def TrendFollowStrategy(contract,
data_csv='',
data_list=[],
**strategy_params):
"""
Run a trend following strategy on either the data_csv file
or the data_list list, if both are passed, I will return error.
Trading parameters:
net_change: how much does today's price have to deviate from
ma to consider trend to be starting
ma_lookback_days: how many days to build moving average over
:param contract:
:param data_csv: csv filename to load data from
:param data_list: list to load data from
:param strategy_parmas: dictionary of trading parameters
:return: (error/success code, list of trade information)
"""
trades = []
log_level = strategy_params.pop('log_level', 0)
if not data_csv and not data_list:
if log_level > 0:
print('Error neither have datafile nor datalist')
return -1, None
if data_csv and data_list:
if log_level > 0:
print('Error cannot have both datafile and datalist')
return -1, None
# get an iterable based on arguments passed
market_data = data_list or open(data_csv, 'r')
if log_level > 0:
print('INFO opened data file/list ', market_data)
# dump out trading parameters
if log_level > 0:
print('INFO trading params ', strategy_params)
# pull out parameters, use defaults if missing
ma_lookback_days = int(strategy_params.pop('ma_lookback_days', 10))
o_loss_ticks = float(strategy_params.pop('loss_ticks', 5.0))
o_net_change = float(strategy_params.pop('net_change', 5.0))
risk_dollars = float(strategy_params.pop('risk_dollars', 1000.0))
# define some model specific varibles
lookback_prices = [] # maintain, update ma
my_position, my_vwap, my_pnl = 0, 0, 0
for line in reversed(list(market_data)): # file is backwards
try:
# unpack list
date, open_price, high_price, low_price, close_price = \
fp.TokenizeToPriceInfo(contract, line)
except ValueError or TypeError:
continue
lookback_prices.append([high_price, low_price, close_price])
if len(lookback_prices) < ma_lookback_days + 1:
# not initialized yet, push and contine
continue
# save and update list
ma = statistics.mean(row[2] for row in lookback_prices)
vol = statistics.mean((row[0] - row[1]) for row in lookback_prices)
loss_ticks = o_loss_ticks * vol
net_change = o_net_change * vol
if log_level > 0:
print('INFO vol:',
vol,
'adjusted params:',
'net_change:',
net_change,
'loss_ticks:',
loss_ticks,
sep=' ')
lookback_prices.pop(0)
dev_from_ma = close_price - ma
if log_level > 0:
print('INFO ma:',
ma,
'close_price:',
close_price,
'dev_from_ma:',
dev_from_ma,
sep=' ')
traded_today = False
if my_position == 0: # flat, see if we want to get into a position
# how much did today's close price deviate from moving average
# +ve value means breaking out to the upside
# -ve value means breaking out to the downside
if abs(dev_from_ma) > net_change: # trend starting
trade_size = int((risk_dollars / contract.TickValue) /
loss_ticks + 1)
my_position = trade_size * (1 if dev_from_ma > 0 else -1)
my_vwap = close_price
trades.append([
date, ('B' if dev_from_ma > 0 else 'S'), trade_size,
close_price, my_position, my_pnl, vol, ma, dev_from_ma,
high_price, low_price
])
traded_today = True
if log_level > 0:
print('INFO initiating position ', trades[-1])
else: # have a position already, check for stop outs
if ((my_position > 0 and my_vwap - low_price > loss_ticks) or
(my_position < 0 and high_price - my_vwap > loss_ticks)):
stopout_price = my_vwap + (loss_ticks *
(1 if my_position < 0 else -1))
trade_pnl = abs(my_position) * loss_ticks * contract.TickValue
my_pnl -= trade_pnl
buysell = ('S' if my_position > 0 else 'B')
trades.append([
date, buysell,
abs(my_position), stopout_price, 0, my_pnl, vol, ma,
dev_from_ma, high_price, low_price
])
traded_today = True
my_position = 0
if log_level > 0:
print('INFO stopped out ', trades[-1])
elif abs(dev_from_ma) < 0.5 * net_change: # trend dying out
stopout_price = close_price
trade_pnl = my_position * (stopout_price -
my_vwap) * contract.TickValue
my_pnl += trade_pnl
buysell = ('S' if my_position > 0 else 'B')
trades.append([
date, buysell,
abs(my_position), stopout_price, 0, my_pnl, vol, ma,
dev_from_ma, high_price, low_price
])
traded_today = True
my_position = 0
if log_level > 0:
print('INFO took a win ', trades[-1])
# add an empty line if no trades were made today otherwise you'll see gaps in plots
if not traded_today:
unreal_pnl = my_position * (close_price -
my_vwap) * contract.TickValue
trades.append([
date, '-', 0, close_price, my_position, my_pnl + unreal_pnl,
vol, ma, dev_from_ma, high_price, low_price
])
return 0, trades
def OnMarketDataUpdate(self, shc, date, line, risk_dollars):
Trader.OnMarketDataUpdate(self, shc, date, line, risk_dollars)
contract_index = (1 if shc == self.contracts[1] else 0)
self.market_data[contract_index] = line
if not all(self.market_data):
return
contracts = [
ci.ContractInfoDatabase[self.contracts[0]],
ci.ContractInfoDatabase[self.contracts[1]]
]
contracts.append(
ci.ContractInfo(contracts[0].Name + ' VS. ' + contracts[1].Name,
0.01, 10))
date, open_price, high_price, low_price, close_price = \
[0, 0, 0], [0, 0, 0], [0, 0, 0], [0, 0, 0], [0, 0, 0]
try:
# unpack list
for index in [0, 1]:
date[index], open_price[index], high_price[index], low_price[index], close_price[index] = \
fp.TokenizeToPriceInfo(contracts[index], self.market_data[index])
except ValueError or TypeError:
return
if dt.CompareDates(date[0], date[1]) != 0:
return
# print(str(self.market_data))
for index in [0, 1]:
self.lookback_prices[index].append(
[high_price[index], low_price[index], close_price[index]])
if len(self.lookback_prices[0]) < self.ma_lookback_days + 1:
# not initialized yet, push and continue
return
# save ma and update list
# print(list(row[2] for row in lookback_prices))
ma, vol, dollar_vol, weight = [0, 0, 0], [0, 0, 0], [0, 0,
0], [1, 1, 1]
for index in [0, 1]:
ma[index] = statistics.mean(row[2]
for row in self.lookback_prices[index])
vol[index] = statistics.mean(
abs(row[0] - row[1]) for row in self.lookback_prices[index])
dollar_vol[index] = vol[index] * contracts[index].TickValue
is_inverted = False # maintain a flag if we invert ratio
ratio = dollar_vol[0] / dollar_vol[1]
if ratio < 1:
ratio = 1 / ratio
is_inverted = True
high_price[2] = self.ComputeSpreadPrice(ratio, is_inverted,
high_price[0], high_price[1])
low_price[2] = self.ComputeSpreadPrice(ratio, is_inverted,
low_price[0], low_price[1])
close_price[2] = self.ComputeSpreadPrice(ratio, is_inverted,
close_price[0],
close_price[1])
self.lookback_prices[2].append(
[high_price[2], low_price[2], close_price[2]])
ma[2] = statistics.mean(row[2] for row in self.lookback_prices[2])
vol[2] = statistics.mean(
abs(row[0] - row[1]) for row in self.lookback_prices[2])
dev_from_ma = close_price[2] - ma[2]
if self.log_level > 0:
print('INFO vol ', vol, ' dollar vol ', dollar_vol, ' ratio ',
ratio)
for index in [0, 1, 2]:
if len(self.lookback_prices[index]) >= self.ma_lookback_days:
self.lookback_prices[index].pop(0)
loss_ticks = self.o_loss_ticks * vol[2]
net_change = self.o_net_change * vol[2]
# this is a tough one, and this solution is imperfect
# but preferred for its simplicity
spread_tick_value = min(contracts[0].TickValue,
contracts[1].TickValue * ratio)
if is_inverted:
spread_tick_value = min(contracts[0].TickValue * ratio,
contracts[1].TickValue)
if self.log_level > 0:
print('INFO vol:',
vol,
'adjusted params:',
'net_change:',
net_change,
'loss_ticks:',
loss_ticks,
'spread_tick_value:',
spread_tick_value,
sep=' ')
traded_today = False
if self.my_position[
2] == 0: # flat, see if we want to get into a position
# how much did today's close price deviate from moving average ?
# +ve value means breaking out to the upside
# -ve value means breaking out to the downside
if abs(dev_from_ma) > net_change: # blown out
trade_size = int((risk_dollars / spread_tick_value) /
loss_ticks + 1)
self.my_position[0] = trade_size * (ratio
if is_inverted else 1)
self.my_position[1] = trade_size * (1
if is_inverted else ratio)
self.my_vwap = list(close_price)
self.my_position[2] = trade_size * (1
if dev_from_ma < 0 else -1)
self.my_vwap[2] = close_price[2]
self.trades.append([
date[0], ('B' if dev_from_ma < 0 else 'S'), trade_size,
close_price[2], self.my_position[2], self.my_pnl[2],
vol[2], ma[2], dev_from_ma, high_price[2], low_price[2]
])
traded_today = True
if self.log_level > 0:
print('INFO initiating position ', self.trades[-1])
else: # have a position already, check for stop outs
if ((self.my_position[2] > 0
and self.my_vwap[2] - low_price[2] > loss_ticks)
or (self.my_position[2] < 0
and high_price[2] - self.my_vwap[2] > loss_ticks)):
stopout_price = self.my_vwap[2] + \
(loss_ticks * (1 if self.my_position[2] < 0 else -1))
trade_pnl = abs(
self.my_position[2]) * loss_ticks * spread_tick_value
self.my_pnl[2] -= trade_pnl
buysell = ('S' if self.my_position[2] > 0 else 'B')
self.trades.append([
date[0], buysell,
abs(self.my_position[2]), stopout_price, 0, self.my_pnl[2],
vol[2], ma[2], dev_from_ma, high_price[2], low_price[2]
])
traded_today = True
self.my_position = [0, 0, 0]
if self.log_level > 0:
print('INFO stopped out ', self.trades[-1])
elif abs(dev_from_ma) < 0.5 * net_change: # trend dying out
self.my_pnl[0] += self.my_position[0] * (
close_price[0] - self.my_vwap[0]) * contracts[0].TickValue
self.my_pnl[1] += self.my_position[1] * (
close_price[1] - self.my_vwap[1]) * contracts[1].TickValue
self.my_pnl[2] = self.my_pnl[0] + self.my_pnl[1]
buysell = ('S' if self.my_position[2] > 0 else 'B')
self.trades.append([
date[0], buysell,
abs(self.my_position[2]), close_price[2], 0,
self.my_pnl[2], vol[2], ma[2], dev_from_ma, high_price[2],
low_price[2]
])
traded_today = True
self.my_position = [0, 0, 0]
if self.log_level > 0:
print('INFO took a win ', self.trades[-1])
if not traded_today:
unreal_pnl = self.my_position[0] * (close_price[0] - self.my_vwap[0]) * contracts[0].TickValue + \
self.my_position[1] * (close_price[1] - self.my_vwap[1]) * contracts[1].TickValue
self.trades.append([
date[0], '-', self.my_position[2], close_price[2], 0,
self.my_pnl[2] + unreal_pnl, vol[2], ma[2], dev_from_ma,
high_price[2], low_price[2]
])
self.alloc.append(risk_dollars)
if len(self.trades) >= 2:
self.daily_pnl.append(self.trades[-1][5] - self.trades[-2][5])
if self.trades[-2][5] != 0:
self.pct_pnl_change.append(
100 * self.daily_pnl[-1] /
abs(self.trades[-2][5])) # what % pnl increase?
else:
self.daily_pnl.append(self.trades[-1][5])
def OnMarketDataUpdate(self, shc, date, line, risk_dollars):
Trader.OnMarketDataUpdate(self, shc, date, line, risk_dollars)
contract_index = (1 if shc == self.contracts[1] else 0)
self.market_data[contract_index] = line
if not all(self.market_data):
return
contracts = [
ci.ContractInfoDatabase[self.contracts[0]],
ci.ContractInfoDatabase[self.contracts[1]]
]
date, open_price, high_price, low_price, close_price = \
[0, 0, 0], [0, 0, 0], [0, 0, 0], [0, 0, 0], [0, 0, 0]
try:
# unpack list
for index in [0, 1]:
date[index], open_price[index], high_price[index], low_price[index], close_price[index] = \
fp.TokenizeToPriceInfo(contracts[index], self.market_data[index])
except ValueError or TypeError:
return
if dt.CompareDates(date[0], date[1]) != 0:
return
# print(str(self.market_data))
for index in [0, 1]:
self.lookback_prices[index].append(
[high_price[index], low_price[index], close_price[index]])
if len(self.lookback_prices[0]) < self.ma_lookback_days + 1:
# not initialized yet, push and continue
return
# save ma and update list
# print(list(row[2] for row in lookback_prices))
ma, vol, dev_from_ma = [0, 0], [0, 0], [0, 0]
for index in [0, 1]:
ma[index] = statistics.mean(row[2]
for row in self.lookback_prices[index])
vol[index] = statistics.mean(
abs(row[0] - row[1]) for row in self.lookback_prices[index])
dev_from_ma[index] = close_price[index] - ma[index]
self.lookback_dev_from_ma[index].append(dev_from_ma[index])
# Need at least 2 points, not enough degrees of freedom
if len(self.lookback_dev_from_ma[0]) < 2:
return
corr = numpy.corrcoef(self.lookback_dev_from_ma[0],
self.lookback_dev_from_ma[1])
cov = numpy.cov(self.lookback_dev_from_ma[0],
self.lookback_dev_from_ma[1])
corr_0_1 = corr[0, 1] # get the correlation between the 2 series
# get the strength of the moves
# this holds the answer to 'for every 1 unit move in B, how much should A move'
# we will use this to predict expected moves and then use the difference
# with actual move to accumulate positions
cov_0_1 = cov[0, 0] / cov[0, 1]
# project what the price-change should be
# this is designed so that for weaker correlations, projections are dampened
projected_dev_from_ma = dev_from_ma[1] * cov_0_1
projected_price = ma[0] + projected_dev_from_ma
dev_from_projection = projected_dev_from_ma * abs(
corr_0_1) - dev_from_ma[0]
if math.isnan(dev_from_projection):
if self.log_level > 0:
print('Skipping because dev_from_projection:',
dev_from_projection, 'or correlation:', corr_0_1,
'less than', self.min_correlation)
return
# track it so we know how big an average deviation is
self.lookback_dev_from_projection.append(
dev_from_projection) # this measure only cares about the magnitude
dev_from_projection_vol = statistics.mean(
abs(item) for item in self.lookback_dev_from_projection)
if self.log_level > 0:
print('dev_from_projection',
dev_from_projection,
'dev_from_projection_vol',
dev_from_projection_vol,
'entries',
self.lookback_dev_from_projection,
sep=' ')
if len(self.lookback_dev_from_ma[0]) < self.ma_lookback_days + 1:
# need to have a long enough history
# of relative deviations to project in the future
if self.log_level > 0:
print('not enough lookback_dev_from_ma history',
len(self.lookback_dev_from_ma[0]),
self.ma_lookback_days,
sep=' ')
return
for index in [0, 1]:
while len(self.lookback_prices[index]) > self.ma_lookback_days:
self.lookback_prices[index].pop(0)
while len(
self.lookback_dev_from_ma[index]) > self.ma_lookback_days:
self.lookback_dev_from_ma[index].pop(0)
while len(self.lookback_dev_from_projection) > self.ma_lookback_days:
self.lookback_dev_from_projection.pop(0)
if self.log_level > 0:
print(contracts[0].Name, 'projected by', contracts[1].Name,
'correlation:', corr_0_1, 'coefficient:', cov_0_1)
print('projected_dev_from_ma',
projected_dev_from_ma,
'actual',
dev_from_ma[0],
'dev_from_projection',
dev_from_projection,
sep=' ')
loss_ticks = self.o_loss_ticks * vol[0]
net_change = self.o_net_change * dev_from_projection_vol
if self.log_level > 0:
print('INFO vol:',
vol,
'adjusted params:',
'net_change:',
net_change,
'loss_ticks:',
loss_ticks,
sep=' ')
traded_today = False
if self.my_position == 0: # flat, see if we want to get into a position
# how much did today's close price deviate from moving average ?
# +ve value means breaking out to the upside
# -ve value means breaking out to the downside
if abs(dev_from_projection) > net_change: # blown out
trade_size = int((risk_dollars / contracts[0].TickValue) /
loss_ticks + 1)
self.my_position = trade_size * (1 if dev_from_projection > 0
else -1)
self.my_vwap = close_price[0]
self.trades.append([
date[0], ('B' if dev_from_projection > 0 else 'S'),
trade_size, close_price[0], self.my_position, self.my_pnl,
dev_from_projection_vol, ma[0], dev_from_projection,
projected_price, corr_0_1
])
traded_today = True
if self.log_level > 0:
print('INFO initiating position ', self.trades[-1])
else: # have a position already, check for stop outs
if ((self.my_position > 0
and self.my_vwap - low_price[0] > loss_ticks)
or (self.my_position < 0
and high_price[0] - self.my_vwap > loss_ticks)):
stopout_price = self.my_vwap + \
(loss_ticks * (1 if self.my_position < 0 else -1))
trade_pnl = abs(
self.my_position) * loss_ticks * contracts[0].TickValue
self.my_pnl -= trade_pnl
buysell = ('S' if self.my_position > 0 else 'B')
self.trades.append([
date[0], buysell,
abs(self.my_position), stopout_price, 0, self.my_pnl,
dev_from_projection_vol, ma[0], dev_from_projection,
projected_price, corr_0_1
])
traded_today = True
self.my_position = 0
if self.log_level > 0:
print('INFO stopped out ', self.trades[-1])
elif abs(dev_from_projection
) < 0.5 * net_change: # deviation dying out
stopout_price = close_price[0]
trade_pnl = self.my_position * (
stopout_price - self.my_vwap) * contracts[0].TickValue
self.my_pnl += trade_pnl
buysell = ('S' if self.my_position > 0 else 'B')
self.trades.append([
date[0], buysell,
abs(self.my_position), stopout_price, 0, self.my_pnl,
vol[0], ma[0], dev_from_projection_vol, projected_price,
corr_0_1
])
traded_today = True
self.my_position = 0
if self.log_level > 0:
print('INFO took a win ', self.trades[-1])
if not traded_today:
unreal_pnl = self.my_position * (
close_price[0] - self.my_vwap) * contracts[0].TickValue
self.trades.append([
date[0], '-', self.my_position, close_price[0], 0,
self.my_pnl + unreal_pnl, dev_from_projection_vol, ma[0],
dev_from_projection, projected_price, corr_0_1
])
self.alloc.append(risk_dollars)
if len(self.trades) >= 2:
self.daily_pnl.append(self.trades[-1][5] - self.trades[-2][5])
if self.trades[-2][5] != 0:
self.pct_pnl_change.append(
100 * self.daily_pnl[-1] /
abs(self.trades[-2][5])) # what % pnl increase?
else:
self.daily_pnl.append(self.trades[-1][5])
if self.log_level > 0:
print('TRADE ' + str(self.ShortName()) + ' ' +
str(self.trades[-1]))
print('ALLOC ' + str(self.ShortName()) + ' ' + str(self.alloc[-1]))
def OnMarketDataUpdate(self, shc, date, line, risk_dollars):
Trader.OnMarketDataUpdate(self, shc, date, line, risk_dollars)
contract = Trader.ShcToContract(self, shc)
try:
# unpack list
date, open_price, high_price, low_price, close_price = \
fp.TokenizeToPriceInfo(contract, line)
except ValueError or TypeError:
return
self.lookback_prices.append([high_price, low_price, close_price])
if len(self.lookback_prices) < self.ma_lookback_days + 1:
# not initialized yet, push and continue
return
# save ma and update list
# print(list(row[2] for row in lookback_prices))
ma = statistics.mean(row[2] for row in self.lookback_prices)
vol = statistics.mean(
(row[0] - row[1]) for row in self.lookback_prices)
loss_ticks = self.o_loss_ticks * vol
net_change = self.o_net_change * vol
if self.log_level > 0:
print('INFO vol:',
vol,
'adjusted params:',
'net_change:',
net_change,
'loss_ticks:',
loss_ticks,
sep=' ')
self.lookback_prices.pop(0)
dev_from_ma = close_price - ma
if self.log_level > 0:
print('INFO ma:',
ma,
'close_price:',
close_price,
'dev_from_ma:',
dev_from_ma,
sep=' ')
traded_today = False
if self.my_position == 0: # flat, see if we want to get into a position
# how much did today's close price deviate from moving average ?
# +ve value means breaking out to the upside
# -ve value means breaking out to the downside
if abs(dev_from_ma) > net_change: # blown out
trade_size = int((risk_dollars / contract.TickValue) /
loss_ticks + 1)
self.my_position = trade_size * (1 if dev_from_ma < 0 else -1)
self.my_vwap = close_price
self.trades.append([
date, ('B' if dev_from_ma < 0 else 'S'), trade_size,
close_price, self.my_position, self.my_pnl, vol, ma,
dev_from_ma, high_price, low_price
])
traded_today = True
if self.log_level > 0:
print('INFO initiating position ', self.trades[-1])
else: # have a position already, check for stop outs
if ((self.my_position > 0
and self.my_vwap - low_price > loss_ticks)
or (self.my_position < 0
and high_price - self.my_vwap > loss_ticks)):
stopout_price = self.my_vwap + \
(loss_ticks * (1 if self.my_position < 0 else -1))
trade_pnl = abs(
self.my_position) * loss_ticks * contract.TickValue
self.my_pnl -= trade_pnl
buysell = ('S' if self.my_position > 0 else 'B')
self.trades.append([
date, buysell,
abs(self.my_position), stopout_price, 0, self.my_pnl, vol,
ma, dev_from_ma, high_price, low_price
])
traded_today = True
self.my_position = 0
if self.log_level > 0:
print('INFO stopped out ', self.trades[-1])
elif abs(dev_from_ma) < 0.5 * net_change: # trend dying out
stopout_price = close_price
trade_pnl = self.my_position * (
stopout_price - self.my_vwap) * contract.TickValue
self.my_pnl += trade_pnl
buysell = ('S' if self.my_position > 0 else 'B')
self.trades.append([
date, buysell,
abs(self.my_position), stopout_price, 0, self.my_pnl, vol,
ma, dev_from_ma, high_price, low_price
])
traded_today = True
self.my_position = 0
if self.log_level > 0:
print('INFO took a win ', self.trades[-1])
if not traded_today:
unreal_pnl = self.my_position * (close_price -
self.my_vwap) * contract.TickValue
self.trades.append([
date, '-', 0, close_price, self.my_position,
self.my_pnl + unreal_pnl, vol, ma, dev_from_ma, high_price,
low_price
])
self.alloc.append(risk_dollars)
if len(self.trades) >= 2:
self.daily_pnl.append(self.trades[-1][5] - self.trades[-2][5])
if self.trades[-2][5] != 0:
self.pct_pnl_change.append(
100 * self.daily_pnl[-1] /
abs(self.trades[-2][5])) # what % pnl increase?
else:
self.daily_pnl.append(self.trades[-1][5])
def PairsReversionStrategy(contracts, data_csv=[], data_list=[], **strategy_params):
"""
Run a mean reversion strategy on either the data_csv file
or the data_list list, if both are passed, it will return error
Trading parameters:
net_change: how much does today's price have to deviate from
ma to consider trend to be starting
ma_lookback_days: how many days to build moving average over
loss_ticks: where to stop out on a losing position
:param contracts:
:param data_csv: csv filename to load data from
:param data_list: list to load data from
:param strategy_params: dictionary of trading parameters
:return: (error/successs code, list of trade information)
"""
trades = []
log_level = strategy_params.pop('log_level', 0)
if not data_csv and not data_list:
if log_level > 0:
print('Error neither have datafile nor datalist')
return -1, None, None
if data_csv and data_list:
if log_level > 0:
print("Error cannot have both datafile and datalist")
return -1, None, None
# get an iterable based on arguments passed
market_data_1 = data_list or open(data_csv[0], 'r')
market_data_2 = data_list or open(data_csv[1], 'r')
if log_level > 0:
print('INFO opened data file/list ', market_data_1, ' and ', market_data_2)
# dump out trading parameters
if log_level > 0:
print('INFO trading params ', strategy_params)
# pull out parameters, use defaults if missing
ma_lookback_days = int(strategy_params.pop('ma_lookback_days', 10))
o_loss_ticks = float(strategy_params.pop('loss_ticks', 5.0))
o_net_change = float(strategy_params.pop('net_change', 5.0))
risk_dollars = float(strategy_params.pop('risk_dollars', 1000.0))
# define some model specific variables
lookback_prices = [[], [], []] # maintain, update ma
my_position, my_vwap, my_pnl = [0,0,0], [0,0,0], [0,0,0] # position, position vwap, pnl
market_data = [list(reversed(list(market_data_1))), list(reversed(list(market_data_2)))]
market_data_index = [0, 0]
syn_contract = ci.ContractInfo(contracts[0].Name + 'VS. ' + contracts[1].Name, 0.01, 10)
while market_data_index[0] < len(market_data[0]) and market_data_index[1] < len(market_data[1]):
date, open_price, high_price, low_price, close_price = [0, 0, 0], [0, 0, 0], [0, 0, 0], [0, 0, 0], [0, 0, 0]
try:
if log_level > 0:
print('INFO looking at index: ', market_data_index[0], '/',
len(market_data[0]), ' ', market_data_index[1], '/', len(market_data[1]))
# unpack list
for index in [0, 1]:
date[index], open_price[index], high_price[index], low_price[index], close_price[index] =\
fp.TokenizeToPriceInfo(contracts[index], market_data[index][market_data_index[index]])
except ValueError or TypeError:
# update indices
for index in [0,1]:
market_data_index[index] += 1
continue
# sanity check to make sure we are looking at same day on both contracts
if date[0] != date[1]:
# need to figure out which contract is lagging and bring that upto speed
if du.CompareDates(date[0], date[1]) < 0:
market_data_index[0] += 1
else:
market_data_index[1] += 1
continue
for index in [0, 1]:
market_data_index[index] += 1
lookback_prices[index].append(high_price[index], low_price[index], close_price[index])
if len(lookback_prices[0]) < ma_lookback_days + 1:
# not initialized yet, push and continue
continue
# save ma and update list
ma, vol , dollar_vol, weight = [0, 0, 0], [0, 0, 0], [0, 0, 0], [1, 1, 1]
for index in [0, 1]:
ma[index] = statistics.mean(row[2] for row in lookback_prices[index])
vol[index] = statistics.mean(abs(row[0] - row[1]) for row in lookback_prices[index])
dollar_vol[index] = vol[index] * contracts[index].TickValue
is_inverted = False # maintain a flag if we invert ratio
ratio = dollar_vol[0] / dollar_vol[1]
if ratio < 1:
ratio = 1 / ratio
is_inverted = True
high_price[2] = ComputeSpreadPrice(ratio, is_inverted, high_price[0], high_price[1])
low_price[2] = ComputeSpreadPrice(ratio, is_inverted, low_price[0], low_price[1])
close_price[2] = ComputeSpreadPrice(ratio, is_inverted, close_price[0], close_price[1])
lookback_prices[2].append(high_price[2], low_price[2], close_price[2])
ma[2] = statistics.mean(row[2] for row in lookback_prices[2])
vol[2] = statistics.mean(abs(row[0] - row[1]) for row in lookback_prices[2])
dev_from_ma = close_price[2] - ma[2]
if log_level > 0:
print('INFO vol ', vol, ' dollar vol ', dollar_vol, ' ratio ', ratio)
for index in [0, 1, 2]:
if len(lookback_prices[index]) >= ma_lookback_days:
lookback_prices[index].pop(0)
loss_ticks = o_loss_ticks * vol[2]
net_change = o_net_change * vol[2]
# this is a tough one and this solution is imperfect
# but preferred for its simplicity
spread_tick_value = min(contracts[0].TickValue, contracts[1].TickValue * ratio)
if is_inverted:
spread_tick_value = min(contracts[0].TickValue * ratio, contracts[1].TickValue)
if log_level > 0:
print('INFO vol:', vol, 'adjusted params:', 'net_change:', net_change, 'loss_ticks:', loss_ticks,
'spread_tick_value:', spread_tick_value, sep=' ')
traded_today = False
if my_position[2] == 0: # flat, see if we want to get into a position
# how much did today's close price deviate from moving average
# +ve value means breaking out to the upside
# -ve value means breaking out to the downside
if abs(dev_from_ma) > net_change: # blown out
trade_size = int((risk_dollars / spread_tick_value) / loss_ticks + 1)
my_position[0] = trade_size * (ratio if is_inverted else 1)
my_position[1] = trade_size * (1 if is_inverted else ratio)
my_vwap = list(close_price)
my_position[2] = trade_size * (1 if dev_from_ma < 0 else -1)
my_vwap[2] = close_price[2]
trades.append([date[0], ('B' if dev_from_ma < 0 else 'S'), trade_size, close_price[2],
my_position[2], my_pnl[2], vol[2], ma[2], dev_from_ma, high_price[2], low_price[2]])
traded_today = True
if log_level > 0:
print('INFO initiating position ', trades[-1])
else: # have a position already, check for stop outs
if ((my_position[2] > 0 and my_vwap[2] - low_price[2] > loss_ticks) or
(my_position[2] < 0 and high_price[2] - my_vwap[2] > loss_ticks)):
stopout_price = my_vwap[2] + (loss_ticks * (1 if my_position[2] < 0 else -1))
trade_pnl = abs(my_position[2] * loss_ticks * spread_tick_value)
my_pnl[2] -= trade_pnl
buysell = ('S' if my_position[2] > 0 else 'B')
traded_today = True
trades.append([date[0], buysell, abs(my_position[2]), stopout_price, 0, my_pnl[2], vol[2], ma[2],
dev_from_ma, high_price[2], low_price[2]])
my_position = [0, 0, 0]
if log_level > 0:
print('INFO stopped out ', trades[-1])
elif abs(dev_from_ma) < 0.5 * net_change: # trend dying out
my_pnl[0] += my_position[0] * (close_price[0] - my_vwap[0]) * contracts[0].TickValue
my_pnl[1] += my_position[1] * (close_price[1] - my_vwap[1]) * contracts[1].TickValue
my_pnl[2] = my_pnl[0] + my_pnl[1]
buysell = ('S' if my_position[2] > 0 else 'B')
trades.append(
[date[0], buysell, abs(my_position[2]), close_price[2], 0, my_pnl[2], vol[2], ma[2], dev_from_ma,
high_price[2], low_price[2]])
traded_today = True
my_position = [0, 0, 0]
if log_level > 0:
print('INFO took a win ', trades[-1])
if not traded_today:
unreal_pnl = my_position[0] * (close_price[0] - my_vwap[0]) * contracts[0].TickValue + \
my_position[1] * (close_price[1] - my_vwap[1]) * contracts[1].TickValue
trades.append(
[date[0], '-', my_position[2], close_price[2], 0, my_pnl[2] + unreal_pnl, vol[2], ma[2], dev_from_ma,
high_price[2], low_price[2]])
return 0, syn_contract, trades
def StatArbStrategy(contracts, data_csv=[], data_list=[], **strategy_params):
"""
Trade contract[0] using contract[1] as leading indicator
Trading parameters:
net_change: how much does today's price have to deviate from
ma to consider trend to be starting
ma_lookback_days: how many days to build moving average over
loss_ticks: where to stop out on a losing position
:param contracts:
:param data_csv: csv filename to load data from
:param data_list: list to load data from
:param strategy_params: dictionary of trading parameters
:return: (error/successs code, list of trade information)
"""
trades = []
log_level = strategy_params.pop('log_level', 0)
if not data_csv and not data_list:
if log_level > 0:
print('Error neither have datafile nor datalist')
return -1, None, None
if data_csv and data_list:
if log_level > 0:
print("Error cannot have both datafile and datalist")
return -1, None, None
# get an iterable based on arguments passed
market_data_1 = data_list or open(data_csv[0], 'r')
market_data_2 = data_list or open(data_csv[1], 'r')
if log_level > 0:
print('INFO opened data file/list ', market_data_1, ' and ', market_data_2)
# dump out trading parameters
if log_level > 0:
print('INFO trading params ', strategy_params)
# pull out parameters, use defaults if missing
ma_lookback_days = int(strategy_params.pop('ma_lookback_days', 10))
o_loss_ticks = float(strategy_params.pop('loss_ticks', 5.0))
o_net_change = float(strategy_params.pop('net_change', 5.0))
risk_dollars = float(strategy_params.pop('risk_dollars', 1000.0))
min_correlation = float(strategy_params.pop('min_correlation', 0.75))
# define some model specific variables
lookback_prices = [[], []] # maintain, update ma
lookback_dev_from_ma = [[], []]
lookback_dev_from_projection = []
my_position, my_vwap, my_pnl = 0, 0, 0 # position, position vwap, pnl
market_data = [list(reversed(list(market_data_1))), list(reversed(list(market_data_2)))]
market_data_index = [0, 0]
while market_data_index[0] < len(market_data[0]) and market_data_index[1] < len(market_data[1]):
date, open_price, high_price, low_price, close_price = [0, 0], [0, 0], [0, 0], [0, 0], [0, 0]
try:
if log_level > 0:
print('INFO looking at index: ', market_data_index[0], '/',
len(market_data[0]), ' ', market_data_index[1], '/', len(market_data[1]))
# unpack list
for index in [0, 1]:
date[index], open_price[index], high_price[index], low_price[index], close_price[index] = \
fp.TokenizeToPriceInfo(contracts[index], market_data[index][market_data_index[index]])
except ValueError or TypeError:
# update indices
for index in [0, 1]:
market_data_index[index] += 1
continue
# sanity check to make sure we are looking at same day on both contracts
if date[0] != date[1]:
# need to figure out which contract is lagging and bring that upto speed
if du.CompareDates(date[0], date[1]) < 0:
market_data_index[0] += 1
else:
market_data_index[1] += 1
continue
for index in [0, 1]:
market_data_index[index] += 1
lookback_prices[index].append(high_price[index], low_price[index], close_price[index])
if len(lookback_prices[0]) < ma_lookback_days + 1:
# not initialized yet, push and continue
continue
# save ma and update list
ma, vol, dev_from_ma = [0, 0], [0, 0], [0, 0]
for index in [0, 1]:
ma[index] = statistics.mean(row[2] for row in lookback_prices[index])
vol[index] = statistics.mean(abs(row[0] - row[1]) for row in lookback_prices[index])
dev_from_ma[index] = close_price[index] - ma[index]
lookback_dev_from_ma[index].append(dev_from_ma[index])
# Need at least 2 points, not enough degrees of freedom
if len(lookback_dev_from_ma[0]) < 2:
continue
corr = numpy.corrcoef(lookback_dev_from_ma[0], lookback_dev_from_ma[1])
cov = numpy.cov(lookback_dev_from_ma[0], lookback_dev_from_ma[1])
corr_0_1 = corr[0, 1] # get the correlation between the 2 series
# get the strength of the moves
# this holds the answer to 'for every 1 unit move in B, how much should A move'
# we will use this to predict expected moves and then use the difference
# with actual move to accumulate positions
cov_0_1 = cov[0, 0] / cov[0, 1]
# project what the price-change should be
# this is designed so that for weaker correlations, projections are dampened
projected_dev_from_ma = dev_from_ma[1] * cov_0_1
projected_price = ma[0] + projected_dev_from_ma
dev_from_projection = projected_dev_from_ma * abs(corr_0_1) - dev_from_ma[0]
if math.isnan(dev_from_projection) or corr_0_1 < min_correlation:
if log_level > 0:
print('Skipping because dev_from_projection', dev_from_projection,
'or correlation:', corr_0_1, 'less than', min_correlation)
continue
# track it so we know how big an average deviation is
lookback_dev_from_projection.append(dev_from_projection) # this measure only cares about the magnitude
dev_from_projection_vol = statistics.mean(abs(item) for item in lookback_dev_from_projection)
if log_level > 0:
print('dev_from_projection', dev_from_projection, 'dev_from_projection_vol',
dev_from_projection_vol, 'entries', lookback_dev_from_projection, sep=' ')
if len(lookback_dev_from_ma[0]) < ma_lookback_days + 1:
# need to have a long enough history
# or relative deviations to project in the future
if log_level > 0:
print('not enough lookback_dev_from_ma history', len(lookback_dev_from_ma[0]), ma_lookback_days,
sep=' ')
continue
for index in [0, 1]:
while len(lookback_prices[index]) > ma_lookback_days:
lookback_prices[index].pop(0)
while len(lookback_dev_from_ma[index]) > ma_lookback_days:
lookback_dev_from_ma[index].pop(0)
while len(lookback_dev_from_projection) > ma_lookback_days:
lookback_dev_from_projection.pop(0)
if log_level > 0:
print(contracts[0].Name, 'projected by', contracts[1].Name,
'correlation', corr_0_1, 'coefficient:', cov_0_1)
print('projected_dev_from_ma', projected_dev_from_ma, 'actual',dev_from_ma[0],
'dev_from_projection', dev_from_projection, sep=' ')
loss_ticks = o_loss_ticks * vol[0]
net_change = o_net_change * dev_from_projection_vol
if log_level > 0:
print('INFO vol:', vol, 'adjusted params:', 'net_change:', net_change, 'loss_ticks:', loss_ticks,
sep=' ')
traded_today = False
if my_position == 0: # flat, see if we want to get into a position
# how much did today's close price deviate from moving average ?
# +ve value means breaking out to the upside
# -ve value means breaking out to the downside
if abs(dev_from_projection) > net_change: # blown out
trade_size = int((risk_dollars / contracts[0].TickValue) / loss_ticks + 1)
my_position = trade_size * (1 if dev_from_projection > 0 else -1)
my_vwap = close_price[0]
trades.append([date[0], ('B' if dev_from_projection > 0 else 'S'), trade_size, close_price[0],
my_position, my_pnl, dev_from_projection_vol, ma[0], dev_from_projection, projected_price, corr_0_1])
traded_today = True
if log_level > 0:
print('INFO initiating position ', trades[-1])
else: # have a position already, check for stop outs
if ((my_position > 0 and my_vwap - low_price[0] > loss_ticks) or
(my_position < 0 and high_price[0] - my_vwap > loss_ticks)):
stopout_price = my_vwap + loss_ticks * (1 if my_position < 0 else -1)
trade_pnl = abs(my_position) * loss_ticks * contracts[0].TickValue
my_pnl -= trade_pnl
buysell = ('S' if my_position > 0 else 'B')
trades.append(
[date[0], buysell, abs(my_position), stopout_price, 0, my_pnl, dev_from_projection_vol, ma[0],
dev_from_projection, projected_price, corr_0_1])
traded_today = True
my_position = 0
traded_today = True
my_position = 0
if log_level > 0:
print('INFO stopped out ', trades[-1])
elif abs(dev_from_projection) < 0.5 * net_change: # deviation dying out
stopout_price = close_price[0]
trade_pnl = my_position * (stopout_price - my_vwap) * contracts[0].TickValue
my_pnl += trade_pnl
buysell = ('S' if my_position > 0 else 'B')
trades.append(
[date[0], buysell, abs(my_position), stopout_price, 0, my_pnl, vol[0], ma[0],
dev_from_projection_vol, projected_price, corr_0_1])
traded_today = True
my_position = 0
if log_level > 0:
print('INFO took a win ', trades[-1])
if not traded_today:
unreal_pnl = my_position * (close_price[0] - my_vwap) * contracts[0].TickValue
trades.append([date[0], '-', my_position, close_price[0], 0, my_pnl + unreal_pnl, dev_from_projection_vol, ma[0], dev_from_projection, projected_price, corr_0_1])
return 0, trades