def run_example():
indexes = ['000016.zicn', '000300.zicn', '000905.zicn']
# futures to trade
ihs = ['ih.ccfx']
ifs = ['if.ccfx']
ics = ['ic.ccfx']
futures = ihs + ifs + ics
universe = indexes + futures
startDate = dt.datetime(2015, 5, 1)
endDate = dt.datetime(2017, 2, 13)
strategyRunner(userStrategy=MovingAverageCrossStrategy,
initialCapital=100000,
symbolList=universe,
startDate=startDate,
endDate=endDate,
dataSource=DataSource.DXDataCenter,
portfolioType=PortfolioType.CashManageable,
freq=0,
saveFile=True,
plot=True,
benchmark='000905.zicn',
logLevel='info')
def run_example():
csvDir = "data"
universe = ['aapl', 'msft', 'ibm']
initialCapital = 1000000.0
strategyRunner(userStrategy=MovingAverageCrossStrategy,
initialCapital=initialCapital,
symbolList=universe,
dataSource=DataSource.CSV,
csvDir=csvDir,
saveFile=False,
plot=True)
def run_example():
universe = ['aapl.us', 'msft.us', 'ibm.us']
initialCapital = 100000.0
startDate = dt.datetime(1990, 1, 1)
endDate = dt.datetime(2015, 9, 15)
strategyRunner(userStrategy=MovingAverageCrossStrategy,
initialCapital=initialCapital,
symbolList=universe,
startDate=startDate,
endDate=endDate,
dataSource=DataSource.YAHOO,
saveFile=False)
def run_example():
universe = ['000300.zicn']
startDate = dt.datetime(2012, 1, 1)
endDate = dt.datetime(2016, 1, 12)
strategyRunner(userStrategy=MovingAverageCrossStrategy,
strategyParameters=(36, 78, 27, 42),
symbolList=universe,
startDate=startDate,
endDate=endDate,
dataSource=DataSource.DXDataCenter,
freq=5,
logLevel='critical',
plot=True)
def run_example():
universe = set_universe('000300.zicn')[:10]
startDate = dt.datetime(2007, 1, 1)
endDate = dt.datetime(2015, 10, 1)
strategyRunner(userStrategy=MovingAverageCrossStrategy,
symbolList=universe,
startDate=startDate,
endDate=endDate,
freq=0,
benchmark='000300.zicn',
logLevel='info',
saveFile=True,
plot=True)
def run_example():
universe = ['000300.zicn']
startDate = dt.datetime(2012, 1, 1)
endDate = dt.datetime(2016, 1, 12)
strategyRunner(userStrategy=MovingAverageCrossStrategy,
strategyParameters=(36, 78, 27, 42),
symbolList=universe,
startDate=startDate,
endDate=endDate,
dataSource=DataSource.DXDataCenter,
freq=5,
logLevel='critical',
plot=True)
def run_example():
universe = ['000300.zicn']
startDate = dt.datetime(2005, 1, 1)
endDate = dt.datetime(2015, 11, 1)
strategyRunner(userStrategy=MonitoringIndexStrategy,
symbolList=universe,
startDate=startDate,
endDate=endDate,
dataSource=DataSource.DXDataCenter,
freq=0,
benchmark='000300.zicn',
logLevel="info",
saveFile=True,
plot=True)
def run_example():
universe = set_universe('000300.zicn', refDate='2015-01-01')[:200]
startDate = dt.datetime(2015, 1, 1)
endDate = dt.datetime(2017, 1, 1)
strategyRunner(userStrategy=MovingAverageCrossStrategy,
symbolList=universe,
startDate=startDate,
endDate=endDate,
benchmark='000300.zicn',
dataSource=DataSource.WIND,
logLevel='info',
saveFile=True,
plot=True,
freq='D')
def run_example():
stocks = set_universe('000300.zicn')
futures = ['if15%02d.ccfx' % i for i in range(1, 13)]
universes = stocks + futures
strategyRunner(userStrategy=MovingAverageCrossStrategy,
symbolList=universes,
startDate=dt.datetime(2015, 1, 1),
endDate=dt.datetime(2015, 12, 5),
logLevel='info',
saveFile=False,
plot=True,
dataSource=DataSource.DXDataCenter,
benchmark='000300.zicn')
def run_example():
universe = ['000300.zicn']
startDate = dt.datetime(2003, 12, 1)
endDate = dt.datetime(2015, 11, 1)
strategyRunner(userStrategy=MonitoringIndexStrategy,
symbolList=universe,
startDate=startDate,
endDate=endDate,
dataSource=DataSource.DXDataCenter,
freq=0,
benchmark='000300.zicn',
logLevel="info",
saveFile=True,
plot=True)
def run_example():
stocks = set_universe('000300.zicn')
futures = ['if15%02d.cffex' % i for i in range(1, 13)]
universes = stocks + futures
strategyRunner(userStrategy=MovingAverageCrossStrategy,
symbolList=universes,
startDate=dt.datetime(2015, 1, 1),
endDate=dt.datetime(2015, 12, 5),
logLevel='info',
saveFile=False,
plot=False,
dataSource=DataSource.DataYes,
benchmark='000300.zicn',)
def run_example():
csvDir = "data"
universe = ["aapl.us", "msft.us", "ibm.us"]
initialCapital = 1000000.0
strategyRunner(
userStrategy=MovingAverageCrossStrategy,
initialCapital=initialCapital,
symbolList=universe,
dataSource=DataSource.CSV,
csvDir=csvDir,
saveFile=False,
logLevel="info",
plot=True,
)
def run_example():
universe = ['if1701.ccfx']
startDate = dt.datetime(2016, 10, 7)
endDate = dt.datetime(2016, 12, 4)
strategyRunner(userStrategy=IndexMomentumStrategy,
symbolList=universe,
startDate=startDate,
endDate=endDate,
dataSource=DataSource.DXDataCenter,
benchmark='000001.zicn',
freq=5,
logLevel='info',
plot=True,
saveFile=False)
def run_example():
universe = ['if1701.ccfx']
startDate = dt.datetime(2016, 10, 7)
endDate = dt.datetime(2016, 12, 4)
strategyRunner(userStrategy=IndexMomentumStrategy,
symbolList=universe,
startDate=startDate,
endDate=endDate,
dataSource=DataSource.DXDataCenter,
benchmark='000001.zicn',
freq=5,
logLevel='info',
plot=True,
saveFile=False)
def run_example():
universe = ['if.ccfx']
startDate = dt.datetime(2013, 12, 1)
endDate = dt.datetime(2016, 4, 25)
strategyRunner(userStrategy=MovingAverageCrossStrategy,
strategyParameters=(39, 78, 27, 42),
symbolList=universe,
startDate=startDate,
endDate=endDate,
dataSource=DataSource.DXDataCenter,
benchmark='000300.zicn',
freq=5,
logLevel='info',
plot=True,
saveFile=False)
def run_example():
universe = ['ru.xsge']
startDate = dt.datetime(2016, 7, 1)
endDate = dt.datetime(2016, 8, 31)
strategyRunner(userStrategy=HighFrequencyRU,
symbolList=universe,
initialCapital=50000.,
startDate=startDate,
endDate=endDate,
dataSource=DataSource.DXDataCenter,
freq=5,
saveFile=True,
plot=True,
portfolioType=PortfolioType.CashManageable,
logLevel='info')
def run_example():
universe = ['600000.xshg', '000300.zicn']
initialCapital = 1e5
startDate = dt.datetime(2014, 12, 1)
endDate = dt.datetime(2015, 11, 1)
strategyRunner(userStrategy=MonitoringIndexStrategy,
initialCapital=initialCapital,
symbolList=universe,
startDate=startDate,
endDate=endDate,
dataSource=DataSource.DXDataCenter,
freq=0,
benchmark='000300.zicn',
logLevel="warning",
saveFile=True,
plot=True)
def run_example():
universe = ['tf.cffex']
startDate = dt.datetime(2013, 12, 1)
endDate = dt.datetime(2016, 4, 25)
strategyRunner(userStrategy=MovingAverageCrossStrategy,
strategyParameters=(39, 78, 27, 42),
symbolList=universe,
startDate=startDate,
endDate=endDate,
dataSource=DataSource.DXDataCenter,
benchmark='000300.zicn',
freq=5,
logLevel='info',
plot=True,
saveFile=False)
def run_example():
stocks = set_universe("000300.zicn")
futures = ["if15%02d.ccfx" % i for i in range(1, 13)]
universes = stocks + futures
strategyRunner(
userStrategy=MovingAverageCrossStrategy,
symbolList=universes,
startDate=dt.datetime(2015, 1, 1),
endDate=dt.datetime(2015, 12, 5),
logLevel="info",
saveFile=False,
plot=True,
dataSource=DataSource.DXDataCenter,
benchmark="000300.zicn",
)
def run_example():
universe = ['ru.xsge']
startDate = dt.datetime(2016, 7, 1)
endDate = dt.datetime(2016, 8, 31)
strategyRunner(userStrategy=HighFrequencyRU,
symbolList=universe,
initialCapital=50000.,
startDate=startDate,
endDate=endDate,
dataSource=DataSource.DXDataCenter,
freq=5,
saveFile=True,
plot=True,
portfolioType=PortfolioType.CashManageable,
logLevel='info')
def run_example():
universe = secIDs
startDate = dt.datetime(2015, 12, 1)
endDate = dt.datetime(2016, 9, 22)
initialCapital = 200000.
strategyRunner(userStrategy=GridTradingStrategy,
initialCapital=initialCapital,
symbolList=universe,
startDate=startDate,
endDate=endDate,
dataSource=DataSource.DXDataCenter,
portfolioType=PortfolioType.CashManageable,
freq=0,
benchmark=secIDs[0],
logLevel="info",
saveFile=False,
plot=False)
def run_example():
universe = secIDs
startDate = dt.datetime(2015, 12, 1)
endDate = dt.datetime(2016, 9, 22)
initialCapital = 200000.
strategyRunner(userStrategy=GridTradingStrategy,
initialCapital=initialCapital,
symbolList=universe,
startDate=startDate,
endDate=endDate,
dataSource=DataSource.DXDataCenter,
portfolioType=PortfolioType.CashManageable,
freq=0,
benchmark=secIDs[0],
logLevel="info",
saveFile=False,
plot=True)
def run_example():
universe = ['000905.zicn']
startDate = dt.datetime(2013, 1, 1)
endDate = dt.datetime(2016, 8, 12)
strategyRunner(userStrategy=MovingAverageCrossStrategy,
strategyParameters=(39, 78, 27, 42),
initialCapital=50000.,
symbolList=universe,
startDate=startDate,
endDate=endDate,
dataSource=DataSource.DXDataCenter,
benchmark='000905.zicn',
freq=5,
logLevel='info',
portfolioType=PortfolioType.CashManageable,
plot=True,
saveFile=False)
def run_example():
universe = ['000905.zicn'] #set_universe('000300.zicn', refDate='2012-06-01')
startDate = dt.datetime(2013, 1, 1)
endDate = dt.datetime(2016, 1, 12)
strategyRunner(userStrategy=MovingAverageCrossStrategy,
strategyParameters=(39, 78, 27, 42),
#initialCapital=50000.,
symbolList=universe,
startDate=startDate,
endDate=endDate,
dataSource=DataSource.DXDataCenter,
benchmark='000300.zicn',
freq=5,
logLevel='info',
#portfolioType=PortfolioType.CashManageable,
plot=True,
saveFile=False)
def run_example():
universe = ['000905.zicn']
startDate = dt.datetime(2016, 1, 1)
endDate = dt.datetime(2016, 9, 5)
initialCapital = 10000000.
batches = 10
pack = 100
strategyRunner(userStrategy=GridTradingStrategy,
initialCapital=initialCapital,
strategyParameters=(batches, pack),
symbolList=universe,
startDate=startDate,
endDate=endDate,
dataSource=DataSource.DXDataCenter,
portfolioType=PortfolioType.CashManageable,
freq=5,
logLevel="info",
saveFile=True,
plot=True)
def run_example():
universe = ['000905.zicn']
startDate = dt.datetime(2016, 1, 1)
endDate = dt.datetime(2016, 9, 5)
initialCapital = 10000000.
batches = 10
pack = 100
strategyRunner(userStrategy=GridTradingStrategy,
initialCapital=initialCapital,
strategyParameters=(batches, pack),
symbolList=universe,
startDate=startDate,
endDate=endDate,
dataSource=DataSource.DXDataCenter,
portfolioType=PortfolioType.CashManageable,
freq=5,
logLevel="info",
saveFile=True,
plot=True)
def run_example():
universe = set_universe('000300.zicn')
startDate = dt.datetime(2012, 1, 1)
endDate = dt.datetime(2015, 10, 1)
return strategyRunner(userStrategy=MovingAverageCrossStrategy,
symbolList=universe,
startDate=startDate,
endDate=endDate,
dataSource=DataSource.DXDataCenter,
benchmark='000300.zicn',
saveFile=False,
logLevel='critical',
plot=False)
def run_example():
universe = set_universe('000300.zicn')
startDate = dt.datetime(2012, 1, 1)
endDate = dt.datetime(2015, 10, 1)
return strategyRunner(userStrategy=MovingAverageCrossStrategy,
symbolList=universe,
startDate=startDate,
endDate=endDate,
dataSource=DataSource.DXDataCenter,
benchmark='000300.zicn',
saveFile=True,
logLevel='info',
plot=True)
def run_example(freq):
universe = ['000905.zicn']
startDate = dt.datetime(2016, 1, 8)
endDate = dt.datetime(2016, 1, 31)
return strategyRunner(userStrategy=SimpleStrategy,
symbolList=universe,
startDate=startDate,
endDate=endDate,
dataSource=DataSource.DXDataCenter,
freq=freq,
logLevel="warning",
saveFile=False,
plot=False)
def run_example():
indexes = ['000016.zicn', '000300.zicn', '000905.zicn']
# futures to trade
ihs = ['ih.cffex']
ifs = ['if.cffex']
ics = ['ic.cffex']
futures = ihs + ifs + ics
universe = indexes + futures
startDate = dt.datetime(2015, 5, 1)
endDate = dt.datetime(2016, 4, 25)
strategyRunner(userStrategy=MovingAverageCrossStrategy,
symbolList=universe,
startDate=startDate,
endDate=endDate,
dataSource=DataSource.DXDataCenter,
freq=0,
saveFile=True,
plot=True,
benchmark='000300.zicn',
logLevel='info')
def run_example():
index_code = '000905.zicn'
universe = set_universe(index_code, refDate='2015-01-01') + [index_code]
startDate = dt.datetime(2015, 1, 1)
endDate = dt.datetime(2016, 4, 25)
initialCapital = 10000000.
return strategyRunner(userStrategy=CatchMomentumStrategy,
strategyParameters=(index_code, ),
initialCapital=initialCapital,
symbolList=universe,
startDate=startDate,
endDate=endDate,
dataSource=DataSource.DXDataCenter,
portfolioType=PortfolioType.CashManageable,
freq=5,
benchmark=index_code,
logLevel="info",
saveFile=True,
plot=True)
def run_example():
index_code = '000905.zicn'
universe = set_universe(index_code, refDate='2015-01-01') + [index_code]
startDate = dt.datetime(2015, 1, 1)
endDate = dt.datetime(2016, 2, 29)
initialCapital = 10000000.
return strategyRunner(userStrategy=CatchMomentumStrategy,
strategyParameters=(index_code,),
initialCapital=initialCapital,
symbolList=universe,
startDate=startDate,
endDate=endDate,
dataSource=DataSource.DXDataCenter,
portfolioType=PortfolioType.CashManageable,
freq=5,
benchmark=index_code,
logLevel="info",
saveFile=True,
plot=True)
# -*- coding: utf-8 -*-
u"""
Created on 2015-12-08
@author: cheng.li
"""
import datetime as dt
from AlgoTrading.api import Strategy
from AlgoTrading.api import strategyRunner
from AlgoTrading.api import DataSource
class UserStrategy(Strategy):
def handle_data(self):
for s in self.tradableAssets:
self.order(s, 1, 100)
res = strategyRunner(userStrategy=UserStrategy,
symbolList=['600000.xshg', 'if.ccfx'],
startDate=dt.datetime(2015, 1, 1),
endDate=dt.datetime(2016, 9, 19),
benchmark='000300.zicn',
dataSource=DataSource.DataYes,
freq=5,
plot=True)
# -*- coding: utf-8 -*-
u"""
Created on 2015-12-08
@author: cheng.li
"""
import datetime as dt
from AlgoTrading.api import Strategy
from AlgoTrading.api import strategyRunner
class UserStrategy(Strategy):
def handle_data(self):
for s in self.tradableAssets:
self.order(s, 1, 100)
res = strategyRunner(userStrategy=UserStrategy,
symbolList=['600000.xshg'],
startDate=dt.datetime(2015, 10, 1),
endDate=dt.datetime(2015, 11, 19),
benchmark='000300.zicn',
freq=5,
plot=False)
# -*- coding: utf-8 -*-
u"""
Created on 2015-12-08
@author: cheng.li
"""
import datetime as dt
from AlgoTrading.api import Strategy
from AlgoTrading.api import strategyRunner
from AlgoTrading.api import DataSource
class UserStrategy(Strategy):
def handle_data(self):
for s in self.tradableAssets:
self.order(s, 1, 100)
res = strategyRunner(userStrategy=UserStrategy,
symbolList=['600000.xshg', 'if.ccfx'],
startDate=dt.datetime(2015, 1, 1),
endDate=dt.datetime(2016, 9, 19),
benchmark='000300.zicn',
dataSource=DataSource.DataYes,
freq=5,
plot=True)
# -*- coding: utf-8 -*-
u"""
Created on 2015-12-08
@author: cheng.li
"""
import datetime as dt
from AlgoTrading.api import Strategy
from AlgoTrading.api import strategyRunner
class UserStrategy(Strategy):
def handle_data(self):
for s in self.tradableAssets:
self.order(s, 1, 100)
res = strategyRunner(userStrategy=UserStrategy,
symbolList=['600000.xshg'],
startDate=dt.datetime(2015, 10, 1),
endDate=dt.datetime(2015, 11, 19),
benchmark='000300.zicn',
freq=5,
plot=False)