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https://github.com/wassname/catalyst.git
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Thomas Wiecki
61 lines
1.9 KiB
Python
Executable File
61 lines
1.9 KiB
Python
Executable File
#!/usr/bin/env python
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#
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# Copyright 2014 Quantopian, Inc.
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#
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# Licensed under the Apache License, Version 2.0 (the "License");
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# you may not use this file except in compliance with the License.
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# You may obtain a copy of the License at
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#
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# http://www.apache.org/licenses/LICENSE-2.0
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#
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# Unless required by applicable law or agreed to in writing, software
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# distributed under the License is distributed on an "AS IS" BASIS,
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# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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# See the License for the specific language governing permissions and
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# limitations under the License.
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"""Dual Moving Average Crossover algorithm.
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This algorithm buys apple once its short moving average crosses
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its long moving average (indicating upwards momentum) and sells
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its shares once the averages cross again (indicating downwards
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momentum).
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"""
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from zipline.api import order_target, record, symbol, history, add_history
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def initialize(context):
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# Register 2 histories that track daily prices,
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# one with a 100 window and one with a 300 day window
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add_history(100, '1d', 'price')
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add_history(300, '1d', 'price')
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context.i = 0
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def handle_data(context, data):
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# Skip first 300 days to get full windows
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context.i += 1
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if context.i < 300:
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return
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# Compute averages
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# history() has to be called with the same params
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# from above and returns a pandas dataframe.
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short_mavg = history(100, '1d', 'price').mean()
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long_mavg = history(300, '1d', 'price').mean()
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# Trading logic
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if short_mavg[0] > long_mavg[0]:
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# order_target orders as many shares as needed to
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# achieve the desired number of shares.
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order_target(symbol('AAPL'), 100)
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elif short_mavg[0] < long_mavg[0]:
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order_target(symbol('AAPL'), 0)
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# Save values for later inspection
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record(AAPL=data[symbol('AAPL')].price,
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short_mavg=short_mavg[0],
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long_mavg=long_mavg[0])
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