wassname/catalyst
1
0
Fork 0
mirror of https://github.com/wassname/catalyst.git synced 2026-06-27 22:21:37 +08:00
Code Issues Packages Projects Releases Wiki Activity
Files
5db535918aa75ba2063a091fda91f3c5613278fa
catalyst/example-algos.html
T
Victor Grau Serrat 5db535918a DOC: video - live trading
2017-11-28 16:44:35 -07:00

1027 lines
103 KiB
HTML
Raw Blame History

<!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>Example Algorithms &mdash; 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="Utilities" href="utilities.html"/>
<link rel="prev" title="Naming Convention" href="naming-convention.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-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#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#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#gnu-linux-requirements">GNU/Linux Requirements</a><ul>
<li class="toctree-l3"><a class="reference internal" href="install.html#amazon-linux-ami-notes">Amazon Linux AMI Notes</a></li>
</ul>
</li>
<li class="toctree-l2"><a class="reference internal" href="install.html#macos-requirements">MacOS Requirements</a><ul>
<li class="toctree-l3"><a class="reference internal" href="install.html#macos-virtualenv-matplotlib">MacOS + virtualenv + matplotlib</a></li>
</ul>
</li>
<li class="toctree-l2"><a class="reference internal" href="install.html#windows-requirements">Windows Requirements</a></li>
<li class="toctree-l2"><a class="reference internal" href="install.html#getting-help">Getting Help</a></li>
</ul>
</li>
<li class="toctree-l1"><a class="reference internal" href="beginner-tutorial.html">Catalyst Beginner Tutorial</a><ul>
<li class="toctree-l2"><a class="reference internal" href="beginner-tutorial.html#basics">Basics</a></li>
<li class="toctree-l2"><a class="reference internal" href="beginner-tutorial.html#my-first-algorithm">My first algorithm</a></li>
<li class="toctree-l2"><a class="reference internal" href="beginner-tutorial.html#ingesting-data">Ingesting data</a></li>
<li class="toctree-l2"><a class="reference internal" href="beginner-tutorial.html#running-the-algorithm">Running the algorithm</a><ul>
<li class="toctree-l3"><a class="reference internal" href="beginner-tutorial.html#command-line-interface">Command line interface</a></li>
</ul>
</li>
<li class="toctree-l2"><a class="reference internal" href="beginner-tutorial.html#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="beginner-tutorial.html#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="beginner-tutorial.html#next-steps">Next steps</a></li>
</ul>
</li>
<li class="toctree-l1"><a class="reference internal" href="jupyter.html">Catalyst &amp; Jupyter Notebook</a><ul>
<li class="toctree-l2"><a class="reference internal" href="jupyter.html#install">Install</a></li>
<li class="toctree-l2"><a class="reference internal" href="jupyter.html#running-algorithms">Running Algorithms</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 current"><a class="current reference internal" href="">Example Algorithms</a><ul>
<li class="toctree-l2"><a class="reference internal" href="#overview">Overview</a></li>
<li class="toctree-l2"><a class="reference internal" href="#buy-btc-simple-algorithm">Buy BTC Simple Algorithm</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="#dual-moving-average-crossover">Dual Moving Average Crossover</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>
<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>
<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>
<li class="toctree-l2"><a class="reference internal" href="videos.html#backtesting-a-strategy">Backtesting a Strategy</a></li>
<li class="toctree-l2"><a class="reference internal" href="videos.html#live-trading-a-strategy">Live Trading a Strategy</a></li>
</ul>
</li>
<li class="toctree-l1"><a class="reference internal" href="resources.html">Resources</a><ul>
<li class="toctree-l2"><a class="reference internal" href="resources.html#related-3rd-party-apis">Related 3rd Party APIs</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#version-0-3-10">Version 0.3.10</a><ul>
<li class="toctree-l3"><a class="reference internal" href="releases.html#bug-fixes">Bug Fixes</a></li>
</ul>
</li>
<li class="toctree-l2"><a class="reference internal" href="releases.html#version-0-3-9">Version 0.3.9</a><ul>
<li class="toctree-l3"><a class="reference internal" href="releases.html#id1">Bug Fixes</a></li>
<li class="toctree-l3"><a class="reference internal" href="releases.html#build">Build</a></li>
</ul>
</li>
<li class="toctree-l2"><a class="reference internal" href="releases.html#version-0-3-8">Version 0.3.8</a><ul>
<li class="toctree-l3"><a class="reference internal" href="releases.html#id2">Bug Fixes</a></li>
</ul>
</li>
<li class="toctree-l2"><a class="reference internal" href="releases.html#version-0-3-7">Version 0.3.7</a><ul>
<li class="toctree-l3"><a class="reference internal" href="releases.html#id3">Bug Fixes</a></li>
<li class="toctree-l3"><a class="reference internal" href="releases.html#id4">Build</a></li>
</ul>
</li>
<li class="toctree-l2"><a class="reference internal" href="releases.html#version-0-3-6">Version 0.3.6</a><ul>
<li class="toctree-l3"><a class="reference internal" href="releases.html#id5">Bug Fixes</a></li>
</ul>
</li>
<li class="toctree-l2"><a class="reference internal" href="releases.html#version-0-3-5">Version 0.3.5</a><ul>
<li class="toctree-l3"><a class="reference internal" href="releases.html#id6">Bug Fixes</a></li>
</ul>
</li>
<li class="toctree-l2"><a class="reference internal" href="releases.html#version-0-3-4">Version 0.3.4</a><ul>
<li class="toctree-l3"><a class="reference internal" href="releases.html#id7">Bug Fixes</a></li>
<li class="toctree-l3"><a class="reference internal" href="releases.html#id8">Build</a></li>
<li class="toctree-l3"><a class="reference internal" href="releases.html#documentation">Documentation</a></li>
</ul>
</li>
<li class="toctree-l2"><a class="reference internal" href="releases.html#version-0-3-3">Version 0.3.3</a><ul>
<li class="toctree-l3"><a class="reference internal" href="releases.html#id10">Bug Fixes</a></li>
<li class="toctree-l3"><a class="reference internal" href="releases.html#id11">Build</a></li>
</ul>
</li>
<li class="toctree-l2"><a class="reference internal" href="releases.html#version-0-3-2">Version 0.3.2</a><ul>
<li class="toctree-l3"><a class="reference internal" href="releases.html#id12">Bug Fixes</a></li>
<li class="toctree-l3"><a class="reference internal" href="releases.html#id13">Build</a></li>
</ul>
</li>
<li class="toctree-l2"><a class="reference internal" href="releases.html#version-0-3-1">Version 0.3.1</a><ul>
<li class="toctree-l3"><a class="reference internal" href="releases.html#id14">Bug Fixes</a></li>
</ul>
</li>
<li class="toctree-l2"><a class="reference internal" href="releases.html#version-0-3">Version 0.3</a></li>
<li class="toctree-l2"><a class="reference internal" href="releases.html#version-0-2-dev5">Version 0.2.dev5</a></li>
<li class="toctree-l2"><a class="reference internal" href="releases.html#version-0-2-dev4">Version 0.2.dev4</a></li>
<li class="toctree-l2"><a class="reference internal" href="releases.html#version-0-2-dev3">Version 0.2.dev3</a></li>
<li class="toctree-l2"><a class="reference internal" href="releases.html#version-0-2-dev2">Version 0.2.dev2</a></li>
<li class="toctree-l2"><a class="reference internal" href="releases.html#version-0-2-dev1">Version 0.2.dev1</a></li>
<li class="toctree-l2"><a class="reference internal" href="releases.html#version-0-1-dev9">Version 0.1.dev9</a></li>
<li class="toctree-l2"><a class="reference internal" href="releases.html#version-0-1-dev8">Version 0.1.dev8</a></li>
<li class="toctree-l2"><a class="reference internal" href="releases.html#version-0-1-dev7">Version 0.1.dev7</a></li>
<li class="toctree-l2"><a class="reference internal" href="releases.html#version-0-1-dev6">Version 0.1.dev6</a></li>
</ul>
</li>
</ul>
</div>
&nbsp;
</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> &raquo;</li>
<li>Example Algorithms</li>
<li class="wy-breadcrumbs-aside">
<a href="_sources/example-algos.txt" rel="nofollow"> View page source</a>
</li>
</ul>
<hr/>
</div>
<div role="main" class="document">
<div class="line-block">
<div class="line"><br /></div>
</div>
<div class="section" id="example-algorithms">
<h1>Example Algorithms<a class="headerlink" href="#example-algorithms" title="Permalink to this headline"></a></h1>
<p>This section documents a 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="overview">
<h2>Overview<a class="headerlink" href="#overview" title="Permalink to this headline"></a></h2>
<ul class="simple">
<li><a class="reference internal" href="#buy-btc-simple"><span>Buy BTC Simple</span></a>: The simplest algorithm that introduces
the <code class="docutils literal"><span class="pre">initialize()</span></code> and <code class="docutils literal"><span class="pre">handle_data()</span></code> functions, and is used in the
<a class="reference internal" href="beginner-tutorial.html"><em>beginner tutorial</em></a> to show how to run catalyst
for the first time.</li>
<li><a class="reference internal" href="#buy-and-hodl"><span>Buy and Hodl</span></a>: A very straightforward <em>buy and hold</em> that
makes one single buy at the very beginning. Introduces the notions of
<code class="docutils literal"><span class="pre">cash</span></code>, management of outstanding <code class="docutils literal"><span class="pre">orders</span></code>, and <code class="docutils literal"><span class="pre">order_target_value</span></code>
to place orders. It also introduces the <code class="docutils literal"><span class="pre">analyze()</span></code> function to visualize
the performance of our strategy using the external library <code class="docutils literal"><span class="pre">matplotlib</span></code>.</li>
<li><a class="reference internal" href="#dual-moving-average"><span>Dual Moving Average Crossover</span></a>: A classic momentum
strategy used in the second part of the
<a class="reference external" href="beginner-tutorial.html#history">beginner tutorial</a> to introduce the
<code class="docutils literal"><span class="pre">data.history()</span></code> function. It makes a heavy use of <code class="docutils literal"><span class="pre">matplotlib</span></code> library
in the <code class="docutils literal"><span class="pre">analyze()</span></code> function to chart the performance of the algorithm.</li>
<li><a class="reference internal" href="#mean-reversion"><span>Mean Reversion Algorithm</span></a>: Another simple momentum
strategy that is used in our
<a class="reference external" href="videos.html#backtesting-a-strategy">two-part video tutorial</a> to show how
to get started in backtesting and live trading with Catalyst.</li>
</ul>
</div>
<div class="section" id="buy-btc-simple-algorithm">
<span id="buy-btc-simple"></span><h2>Buy BTC Simple Algorithm<a class="headerlink" href="#buy-btc-simple-algorithm" title="Permalink to this headline"></a></h2>
<p>Source code: <a class="reference external" href="https://github.com/enigmampc/catalyst/blob/master/catalyst/examples/buy_btc_simple.py">examples/buy_btc_simple.py</a></p>
<div class="highlight-python"><div class="highlight"><pre><span class="sd">&#39;&#39;&#39;</span>
<span class="sd"> Run this example, by executing the following from your terminal:</span>
<span class="sd"> catalyst ingest-exchange -x bitfinex -f daily -i btc_usdt</span>
<span class="sd"> catalyst run -f buy_btc_simple.py -x bitfinex --start 2016-1-1 --end 2017-9-30 -o buy_btc_simple_out.pickle</span>
<span class="sd"> If you want to run this code using another exchange, make sure that</span>
<span class="sd"> the asset is available on that exchange. For example, if you were to run</span>
<span class="sd"> it for exchange Poloniex, you would need to edit the following line:</span>
<span class="sd"> context.asset = symbol(&#39;btc_usdt&#39;) # note &#39;usdt&#39; instead of &#39;usd&#39;</span>
<span class="sd"> and specify exchange poloniex as follows:</span>
<span class="sd"> catalyst ingest-exchange -x poloniex -f daily -i btc_usdt</span>
<span class="sd"> catalyst run -f buy_btc_simple.py -x poloniex --start 2016-1-1 --end 2017-9-30 -o buy_btc_simple_out.pickle</span>
<span class="sd"> To see which assets are available on each exchange, visit:</span>
<span class="sd"> https://www.enigma.co/catalyst/status</span>
<span class="sd">&#39;&#39;&#39;</span>
<span class="kn">from</span> <span class="nn">catalyst.api</span> <span class="kn">import</span> <span class="n">order</span><span class="p">,</span> <span class="n">record</span><span class="p">,</span> <span class="n">symbol</span>
<span class="k">def</span> <span class="nf">initialize</span><span class="p">(</span><span class="n">context</span><span class="p">):</span>
<span class="n">context</span><span class="o">.</span><span class="n">asset</span> <span class="o">=</span> <span class="n">symbol</span><span class="p">(</span><span class="s">&#39;btc_usd&#39;</span><span class="p">)</span>
<span class="k">def</span> <span class="nf">handle_data</span><span class="p">(</span><span class="n">context</span><span class="p">,</span> <span class="n">data</span><span class="p">):</span>
<span class="n">order</span><span class="p">(</span><span class="n">context</span><span class="o">.</span><span class="n">asset</span><span class="p">,</span> <span class="mi">1</span><span class="p">)</span>
<span class="n">record</span><span class="p">(</span><span class="n">btc</span> <span class="o">=</span> <span class="n">data</span><span class="o">.</span><span class="n">current</span><span class="p">(</span><span class="n">context</span><span class="o">.</span><span class="n">asset</span><span class="p">,</span> <span class="s">&#39;price&#39;</span><span class="p">))</span>
</pre></div>
</div>
<p>This simple algorithm does not produce any output nor displays any chart.</p>
</div>
<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 code: <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 bitfinex -f daily -i btc_usd
</pre></div>
</div>
<p>Then, you can run the code below with the following command:</p>
<div class="highlight-bash"><div class="highlight"><pre>catalyst run -f buy_and_hodl.py --start 2015-3-1 --end 2017-10-31 --capital-base <span class="m">100000</span> -x bitfinex -c btc -o bah.pickle
</pre></div>
</div>
<p>or using the same parameters specified in the run_algorithm() function at the
end of the file:</p>
<div class="highlight-bash"><div class="highlight"><pre>python buy_and_hodl.py
</pre></div>
</div>
<p>This command will run the trading algorithm in the specified time range and
plot the resulting performance using the matplotlib library. You can choose any
date interval with the <code class="docutils literal"><span class="pre">--start</span></code> and <code class="docutils literal"><span class="pre">--end</span></code> parameters, but bear in mind
that 2015-3-1 is the earliest date that Catalyst supports (if you choose an
earlier date, you&#8217;ll get an error), and the most recent date you can choose is
one day prior to the current date.</p>
<div class="highlight-python"><div class="highlight"><pre><span class="c">#!/usr/bin/env python</span>
<span class="c">#</span>
<span class="c"># Copyright 2017 Enigma MPC, Inc.</span>
<span class="c"># Copyright 2015 Quantopian, Inc.</span>
<span class="c">#</span>
<span class="c"># Licensed under the Apache License, Version 2.0 (the &quot;License&quot;);</span>
<span class="c"># you may not use this file except in compliance with the License.</span>
<span class="c"># You may obtain a copy of the License at</span>
<span class="c">#</span>
<span class="c"># http://www.apache.org/licenses/LICENSE-2.0</span>
<span class="c">#</span>
<span class="c"># Unless required by applicable law or agreed to in writing, software</span>
<span class="c"># distributed under the License is distributed on an &quot;AS IS&quot; BASIS,</span>
<span class="c"># WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.</span>
<span class="c"># See the License for the specific language governing permissions and</span>
<span class="c"># limitations under the License.</span>
<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">matplotlib.pyplot</span> <span class="kn">as</span> <span class="nn">plt</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="p">(</span><span class="n">order_target_value</span><span class="p">,</span> <span class="n">symbol</span><span class="p">,</span> <span class="n">record</span><span class="p">,</span>
<span class="n">cancel_order</span><span class="p">,</span> <span class="n">get_open_orders</span><span class="p">,</span> <span class="p">)</span>
<span class="k">def</span> <span class="nf">initialize</span><span class="p">(</span><span class="n">context</span><span class="p">):</span>
<span class="n">context</span><span class="o">.</span><span class="n">ASSET_NAME</span> <span class="o">=</span> <span class="s">&#39;btc_usd&#39;</span>
<span class="n">context</span><span class="o">.</span><span class="n">TARGET_HODL_RATIO</span> <span class="o">=</span> <span class="mf">0.8</span>
<span class="n">context</span><span class="o">.</span><span class="n">RESERVE_RATIO</span> <span class="o">=</span> <span class="mf">1.0</span> <span class="o">-</span> <span class="n">context</span><span class="o">.</span><span class="n">TARGET_HODL_RATIO</span>
<span class="n">context</span><span class="o">.</span><span class="n">is_buying</span> <span class="o">=</span> <span class="bp">True</span>
<span class="n">context</span><span class="o">.</span><span class="n">asset</span> <span class="o">=</span> <span class="n">symbol</span><span class="p">(</span><span class="n">context</span><span class="o">.</span><span class="n">ASSET_NAME</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="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">context</span><span class="o">.</span><span class="n">i</span> <span class="o">+=</span> <span class="mi">1</span>
<span class="n">starting_cash</span> <span class="o">=</span> <span class="n">context</span><span class="o">.</span><span class="n">portfolio</span><span class="o">.</span><span class="n">starting_cash</span>
<span class="n">target_hodl_value</span> <span class="o">=</span> <span class="n">context</span><span class="o">.</span><span class="n">TARGET_HODL_RATIO</span> <span class="o">*</span> <span class="n">starting_cash</span>
<span class="n">reserve_value</span> <span class="o">=</span> <span class="n">context</span><span class="o">.</span><span class="n">RESERVE_RATIO</span> <span class="o">*</span> <span class="n">starting_cash</span>
<span class="c"># Cancel any outstanding orders</span>
<span class="n">orders</span> <span class="o">=</span> <span class="n">get_open_orders</span><span class="p">(</span><span class="n">context</span><span class="o">.</span><span class="n">asset</span><span class="p">)</span> <span class="ow">or</span> <span class="p">[]</span>
<span class="k">for</span> <span class="n">order</span> <span class="ow">in</span> <span class="n">orders</span><span class="p">:</span>
<span class="n">cancel_order</span><span class="p">(</span><span class="n">order</span><span class="p">)</span>
<span class="c"># Stop buying after passing the reserve threshold</span>
<span class="n">cash</span> <span class="o">=</span> <span class="n">context</span><span class="o">.</span><span class="n">portfolio</span><span class="o">.</span><span class="n">cash</span>
<span class="k">if</span> <span class="n">cash</span> <span class="o">&lt;=</span> <span class="n">reserve_value</span><span class="p">:</span>
<span class="n">context</span><span class="o">.</span><span class="n">is_buying</span> <span class="o">=</span> <span class="bp">False</span>
<span class="c"># Retrieve current asset price from pricing data</span>
<span class="n">price</span> <span class="o">=</span> <span class="n">data</span><span class="o">.</span><span class="n">current</span><span class="p">(</span><span class="n">context</span><span class="o">.</span><span class="n">asset</span><span class="p">,</span> <span class="s">&#39;price&#39;</span><span class="p">)</span>
<span class="c"># Check if still buying and could (approximately) afford another purchase</span>
<span class="k">if</span> <span class="n">context</span><span class="o">.</span><span class="n">is_buying</span> <span class="ow">and</span> <span class="n">cash</span> <span class="o">&gt;</span> <span class="n">price</span><span class="p">:</span>
<span class="k">print</span><span class="p">(</span><span class="s">&#39;buying&#39;</span><span class="p">)</span>
<span class="c"># Place order to make position in asset equal to target_hodl_value</span>
<span class="n">order_target_value</span><span class="p">(</span>
<span class="n">context</span><span class="o">.</span><span class="n">asset</span><span class="p">,</span>
<span class="n">target_hodl_value</span><span class="p">,</span>
<span class="n">limit_price</span><span class="o">=</span><span class="n">price</span> <span class="o">*</span> <span class="mf">1.1</span><span class="p">,</span>
<span class="n">stop_price</span><span class="o">=</span><span class="n">price</span> <span class="o">*</span> <span class="mf">0.9</span><span class="p">,</span>
<span class="p">)</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">data</span><span class="o">.</span><span class="n">current</span><span class="p">(</span><span class="n">context</span><span class="o">.</span><span class="n">asset</span><span class="p">,</span> <span class="s">&#39;volume&#39;</span><span class="p">),</span>
<span class="n">cash</span><span class="o">=</span><span class="n">cash</span><span class="p">,</span>
<span class="n">starting_cash</span><span class="o">=</span><span class="n">context</span><span class="o">.</span><span class="n">portfolio</span><span class="o">.</span><span class="n">starting_cash</span><span class="p">,</span>
<span class="n">leverage</span><span class="o">=</span><span class="n">context</span><span class="o">.</span><span class="n">account</span><span class="o">.</span><span class="n">leverage</span><span class="p">,</span>
<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="o">=</span><span class="bp">None</span><span class="p">,</span> <span class="n">results</span><span class="o">=</span><span class="bp">None</span><span class="p">):</span>
<span class="c"># Plot the portfolio and asset data.</span>
<span class="n">ax1</span> <span class="o">=</span> <span class="n">plt</span><span class="o">.</span><span class="n">subplot</span><span class="p">(</span><span class="mi">611</span><span class="p">)</span>
<span class="n">results</span><span class="p">[[</span><span class="s">&#39;portfolio_value&#39;</span><span class="p">]]</span><span class="o">.</span><span class="n">plot</span><span class="p">(</span><span class="n">ax</span><span class="o">=</span><span class="n">ax1</span><span class="p">)</span>
<span class="n">ax1</span><span class="o">.</span><span class="n">set_ylabel</span><span class="p">(</span><span class="s">&#39;Portfolio Value (USD)&#39;</span><span class="p">)</span>
<span class="n">ax2</span> <span class="o">=</span> <span class="n">plt</span><span class="o">.</span><span class="n">subplot</span><span class="p">(</span><span class="mi">612</span><span class="p">,</span> <span class="n">sharex</span><span class="o">=</span><span class="n">ax1</span><span class="p">)</span>
<span class="n">ax2</span><span class="o">.</span><span class="n">set_ylabel</span><span class="p">(</span><span class="s">&#39;{asset} (USD)&#39;</span><span class="o">.</span><span class="n">format</span><span class="p">(</span><span class="n">asset</span><span class="o">=</span><span class="n">context</span><span class="o">.</span><span class="n">ASSET_NAME</span><span class="p">))</span>
<span class="n">results</span><span class="p">[[</span><span class="s">&#39;price&#39;</span><span class="p">]]</span><span class="o">.</span><span class="n">plot</span><span class="p">(</span><span class="n">ax</span><span class="o">=</span><span class="n">ax2</span><span class="p">)</span>
<span class="n">trans</span> <span class="o">=</span> <span class="n">results</span><span class="o">.</span><span class="n">ix</span><span class="p">[[</span><span class="n">t</span> <span class="o">!=</span> <span class="p">[]</span> <span class="k">for</span> <span class="n">t</span> <span class="ow">in</span> <span class="n">results</span><span class="o">.</span><span class="n">transactions</span><span class="p">]]</span>
<span class="n">buys</span> <span class="o">=</span> <span class="n">trans</span><span class="o">.</span><span class="n">ix</span><span class="p">[</span>
<span class="p">[</span><span class="n">t</span><span class="p">[</span><span class="mi">0</span><span class="p">][</span><span class="s">&#39;amount&#39;</span><span class="p">]</span> <span class="o">&gt;</span> <span class="mi">0</span> <span class="k">for</span> <span class="n">t</span> <span class="ow">in</span> <span class="n">trans</span><span class="o">.</span><span class="n">transactions</span><span class="p">]</span>
<span class="p">]</span>
<span class="n">ax2</span><span class="o">.</span><span class="n">scatter</span><span class="p">(</span>
<span class="n">buys</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">results</span><span class="o">.</span><span class="n">price</span><span class="p">[</span><span class="n">buys</span><span class="o">.</span><span class="n">index</span><span class="p">],</span>
<span class="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;g&#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">ax3</span> <span class="o">=</span> <span class="n">plt</span><span class="o">.</span><span class="n">subplot</span><span class="p">(</span><span class="mi">613</span><span class="p">,</span> <span class="n">sharex</span><span class="o">=</span><span class="n">ax1</span><span class="p">)</span>
<span class="n">results</span><span class="p">[[</span><span class="s">&#39;leverage&#39;</span><span class="p">,</span> <span class="s">&#39;alpha&#39;</span><span class="p">,</span> <span class="s">&#39;beta&#39;</span><span class="p">]]</span><span class="o">.</span><span class="n">plot</span><span class="p">(</span><span class="n">ax</span><span class="o">=</span><span class="n">ax3</span><span class="p">)</span>
<span class="n">ax3</span><span class="o">.</span><span class="n">set_ylabel</span><span class="p">(</span><span class="s">&#39;Leverage &#39;</span><span class="p">)</span>
<span class="n">ax4</span> <span class="o">=</span> <span class="n">plt</span><span class="o">.</span><span class="n">subplot</span><span class="p">(</span><span class="mi">614</span><span class="p">,</span> <span class="n">sharex</span><span class="o">=</span><span class="n">ax1</span><span class="p">)</span>
<span class="n">results</span><span class="p">[[</span><span class="s">&#39;starting_cash&#39;</span><span class="p">,</span> <span class="s">&#39;cash&#39;</span><span class="p">]]</span><span class="o">.</span><span class="n">plot</span><span class="p">(</span><span class="n">ax</span><span class="o">=</span><span class="n">ax4</span><span class="p">)</span>
<span class="n">ax4</span><span class="o">.</span><span class="n">set_ylabel</span><span class="p">(</span><span class="s">&#39;Cash (USD)&#39;</span><span class="p">)</span>
<span class="n">results</span><span class="p">[[</span>
<span class="s">&#39;treasury&#39;</span><span class="p">,</span>
<span class="s">&#39;algorithm&#39;</span><span class="p">,</span>
<span class="s">&#39;benchmark&#39;</span><span class="p">,</span>
<span class="p">]]</span> <span class="o">=</span> <span class="n">results</span><span class="p">[[</span>
<span class="s">&#39;treasury_period_return&#39;</span><span class="p">,</span>
<span class="s">&#39;algorithm_period_return&#39;</span><span class="p">,</span>
<span class="s">&#39;benchmark_period_return&#39;</span><span class="p">,</span>
<span class="p">]]</span>
<span class="n">ax5</span> <span class="o">=</span> <span class="n">plt</span><span class="o">.</span><span class="n">subplot</span><span class="p">(</span><span class="mi">615</span><span class="p">,</span> <span class="n">sharex</span><span class="o">=</span><span class="n">ax1</span><span class="p">)</span>
<span class="n">results</span><span class="p">[[</span>
<span class="s">&#39;treasury&#39;</span><span class="p">,</span>
<span class="s">&#39;algorithm&#39;</span><span class="p">,</span>
<span class="s">&#39;benchmark&#39;</span><span class="p">,</span>
<span class="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">616</span><span class="p">,</span> <span class="n">sharex</span><span class="o">=</span><span class="n">ax1</span><span class="p">)</span>
<span class="n">results</span><span class="p">[[</span><span class="s">&#39;volume&#39;</span><span class="p">]]</span><span class="o">.</span><span class="n">plot</span><span class="p">(</span><span class="n">ax</span><span class="o">=</span><span class="n">ax6</span><span class="p">)</span>
<span class="n">ax6</span><span class="o">.</span><span class="n">set_ylabel</span><span class="p">(</span><span class="s">&#39;Volume (mCoins/5min)&#39;</span><span class="p">)</span>
<span class="n">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">if</span> <span class="n">__name__</span> <span class="o">==</span> <span class="s">&#39;__main__&#39;</span><span class="p">:</span>
<span class="n">run_algorithm</span><span class="p">(</span>
<span class="n">capital_base</span><span class="o">=</span><span class="mi">10000</span><span class="p">,</span>
<span class="n">data_frequency</span><span class="o">=</span><span class="s">&#39;daily&#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="s">&#39;buy_and_hodl&#39;</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;2015-03-01&#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;2017-10-31&#39;</span><span class="p">,</span> <span class="n">utc</span><span class="o">=</span><span class="bp">True</span><span class="p">),</span>
<span class="p">)</span>
</pre></div>
</div>
<img alt="https://s3.amazonaws.com/enigmaco-docs/github.io/example_buy_and_hodl.png" src="https://s3.amazonaws.com/enigmaco-docs/github.io/example_buy_and_hodl.png" />
</div>
<div class="section" id="dual-moving-average-crossover">
<span id="dual-moving-average"></span><h2>Dual Moving Average Crossover<a class="headerlink" href="#dual-moving-average-crossover" title="Permalink to this headline"></a></h2>
<p>Source Code: <a class="reference external" href="https://github.com/enigmampc/catalyst/blob/master/catalyst/examples/dual_moving_average.py">examples/dual_moving_average.py</a></p>
<p>This strategy is covered in detail in the last part of
<a class="reference external" href="beginner-tutorial.html#history">this tutorial</a>.</p>
<div class="highlight-python"><div class="highlight"><pre><span class="kn">import</span> <span class="nn">numpy</span> <span class="kn">as</span> <span class="nn">np</span>
<span class="kn">import</span> <span class="nn">pandas</span> <span class="kn">as</span> <span class="nn">pd</span>
<span class="kn">from</span> <span class="nn">logbook</span> <span class="kn">import</span> <span class="n">Logger</span>
<span class="kn">import</span> <span class="nn">matplotlib.pyplot</span> <span class="kn">as</span> <span class="nn">plt</span>
<span class="kn">from</span> <span class="nn">catalyst</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="p">(</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_percent</span><span class="p">,</span>
<span class="n">get_open_orders</span><span class="p">)</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="n">NAMESPACE</span> <span class="o">=</span> <span class="s">&#39;dual_moving_average&#39;</span>
<span class="n">log</span> <span class="o">=</span> <span class="n">Logger</span><span class="p">(</span><span class="n">NAMESPACE</span><span class="p">)</span>
<span class="k">def</span> <span class="nf">initialize</span><span class="p">(</span><span class="n">context</span><span class="p">):</span>
<span class="n">context</span><span class="o">.</span><span class="n">i</span> <span class="o">=</span> <span class="mi">0</span>
<span class="n">context</span><span class="o">.</span><span class="n">asset</span> <span class="o">=</span> <span class="n">symbol</span><span class="p">(</span><span class="s">&#39;ltc_usd&#39;</span><span class="p">)</span>
<span class="n">context</span><span class="o">.</span><span class="n">base_price</span> <span class="o">=</span> <span class="bp">None</span>
<span class="k">def</span> <span class="nf">handle_data</span><span class="p">(</span><span class="n">context</span><span class="p">,</span> <span class="n">data</span><span class="p">):</span>
<span class="c"># define the windows for the moving averages</span>
<span class="n">short_window</span> <span class="o">=</span> <span class="mi">50</span>
<span class="n">long_window</span> <span class="o">=</span> <span class="mi">200</span>
<span class="c"># Skip as many bars as long_window to properly compute the average</span>
<span class="n">context</span><span class="o">.</span><span class="n">i</span> <span class="o">+=</span> <span class="mi">1</span>
<span class="k">if</span> <span class="n">context</span><span class="o">.</span><span class="n">i</span> <span class="o">&lt;</span> <span class="n">long_window</span><span class="p">:</span>
<span class="k">return</span>
<span class="c"># Compute moving averages calling data.history() for each</span>
<span class="c"># moving average with the appropriate parameters. We choose to use</span>
<span class="c"># minute bars for this simulation -&gt; freq=&quot;1m&quot;</span>
<span class="c"># Returns a pandas dataframe.</span>
<span class="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">&#39;price&#39;</span><span class="p">,</span>
<span class="n">bar_count</span><span class="o">=</span><span class="n">short_window</span><span class="p">,</span> <span class="n">frequency</span><span class="o">=</span><span class="s">&quot;1m&quot;</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">&#39;price&#39;</span><span class="p">,</span>
<span class="n">bar_count</span><span class="o">=</span><span class="n">long_window</span><span class="p">,</span> <span class="n">frequency</span><span class="o">=</span><span class="s">&quot;1m&quot;</span><span class="p">)</span><span class="o">.</span><span class="n">mean</span><span class="p">()</span>
<span class="c"># Let&#39;s keep the price of our asset in a more handy variable</span>
<span class="n">price</span> <span class="o">=</span> <span class="n">data</span><span class="o">.</span><span class="n">current</span><span class="p">(</span><span class="n">context</span><span class="o">.</span><span class="n">asset</span><span class="p">,</span> <span class="s">&#39;price&#39;</span><span class="p">)</span>
<span class="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="c"># Save values for later inspection</span>
<span class="n">record</span><span class="p">(</span><span class="n">price</span><span class="o">=</span><span class="n">price</span><span class="p">,</span>
<span class="n">cash</span><span class="o">=</span><span class="n">context</span><span class="o">.</span><span class="n">portfolio</span><span class="o">.</span><span class="n">cash</span><span class="p">,</span>
<span class="n">price_change</span><span class="o">=</span><span class="n">price_change</span><span class="p">,</span>
<span class="n">short_mavg</span><span class="o">=</span><span class="n">short_mavg</span><span class="p">,</span>
<span class="n">long_mavg</span><span class="o">=</span><span class="n">long_mavg</span><span class="p">)</span>
<span class="c"># Since we are using limit orders, some orders may not execute immediately</span>
<span class="c"># we wait until all orders are executed before considering more trades.</span>
<span class="n">orders</span> <span class="o">=</span> <span class="n">get_open_orders</span><span class="p">(</span><span class="n">context</span><span class="o">.</span><span class="n">asset</span><span class="p">)</span>
<span class="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">asset</span><span class="p">):</span>
<span class="k">return</span>
<span class="c"># We check what&#39;s our position on our portfolio and trade accordingly</span>
<span class="n">pos_amount</span> <span class="o">=</span> <span class="n">context</span><span class="o">.</span><span class="n">portfolio</span><span class="o">.</span><span class="n">positions</span><span class="p">[</span><span class="n">context</span><span class="o">.</span><span class="n">asset</span><span class="p">]</span><span class="o">.</span><span class="n">amount</span>
<span class="c"># Trading logic</span>
<span class="k">if</span> <span class="n">short_mavg</span> <span class="o">&gt;</span> <span class="n">long_mavg</span> <span class="ow">and</span> <span class="n">pos_amount</span> <span class="o">==</span> <span class="mi">0</span><span class="p">:</span>
<span class="c"># we buy 100% of our portfolio for this asset</span>
<span class="n">order_target_percent</span><span class="p">(</span><span class="n">context</span><span class="o">.</span><span class="n">asset</span><span class="p">,</span> <span class="mi">1</span><span class="p">)</span>
<span class="k">elif</span> <span class="n">short_mavg</span> <span class="o">&lt;</span> <span class="n">long_mavg</span> <span class="ow">and</span> <span class="n">pos_amount</span> <span class="o">&gt;</span> <span class="mi">0</span><span class="p">:</span>
<span class="c"># we sell all our positions for this asset</span>
<span class="n">order_target_percent</span><span class="p">(</span><span class="n">context</span><span class="o">.</span><span class="n">asset</span><span class="p">,</span> <span class="mi">0</span><span class="p">)</span>
<span class="k">def</span> <span class="nf">analyze</span><span class="p">(</span><span class="n">context</span><span class="p">,</span> <span class="n">perf</span><span class="p">):</span>
<span class="c"># Get the base_currency that was passed as a parameter to the simulation</span>
<span class="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"># First chart: Plot portfolio value using base_currency</span>
<span class="n">ax1</span> <span class="o">=</span> <span class="n">plt</span><span class="o">.</span><span class="n">subplot</span><span class="p">(</span><span class="mi">411</span><span class="p">)</span>
<span class="n">perf</span><span class="o">.</span><span class="n">loc</span><span class="p">[:,</span> <span class="p">[</span><span class="s">&#39;portfolio_value&#39;</span><span class="p">]]</span><span class="o">.</span><span class="n">plot</span><span class="p">(</span><span class="n">ax</span><span class="o">=</span><span class="n">ax1</span><span class="p">)</span>
<span class="n">ax1</span><span class="o">.</span><span class="n">legend_</span><span class="o">.</span><span class="n">remove</span><span class="p">()</span>
<span class="n">ax1</span><span class="o">.</span><span class="n">set_ylabel</span><span class="p">(</span><span class="s">&#39;Portfolio Value</span><span class="se">\n</span><span class="s">({})&#39;</span><span class="o">.</span><span class="n">format</span><span class="p">(</span><span class="n">base_currency</span><span class="p">))</span>
<span class="n">start</span><span class="p">,</span> <span class="n">end</span> <span class="o">=</span> <span class="n">ax1</span><span class="o">.</span><span class="n">get_ylim</span><span class="p">()</span>
<span class="n">ax1</span><span class="o">.</span><span class="n">yaxis</span><span class="o">.</span><span class="n">set_ticks</span><span class="p">(</span><span class="n">np</span><span class="o">.</span><span class="n">arange</span><span class="p">(</span><span class="n">start</span><span class="p">,</span> <span class="n">end</span><span class="p">,</span> <span class="p">(</span><span class="n">end</span><span class="o">-</span><span class="n">start</span><span class="p">)</span><span class="o">/</span><span class="mi">5</span><span class="p">))</span>
<span class="c"># Second chart: Plot asset price, moving averages and buys/sells</span>
<span class="n">ax2</span> <span class="o">=</span> <span class="n">plt</span><span class="o">.</span><span class="n">subplot</span><span class="p">(</span><span class="mi">412</span><span class="p">,</span> <span class="n">sharex</span><span class="o">=</span><span class="n">ax1</span><span class="p">)</span>
<span class="n">perf</span><span class="o">.</span><span class="n">loc</span><span class="p">[:,</span> <span class="p">[</span><span class="s">&#39;price&#39;</span><span class="p">,</span><span class="s">&#39;short_mavg&#39;</span><span class="p">,</span><span class="s">&#39;long_mavg&#39;</span><span class="p">]]</span><span class="o">.</span><span class="n">plot</span><span class="p">(</span><span class="n">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">legend_</span><span class="o">.</span><span class="n">remove</span><span class="p">()</span>
<span class="n">ax2</span><span class="o">.</span><span class="n">set_ylabel</span><span class="p">(</span><span class="s">&#39;{asset}</span><span class="se">\n</span><span class="s">({base})&#39;</span><span class="o">.</span><span class="n">format</span><span class="p">(</span>
<span class="n">asset</span> <span class="o">=</span> <span class="n">context</span><span class="o">.</span><span class="n">asset</span><span class="o">.</span><span class="n">symbol</span><span class="p">,</span>
<span class="n">base</span> <span class="o">=</span> <span class="n">base_currency</span>
<span class="p">))</span>
<span class="n">start</span><span class="p">,</span> <span class="n">end</span> <span class="o">=</span> <span class="n">ax2</span><span class="o">.</span><span class="n">get_ylim</span><span class="p">()</span>
<span class="n">ax2</span><span class="o">.</span><span class="n">yaxis</span><span class="o">.</span><span class="n">set_ticks</span><span class="p">(</span><span class="n">np</span><span class="o">.</span><span class="n">arange</span><span class="p">(</span><span class="n">start</span><span class="p">,</span> <span class="n">end</span><span class="p">,</span> <span class="p">(</span><span class="n">end</span><span class="o">-</span><span class="n">start</span><span class="p">)</span><span class="o">/</span><span class="mi">5</span><span class="p">))</span>
<span class="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="c"># Third chart: Compare percentage change between our portfolio</span>
<span class="c"># and the price of the asset</span>
<span class="n">ax3</span> <span class="o">=</span> <span class="n">plt</span><span class="o">.</span><span class="n">subplot</span><span class="p">(</span><span class="mi">413</span><span class="p">,</span> <span class="n">sharex</span><span class="o">=</span><span class="n">ax1</span><span class="p">)</span>
<span class="n">perf</span><span class="o">.</span><span class="n">loc</span><span class="p">[:,</span> <span class="p">[</span><span class="s">&#39;algorithm_period_return&#39;</span><span class="p">,</span> <span class="s">&#39;price_change&#39;</span><span class="p">]]</span><span class="o">.</span><span class="n">plot</span><span class="p">(</span><span class="n">ax</span><span class="o">=</span><span class="n">ax3</span><span class="p">)</span>
<span class="n">ax3</span><span class="o">.</span><span class="n">legend_</span><span class="o">.</span><span class="n">remove</span><span class="p">()</span>
<span class="n">ax3</span><span class="o">.</span><span class="n">set_ylabel</span><span class="p">(</span><span class="s">&#39;Percent Change&#39;</span><span class="p">)</span>
<span class="n">start</span><span class="p">,</span> <span class="n">end</span> <span class="o">=</span> <span class="n">ax3</span><span class="o">.</span><span class="n">get_ylim</span><span class="p">()</span>
<span class="n">ax3</span><span class="o">.</span><span class="n">yaxis</span><span class="o">.</span><span class="n">set_ticks</span><span class="p">(</span><span class="n">np</span><span class="o">.</span><span class="n">arange</span><span class="p">(</span><span class="n">start</span><span class="p">,</span> <span class="n">end</span><span class="p">,</span> <span class="p">(</span><span class="n">end</span><span class="o">-</span><span class="n">start</span><span class="p">)</span><span class="o">/</span><span class="mi">5</span><span class="p">))</span>
<span class="c"># Fourth chart: Plot our cash</span>
<span class="n">ax4</span> <span class="o">=</span> <span class="n">plt</span><span class="o">.</span><span class="n">subplot</span><span class="p">(</span><span class="mi">414</span><span class="p">,</span> <span class="n">sharex</span><span class="o">=</span><span class="n">ax1</span><span class="p">)</span>
<span class="n">perf</span><span class="o">.</span><span class="n">cash</span><span class="o">.</span><span class="n">plot</span><span class="p">(</span><span class="n">ax</span><span class="o">=</span><span class="n">ax4</span><span class="p">)</span>
<span class="n">ax4</span><span class="o">.</span><span class="n">set_ylabel</span><span class="p">(</span><span class="s">&#39;Cash</span><span class="se">\n</span><span class="s">({})&#39;</span><span class="o">.</span><span class="n">format</span><span class="p">(</span><span class="n">base_currency</span><span class="p">))</span>
<span class="n">start</span><span class="p">,</span> <span class="n">end</span> <span class="o">=</span> <span class="n">ax4</span><span class="o">.</span><span class="n">get_ylim</span><span class="p">()</span>
<span class="n">ax4</span><span class="o">.</span><span class="n">yaxis</span><span class="o">.</span><span class="n">set_ticks</span><span class="p">(</span><span class="n">np</span><span class="o">.</span><span class="n">arange</span><span class="p">(</span><span class="mi">0</span><span class="p">,</span> <span class="n">end</span><span class="p">,</span> <span class="n">end</span><span class="o">/</span><span class="mi">5</span><span class="p">))</span>
<span class="n">plt</span><span class="o">.</span><span class="n">show</span><span class="p">()</span>
<span class="k">if</span> <span class="n">__name__</span> <span class="o">==</span> <span class="s">&#39;__main__&#39;</span><span class="p">:</span>
<span class="n">run_algorithm</span><span class="p">(</span>
<span class="n">capital_base</span><span class="o">=</span><span class="mi">1000</span><span class="p">,</span>
<span class="n">data_frequency</span><span class="o">=</span><span class="s">&#39;minute&#39;</span><span class="p">,</span>
<span class="n">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;2017-9-22&#39;</span><span class="p">,</span> <span class="n">utc</span><span class="o">=</span><span class="bp">True</span><span class="p">),</span>
<span class="n">end</span><span class="o">=</span><span class="n">pd</span><span class="o">.</span><span class="n">to_datetime</span><span class="p">(</span><span class="s">&#39;2017-9-23&#39;</span><span class="p">,</span> <span class="n">utc</span><span class="o">=</span><span class="bp">True</span><span class="p">),</span>
<span class="p">)</span>
</pre></div>
</div>
<img alt="https://s3.amazonaws.com/enigmaco-docs/github.io/tutorial_dual_moving_average.png" src="https://s3.amazonaws.com/enigmaco-docs/github.io/tutorial_dual_moving_average.png" />
</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 code: <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 backtest this trading algorithm with the <code class="docutils literal"><span class="pre">neo_usd</span></code> currency
pairon 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">os</span>
<span class="kn">import</span> <span class="nn">tempfile</span>
<span class="kn">import</span> <span class="nn">time</span>
<span class="kn">import</span> <span class="nn">numpy</span> <span class="kn">as</span> <span class="nn">np</span>
<span class="kn">import</span> <span class="nn">pandas</span> <span class="kn">as</span> <span class="nn">pd</span>
<span class="kn">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="kn">from</span> <span class="nn">catalyst.utils.paths</span> <span class="kn">import</span> <span class="n">ensure_directory</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 Neo in USD.</span>
<span class="n">context</span><span class="o">.</span><span class="n">neo_eth</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="n">context</span><span class="o">.</span><span class="n">RSI_OVERSOLD</span> <span class="o">=</span> <span class="mi">30</span>
<span class="n">context</span><span class="o">.</span><span class="n">RSI_OVERBOUGHT</span> <span class="o">=</span> <span class="mi">80</span>
<span class="n">context</span><span class="o">.</span><span class="n">CANDLE_SIZE</span> <span class="o">=</span> <span class="s">&#39;15T&#39;</span>
<span class="n">context</span><span class="o">.</span><span class="n">start_time</span> <span class="o">=</span> <span class="n">time</span><span class="o">.</span><span class="n">time</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"># 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_eth 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_eth</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="n">context</span><span class="o">.</span><span class="n">CANDLE_SIZE</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_eth</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_eth</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_eth</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_eth</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="n">context</span><span class="o">.</span><span class="n">RSI_OVERSOLD</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="c"># Set a style for limit orders,</span>
<span class="n">limit_price</span> <span class="o">=</span> <span class="n">price</span> <span class="o">*</span> <span class="mf">1.005</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_eth</span><span class="p">,</span> <span class="mi">1</span><span class="p">,</span> <span class="n">limit_price</span><span class="o">=</span><span class="n">limit_price</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="n">context</span><span class="o">.</span><span class="n">RSI_OVERBOUGHT</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">limit_price</span> <span class="o">=</span> <span class="n">price</span> <span class="o">*</span> <span class="mf">0.995</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_eth</span><span class="p">,</span> <span class="mi">0</span><span class="p">,</span> <span class="n">limit_price</span><span class="o">=</span><span class="n">limit_price</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="n">end</span> <span class="o">=</span> <span class="n">time</span><span class="o">.</span><span class="n">time</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;elapsed time: {}&#39;</span><span class="o">.</span><span class="n">format</span><span class="p">(</span><span class="n">end</span> <span class="o">-</span> <span class="n">context</span><span class="o">.</span><span class="n">start_time</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</span><span class="se">\n</span><span class="s">Value</span><span class="se">\n</span><span class="s">({})&#39;</span><span class="o">.</span><span class="n">format</span><span class="p">(</span><span class="n">base_currency</span><span class="p">))</span>
<span class="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}</span><span class="se">\n</span><span class="s">({base})&#39;</span><span class="o">.</span><span class="n">format</span><span class="p">(</span>
<span class="n">asset</span><span class="o">=</span><span class="n">context</span><span class="o">.</span><span class="n">neo_eth</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="o">.</span><span class="n">floor</span><span class="p">(</span><span class="s">&#39;1 min&#39;</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="o">.</span><span class="n">floor</span><span class="p">(</span><span class="s">&#39;1 min&#39;</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</span><span class="se">\n</span><span class="s">({})&#39;</span><span class="o">.</span><span class="n">format</span><span class="p">(</span><span class="n">base_currency</span><span class="p">))</span>
<span class="n">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</span><span class="se">\n</span><span class="s">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">set_ylabel</span><span class="p">(</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="n">context</span><span class="o">.</span><span class="n">RSI_OVERBOUGHT</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="n">context</span><span class="o">.</span><span class="n">RSI_OVERSOLD</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="o">.</span><span class="n">floor</span><span class="p">(</span><span class="s">&#39;1 min&#39;</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="o">.</span><span class="n">floor</span><span class="p">(</span><span class="s">&#39;1 min&#39;</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="n">start</span><span class="p">,</span> <span class="n">end</span> <span class="o">=</span> <span class="n">ax6</span><span class="o">.</span><span class="n">get_ylim</span><span class="p">()</span>
<span class="n">ax6</span><span class="o">.</span><span class="n">yaxis</span><span class="o">.</span><span class="n">set_ticks</span><span class="p">(</span><span class="n">np</span><span class="o">.</span><span class="n">arange</span><span class="p">(</span><span class="mi">0</span><span class="p">,</span> <span class="n">end</span><span class="p">,</span> <span class="n">end</span><span class="o">/</span><span class="mi">5</span><span class="p">))</span>
<span class="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="n">folder</span> <span class="o">=</span> <span class="n">os</span><span class="o">.</span><span class="n">path</span><span class="o">.</span><span class="n">join</span><span class="p">(</span>
<span class="n">tempfile</span><span class="o">.</span><span class="n">gettempdir</span><span class="p">(),</span> <span class="s">&#39;catalyst&#39;</span><span class="p">,</span> <span class="n">NAMESPACE</span>
<span class="p">)</span>
<span class="n">ensure_directory</span><span class="p">(</span><span class="n">folder</span><span class="p">)</span>
<span class="n">timestr</span> <span class="o">=</span> <span class="n">time</span><span class="o">.</span><span class="n">strftime</span><span class="p">(</span><span class="s">&#39;%Y%m</span><span class="si">%d</span><span class="s">-%H%M%S&#39;</span><span class="p">)</span>
<span class="n">out</span> <span class="o">=</span> <span class="n">os</span><span class="o">.</span><span class="n">path</span><span class="o">.</span><span class="n">join</span><span class="p">(</span><span class="n">folder</span><span class="p">,</span> <span class="s">&#39;{}.p&#39;</span><span class="o">.</span><span class="n">format</span><span class="p">(</span><span class="n">timestr</span><span class="p">))</span>
<span class="c"># catalyst run -f catalyst/examples/mean_reversion_simple.py -x bitfinex -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;2017-10-01&#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="n">output</span><span class="o">=</span><span class="n">out</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;saved perf stats: {}&#39;</span><span class="o">.</span><span class="n">format</span><span class="p">(</span><span class="n">out</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">capital_base</span><span class="o">=</span><span class="mf">0.5</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;bittrex&#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">False</span>
<span class="p">)</span>
</pre></div>
</div>
<img alt="https://s3.amazonaws.com/enigmaco-docs/github.io/example_mean_reversion_simple.png" src="https://s3.amazonaws.com/enigmaco-docs/github.io/example_mean_reversion_simple.png" />
<p>Notice the difference in performance between the charts above and those seen on
<a class="reference external" href="https://youtu.be/JOBRwst9jUY">this video tutorial</a> at
minute 8:10. The buy and sell orders are triggered at the same exact times, but
the differences result from a more realistic slippage model
implemented after the video was recorded, which executes the orders at slighlty
different prices, but resulting in significant changes in performance of our
strategy.</p>
</div>
</div>
</div>
<footer>
<div class="rst-footer-buttons" role="navigation" aria-label="footer navigation">
<a href="utilities.html" class="btn btn-neutral float-right" title="Utilities" accesskey="n">Next <span class="fa fa-arrow-circle-right"></span></a>
<a href="naming-convention.html" class="btn btn-neutral" title="Naming Convention" accesskey="p"><span class="fa fa-arrow-circle-left"></span> Previous</a>
</div>
<hr/>
<div role="contentinfo">
<p>
&copy; 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>
Reference in New Issue View Git Blame Copy Permalink