catalyst/zipline/examples/buyapple.ipynb

In [1]:

%matplotlib inline
import zipline

In [2]:

%%zipline --start=2011-1-1 --end=2013-1-1 -o perf

from zipline.api import order, record, symbol
import matplotlib.pyplot as plt

def initialize(context):
    pass

def handle_data(context, data):
    order(symbol('AAPL'), 10)
    record(AAPL=data[symbol('AAPL')].price)
    
def analyze(context, perf):
    ax1 = plt.subplot(211)
    perf.portfolio_value.plot(ax=ax1)
    ax2 = plt.subplot(212, sharex=ax1)
    perf.AAPL.plot(ax=ax2)
    plt.gcf().set_size_inches(18, 8)
    plt.show()

In [3]:

perf

Out [3]:

	AAPL	algo_volatility	algorithm_period_return	alpha	benchmark_period_return	benchmark_volatility	beta	capital_used	ending_cash	ending_exposure	...	short_exposure	short_value	shorts_count	sortino	starting_cash	starting_exposure	starting_value	trading_days	transactions	treasury_period_return
2011-01-03 21:00:00	44.025853	0.000000e+00	0.000000e+00	-0.033600	0.011315	0.000000	0.000000	0.00000	10000000.00000	0.00000	...	0	0	0	0.000000	10000000.00000	0.00000	0.00000	1	[]	0.0336
2011-01-04 21:00:00	44.255622	3.367492e-07	-3.000000e-08	-0.033607	0.009987	0.141748	0.000002	-442.85622	9999557.14378	442.55622	...	0	0	0	0.000000	10000000.00000	0.00000	0.00000	2	[{u'commission': 0.3, u'amount': 10, u'sid': 0...	0.0336
2011-01-05 21:00:00	44.617639	3.189365e-06	3.020170e-07	-0.034978	0.015044	0.100231	0.000002	-446.47639	9999110.66739	892.35278	...	0	0	0	0.000000	9999557.14378	442.55622	442.55622	3	[{u'commission': 0.3, u'amount': 10, u'sid': 0...	0.0350
2011-01-06 21:00:00	44.581568	3.061500e-06	1.998750e-07	-0.034396	0.012889	0.099481	0.000011	-446.11568	9998664.55171	1337.44704	...	0	0	0	-23565.182910	9999110.66739	892.35278	892.35278	4	[{u'commission': 0.3, u'amount': 10, u'sid': 0...	0.0344
2011-01-07 21:00:00	44.900840	6.772637e-06	1.127691e-06	-0.033335	0.011021	0.093360	-0.000017	-449.30840	9998215.24331	1796.03360	...	0	0	0	-22849.578256	9998664.55171	1337.44704	1337.44704	5	[{u'commission': 0.3, u'amount': 10, u'sid': 0...	0.0334
2011-01-10 21:00:00	45.746438	2.115034e-05	4.480083e-06	-0.032983	0.009629	0.086675	-0.000078	-457.76438	9997757.47893	2287.32190	...	0	0	0	-22622.524165	9998215.24331	1796.03360	1796.03360	6	[{u'commission': 0.3, u'amount': 10, u'sid': 0...	0.0332
2011-01-11 21:00:00	45.638232	2.086359e-05	3.909053e-06	-0.033518	0.013390	0.080133	-0.000092	-456.68232	9997300.79661	2738.29392	...	0	0	0	-3483.780133	9997757.47893	2287.32190	2287.32190	7	[{u'commission': 0.3, u'amount': 10, u'sid': 0...	0.0337
2011-01-12 21:00:00	46.009602	2.139637e-05	6.107273e-06	-0.033794	0.022518	0.084200	-0.000019	-460.39602	9996840.40059	3220.67214	...	0	0	0	-3509.560955	9997300.79661	2738.29392	2738.29392	8	[{u'commission': 0.3, u'amount': 10, u'sid': 0...	0.0340
2011-01-13 21:00:00	46.177921	2.011778e-05	7.255506e-06	-0.033183	0.020769	0.082298	-0.000025	-462.07921	9996378.32138	3694.23368	...	0	0	0	-3446.156543	9996840.40059	3220.67214	3220.67214	9	[{u'commission': 0.3, u'amount': 10, u'sid': 0...	0.0334
2011-01-14 21:00:00	46.551958	2.183817e-05	1.021780e-05	-0.033255	0.028307	0.081684	0.000019	-465.81958	9995912.50180	4189.67622	...	0	0	0	-3450.897073	9996378.32138	3694.23368	3694.23368	10	[{u'commission': 0.3, u'amount': 10, u'sid': 0...	0.0335
2011-01-18 21:00:00	45.505985	5.420647e-05	7.740450e-07	-0.033931	0.029722	0.077794	0.000075	-455.35985	9995457.14195	4550.59850	...	0	0	0	-467.522948	9995912.50180	4189.67622	4189.67622	11	[{u'commission': 0.3, u'amount': 10, u'sid': 0...	0.0339
2011-01-19 21:00:00	45.264195	5.295654e-05	-1.673855e-06	-0.033781	0.019306	0.094544	0.000122	-452.94195	9995004.20000	4979.06145	...	0	0	0	-536.976025	9995457.14195	4550.59850	4550.59850	12	[{u'commission': 0.3, u'amount': 10, u'sid': 0...	0.0337
2011-01-20 21:00:00	44.441305	6.419337e-05	-1.075564e-05	-0.034965	0.017986	0.091418	0.000180	-444.71305	9994559.48695	5332.95660	...	0	0	0	-521.144535	9995004.20000	4979.06145	4979.06145	13	[{u'commission': 0.3, u'amount': 10, u'sid': 0...	0.0347
2011-01-21 21:00:00	43.645134	7.200051e-05	-2.033970e-05	-0.034819	0.020443	0.087940	0.000159	-436.75134	9994122.73561	5673.86742	...	0	0	0	-518.817098	9994559.48695	5332.95660	5332.95660	14	[{u'commission': 0.3, u'amount': 10, u'sid': 0...	0.0344
2011-01-24 21:00:00	45.078508	1.075741e-04	-1.735835e-06	-0.034472	0.026399	0.086618	0.000348	-451.08508	9993671.65053	6310.99112	...	0	0	0	-512.296426	9994122.73561	5673.86742	5673.86742	15	[{u'commission': 0.3, u'amount': 10, u'sid': 0...	0.0343
2011-01-25 21:00:00	45.606171	1.080754e-04	5.621447e-06	-0.033536	0.026669	0.083889	0.000322	-456.36171	9993215.28882	6840.92565	...	0	0	0	-498.601529	9993671.65053	6310.99112	6310.99112	16	[{u'commission': 0.3, u'amount': 10, u'sid': 0...	0.0335
2011-01-26 21:00:00	45.933458	1.060857e-04	1.050075e-05	-0.034490	0.031003	0.081822	0.000343	-459.63458	9992755.65424	7349.35328	...	0	0	0	-512.522955	9993215.28882	6840.92565	6840.92565	17	[{u'commission': 0.3, u'amount': 10, u'sid': 0...	0.0345
2011-01-27 21:00:00	45.847962	1.031942e-04	9.102816e-06	-0.034220	0.033316	0.079396	0.000341	-458.77962	9992296.87462	7794.15354	...	0	0	0	-537.649558	9992755.65424	7349.35328	7349.35328	18	[{u'commission': 0.3, u'amount': 10, u'sid': 0...	0.0342
2011-01-28 21:00:00	44.898168	1.172538e-04	-7.073682e-06	-0.033788	0.014869	0.105327	0.000575	-449.28168	9991847.59294	8081.67024	...	0	0	0	-389.884990	9992296.87462	7794.15354	7794.15354	19	[{u'commission': 0.3, u'amount': 10, u'sid': 0...	0.0336
2011-01-31 21:00:00	45.328314	1.176796e-04	6.389460e-07	-0.034345	0.022646	0.105374	0.000608	-453.58314	9991394.00980	8612.37966	...	0	0	0	-395.649056	9991847.59294	8081.67024	8081.67024	20	[{u'commission': 0.3, u'amount': 10, u'sid': 0...	0.0342
2011-02-01 21:00:00	46.091090	1.251200e-04	1.510169e-05	-0.034918	0.039717	0.115978	0.000677	-461.21090	9990932.79890	9218.21800	...	0	0	0	-400.588086	9991394.00980	8612.37966	8612.37966	21	[{u'commission': 0.3, u'amount': 10, u'sid': 0...	0.0348
2011-02-02 21:00:00	45.996243	1.224326e-04	1.317475e-05	-0.035310	0.036887	0.114251	0.000675	-460.26243	9990472.53647	9659.21103	...	0	0	0	-424.267183	9990932.79890	9218.21800	9218.21800	22	[{u'commission': 0.3, u'amount': 10, u'sid': 0...	0.0352
2011-02-03 21:00:00	45.878689	1.200563e-04	1.067612e-05	-0.035949	0.039328	0.111647	0.000673	-459.08689	9990013.44958	10093.31158	...	0	0	0	-451.896844	9990472.53647	9659.21103	9659.21103	23	[{u'commission': 0.3, u'amount': 10, u'sid': 0...	0.0358
2011-02-04 21:00:00	46.287460	1.206036e-04	1.963908e-05	-0.036871	0.042325	0.109260	0.000681	-463.17460	9989550.27498	10646.11580	...	0	0	0	-463.430922	9990013.44958	10093.31158	10093.31158	24	[{u'commission': 0.3, u'amount': 10, u'sid': 0...	0.0368
2011-02-07 21:00:00	47.006150	1.281322e-04	3.613895e-05	-0.036768	0.048830	0.107905	0.000730	-470.36150	9989079.91348	11281.47600	...	0	0	0	-461.429089	9989550.27498	10646.11580	10646.11580	25	[{u'commission': 0.3, u'amount': 10, u'sid': 0...	0.0368
2011-02-08 21:00:00	47.449657	1.287472e-04	4.675312e-05	-0.037403	0.053219	0.105957	0.000744	-474.79657	9988605.11691	11862.41425	...	0	0	0	-469.168623	9989079.91348	11281.47600	11281.47600	26	[{u'commission': 0.3, u'amount': 10, u'sid': 0...	0.0375
2011-02-09 21:00:00	47.845070	1.286240e-04	5.660844e-05	-0.036273	0.050285	0.104931	0.000697	-478.75070	9988126.36621	12439.71820	...	0	0	0	-455.552081	9988605.11691	11862.41425	11862.41425	27	[{u'commission': 0.3, u'amount': 10, u'sid': 0...	0.0365
2011-02-10 21:00:00	47.361489	1.337009e-04	4.400534e-05	-0.036904	0.051072	0.103021	0.000710	-473.91489	9987652.45132	12787.60203	...	0	0	0	-422.237078	9988126.36621	12439.71820	12439.71820	28	[{u'commission': 0.3, u'amount': 10, u'sid': 0...	0.0370
2011-02-11 21:00:00	47.670074	1.327820e-04	5.230713e-05	-0.036276	0.056860	0.101753	0.000723	-477.00074	9987175.45058	13347.62072	...	0	0	0	-414.641288	9987652.45132	12787.60203	12787.60203	29	[{u'commission': 0.3, u'amount': 10, u'sid': 0...	0.0364
2011-02-14 21:00:00	47.981327	1.319879e-04	6.099221e-05	-0.036023	0.059381	0.099992	0.000725	-480.11327	9986695.33731	13914.58483	...	0	0	0	-411.667449	9987175.45058	13347.62072	13347.62072	30	[{u'commission': 0.3, u'amount': 10, u'sid': 0...	0.0362
...	...	...	...	...	...	...	...	...	...	...	...	...	...	...	...	...	...	...	...	...	...
2012-11-16 21:00:00	71.116514	5.618301e-03	4.192297e-03	-0.013889	0.081295	0.191082	0.011729	-711.46514	9706253.02397	335669.94608	...	0	0	0	-2.935129	9706964.48911	333651.12951	333651.12951	473	[{u'commission': 0.3, u'amount': 10, u'sid': 0...	0.0158
2012-11-19 21:00:00	76.244591	5.879154e-03	6.612719e-03	-0.013060	0.102772	0.191416	0.012348	-762.74591	9705490.27806	360636.91543	...	0	0	0	-2.722651	9706253.02397	335669.94608	335669.94608	474	[{u'commission': 0.3, u'amount': 10, u'sid': 0...	0.0161
2012-11-20 21:00:00	75.594985	5.877550e-03	6.305426e-03	-0.013728	0.103503	0.191214	0.012346	-756.24985	9704734.02821	358320.22890	...	0	0	0	-2.873132	9705490.27806	360636.91543	360636.91543	475	[{u'commission': 0.3, u'amount': 10, u'sid': 0...	0.0166
2012-11-21 21:00:00	75.701459	5.871421e-03	6.355864e-03	-0.014020	0.106064	0.191018	0.012346	-757.31459	9703976.71362	359581.93025	...	0	0	0	-2.933896	9704734.02821	358320.22890	358320.22890	476	[{u'commission': 0.3, u'amount': 10, u'sid': 0...	0.0169
2012-11-23 18:00:00	77.022227	5.881984e-03	6.983199e-03	-0.013891	0.120472	0.191042	0.012430	-770.52227	9703206.19135	366625.80052	...	0	0	0	-2.885262	9703976.71362	359581.93025	359581.93025	477	[{u'commission': 0.3, u'amount': 10, u'sid': 0...	0.0170
2012-11-26 21:00:00	79.452167	5.933219e-03	8.139821e-03	-0.012875	0.118198	0.190850	0.012390	-794.82167	9702411.36968	378986.83659	...	0	0	0	-2.668056	9703206.19135	366625.80052	366625.80052	478	[{u'commission': 0.3, u'amount': 10, u'sid': 0...	0.0166
2012-11-27 21:00:00	78.811997	5.931551e-03	7.834430e-03	-0.012808	0.112353	0.190692	0.012410	-788.41997	9701622.94971	376721.34566	...	0	0	0	-2.666485	9702411.36968	378986.83659	378986.83659	479	[{u'commission': 0.3, u'amount': 10, u'sid': 0...	0.0164
2012-11-28 21:00:00	78.564018	5.926152e-03	7.715866e-03	-0.012835	0.121092	0.190572	0.012385	-785.94018	9700837.00953	376321.64622	...	0	0	0	-2.665345	9701622.94971	376721.34566	376721.34566	480	[{u'commission': 0.3, u'amount': 10, u'sid': 0...	0.0163
2012-11-29 21:00:00	79.429250	5.926881e-03	8.130282e-03	-0.012558	0.125879	0.190395	0.012405	-794.59250	9700042.41703	381260.40000	...	0	0	0	-2.598175	9700837.00953	376321.64622	376321.64622	481	[{u'commission': 0.3, u'amount': 10, u'sid': 0...	0.0162
2012-11-30 21:00:00	78.879381	5.924147e-03	7.866315e-03	-0.012704	0.126062	0.190197	0.012406	-789.09381	9699253.32322	379409.82261	...	0	0	0	-2.635477	9700042.41703	381260.40000	381260.40000	482	[{u'commission': 0.3, u'amount': 10, u'sid': 0...	0.0162
2012-12-03 21:00:00	79.002029	5.918076e-03	7.925278e-03	-0.012744	0.120718	0.190034	0.012398	-790.32029	9698463.00293	380789.77978	...	0	0	0	-2.652430	9699253.32322	379409.82261	379409.82261	483	[{u'commission': 0.3, u'amount': 10, u'sid': 0...	0.0163
2012-12-04 21:00:00	77.608479	5.932444e-03	7.253557e-03	-0.012990	0.118802	0.189843	0.012417	-776.38479	9697686.61814	374848.95357	...	0	0	0	-2.699883	9698463.00293	380789.77978	380789.77978	484	[{u'commission': 0.3, u'amount': 10, u'sid': 0...	0.0162
2012-12-05 21:00:00	72.613831	6.175693e-03	4.841112e-03	-0.014062	0.120575	0.189649	0.012372	-726.43831	9696960.17983	351450.94204	...	0	0	0	-2.638616	9697686.61814	374848.95357	374848.95357	485	[{u'commission': 0.3, u'amount': 10, u'sid': 0...	0.0160
2012-12-06 21:00:00	73.752651	6.181496e-03	5.392271e-03	-0.013706	0.124280	0.189466	0.012394	-737.82651	9696222.35332	357700.35735	...	0	0	0	-2.564139	9696960.17983	351450.94204	351450.94204	486	[{u'commission': 0.3, u'amount': 10, u'sid': 0...	0.0159
2012-12-07 21:00:00	71.867195	6.210549e-03	4.477795e-03	-0.014696	0.127564	0.189280	0.012358	-718.97195	9695503.38137	349274.56770	...	0	0	0	-2.735365	9696222.35332	357700.35735	357700.35735	487	[{u'commission': 0.3, u'amount': 10, u'sid': 0...	0.0164
2012-12-10 21:00:00	71.404922	6.206427e-03	4.253100e-03	-0.014719	0.127946	0.189086	0.012358	-714.34922	9694789.03215	347741.97014	...	0	0	0	-2.745126	9695503.38137	349274.56770	349274.56770	488	[{u'commission': 0.3, u'amount': 10, u'sid': 0...	0.0163
2012-12-11 21:00:00	72.964240	6.223235e-03	5.012458e-03	-0.014677	0.135333	0.188945	0.012418	-729.94240	9694059.08975	356065.49120	...	0	0	0	-2.728224	9694789.03215	347741.97014	347741.97014	489	[{u'commission': 0.3, u'amount': 10, u'sid': 0...	0.0166
2012-12-12 21:00:00	72.642132	6.218018e-03	4.855239e-03	-0.015357	0.135842	0.188752	0.012418	-726.72132	9693332.36843	355220.02548	...	0	0	0	-2.867480	9694059.08975	356065.49120	356065.49120	490	[{u'commission': 0.3, u'amount': 10, u'sid': 0...	0.0172
2012-12-13 21:00:00	71.387403	6.227560e-03	4.241647e-03	-0.015829	0.128662	0.188619	0.012470	-714.17403	9692618.19440	349798.27470	...	0	0	0	-2.966252	9693332.36843	355220.02548	355220.02548	491	[{u'commission': 0.3, u'amount': 10, u'sid': 0...	0.0174
2012-12-14 21:00:00	68.705439	6.292247e-03	2.927455e-03	-0.016282	0.123994	0.188454	0.012551	-687.35439	9691930.84001	337343.70549	...	0	0	0	-2.997439	9692618.19440	349798.27470	349798.27470	492	[{u'commission': 0.3, u'amount': 10, u'sid': 0...	0.0172
2012-12-17 21:00:00	69.923777	6.300007e-03	3.525629e-03	-0.016659	0.137337	0.188444	0.012625	-699.53777	9691231.30224	344024.98284	...	0	0	0	-3.054194	9691930.84001	337343.70549	337343.70549	493	[{u'commission': 0.3, u'amount': 10, u'sid': 0...	0.0178
2012-12-18 21:00:00	71.954797	6.333091e-03	4.524860e-03	-0.016836	0.150401	0.188421	0.012761	-719.84797	9690511.45427	354737.14921	...	0	0	0	-3.072124	9691231.30224	344024.98284	344024.98284	494	[{u'commission': 0.3, u'amount': 10, u'sid': 0...	0.0184
2012-12-19 21:00:00	70.931874	6.337186e-03	4.020529e-03	-0.016844	0.141670	0.188315	0.012808	-709.61874	9689801.83553	350403.45756	...	0	0	0	-3.085890	9690511.45427	354737.14921	354737.14921	495	[{u'commission': 0.3, u'amount': 10, u'sid': 0...	0.0182
2012-12-20 21:00:00	70.314622	6.334684e-03	3.715577e-03	-0.016941	0.147936	0.188161	0.012780	-703.44622	9689098.38931	348057.37890	...	0	0	0	-3.103211	9689801.83553	350403.45756	350403.45756	496	[{u'commission': 0.3, u'amount': 10, u'sid': 0...	0.0181
2012-12-21 21:00:00	69.991169	6.329414e-03	3.555438e-03	-0.016560	0.137170	0.188099	0.012786	-700.21169	9688398.17762	347156.19824	...	0	0	0	-3.048816	9689098.38931	348057.37890	348057.37890	497	[{u'commission': 0.3, u'amount': 10, u'sid': 0...	0.0177
2012-12-24 18:00:00	70.104372	6.323138e-03	3.611556e-03	-0.016713	0.134395	0.187920	0.012782	-701.34372	9687696.83390	348418.72884	...	0	0	0	-3.082421	9688398.17762	347156.19824	347156.19824	498	[{u'commission': 0.3, u'amount': 10, u'sid': 0...	0.0179
2012-12-26 21:00:00	69.138058	6.326216e-03	3.131268e-03	-0.016726	0.128964	0.187766	0.012813	-691.68058	9687005.15332	344307.52884	...	0	0	0	-3.094058	9687696.83390	348418.72884	348418.72884	499	[{u'commission': 0.3, u'amount': 10, u'sid': 0...	0.0177
2012-12-27 21:00:00	69.415691	6.320563e-03	3.269499e-03	-0.016353	0.127588	0.187581	0.012810	-694.45691	9686310.69641	346384.29809	...	0	0	0	-3.023706	9687005.15332	344307.52884	344307.52884	500	[{u'commission': 0.3, u'amount': 10, u'sid': 0...	0.0174
2012-12-28 21:00:00	68.678484	6.319787e-03	2.901603e-03	-0.016362	0.115128	0.187566	0.012847	-687.08484	9685623.61157	343392.42000	...	0	0	0	-3.045813	9686310.69641	346384.29809	346384.29809	501	[{u'commission': 0.3, u'amount': 10, u'sid': 0...	0.0173
2012-12-31 21:00:00	71.721638	6.403634e-03	4.423150e-03	-0.016230	0.134021	0.187750	0.013154	-717.51638	9684906.09519	359325.40638	...	0	0	0	-2.995648	9685623.61157	343392.42000	343392.42000	502	[{u'commission': 0.3, u'amount': 10, u'sid': 0...	0.0178

502 rows × 39 columns

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