catalyst/zipline/examples/buyapple.ipynb

In [1]:

%matplotlib inline
%load_ext zipline

In [2]:

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

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()

Out [2]:

	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+00:00	329.570	NaN	0.000000e+00	NaN	0.011315	NaN	NaN	0.00	10000000.00	0.00	...	0	0	0	NaN	10000000.00	0.00	0.00	1	[]	0.0336
2011-01-04 21:00:00+00:00	331.290	0.000001	-1.000000e-07	-0.000023	0.009987	0.141748	0.000008	-3313.90	9996686.10	3312.90	...	0	0	0	-11.224972	10000000.00	0.00	0.00	2	[{u'commission': None, u'amount': 10, u'sid': ...	0.0336
2011-01-05 21:00:00+00:00	334.000	0.000024	2.510000e-06	0.000201	0.015044	0.100231	0.000008	-3341.00	9993345.10	6680.00	...	0	0	0	230.045324	9996686.10	3312.90	3312.90	3	[{u'commission': None, u'amount': 10, u'sid': ...	0.0350
2011-01-06 21:00:00+00:00	333.730	0.000023	1.870000e-06	0.000059	0.012889	0.099481	0.000072	-3338.30	9990006.80	10011.90	...	0	0	0	22.913722	9993345.10	6680.00	6680.00	4	[{u'commission': None, u'amount': 10, u'sid': ...	0.0344
2011-01-07 21:00:00+00:00	336.120	0.000051	8.940000e-06	0.000524	0.011021	0.093360	-0.000132	-3362.20	9986644.60	13444.80	...	0	0	0	97.979577	9990006.80	10011.90	10011.90	5	[{u'commission': None, u'amount': 10, u'sid': ...	0.0334
2011-01-10 21:00:00+00:00	342.455	0.000159	3.418000e-05	0.001676	0.009629	0.086675	-0.000592	-3425.55	9983219.05	17122.75	...	0	0	0	341.961345	9986644.60	13444.80	13444.80	6	[{u'commission': None, u'amount': 10, u'sid': ...	0.0332
2011-01-11 21:00:00+00:00	341.640	0.000156	3.000500e-05	0.001415	0.013390	0.080133	-0.000694	-3417.40	9979801.65	20498.40	...	0	0	0	42.612419	9983219.05	17122.75	17122.75	7	[{u'commission': None, u'amount': 10, u'sid': ...	0.0337
2011-01-12 21:00:00+00:00	344.420	0.000160	4.658500e-05	0.001574	0.022518	0.084200	-0.000152	-3445.20	9976356.45	24109.40	...	0	0	0	61.885447	9979801.65	20498.40	20498.40	8	[{u'commission': None, u'amount': 10, u'sid': ...	0.0340
2011-01-13 21:00:00+00:00	345.680	0.000151	5.530500e-05	0.001660	0.020769	0.082298	-0.000193	-3457.80	9972898.65	27654.40	...	0	0	0	69.267298	9976356.45	24109.40	24109.40	9	[{u'commission': None, u'amount': 10, u'sid': ...	0.0334
2011-01-14 21:00:00+00:00	348.480	0.000164	7.760500e-05	0.001859	0.028307	0.081684	0.000136	-3485.80	9969412.85	31363.20	...	0	0	0	92.208331	9972898.65	27654.40	27654.40	10	[{u'commission': None, u'amount': 10, u'sid': ...	0.0335
2011-01-18 21:00:00+00:00	340.650	0.000406	7.035000e-06	-0.000216	0.029722	0.077794	0.000559	-3407.50	9966005.35	34065.00	...	0	0	0	0.476546	9969412.85	31363.20	31363.20	11	[{u'commission': None, u'amount': 10, u'sid': ...	0.0339
2011-01-19 21:00:00+00:00	338.840	0.000396	-1.116500e-05	-0.000604	0.019306	0.094544	0.000911	-3389.40	9962615.95	37272.40	...	0	0	0	-0.700708	9966005.35	34065.00	34065.00	12	[{u'commission': None, u'amount': 10, u'sid': ...	0.0337
2011-01-20 21:00:00+00:00	332.680	0.000481	-7.902500e-05	-0.002002	0.017986	0.091418	0.001344	-3327.80	9959288.15	39921.60	...	0	0	0	-3.490818	9962615.95	37272.40	37272.40	13	[{u'commission': None, u'amount': 10, u'sid': ...	0.0347
2011-01-21 21:00:00+00:00	326.720	0.000539	-1.506450e-04	-0.003148	0.020443	0.087940	0.001184	-3268.20	9956019.95	42473.60	...	0	0	0	-5.207546	9959288.15	39921.60	39921.60	14	[{u'commission': None, u'amount': 10, u'sid': ...	0.0344
2011-01-24 21:00:00+00:00	337.450	0.000805	-1.125500e-05	-0.001339	0.026399	0.086618	0.002605	-3375.50	9952644.45	47243.00	...	0	0	0	-0.375267	9956019.95	42473.60	42473.60	15	[{u'commission': None, u'amount': 10, u'sid': ...	0.0343
2011-01-25 21:00:00+00:00	341.400	0.000809	4.394500e-05	-0.000313	0.026669	0.083889	0.002405	-3415.00	9949229.45	51210.00	...	0	0	0	1.421565	9952644.45	47243.00	47243.00	16	[{u'commission': None, u'amount': 10, u'sid': ...	0.0335
2011-01-26 21:00:00+00:00	343.850	0.000794	8.059500e-05	0.000026	0.031003	0.081822	0.002563	-3439.50	9945789.95	55016.00	...	0	0	0	2.528766	9949229.45	51210.00	51210.00	17	[{u'commission': None, u'amount': 10, u'sid': ...	0.0345
2011-01-27 21:00:00+00:00	343.210	0.000773	7.025500e-05	-0.000193	0.033316	0.079396	0.002547	-3433.10	9942356.85	58345.70	...	0	0	0	2.134760	9945789.95	55016.00	55016.00	18	[{u'commission': None, u'amount': 10, u'sid': ...	0.0342
2011-01-28 21:00:00+00:00	336.100	0.000878	-5.071500e-05	-0.001538	0.014869	0.105327	0.004306	-3362.00	9938994.85	60498.00	...	0	0	0	-1.069324	9942356.85	58345.70	58345.70	19	[{u'commission': None, u'amount': 10, u'sid': ...	0.0336
2011-01-31 21:00:00+00:00	339.320	0.000881	7.145000e-06	-0.001217	0.022646	0.105374	0.004547	-3394.20	9935600.65	64470.80	...	0	0	0	0.147515	9938994.85	60498.00	60498.00	20	[{u'commission': None, u'amount': 10, u'sid': ...	0.0342
2011-02-01 21:00:00+00:00	345.030	0.000937	1.155350e-04	-0.001015	0.039717	0.115978	0.005065	-3451.30	9932149.35	69006.00	...	0	0	0	2.318921	9935600.65	64470.80	64470.80	21	[{u'commission': None, u'amount': 10, u'sid': ...	0.0348
2011-02-02 21:00:00+00:00	344.320	0.000917	1.012350e-04	-0.000969	0.036887	0.114251	0.005050	-3444.20	9928705.15	72307.20	...	0	0	0	1.978514	9932149.35	69006.00	69006.00	22	[{u'commission': None, u'amount': 10, u'sid': ...	0.0352
2011-02-03 21:00:00+00:00	343.440	0.000899	8.265500e-05	-0.001254	0.039328	0.111647	0.005035	-3435.40	9925269.75	75556.80	...	0	0	0	1.571015	9928705.15	72307.20	72307.20	23	[{u'commission': None, u'amount': 10, u'sid': ...	0.0358
2011-02-04 21:00:00+00:00	346.500	0.000903	1.498750e-04	-0.000675	0.042325	0.109260	0.005094	-3466.00	9921803.75	79695.00	...	0	0	0	2.788093	9925269.75	75556.80	75556.80	24	[{u'commission': None, u'amount': 10, u'sid': ...	0.0368
2011-02-07 21:00:00+00:00	351.880	0.000959	2.735150e-04	0.000099	0.048830	0.107905	0.005462	-3519.80	9918283.95	84451.20	...	0	0	0	4.984606	9921803.75	79695.00	79695.00	25	[{u'commission': None, u'amount': 10, u'sid': ...	0.0368
2011-02-08 21:00:00+00:00	355.200	0.000964	3.530950e-04	0.000589	0.053219	0.105957	0.005571	-3553.00	9914730.95	88800.00	...	0	0	0	6.309501	9918283.95	84451.20	84451.20	26	[{u'commission': None, u'amount': 10, u'sid': ...	0.0375
2011-02-09 21:00:00+00:00	358.160	0.000963	4.269950e-04	0.001566	0.050285	0.104931	0.005217	-3582.60	9911148.35	93121.60	...	0	0	0	7.486993	9914730.95	88800.00	88800.00	27	[{u'commission': None, u'amount': 10, u'sid': ...	0.0365
2011-02-10 21:00:00+00:00	354.540	0.001001	3.327750e-04	0.000584	0.051072	0.103021	0.005313	-3546.40	9907601.95	95725.80	...	0	0	0	5.040908	9911148.35	93121.60	93121.60	28	[{u'commission': None, u'amount': 10, u'sid': ...	0.0370
2011-02-11 21:00:00+00:00	356.850	0.000994	3.950450e-04	0.000804	0.056860	0.101753	0.005409	-3569.50	9904032.45	99918.00	...	0	0	0	5.879790	9907601.95	95725.80	95725.80	29	[{u'commission': None, u'amount': 10, u'sid': ...	0.0364
2011-02-14 21:00:00+00:00	359.180	0.000988	4.601850e-04	0.001206	0.059381	0.099992	0.005427	-3592.80	9900439.65	104162.20	...	0	0	0	6.733874	9904032.45	99918.00	99918.00	30	[{u'commission': None, u'amount': 10, u'sid': ...	0.0362
...	...	...	...	...	...	...	...	...	...	...	...	...	...	...	...	...	...	...	...	...	...
2012-11-16 21:00:00+00:00	527.678	0.040048	2.943771e-02	0.011145	0.081295	0.191082	0.085310	-5277.78	7803736.93	2490640.16	...	0	0	0	0.581207	7809014.71	2475670.20	2475670.20	473	[{u'commission': None, u'amount': 10, u'sid': ...	0.0158
2012-11-19 21:00:00+00:00	565.730	0.041965	4.739815e-02	0.019182	0.102772	0.191416	0.089783	-5658.30	7798078.63	2675902.90	...	0	0	0	0.912542	7803736.93	2490640.16	2490640.16	474	[{u'commission': None, u'amount': 10, u'sid': ...	0.0161
2012-11-20 21:00:00+00:00	560.913	0.041954	4.511961e-02	0.017957	0.103503	0.191214	0.089770	-5610.13	7792468.50	2658727.62	...	0	0	0	0.868836	7798078.63	2675902.90	2675902.90	475	[{u'commission': None, u'amount': 10, u'sid': ...	0.0166
2012-11-21 21:00:00+00:00	561.700	0.041910	4.549255e-02	0.017997	0.106064	0.191018	0.089773	-5618.00	7786850.50	2668075.00	...	0	0	0	0.874687	7792468.50	2658727.62	2658727.62	476	[{u'commission': None, u'amount': 10, u'sid': ...	0.0169
2012-11-23 18:00:00+00:00	571.500	0.041986	5.014745e-02	0.019648	0.120472	0.191042	0.090365	-5716.00	7781134.50	2720340.00	...	0	0	0	0.958079	7786850.50	2668075.00	2668075.00	477	[{u'commission': None, u'amount': 10, u'sid': ...	0.0170
2012-11-26 21:00:00+00:00	589.530	0.042349	5.872963e-02	0.024033	0.118198	0.190850	0.090085	-5896.30	7775238.20	2812058.10	...	0	0	0	1.111665	7781134.50	2720340.00	2720340.00	478	[{u'commission': None, u'amount': 10, u'sid': ...	0.0166
2012-11-27 21:00:00+00:00	584.780	0.042336	5.646378e-02	0.023094	0.112353	0.190692	0.090226	-5848.80	7769389.40	2795248.40	...	0	0	0	1.068403	7775238.20	2812058.10	2812058.10	479	[{u'commission': None, u'amount': 10, u'sid': ...	0.0164
2012-11-28 21:00:00+00:00	582.940	0.042297	5.558416e-02	0.022251	0.121092	0.190572	0.090047	-5830.40	7763559.00	2792282.60	...	0	0	0	1.051351	7769389.40	2795248.40	2795248.40	480	[{u'commission': None, u'amount': 10, u'sid': ...	0.0163
2012-11-29 21:00:00+00:00	589.360	0.042302	5.865924e-02	0.023518	0.125879	0.190395	0.090187	-5894.60	7757664.40	2828928.00	...	0	0	0	1.105093	7763559.00	2792282.60	2792282.60	481	[{u'commission': None, u'amount': 10, u'sid': ...	0.0162
2012-11-30 21:00:00+00:00	585.280	0.042282	5.670074e-02	0.022494	0.126062	0.190197	0.090191	-5853.80	7751810.60	2815196.80	...	0	0	0	1.067924	7757664.40	2828928.00	2828928.00	482	[{u'commission': None, u'amount': 10, u'sid': ...	0.0162
2012-12-03 21:00:00+00:00	586.190	0.042239	5.713835e-02	0.022891	0.120718	0.190034	0.090136	-5862.90	7745947.70	2825435.80	...	0	0	0	1.074588	7751810.60	2815196.80	2815196.80	483	[{u'commission': None, u'amount': 10, u'sid': ...	0.0163
2012-12-04 21:00:00+00:00	575.845	0.042339	5.215196e-02	0.020458	0.118802	0.189843	0.090272	-5759.45	7740188.25	2781331.35	...	0	0	0	0.977756	7745947.70	2825435.80	2825435.80	484	[{u'commission': None, u'amount': 10, u'sid': ...	0.0162
2012-12-05 21:00:00+00:00	538.792	0.044058	3.425526e-02	0.011528	0.120575	0.189649	0.089953	-5388.92	7734799.33	2607753.28	...	0	0	0	0.605002	7740188.25	2781331.35	2781331.35	485	[{u'commission': None, u'amount': 10, u'sid': ...	0.0160
2012-12-06 21:00:00+00:00	547.244	0.044101	3.834593e-02	0.013389	0.124280	0.189466	0.090110	-5473.44	7729325.89	2654133.40	...	0	0	0	0.671627	7734799.33	2607753.28	2607753.28	486	[{u'commission': None, u'amount': 10, u'sid': ...	0.0159
2012-12-07 21:00:00+00:00	533.250	0.044312	3.155874e-02	0.009863	0.127564	0.189280	0.089851	-5333.50	7723992.39	2591595.00	...	0	0	0	0.553361	7729325.89	2654133.40	2654133.40	487	[{u'commission': None, u'amount': 10, u'sid': ...	0.0164
2012-12-10 21:00:00+00:00	529.820	0.044284	2.989166e-02	0.008993	0.127946	0.189086	0.089851	-5299.20	7718693.19	2580223.40	...	0	0	0	0.525320	7723992.39	2591595.00	2591595.00	488	[{u'commission': None, u'amount': 10, u'sid': ...	0.0163
2012-12-11 21:00:00+00:00	541.388	0.044408	3.552517e-02	0.011454	0.135333	0.188945	0.090287	-5414.88	7713278.31	2641973.44	...	0	0	0	0.616351	7718693.19	2580223.40	2580223.40	489	[{u'commission': None, u'amount': 10, u'sid': ...	0.0166
2012-12-12 21:00:00+00:00	539.000	0.044371	3.435973e-02	0.010831	0.135842	0.188752	0.090285	-5391.00	7707887.31	2635710.00	...	0	0	0	0.596696	7713278.31	2641973.44	2641973.44	490	[{u'commission': None, u'amount': 10, u'sid': ...	0.0172
2012-12-13 21:00:00+00:00	529.690	0.044441	2.980704e-02	0.008813	0.128662	0.188619	0.090656	-5297.90	7702589.41	2595481.00	...	0	0	0	0.519853	7707887.31	2635710.00	2635710.00	491	[{u'commission': None, u'amount': 10, u'sid': ...	0.0174
2012-12-14 21:00:00+00:00	509.794	0.044917	2.005790e-02	0.004093	0.123994	0.188454	0.091242	-5098.94	7697490.47	2503088.54	...	0	0	0	0.353785	7702589.41	2595481.00	2595481.00	492	[{u'commission': None, u'amount': 10, u'sid': ...	0.0172
2012-12-17 21:00:00+00:00	518.830	0.044977	2.449448e-02	0.005709	0.137337	0.188444	0.091783	-5189.30	7692301.17	2552643.60	...	0	0	0	0.423858	7697490.47	2503088.54	2503088.54	493	[{u'commission': None, u'amount': 10, u'sid': ...	0.0178
2012-12-18 21:00:00+00:00	533.900	0.045223	3.190882e-02	0.008763	0.150401	0.188421	0.092771	-5340.00	7686961.17	2632127.00	...	0	0	0	0.540504	7692301.17	2552643.60	2552643.60	494	[{u'commission': None, u'amount': 10, u'sid': ...	0.0184
2012-12-19 21:00:00+00:00	526.310	0.045254	2.816685e-02	0.007229	0.141670	0.188315	0.093108	-5264.10	7681697.07	2599971.40	...	0	0	0	0.479739	7686961.17	2632127.00	2632127.00	495	[{u'commission': None, u'amount': 10, u'sid': ...	0.0182
2012-12-20 21:00:00+00:00	521.730	0.045237	2.590423e-02	0.005855	0.147936	0.188161	0.092905	-5218.30	7676478.77	2582563.50	...	0	0	0	0.443299	7681697.07	2599971.40	2599971.40	496	[{u'commission': None, u'amount': 10, u'sid': ...	0.0181
2012-12-21 21:00:00+00:00	519.330	0.045200	2.471613e-02	0.005694	0.137170	0.188099	0.092949	-5194.30	7671284.47	2575876.80	...	0	0	0	0.424116	7676478.77	2582563.50	2582563.50	497	[{u'commission': None, u'amount': 10, u'sid': ...	0.0177
2012-12-24 18:00:00+00:00	520.168	0.045155	2.513167e-02	0.006004	0.134395	0.187920	0.092924	-5202.68	7666081.79	2585234.96	...	0	0	0	0.430192	7671284.47	2575876.80	2575876.80	498	[{u'commission': None, u'amount': 10, u'sid': ...	0.0179
2012-12-26 21:00:00+00:00	512.999	0.045179	2.156858e-02	0.004444	0.128964	0.187766	0.093148	-5130.99	7660950.80	2554735.02	...	0	0	0	0.372948	7666081.79	2585234.96	2585234.96	499	[{u'commission': None, u'amount': 10, u'sid': ...	0.0177
2012-12-27 21:00:00+00:00	515.059	0.045139	2.259436e-02	0.005000	0.127588	0.187581	0.093124	-5151.59	7655799.21	2570144.41	...	0	0	0	0.388592	7660950.80	2554735.02	2554735.02	500	[{u'commission': None, u'amount': 10, u'sid': ...	0.0174
2012-12-28 21:00:00+00:00	509.589	0.045135	1.986473e-02	0.004146	0.115128	0.187566	0.093394	-5096.89	7650702.32	2547945.00	...	0	0	0	0.345046	7655799.21	2570144.41	2570144.41	501	[{u'commission': None, u'amount': 10, u'sid': ...	0.0173
2012-12-31 21:00:00+00:00	532.172	0.045762	3.115613e-02	0.008719	0.134021	0.187750	0.095640	-5322.72	7645379.60	2666181.72	...	0	0	0	0.520644	7650702.32	2547945.00	2547945.00	502	[{u'commission': None, u'amount': 10, u'sid': ...	0.0178

502 rows × 39 columns

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