def initialize(context):
"""
A function to define things to do at the start of the strategy
"""
# set the account currency, only valid for backtests
set_account_currency("USD")
# lot-size (mini-lot for most brokers)
context.lot_size = 1000
# universe selection
context.securities = [
symbol('AUD/USD'),
symbol('EUR/CHF'),
symbol('EUR/JPY'),
symbol('EUR/USD'),
symbol('GBP/USD'),
symbol('NZD/USD'),
symbol('USD/CAD'),
symbol('USD/CHF'),
symbol('USD/JPY'),
]
# define strategy parameters
context.params = {
'indicator_lookback': 375,
'indicator_freq': '1m',
'buy_signal_threshold': 0.5,
'sell_signal_threshold': -0.5,
'SMA_period_short': 15,
'SMA_period_long': 60,
'RSI_period': 60,
'trade_freq': 30,
'leverage': 1,
'pip_cost': 0.00003
}
# variable to control trading frequency
context.bar_count = 0
context.trading_hours = False
# variables to track signals and target portfolio
context.signals = dict((security, 0) for security in context.securities)
context.target_position = dict(
(security, 0) for security in context.securities)
# set a timeout for trading
schedule_function(stop_trading, date_rules.every_day(),
time_rules.market_close(hours=0, minutes=31))
# call square off to zero out positions 30 minutes before close.
schedule_function(daily_square_off, date_rules.every_day(),
time_rules.market_close(hours=0, minutes=30))
def initialize(context):
"""
A function to define things to do at the start of the strategy
"""
# set the account currency, only valid for backtests
set_account_currency("USD")
# universe selection
context.short_dollar_basket = {
symbol('AUD/USD'): 1,
symbol('EUR/USD'): 1,
symbol('GBP/USD'): 1,
symbol('NZD/USD'): 1,
symbol('USD/CAD'): -1,
symbol('USD/CHF'): -1,
symbol('USD/JPY'): -1,
}
# Call rebalance function on the first trading day of each month after 2.5 hours from market open
schedule_function(rebalance, date_rules.month_start(days_offset=0),
time_rules.market_close(hours=2, minutes=30))
def initialize(context):
"""
function to define things to do at the start of the strategy
"""
# set the account currency, only valid for backtests
set_account_currency("USD")
# trading pound parity!
# this should work after the European sovereign crisis settled down
# and before the Brexit noise started (2012-2015)
context.x = symbol('GBP/USD')
context.y = symbol('EUR/USD')
context.leverage = 5
context.signal = 0
# Trade entry and exit when the z_score is +/- entry_z_score and exit_z_score respectively
context.entry_z_score = 2.0
context.exit_z_score = 0.5
# Lookback window
context.lookback = 720
# used for zscore calculation
context.z_window = 360
# Call strategy function after the London open every day
schedule_function(pair_trading_strategy, date_rules.every_day(),
time_rules.market_open(hours=9, minutes=30))
# square off towards to NYC close
context.trading_hours = False
# set a timeout for trading
schedule_function(stop_trading, date_rules.every_day(),
time_rules.market_close(hours=0, minutes=31))
# call square off to zero out positions 30 minutes before close.
schedule_function(daily_square_off, date_rules.every_day(),
time_rules.market_close(hours=0, minutes=30))