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https://github.com/wassname/catalyst.git
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twiecki
f9fded97ac
Add a CLI that reads in an algorithm, loads data, run the algorithm, and output performance metrics. The examples are adapted to the new zipline API and analyses are split into separate files. Also add config files that run the example algorithms with preset settings.
46 lines
1.3 KiB
Python
46 lines
1.3 KiB
Python
#
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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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from datetime import datetime
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import pytz
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from zipline import TradingAlgorithm
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from zipline.utils.factory import load_from_yahoo
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from zipline.api import order
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def initialize(context):
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context.test = 10
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def handle_date(context, data):
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order('AAPL', 10)
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print(context.test)
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if __name__ == '__main__':
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import pylab as pl
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start = datetime(2008, 1, 1, 0, 0, 0, 0, pytz.utc)
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end = datetime(2010, 1, 1, 0, 0, 0, 0, pytz.utc)
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data = load_from_yahoo(stocks=['AAPL'], indexes={}, start=start,
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end=end)
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data = data.dropna()
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algo = TradingAlgorithm(initialize=initialize,
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handle_data=handle_date)
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results = algo.run(data)
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results.portfolio_value.plot()
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pl.show()
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