def initialize(context):
pipeline = Pipeline()
context.vwaps = []
for length in vwaps:
name = vwap_key(length)
factor = VWAP(window_length=length)
context.vwaps.append(factor)
pipeline.add(factor, name=name)
filter_ = (USEquityPricing.close.latest > 300)
pipeline.add(filter_, 'filter')
if set_screen:
pipeline.set_screen(filter_)
attach_pipeline(pipeline, 'test')
def initialize(context):
pipeline = attach_pipeline(Pipeline(), 'test')
vwap = VWAP(window_length=10)
pipeline.add(vwap, 'vwap')
# Nothing should have prices less than 0.
pipeline.set_screen(vwap < 0)
def initialize(context):
context.ASSET_NAME = 'USDT_BTC'
context.TARGET_INVESTMENT_RATIO = 0.8
context.SHORT_WINDOW = 30
context.LONG_WINDOW = 100
# For all trading pairs in the poloniex bundle, the default denomination
# currently supported by Catalyst is 1/1000th of a full coin. Use this
# constant to scale the price of up to that of a full coin if desired.
context.TICK_SIZE = 1000.0
context.i = 0
context.asset = symbol(context.ASSET_NAME)
set_max_leverage(1.0)
attach_pipeline(make_pipeline(context), 'vwap_pipeline')
schedule_function(
rebalance,
time_rules=times_rules.every_minute(),
)
def initialize(context):
p = attach_pipeline(Pipeline(), 'test', chunks=chunks)
p.add(USEquityPricing.close.latest, 'close')
def initialize(context):
attach_pipeline(Pipeline(), 'test')
def initialize(context):
attach_pipeline(Pipeline(), 'test')
pipeline_output('test')
raise AssertionError("Shouldn't make it past pipeline_output()")
def late_attach(context, data):
attach_pipeline(Pipeline(), 'test')
raise AssertionError("Shouldn't make it past attach_pipeline!")
def initialize(context):
p = attach_pipeline(Pipeline(), 'test', chunks=chunks)
p.add(USEquityPricing.close.latest, 'close')
def initialize(context):
attach_pipeline(Pipeline(), 'test')
def initialize(context):
attach_pipeline(Pipeline(), 'test')
pipeline_output('test')
raise AssertionError("Shouldn't make it past pipeline_output()")
def late_attach(context, data):
attach_pipeline(Pipeline(), 'test')
raise AssertionError("Shouldn't make it past attach_pipeline!")