def initialize(context):
# Let's set a look up date inside our backtest to ensure we grab the correct security
#set_symbol_lookup_date('2015-01-01')
# Use a very liquid set of stocks for quick order fills
context.symbol = symbol('SPY')
#context.stocks = symbols(['TWX','AIG','PSX','EMC','YHOO','MDY','TNA','CHK','FXI',
# 'PEP','SBUX','VZ','VWO','TWC','HAL','MDLZ','CAT','TSLA',
# 'MU','PM','WYNN','MET',NOV BRK_B SNDK ESRX YELP])
#set_universe(universe.DollarVolumeUniverse(99.5, 100))
#set_benchmark(symbol('SPY'))
# set a more realistic commission for IB, remove both this and slippage when live trading in IB
set_commission(commission.PerShare(cost=0.014, min_trade_cost=1.4))
# Default slippage values, but here to mess with for fun.
set_slippage(
slippage.VolumeShareSlippage(volume_limit=0.25, price_impact=0.1))
# Use dicts to store items for plotting or comparison
context.next_pred_price = {} # Current cycles prediction
#Change us!
context.history_len = 500 # How many days in price history for training set
context.out_of_sameple_bin_size = 2
context.score_filter = -1000.0
context.action_to_move_percent = 0.0
# Register 2 histories that track daily prices,
# one with a 100 window and one with a 300 day window
add_history(context.history_len, '1d', 'price')
context.i = 0
def initialize(context):
# Register 2 histories that track daily prices,
# one with a 100 window and one with a 300 day window
add_history(100, '1d', 'price')
add_history(300, '1d', 'price')
context.i = 0
def initialize_magc(context):
set_commission(commission.PerDollar(cost = COMMISSION))
add_history(20, '1d', 'price')
add_history(60, '1d', 'price')
context.i = 0
context.investment = False
context.buy_price = 0
def initialize_bband(context):
set_commission(commission.PerDollar(cost = COMMISSION))
context.i = 0
context.investment = False
context.buy_price = 0
context.position = 0.0
add_history(20, '1d', 'price')
def initialize(context):
# Let's set a look up date inside our backtest to ensure we grab the correct security
#set_symbol_lookup_date('2015-01-01')
# Use a very liquid set of stocks for quick order fills
context.symbol = symbol('SPY')
#context.stocks = symbols(['TWX','AIG','PSX','EMC','YHOO','MDY','TNA','CHK','FXI',
# 'PEP','SBUX','VZ','VWO','TWC','HAL','MDLZ','CAT','TSLA',
# 'MU','PM','WYNN','MET',NOV BRK_B SNDK ESRX YELP])
#set_universe(universe.DollarVolumeUniverse(99.5, 100))
#set_benchmark(symbol('SPY'))
# set a more realistic commission for IB, remove both this and slippage when live trading in IB
set_commission(commission.PerShare(cost=0.014, min_trade_cost=1.4))
# Default slippage values, but here to mess with for fun.
set_slippage(slippage.VolumeShareSlippage(volume_limit=0.25, price_impact=0.1))
# Use dicts to store items for plotting or comparison
context.next_pred_price = {} # Current cycles prediction
#Change us!
context.history_len = 500 # How many days in price history for training set
context.out_of_sameple_bin_size = 2
context.score_filter = -1000.0
context.action_to_move_percent = 0.0
# Register 2 histories that track daily prices,
# one with a 100 window and one with a 300 day window
add_history(context.history_len, '1d', 'price')
context.i = 0
def initialize(context):
# Register 2 histories that track daily prices,
# one with a 100 window and one with a 300 day window
add_history(100, '1d', 'price')
add_history(300, '1d', 'price')
context.i = 0
def initialize(context):
# Register 2 histories that track daily prices,
# one with a 100 window and one with a 300 day window
add_history(25, '1d', 'price')
set_commission(commission.PerDollar(0.0003))
context.i = 0
context.pct = 0.1
def initialize(context):
#register 2 histories to track daily prices
add_history(100, '1d', 'price')
add_history(300, '1d', 'price')
context.i = 0
context.invested = False
def initialize(context):
# Register 2 histories that track daily prices,
# one with a 100 window and one with a 300 day window
add_history(100, "1d", "price")
add_history(300, "1d", "price")
context.sym = symbol("AAPL")
context.i = 0
def initialize(context):
context.count = 252
#context.stock = symbol('CSCO')
context.stock = symbol('MMM')
add_history(bar_count=252, frequency='1d', field='price')
#spy_data = history(252, '1d', 'price')
context.other_stocks = {'AAPL'}
add_history(bar_count=252, frequency='1d', field='price')
def initialize(context):
context.stocks = ['VNQ', 'XLE', 'VTI','VEA', 'VWO', 'VIG', 'SCHP', 'MUB', 'LQD', 'EMB']
context.leverage = 2
add_history(950, '1d', 'price')
context.x0 = 1.0*np.ones(len(context.stocks))/len(context.stocks)
#context.i = 0
context.day_count = -1
def initialize(context):
context.count = 252
#context.stock = symbol('CSCO')
context.stock = symbol('MMM')
add_history(bar_count=252, frequency='1d', field='price')
#spy_data = history(252, '1d', 'price')
context.other_stocks = {'AAPL'}
add_history(bar_count=252, frequency='1d', field='price')
def initialize(context):
logging.debug('enter initialize')
context.set_slippage(FixedSlippage())
context.set_commission(commission.PerTrade(cost=5))
context.LOW_RSI = initialize.low_RSI
context.HIGH_RSI = initialize.high_RSI
context.rsi_window = initialize.rsi_window
add_history(context.rsi_window, '1d', 'price')
context.i = 0
context.invested = False
def initialize(context):
logging.debug('enter initialize')
context.set_slippage(FixedSlippage())
context.set_commission(commission.PerTrade(cost=5))
context.LOW_RSI = initialize.low_RSI
context.HIGH_RSI = initialize.high_RSI
context.rsi_window = initialize.rsi_window
add_history(context.rsi_window, '1d', 'price')
context.i = 0
context.invested = False
def initialize(context):
# Register 2 histories that track daily prices,
# one with a 100 window and one with a 300 day window
# mid 此处可以多次add_history()，但是，程序在历史数据管理中，对相同参数，只是大小不同的数据不会开辟多个panel
# mid 而是会按最长的空间开辟buffer
add_history(20, '1d', 'price')
add_history(40, '1d', 'price')
context.sym = symbol('AAPL')
context.i = 0
def initialize(context):
# Register 2 histories that track daily prices,
# one with a 100 window and one with a 300 day window
# mid 此处可以多次add_history()，但是，程序在历史数据管理中，对相同参数，只是大小不同的数据不会开辟多个panel
# mid 而是会按最长的空间开辟buffer
add_history(20, '1d', 'price')
add_history(40, '1d', 'price')
context.sym = symbol('AAPL')
context.i = 0
def initialize(context, eps = 10, window_length = 50):
#init
context.stocks = STOCKS
context.sids = SIDS
#context.sids = [context.symbol(symb) for symb in context.stocks]
context.m = np.size(STOCKS)
context.price = {}
context.b_t = np.ones(context.m)/float(context.m)
context.prev_weights = np.ones(context.m)/float(context.m)
context.eps = eps
context.init = True
context.days = 0
context.window_length = window_length
add_history(window_length, '1d', 'price')
def initialize(self, context):
add_history(200, '1d', 'price')
set_slippage(slippage.FixedSlippage(spread=0.0))
set_commission(commission.PerShare(cost=0.01, min_trade_cost=1.0))
context.tick = 0
dp_data = self.data
df_data = pd.DataFrame(index=dp_data.axes[1])
df_data['close'] = dp_data[:, :, 'close']
df_data['open'] = dp_data[:, :, 'open']
df_data['high'] = dp_data[:, :, 'high']
df_data['low'] = dp_data[:, :, 'low']
df_data['volume'] = dp_data[:, :, 'volume']
self.atr = atr_per_close(df_data, atrLen = self.atr_len)
context.longstop = 0
def initialize(context, eps=10, window_length=50):
#init
context.stocks = STOCKS
context.sids = SIDS
#context.sids = [context.symbol(symb) for symb in context.stocks]
context.m = np.size(STOCKS)
context.price = {}
context.b_t = np.ones(context.m) / float(context.m)
context.prev_weights = np.ones(context.m) / float(context.m)
context.eps = eps
context.init = True
context.days = 0
context.window_length = window_length
add_history(window_length, '1d', 'price')
def initialize(context):
add_history(190, '1d', 'price')
add_history(365, '1d', 'price')
context.syms = symbols('AAPL', 'AXP', 'BA', 'CAT', 'CSCO', 'CVX', 'DD', 'DIS', 'GE', 'GS', 'HD', 'IBM', 'INTC', 'JNJ', 'JPM', 'KO', 'MCD', 'MMM', 'MRK', 'MSFT', 'NKE', 'PFE', 'PG', 'TRV', 'UNH', 'UTX', 'V', 'VZ', 'WMT', 'XOM')
context.stocks_to_long = 10
context.stocks_to_short = 10
context.day = 0
context.n = 0
context.weekCounter = 0
algo.set_commission(commission.PerShare(cost=0.15))
def initialize(context):
# Register 2 histories that track daily prices,
# one with a 100 window and one with a 300 day window
context.N = 5 + 1
context.k = 0.7
add_history(context.N, '1d', 'close')
add_history(context.N, '1d', 'open')
add_history(context.N, '1d', 'high')
add_history(context.N, '1d', 'low')
context.i = 0
context.invested = False
def initialize(context):
'''
Called once at the very beginning of a backtest (and live trading).
Use this method to set up any bookkeeping variables.
The context object is passed to all the other methods in your algorithm.
Parameters
context: An initialized and empty Python dictionary that has been
augmented so that properties can be accessed using dot
notation as well as the traditional bracket notation.
Returns None
'''
# Register history container to keep a window of the last 100 prices.
add_history(10, '1d', 'price')
# Turn off the slippage model
set_slippage(slippage.FixedSlippage(spread=0.0))
# Set the commission model (Interactive Brokers Commission)
set_commission(commission.PerShare(cost=0.0, min_trade_cost=0.0))
context.tick = 0
def initialize(context):
'''
Called once at the very beginning of a backtest (and live trading).
Use this method to set up any bookkeeping variables.
The context object is passed to all the other methods in your algorithm.
Parameters
context: An initialized and empty Python dictionary that has been
augmented so that properties can be accessed using dot
notation as well as the traditional bracket notation.
Returns None
'''
# Register history container to keep a window of the last 100 prices.
add_history(10, '1d', 'price')
# Turn off the slippage model
set_slippage(slippage.FixedSlippage(spread=0.0))
# Set the commission model (Interactive Brokers Commission)
set_commission(commission.PerShare(cost=0.0, min_trade_cost=0.0))
context.tick = 0
def initialize(context):
# Hack to manually add the assets into the universe so they register with
# the history container.
for s in context.asset_finder.sids:
context._current_universe.add(s)
add_history(5, '1d', 'price')
def initialize(self, context):
add_history(60, '1d', 'price')
set_slippage(slippage.FixedSlippage(spread=0.0))
set_commission(commission.PerShare(cost=0.01, min_trade_cost=1.0))
context.tick = 0
def add_strat_history(context):
for p in ['open_price', 'high', 'low', 'close_price', 'volume', 'price']:
add_history(context.max_lookback, '1d', p)
def initialize(context):
add_history(5, '1d', 'price')
add_history(20, '1d', 'price')
context.i = 0
context.stockCd = '035720'
def initialize(context):
add_history(120, '1d', 'price')
set_slippage(slippage.FixedSlippage(spread=0.0))
set_commission(commission.PerShare(cost=0.01, min_trade_cost=1.0))
context.tick = 0
def initialize(context):
set_commission(commission.PerDollar(cost=0.00165))
add_history(5, '1d', 'price')
add_history(20, '1d', 'price')
context.i = 0
context.investment = False
def initialize(context):
set_commission(commission.PerDollar(cost=0.00165))
add_history(5, '1d', 'price')
add_history(20, '1d', 'price')
context.i = 0
context.investment = False
