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https://github.com/wassname/catalyst.git
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Thomas Wiecki
106 lines
3.2 KiB
Python
106 lines
3.2 KiB
Python
from zipline.gens.mavg import MovingAverage
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from datetime import datetime, timedelta
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class BuySellAlgorithm(object):
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"""Algorithm that buys and sells alternatingly. The amount for
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each order can be specified. In addition, an offset that will
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quadratically reduce the amount that will be bought can be
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specified.
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This algorithm is used to test the parameter optimization
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framework. If combined with the UpDown trade source, an offset of
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0 will produce maximum returns.
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"""
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def __init__(self, sid, amount, offset):
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self.sid = sid
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self.amount = amount
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self.incr = 0
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self.done = False
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self.order = None
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self.frame_count = 0
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self.portfolio = None
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self.buy_or_sell = -1
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self.offset = offset
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self.orders = []
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self.prices = []
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def initialize(self):
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pass
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def set_order(self, order_callable):
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self.order = order_callable
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def set_portfolio(self, portfolio):
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self.portfolio = portfolio
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def handle_data(self, frame):
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order_size = self.buy_or_sell * (self.amount - (self.offset**2))
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self.order(self.sid, order_size)
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#sell next time around.
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self.buy_or_sell *= -1
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self.orders.append(order_size)
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self.frame_count += 1
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self.incr += 1
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def get_sid_filter(self):
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return [self.sid]
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# Algorithm base class, user algorithms inherit from this as they
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# don't want to have to copy and know about set_order and
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# set_portfolio
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class Algorithm(object):
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def set_order(self, order_callable):
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self.order = order_callable
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def get_sid_filter(self):
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return [self.sid]
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def set_logger(self, logger):
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self.logger = logger
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def initialize(self):
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pass
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def add_transform(self, transform_class, tag, *args, **kwargs):
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if not hasattr(self, 'registered_transforms'):
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self.registered_transforms = {}
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self.registered_transforms[tag] = {'class': transform_class,
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'args': args,
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'kwargs': kwargs}
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# Inherits from Algorithm base class
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class DMA(Algorithm):
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"""Dual Moving Average algorithm.
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"""
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def __init__(self, sid, amount, short_window=20, long_window=40):
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self.sid = sid
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self.amount = amount
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self.done = False
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self.order = None
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self.frame_count = 0
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self.portfolio = None
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self.orders = []
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self.market_entered = False
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self.prices = []
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self.events = 0
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self.add_transform(MovingAverage, 'short_mavg', ['price'], market_aware=False, delta=timedelta(days=short_window))
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self.add_transform(MovingAverage, 'long_mavg', ['price'], market_aware=False, delta=timedelta(days=long_window))
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def handle_data(self, data):
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self.events += 1
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# access transforms via their user-defined tag
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if (data[self.sid].short_mavg > data[self.sid].long_mavg) and not self.market_entered:
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self.order(self.sid, 100)
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self.market_entered = True
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elif (data[self.sid].short_mavg < data[self.sid].long_mavg) and self.market_entered:
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self.order(self.sid, -100)
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self.market_entered = False
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