how many assets you would
|
|
like to order (if negative, <code class="xref py py-func docutils literal"><span class="pre">order()</span></code> will sell/short
|
|
assets). In this case we want to order 1 bitcoin at each iteration.</p>
|
|
<p>Finally, the <code class="xref py py-func docutils literal"><span class="pre">record()</span></code> function allows you to save the value
|
|
of a variable at each iteration. You provide it with a name for the variable
|
|
together with the variable itself: <code class="docutils literal"><span class="pre">varname=var</span></code>. After the algorithm
|
|
finished running you will have access to each variable value you tracked
|
|
with <code class="xref py py-func docutils literal"><span class="pre">record()</span></code> under the name you provided (we will see this
|
|
further below). You also see how we can access the current price data of
|
|
a bitcoin in the <code class="docutils literal"><span class="pre">data</span></code> event frame.</p>
|
|
</div>
|
|
<div class="section" id="running-the-algorithm">
|
|
<h2>Running the algorithm<a class="headerlink" href="#running-the-algorithm" title="Permalink to this headline">¶</a></h2>
|
|
<p>To can now test this algorithm on crypto data, <code class="docutils literal"><span class="pre">catalyst</span></code> provides three
|
|
interfaces:</p>
|
|
<ul class="simple">
|
|
<li>A command-line interface,</li>
|
|
<li><code class="docutils literal"><span class="pre">IPython</span> <span class="pre">Notebook</span></code> magic,</li>
|
|
<li>and <code class="xref py py-func docutils literal"><span class="pre">run_algorithm()</span></code>.</li>
|
|
</ul>
|
|
<div class="section" id="ingesting-data">
|
|
<h3>Ingesting data<a class="headerlink" href="#ingesting-data" title="Permalink to this headline">¶</a></h3>
|
|
<p>In previous versions of Catalyst you needed to manually ingest data before running
|
|
your algorithm to make it available at runtime. Starting with version 0.3, the
|
|
algorithm will automagically ingest the data it needs the first time that encounters
|
|
a data request for data that it doesn’t have.</p>
|
|
<p>Still, we believe it is important for you to have a high-level understanding
|
|
of how data is managed:</p>
|
|
<ul class="simple">
|
|
<li>Pricing data is split and packaged into <code class="docutils literal"><span class="pre">bundles</span></code>: chunks of data organized
|
|
as time series that are kept up to date daily on Enigma’s servers. Catalyst
|
|
downloads the bundles that needs at any given time, and reconstructs the whole
|
|
dataset in your hard drive.</li>
|
|
<li>Pricing data is provided in <code class="docutils literal"><span class="pre">daily</span></code> and <code class="docutils literal"><span class="pre">minute</span></code> resolution. Those are different
|
|
bundle datasets, and are managed separately.</li>
|
|
<li>Bundles are exchange-specific, as the pricing data is specific to the trades that
|
|
happen in each exchange. You can optionally specify which exchange you want pricing
|
|
data from.</li>
|
|
<li>Catalyst keeps track of all the downloaded bundles, so that it only has to download
|
|
them once, and will do incremental updates as needed.</li>
|
|
<li>When running in <code class="docutils literal"><span class="pre">live</span> <span class="pre">trading</span></code> mode, Catalyst will first look for historical
|
|
pricing data in the locally stored bundles. If there is anything missing, Catalyst will
|
|
hit the exchange for the most recent data, and merge it with the local bundle to make
|
|
it available for future iterations.</li>
|
|
</ul>
|
|
<p>If you want to learn more, check out the <a class="reference internal" href="bundles.html#ingesting-data"><span>ingesting data</span></a> section
|
|
for more detail.</p>
|
|
</div>
|
|
<div class="section" id="command-line-interface">
|
|
<h3>Command line interface<a class="headerlink" href="#command-line-interface" title="Permalink to this headline">¶</a></h3>
|
|
<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> on Windows, or the Terminal app
|
|
on OSX). Displaying here a simplified output for eductional purposes:</p>
|
|
<div class="highlight-bash"><div class="highlight"><pre><span class="nv">$ </span>catalyst --help
|
|
</pre></div>
|
|
</div>
|
|
<div class="highlight-python"><div class="highlight"><pre>Usage: catalyst [OPTIONS] COMMAND [ARGS]...
|
|
|
|
Top level catalyst entry point.
|
|
|
|
Options:
|
|
--version Show the version and exit.
|
|
--help Show this message and exit.
|
|
|
|
Commands:
|
|
ingest-exchange Ingest data for the given exchange.
|
|
live Trade live with the given algorithm.
|
|
run Run a backtest for the given algorithm.
|
|
</pre></div>
|
|
</div>
|
|
<p>There are three main modes you can run on Catalyst. The first being <code class="docutils literal"><span class="pre">ingest-exchange</span></code>
|
|
for data ingestion, which we have summarized in the previous section. The second
|
|
is <code class="docutils literal"><span class="pre">live</span></code> to use your algorithm to trade live against a given exchange, and the
|
|
third mode <code class="docutils literal"><span class="pre">run</span></code> is to backtest your algorithm before 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
|
|
</pre></div>
|
|
</div>
|
|
<div class="highlight-python"><div class="highlight"><pre>Usage: catalyst run [OPTIONS]
|
|
|
|
Run a backtest for the given algorithm.
|
|
|
|
Options:
|
|
-f, --algofile FILENAME The file that contains the algorithm to run.
|
|
-t, --algotext TEXT The algorithm script to run.
|
|
-D, --define TEXT Define a name to be bound in the namespace
|
|
before executing the algotext. For example
|
|
'-Dname=value'. The value may be any python
|
|
expression. These are evaluated in order so
|
|
they may refer to previously defined names.
|
|
--data-frequency [daily|minute]
|
|
The data frequency of the simulation.
|
|
[default: daily]
|
|
--capital-base FLOAT The starting capital for the simulation.
|
|
[default: 10000000.0]
|
|
-b, --bundle BUNDLE-NAME The data bundle to use for the simulation.
|
|
[default: poloniex]
|
|
--bundle-timestamp TIMESTAMP The date to lookup data on or before.
|
|
[default: <current-time>]
|
|
-s, --start DATE The start date of the simulation.
|
|
-e, --end DATE The end date of the simulation.
|
|
-o, --output FILENAME The location to write the perf data. If this
|
|
is '-' the perf will be written to stdout.
|
|
[default: -]
|
|
--print-algo / --no-print-algo Print the algorithm to stdout.
|
|
-x, --exchange-name [poloniex|bitfinex|bittrex]
|
|
The name of the targeted exchange
|
|
(supported: bitfinex, bittrex, poloniex).
|
|
-n, --algo-namespace TEXT A label assigned to the algorithm for data
|
|
storage purposes.
|
|
-c, --base-currency TEXT The base currency used to calculate
|
|
statistics (e.g. usd, btc, eth).
|
|
--help Show this message and exit.
|
|
</pre></div>
|
|
</div>
|
|
<p>As you can see there are a couple of flags that specify where to find your
|
|
algorithm (<code class="docutils literal"><span class="pre">-f</span></code>) as well as a parameter to specify which exchange to use.
|
|
There are also arguments for the date range to run the algorithm over
|
|
(<code class="docutils literal"><span class="pre">--start</span></code> and <code class="docutils literal"><span class="pre">--end</span></code>). Finally, you’ll want to save the performance
|
|
metrics of your algorithm so that you can analyze how it performed. This is
|
|
done via the <code class="docutils literal"><span class="pre">--output</span></code> flag and will cause it to write the performance
|
|
<code class="docutils literal"><span class="pre">DataFrame</span></code> in the pickle Python file format. Note that you can also define
|
|
a configuration file with these parameters that you can then conveniently pass
|
|
to the <code class="docutils literal"><span class="pre">-c</span></code> option so that you don’t have to supply the command line args
|
|
all the time (see the .conf files in the examples directory).</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-python"><div class="highlight"><pre><span class="n">catalyst</span> <span class="n">run</span> <span class="o">-</span><span class="n">f</span> <span class="n">buy_btc_simple</span><span class="o">.</span><span class="n">py</span> <span class="o">-</span><span class="n">x</span> <span class="n">bitfinex</span> <span class="o">--</span><span class="n">start</span> <span class="mi">2016</span><span class="o">-</span><span class="mi">1</span><span class="o">-</span><span class="mi">1</span> <span class="o">--</span><span class="n">end</span> <span class="mi">2017</span><span class="o">-</span><span class="mi">9</span><span class="o">-</span><span class="mi">30</span> <span class="o">-</span><span class="n">o</span> <span class="n">buy_btc_simple_out</span><span class="o">.</span><span class="n">pickle</span>
|
|
</pre></div>
|
|
</div>
|
|
<div class="highlight-python"><div class="highlight"><pre>INFO: run_algo: running algo in backtest mode
|
|
INFO: exchange_algorithm: initialized trading algorithm in backtest mode
|
|
INFO: Performance: Simulated 639 trading days out of 639.
|
|
INFO: Performance: first open: 2016-01-01 00:00:00+00:00
|
|
INFO: Performance: last close: 2017-09-30 23:59:00+00:00
|
|
</pre></div>
|
|
</div>
|
|
<p><code class="docutils literal"><span class="pre">run</span></code> first calls the <code class="docutils literal"><span class="pre">initialize()</span></code> function, and then
|
|
streams the historical asset price day-by-day through <code class="docutils literal"><span class="pre">handle_data()</span></code>.
|
|
After each call to <code class="docutils literal"><span class="pre">handle_data()</span></code> we instruct <code class="docutils literal"><span class="pre">catalyst</span></code> to order 1
|
|
bitcoin. After the call of the <code class="docutils literal"><span class="pre">order()</span></code> function, <code class="docutils literal"><span class="pre">catalyst</span></code>
|
|
enters the ordered stock and amount in the order book. After the
|
|
<code class="docutils literal"><span class="pre">handle_data()</span></code> function has finished, <code class="docutils literal"><span class="pre">catalyst</span></code> looks for any open
|
|
orders and tries to fill them. If the trading volume is high enough for
|
|
this asset, the order is executed after adding the commission and
|
|
applying the slippage model which models the influence of your order on
|
|
the stock price, so your algorithm will be charged more than just the
|
|
asset price. (Note, that you can also change the commission and
|
|
slippage model that <code class="docutils literal"><span class="pre">catalyst</span></code> uses).</p>
|
|
<p>Let’s take a quick look at the performance <code class="docutils literal"><span class="pre">DataFrame</span></code>. For this, we
|
|
use <code class="docutils literal"><span class="pre">pandas</span></code> from inside the IPython Notebook and print the first ten
|
|
rows. Note that <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 input 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">'buy_btc_simple_out.pickle'</span><span class="p">)</span> <span class="c"># read in perf DataFrame</span>
|
|
<span class="n">perf</span><span class="o">.</span><span class="n">head</span><span class="p">()</span>
|
|
</pre></div>
|
|
</div>
|
|
<div style="max-height:1000px;max-width:1500px;overflow:auto;">
|
|
<table border="1" class="dataframe">
|
|
<thead>
|
|
<tr style="text-align: right;">
|
|
<th></th>
|
|
<th>algo_volatility</th>
|
|
<th>algorithm_period_return</th>
|
|
<th>alpha</th>
|
|
<th>benchmark_period_return</th>
|
|
<th>benchmark_volatility</th>
|
|
<th>beta</th>
|
|
<th>btc</th>
|
|
<th>capital_used</th>
|
|
<th>ending_cash</th>
|
|
<th>ending_exposure</th>
|
|
<th>...</th>
|
|
<th>short_exposure</th>
|
|
<th>short_value</th>
|
|
<th>shorts_count</th>
|
|
<th>sortino</th>
|
|
<th>starting_cash</th>
|
|
<th>starting_exposure</th>
|
|
<th>starting_value</th>
|
|
<th>trading_days</th>
|
|
<th>transactions</th>
|
|
<th>treasury_period_return</th>
|
|
</tr>
|
|
</thead>
|
|
<tbody>
|
|
<tr>
|
|
<th>2016-01-01 23:59:00+00:00</th>
|
|
<td>NaN</td>
|
|
<td>0.000000e+00</td>
|
|
<td>NaN</td>
|
|
<td>-0.010937</td>
|
|
<td>NaN</td>
|
|
<td>NaN</td>
|
|
<td>433.979999</td>
|
|
<td>0.000000</td>
|
|
<td>1.000000e+07</td>
|
|
<td>0.00</td>
|
|
<td>...</td>
|
|
<td>0</td>
|
|
<td>0</td>
|
|
<td>0</td>
|
|
<td>NaN</td>
|
|
<td>1.000000e+07</td>
|
|
<td>0.00</td>
|
|
<td>0.00</td>
|
|
<td>1</td>
|
|
<td>[]</td>
|
|
<td>0.0227</td>
|
|
</tr>
|
|
<tr>
|
|
<th>2016-01-02 23:59:00+00:00</th>
|
|
<td>0.000011</td>
|
|
<td>-9.536708e-07</td>
|
|
<td>-0.000170</td>
|
|
<td>-0.006480</td>
|
|
<td>0.173338</td>
|
|
<td>-0.000062</td>
|
|
<td>432.700000</td>
|
|
<td>-442.236708</td>
|
|
<td>9.999558e+06</td>
|
|
<td>432.70</td>
|
|
<td>...</td>
|
|
<td>0</td>
|
|
<td>0</td>
|
|
<td>0</td>
|
|
<td>-11.224972</td>
|
|
<td>1.000000e+07</td>
|
|
<td>0.00</td>
|
|
<td>0.00</td>
|
|
<td>2</td>
|
|
<td>[{u'order_id': u'7869f7828fa140328eb40477bb7de...</td>
|
|
<td>0.0227</td>
|
|
</tr>
|
|
<tr>
|
|
<th>2016-01-03 23:59:00+00:00</th>
|
|
<td>0.000011</td>
|
|
<td>-2.328842e-06</td>
|
|
<td>-0.000176</td>
|
|
<td>-0.026512</td>
|
|
<td>0.197857</td>
|
|
<td>0.000009</td>
|
|
<td>428.390000</td>
|
|
<td>-437.831716</td>
|
|
<td>9.999120e+06</td>
|
|
<td>856.78</td>
|
|
<td>...</td>
|
|
<td>0</td>
|
|
<td>0</td>
|
|
<td>0</td>
|
|
<td>-12.754262</td>
|
|
<td>9.999558e+06</td>
|
|
<td>432.70</td>
|
|
<td>432.70</td>
|
|
<td>3</td>
|
|
<td>[{u'order_id': u'be62ff77760c4599abaac43be9cc9...</td>
|
|
<td>0.0227</td>
|
|
</tr>
|
|
<tr>
|
|
<th>2016-01-04 23:59:00+00:00</th>
|
|
<td>0.000011</td>
|
|
<td>-2.380954e-06</td>
|
|
<td>-0.000139</td>
|
|
<td>-0.008640</td>
|
|
<td>0.269790</td>
|
|
<td>0.000020</td>
|
|
<td>432.900000</td>
|
|
<td>-442.441116</td>
|
|
<td>9.998677e+06</td>
|
|
<td>1298.70</td>
|
|
<td>...</td>
|
|
<td>0</td>
|
|
<td>0</td>
|
|
<td>0</td>
|
|
<td>-11.287205</td>
|
|
<td>9.999120e+06</td>
|
|
<td>856.78</td>
|
|
<td>856.78</td>
|
|
<td>4</td>
|
|
<td>[{u'order_id': u'd6dca79513214346a646079213526...</td>
|
|
<td>0.0224</td>
|
|
</tr>
|
|
<tr>
|
|
<th>2016-01-05 23:59:00+00:00</th>
|
|
<td>0.000011</td>
|
|
<td>-3.650729e-06</td>
|
|
<td>-0.000158</td>
|
|
<td>-0.021426</td>
|
|
<td>0.245989</td>
|
|
<td>0.000024</td>
|
|
<td>431.840000</td>
|
|
<td>-441.357754</td>
|
|
<td>9.998236e+06</td>
|
|
<td>1727.36</td>
|
|
<td>...</td>
|
|
<td>0</td>
|
|
<td>0</td>
|
|
<td>0</td>
|
|
<td>-12.333847</td>
|
|
<td>9.998677e+06</td>
|
|
<td>1298.70</td>
|
|
<td>1298.70</td>
|
|
<td>5</td>
|
|
<td>[{u'order_id': u'505275d6646a41f3856b22b16678d...</td>
|
|
<td>0.0225</td>
|
|
</tr>
|
|
</tbody>
|
|
</table>
|
|
</div><div class="line-block">
|
|
<div class="line"><br /></div>
|
|
</div>
|
|
<p>There is a row for each trading day, starting on the first day of our
|
|
simulation Jan 1st, 2016. In the columns you can find various
|
|
information about the state of your algorithm. The column
|
|
<code class="docutils literal"><span class="pre">btc</span></code> was placed there by the <code class="docutils literal"><span class="pre">record()</span></code> function mentioned earlier
|
|
and allows us to plot the price of bitcoin. For example, we could easily
|
|
examine now how our portfolio value changed over time compared to the
|
|
bitcoin price.</p>
|
|
<div class="highlight-python"><div class="highlight"><pre><span class="o">%</span><span class="n">load_ext</span> <span class="n">catalyst</span>
|
|
</pre></div>
|
|
</div>
|
|
<div class="highlight-python"><div class="highlight"><pre><span class="o">%</span><span class="n">pylab</span> <span class="n">inline</span>
|
|
<span class="n">figsize</span><span class="p">(</span><span class="mi">12</span><span class="p">,</span> <span class="mi">12</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="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">'portfolio value'</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">'bitcoin price'</span><span class="p">)</span>
|
|
</pre></div>
|
|
</div>
|
|
<div class="highlight-python"><div class="highlight"><pre>Populating the interactive namespace from numpy and matplotlib
|
|
</pre></div>
|
|
</div>
|
|
<div class="highlight-python"><div class="highlight"><pre><matplotlib.text.Text at 0x10eaeadd0>
|
|
</pre></div>
|
|
</div>
|
|
<img alt="https://s3.amazonaws.com/enigmaco-docs/github.io/buy_btc_simple_graph.png" src="https://s3.amazonaws.com/enigmaco-docs/github.io/buy_btc_simple_graph.png" />
|
|
<p>Our algorithm performance as assessed by the <code class="docutils literal"><span class="pre">portfolio_value</span></code> closely
|
|
matches that of the bitcoin price. This is not surprising as our algorithm
|
|
only bought bitcoin every chance it got.</p>
|
|
</div>
|
|
</div>
|
|
<div class="section" id="access-to-previous-prices-using-history">
|
|
<h2>Access to previous prices using <code class="docutils literal"><span class="pre">history</span></code><a class="headerlink" href="#access-to-previous-prices-using-history" title="Permalink to this headline">¶</a></h2>
|
|
<div class="section" id="working-example-dual-moving-average-cross-over">
|
|
<h3>Working example: Dual Moving Average Cross-Over<a class="headerlink" href="#working-example-dual-moving-average-cross-over" title="Permalink to this headline">¶</a></h3>
|
|
<p>The Dual Moving Average (DMA) is a classic momentum strategy. It’s
|
|
probably not used by any serious trader anymore but is still very
|
|
instructive. The basic idea is that we compute two rolling or moving
|
|
averages (mavg) – one with a longer window that is supposed to capture
|
|
long-term trends and one shorter window that is supposed to capture
|
|
short-term trends. Once the short-mavg crosses the long-mavg from below
|
|
we assume that the stock price has upwards momentum and long the stock.
|
|
If the short-mavg crosses from above we exit the positions as we assume
|
|
the stock to go down further.</p>
|
|
<p>As we need to have access to previous prices to implement this strategy
|
|
we need a new concept: History</p>
|
|
<p><code class="docutils literal"><span class="pre">data.history()</span></code> is a convenience function that keeps a rolling window of
|
|
data for you. The first argument is the number of bars you want to
|
|
collect, the second argument is the unit (either <code class="docutils literal"><span class="pre">'1d'</span></code> for <code class="docutils literal"><span class="pre">'1m'</span></code>
|
|
but note that you need to have minute-level data for using <code class="docutils literal"><span class="pre">1m</span></code>). This is
|
|
a function we use in the <code class="docutils literal"><span class="pre">handle_data()</span></code> section:</p>
|
|
<div class="highlight-python"><div class="highlight"><pre><span class="o">%</span><span class="n">load_ext</span> <span class="n">catalyst</span>
|
|
</pre></div>
|
|
</div>
|
|
<div class="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">2016</span><span class="o">-</span><span class="mi">4</span><span class="o">-</span><span class="mi">1</span> <span class="o">--</span><span class="n">end</span> <span class="mi">2017</span><span class="o">-</span><span class="mi">9</span><span class="o">-</span><span class="mi">30</span> <span class="o">-</span><span class="n">x</span> <span class="n">bitfinex</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="p">,</span> <span class="n">order_target</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">'btc_usd'</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="c"># Skip first 150 days to get full windows</span>
|
|
<span class="n">context</span><span class="o">.</span><span class="n">i</span> <span class="o">+=</span> <span class="mi">1</span>
|
|
<span class="k">if</span> <span class="n">context</span><span class="o">.</span><span class="n">i</span> <span class="o"><</span> <span class="mi">150</span><span class="p">:</span>
|
|
<span class="k">return</span>
|
|
|
|
<span class="c"># Compute averages</span>
|
|
<span class="c"># data.history() has to be called with the same params</span>
|
|
<span class="c"># from above and returns a pandas dataframe.</span>
|
|
<span class="n">short_mavg</span> <span class="o">=</span> <span class="n">data</span><span class="o">.</span><span class="n">history</span><span class="p">(</span><span class="n">context</span><span class="o">.</span><span class="n">asset</span><span class="p">,</span> <span class="s">'price'</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">"1d"</span><span class="p">)</span><span class="o">.</span><span class="n">mean</span><span class="p">()</span>
|
|
<span class="n">long_mavg</span> <span class="o">=</span> <span class="n">data</span><span class="o">.</span><span class="n">history</span><span class="p">(</span><span class="n">context</span><span class="o">.</span><span class="n">asset</span><span class="p">,</span> <span class="s">'price'</span><span class="p">,</span> <span class="n">bar_count</span><span class="o">=</span><span class="mi">150</span><span class="p">,</span> <span class="n">frequency</span><span class="o">=</span><span class="s">"1d"</span><span class="p">)</span><span class="o">.</span><span class="n">mean</span><span class="p">()</span>
|
|
|
|
<span class="c"># Trading logic</span>
|
|
<span class="k">if</span> <span class="n">short_mavg</span> <span class="o">></span> <span class="n">long_mavg</span><span class="p">:</span>
|
|
<span class="c"># order_target orders as many shares as needed to</span>
|
|
<span class="c"># achieve the desired number of shares.</span>
|
|
<span class="n">order_target</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">100</span><span class="p">)</span>
|
|
<span class="k">elif</span> <span class="n">short_mavg</span> <span class="o"><</span> <span class="n">long_mavg</span><span class="p">:</span>
|
|
<span class="n">order_target</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="c"># Save values for later inspection</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">'price'</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="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="kn">import</span> <span class="nn">matplotlib.pyplot</span> <span class="kn">as</span> <span class="nn">plt</span>
|
|
<span class="n">fig</span> <span class="o">=</span> <span class="n">plt</span><span class="o">.</span><span class="n">figure</span><span class="p">(</span><span class="n">figsize</span><span class="o">=</span><span class="p">(</span><span class="mi">12</span><span class="p">,</span><span class="mi">12</span><span class="p">))</span>
|
|
<span class="n">ax1</span> <span class="o">=</span> <span class="n">fig</span><span class="o">.</span><span class="n">add_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">'portfolio value in $'</span><span class="p">)</span>
|
|
|
|
<span class="n">ax2</span> <span class="o">=</span> <span class="n">fig</span><span class="o">.</span><span class="n">add_subplot</span><span class="p">(</span><span class="mi">212</span><span class="p">)</span>
|
|
<span class="n">perf</span><span class="p">[</span><span class="s">'btc'</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">perf</span><span class="p">[[</span><span class="s">'short_mavg'</span><span class="p">,</span> <span class="s">'long_mavg'</span><span class="p">]]</span><span class="o">.</span><span class="n">plot</span><span class="p">(</span><span class="n">ax</span><span class="o">=</span><span class="n">ax2</span><span class="p">)</span>
|
|
|
|
<span class="n">perf_trans</span> <span class="o">=</span> <span class="n">perf</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">perf</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">perf_trans</span><span class="o">.</span><span class="n">ix</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">'amount'</span><span class="p">]</span> <span class="o">></span> <span class="mi">0</span> <span class="k">for</span> <span class="n">t</span> <span class="ow">in</span> <span class="n">perf_trans</span><span class="o">.</span><span class="n">transactions</span><span class="p">]]</span>
|
|
<span class="n">sells</span> <span class="o">=</span> <span class="n">perf_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">'amount'</span><span class="p">]</span> <span class="o"><</span> <span class="mi">0</span> <span class="k">for</span> <span class="n">t</span> <span class="ow">in</span> <span class="n">perf_trans</span><span class="o">.</span><span class="n">transactions</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">perf</span><span class="o">.</span><span class="n">short_mavg</span><span class="o">.</span><span class="n">ix</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">'^'</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">'m'</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">sells</span><span class="o">.</span><span class="n">index</span><span class="p">,</span> <span class="n">perf</span><span class="o">.</span><span class="n">short_mavg</span><span class="o">.</span><span class="n">ix</span><span class="p">[</span><span class="n">sells</span><span class="o">.</span><span class="n">index</span><span class="p">],</span>
|
|
<span class="s">'v'</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">'k'</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">'price in $'</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">0</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>
|
|
<p>Here we are explicitly defining an <code class="docutils literal"><span class="pre">analyze()</span></code> function that gets
|
|
automatically called once the backtest is done.</p>
|
|
<p>Although it might not be directly apparent, the power of <code class="docutils literal"><span class="pre">history()</span></code>
|
|
(pun intended) can not be under-estimated as most algorithms make use of
|
|
prior market developments in one form or another. You could easily
|
|
devise a strategy that trains a classifier with
|
|
<a class="reference external" href="http://scikit-learn.org/stable/">scikit-learn</a> which tries to
|
|
predict future market movements based on past prices (note, that most of
|
|
the <code class="docutils literal"><span class="pre">scikit-learn</span></code> functions require <code class="docutils literal"><span class="pre">numpy.ndarray</span></code>s rather than
|
|
<code class="docutils literal"><span class="pre">pandas.DataFrame</span></code>s, so you can simply pass the underlying
|
|
<code class="docutils literal"><span class="pre">ndarray</span></code> of a <code class="docutils literal"><span class="pre">DataFrame</span></code> via <code class="docutils literal"><span class="pre">.values</span></code>).</p>
|
|
<p>We also used the <code class="docutils literal"><span class="pre">order_target()</span></code> function above. This and other
|
|
functions like it can make order management and portfolio rebalancing
|
|
much easier.</p>
|
|
</div>
|
|
</div>
|
|
<div class="section" id="conclusions">
|
|
<h2>Conclusions<a class="headerlink" href="#conclusions" title="Permalink to this headline">¶</a></h2>
|
|
<p>We hope that this tutorial gave you a little insight into the
|
|
architecture, API, and features of <code class="docutils literal"><span class="pre">catalyst</span></code>. For next steps, check
|
|
out some of the
|
|
<a class="reference external" href="https://github.com/enigmampc/catalyst/tree/master/catalyst/examples">examples</a>.
|
|
The natural next step would be too look into the
|
|
<a class="reference external" href="https://github.com/enigmampc/catalyst/blob/master/catalyst/examples/buy_and_hodl.py">buy_and_hodl</a>
|
|
example, which is a more elaborated and realistic version of the <code class="docutils literal"><span class="pre">buy_btc_simple</span></code> example presented in this tutorial.</p>
|
|
<p>Feel free to ask questions on the <code class="docutils literal"><span class="pre">#catalyst_dev</span></code> channel of our
|
|
<a class="reference external" href="https://discord.gg/SJK32GY">Discord group</a> and report
|
|
problems on our <a class="reference external" href="https://github.com/enigmampc/catalyst/issues">GitHub issue tracker</a>.</p>
|
|
</div>
|
|
</div>
|
|
|
|
|
|
</div>
|
|
<footer>
|
|
|
|
<div class="rst-footer-buttons" role="navigation" aria-label="footer navigation">
|
|
|
|
<a href="live-trading.html" class="btn btn-neutral float-right" title="Live Trading" accesskey="n">Next <span class="fa fa-arrow-circle-right"></span></a>
|
|
|
|
|
|
<a href="install.html" class="btn btn-neutral" title="Install" accesskey="p"><span class="fa fa-arrow-circle-left"></span> Previous</a>
|
|
|
|
</div>
|
|
|
|
|
|
<hr/>
|
|
|
|
<div role="contentinfo">
|
|
<p>
|
|
© Copyright 2017, Enigma MPC, Inc..
|
|
</p>
|
|
</div>
|
|
Built with <a href="http://sphinx-doc.org/">Sphinx</a> using a <a href="https://github.com/snide/sphinx_rtd_theme">theme</a> provided by <a href="https://readthedocs.org">Read the Docs</a>.
|
|
|
|
</footer>
|
|
|
|
</div>
|
|
</div>
|
|
|
|
</section>
|
|
|
|
</div>
|
|
|
|
|
|
|
|
|
|
|
|
<script type="text/javascript">
|
|
var DOCUMENTATION_OPTIONS = {
|
|
URL_ROOT:'./',
|
|
VERSION:'0.3',
|
|
COLLAPSE_INDEX:false,
|
|
FILE_SUFFIX:'.html',
|
|
HAS_SOURCE: true
|
|
};
|
|
</script>
|
|
<script type="text/javascript" src="_static/jquery.js"></script>
|
|
<script type="text/javascript" src="_static/underscore.js"></script>
|
|
<script type="text/javascript" src="_static/doctools.js"></script>
|
|
|
|
|
|
|
|
|
|
|
|
<script type="text/javascript" src="_static/js/theme.js"></script>
|
|
|
|
|
|
|
|
|
|
<script type="text/javascript">
|
|
jQuery(function () {
|
|
SphinxRtdTheme.StickyNav.enable();
|
|
});
|
|
</script>
|
|
|
|
|
|
</body>
|
|
</html> |