mirror of
https://github.com/wassname/catalyst.git
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Matti HanninenandEddie Hebert
8e27cc053c
Instead use /urs/bin/env to detect the Python interpreter. This way the scripts work better with the possible virtual environment.
91 lines
3.1 KiB
Python
Executable File
91 lines
3.1 KiB
Python
Executable File
#!/usr/bin/env python
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#
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# Copyright 2013 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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import matplotlib.pyplot as plt
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from zipline.algorithm import TradingAlgorithm
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from zipline.transforms import MovingAverage
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from zipline.utils.factory import load_from_yahoo
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from datetime import datetime
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import pytz
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class DualMovingAverage(TradingAlgorithm):
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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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def initialize(self, short_window=20, long_window=40):
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# Add 2 mavg transforms, one with a long window, one
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# with a short window.
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self.add_transform(MovingAverage, 'short_mavg', ['price'],
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window_length=short_window)
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self.add_transform(MovingAverage, 'long_mavg', ['price'],
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window_length=long_window)
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# To keep track of whether we invested in the stock or not
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self.invested = False
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def handle_data(self, data):
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self.short_mavg = data['AAPL'].short_mavg['price']
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self.long_mavg = data['AAPL'].long_mavg['price']
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self.buy = False
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self.sell = False
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if self.short_mavg > self.long_mavg and not self.invested:
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self.order('AAPL', 100)
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self.invested = True
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self.buy = True
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elif self.short_mavg < self.long_mavg and self.invested:
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self.order('AAPL', -100)
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self.invested = False
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self.sell = True
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self.record(short_mavg=self.short_mavg,
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long_mavg=self.long_mavg,
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buy=self.buy,
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sell=self.sell)
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if __name__ == '__main__':
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start = datetime(1990, 1, 1, 0, 0, 0, 0, pytz.utc)
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end = datetime(1991, 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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dma = DualMovingAverage()
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results = dma.run(data)
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fig = plt.figure()
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ax1 = fig.add_subplot(211, ylabel='portfolio value')
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results.portfolio_value.plot(ax=ax1)
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ax2 = fig.add_subplot(212)
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data['AAPL'].plot(ax=ax2, color='r')
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results[['short_mavg', 'long_mavg']].plot(ax=ax2)
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ax2.plot(results.ix[results.buy].index, results.short_mavg[results.buy],
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'^', markersize=10, color='m')
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ax2.plot(results.ix[results.sell].index, results.short_mavg[results.sell],
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'v', markersize=10, color='k')
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plt.legend(loc=0)
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plt.gcf().set_size_inches(18, 8)
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