# get all asset data
br.start_date = "02 Jan 1990"
br.finish_date = datetime.datetime.utcnow()
br.spot_tc_bp = 2.5 # 2.5 bps bid/ask spread
br.ann_factor = 252
# have vol target for each signal
br.signal_vol_adjust = True
br.signal_vol_target = 0.05
br.signal_vol_max_leverage = 3
br.signal_vol_periods = 60
br.signal_vol_obs_in_year = 252
br.signal_vol_rebalance_freq = 'BM'
br.signal_vol_resample_freq = None
tech_params = TechParams(); tech_params.sma_period = 200; indicator = 'SMA'
# pick USD crosses in G10 FX
# note: we are calculating returns from spot (it is much better to use to total return
# indices for FX, which include carry)
logger.info("Loading asset data...")
tickers = ['EURUSD', 'USDJPY', 'GBPUSD', 'AUDUSD', 'USDCAD',
'NZDUSD', 'USDCHF', 'USDNOK', 'USDSEK']
vendor_tickers = ['FRED/DEXUSEU', 'FRED/DEXJPUS', 'FRED/DEXUSUK', 'FRED/DEXUSAL', 'FRED/DEXCAUS',
'FRED/DEXUSNZ', 'FRED/DEXSZUS', 'FRED/DEXNOUS', 'FRED/DEXSDUS']
time_series_request = TimeSeriesRequest(
start_date = "01 Jan 1989", # start date
finish_date = datetime.date.today(), # finish date
time_series_request = TimeSeriesRequest(
start_date="01 Jan 1970", # start date
finish_date=datetime.date.today(), # finish date
freq='daily', # daily data
data_source='quandl', # use Quandl as data source
tickers=['EURUSD', # ticker (Thalesians)
'GBPUSD'],
fields=['close'], # which fields to download
vendor_tickers=['FRED/DEXUSEU', 'FRED/DEXUSUK'], # ticker (Quandl)
vendor_fields=['close'], # which Bloomberg fields to download
cache_algo='internet_load_return') # how to return data
ltsf = LightTimeSeriesFactory()
daily_vals = ltsf.harvest_time_series(time_series_request)
techind = TechIndicator()
tech_params = TechParams()
tech_params.sma_period = 20
techind.create_tech_ind(daily_vals, 'SMA', tech_params=tech_params)
sma = techind.get_techind()
signal = techind.get_signal()
combine = daily_vals.join(sma, how='outer')
pf = PlotFactory()
pf.plot_line_graph(combine, adapter='pythalesians')
start_date="01 Jan 1970", # start date
finish_date=datetime.date.today(), # finish date
freq='daily', # daily data
data_source='quandl', # use Quandl as data source
tickers=[
'EURUSD', # ticker (Thalesians)
'GBPUSD'
],
fields=['close'], # which fields to download
vendor_tickers=['FRED/DEXUSEU', 'FRED/DEXUSUK'], # ticker (Quandl)
vendor_fields=['close'], # which Bloomberg fields to download
cache_algo='internet_load_return') # how to return data
ltsf = LightTimeSeriesFactory()
daily_vals = ltsf.harvest_time_series(time_series_request)
techind = TechIndicator()
tech_params = TechParams()
tech_params.sma_period = 20
techind.create_tech_ind(daily_vals, 'SMA', tech_params=tech_params)
sma = techind.get_techind()
signal = techind.get_signal()
combine = daily_vals.join(sma, how='outer')
pf = PlotFactory()
pf.plot_line_graph(combine, adapter='pythalesians')
# get all asset data
br.start_date = "02 Jan 1990"
br.finish_date = datetime.datetime.utcnow()
br.spot_tc_bp = 2.5 # 2.5 bps bid/ask spread
br.ann_factor = 252
# have vol target for each signal
br.signal_vol_adjust = True
br.signal_vol_target = 0.05
br.signal_vol_max_leverage = 3
br.signal_vol_periods = 60
br.signal_vol_obs_in_year = 252
br.signal_vol_rebalance_freq = 'BM'
tech_params = TechParams(); tech_params.sma_period = 200; indicator = 'SMA'
# pick USD crosses in G10 FX
# note: we are calculating returns from spot (it is much better to use to total return
# indices for FX, which include carry)
logger.info("Loading asset data...")
tickers = ['EURUSD', 'USDJPY', 'GBPUSD', 'AUDUSD', 'USDCAD',
'NZDUSD', 'USDCHF', 'USDNOK', 'USDSEK']
vendor_tickers = ['FRED/DEXUSEU', 'FRED/DEXJPUS', 'FRED/DEXUSUK', 'FRED/DEXUSAL', 'FRED/DEXCAUS',
'FRED/DEXUSNZ', 'FRED/DEXSZUS', 'FRED/DEXNOUS', 'FRED/DEXSDUS']
time_series_request = TimeSeriesRequest(
start_date = "01 Jan 1989", # start date
finish_date = datetime.date.today(), # finish date
