def make_pipeline():
'''
Create pipeline.
'''
# Base universe
base_universe = QTradableStocksUS()
# Latest p/e ratio.
pe_ratio = Fundamentals.pe_ratio.latest
# Number of stocks invested long and short at the same time
num = 60
# Top 60 and bottom 60 stocks ranked by p/e ratio
top_pe_stocks = pe_ratio.top(num, mask=base_universe)
bottom_pe_stocks = pe_ratio.bottom(num, mask=base_universe)
# Calculate the RSI indicator and the ranking for the stocks
rsi = RSI(inputs=[USEquityPricing.close],
window_length=14,
mask=base_universe)
oversold = rsi < 30 and rsi.bottom(num)
overbought = rsi > 70 and rsi.top(num)
#mean = SimpleMovingAverage(inputs=[USEquityPricing.close],window_length=15, mask=base_universe)
#mean_new = mean
close_price =USEquityPricing.close.latest
#calculate the Bollinger Bands:
upperBB, middleBB, lowerBB = BollingerBands(mask=base_universe, window_length=20, k=2)
# Select securities to short
shorts = overbought and upperBB < close_price and top_pe_stocks
#shorts =upperBB < close_price and top_pe_stocks
# Select securities to long
longs = oversold and close_price < lowerBB and bottom_pe_stocks
#longs = close_price < lowerBB and bottom_pe_stocks
# All securities that want to trade (fulfilling the criteria)
securities_to_trade = (shorts | longs)
return Pipeline(
columns={
'rsi': rsi,
'upperBB' :upperBB,
'lowerBB':lowerBB,
'longs': longs,
'shorts': shorts},
screen=(securities_to_trade))
def make_pipeline():
"""
A function to create our dynamic stock selector (pipeline). Documentation on
pipeline can be found here: https://www.quantopian.com/help#pipeline-title
"""
sma_short = 35
sma_long = 50
short_sma = SimpleMovingAverage(inputs=[USEquityPricing.close],
window_length=sma_short)
long_sma = SimpleMovingAverage(inputs=[USEquityPricing.close],
window_length=sma_long)
rsi = RSI(inputs=[USEquityPricing.close], window_length=10)
symbol = SidInList(sid_list=(8554))
return Pipeline(
columns={
'RSI': rsi,
'SMA_short': short_sma,
'SMA_long': long_sma,
'symbol': symbol,
},
screen=symbol,
)
def make_pipeline():
"""
A function to create our dynamic stock selector (pipeline). Documentation on
pipeline can be found here: https://www.quantopian.com/help#pipeline-title
"""
base_universe = Q1500US()
sector = Sector()
# screen is based off of returns
returns = Returns(window_length=2)
# check if stock price has good strength, but not necessarily overbought
rsi = RSI()
price = USEquityPricing.close.latest
# creating filter by specifying the type of returns desired
top_return_stocks = returns.top(1, mask=base_universe, groupby=sector)
pipe = Pipeline(
columns={
'rsi': rsi,
'price': price
},
# filter top return stocks, and stocks that are not being overbought
# but are not too oversold either
screen=base_universe & top_return_stocks & (20 < rsi < 80)
# the above is equivalent to: choose stocks from the base universe that have had the top returns in their sectors and have a good RSI value
)
return pipe
def make_pipeline(context):
base_universe = Q500US()
# 昨日の終値
yesterday_close = USEquityPricing.close.latest
yesterday_volume = USEquityPricing.volume.latest
dollar_volume = AverageDollarVolume(window_length=30)
high_dollar_volume = dollar_volume.percentile_between(
context.high_dollar_volume_thresh_min,
context.high_dollar_volume_thresh_max)
sector = Sector()
rsi = RSI(inputs=[USEquityPricing.close])
pipe = Pipeline(screen=base_universe & high_dollar_volume,
columns={
'high_dollar_volume': high_dollar_volume,
'sector': sector,
'rsi': rsi,
'roa': ROA(),
'roe': ROE(),
'normalized_basic_eps': NormalizedBasicEps(),
'net_income_growth': NetIncomeGrowth(),
'pe': PE(),
'book_value_yield': BookValueYield(),
'dividend_yield': DividendYield(),
'period_ending_date': PeriodEndingDate(),
'prev_close': yesterday_close,
})
return pipe
def make_pipeline():
have_market_cap = morningstar.valuation.market_cap.latest.notnull()
avg_volume = SimpleMovingAverage(inputs=[USEquityPricing.volume],
window_length=50)
filter_volume = avg_volume > 500000
last_price = Latest(inputs=[USEquityPricing.close], window_length=1)
filter_price = last_price > 1
dollar_volume = AverageDollarVolume(window_length=50)
filter_dollar_volume = dollar_volume > 2500000
sma_150 = SimpleMovingAverage(inputs=[USEquityPricing.close],
window_length=150)
filter_sma_150 = USEquityPricing.close.latest > sma_150
atr_10_percent = atr_10days_percent()
filter_atr_10 = atr_10_percent > 4
rsi = RSI(inputs=[USEquityPricing.close], window_length=3)
filter_overbought = rsi < 30
atr_10 = atr_10days()
stocks_to_trade = have_market_cap & filter_volume & filter_price & filter_dollar_volume & filter_sma_150 & filter_atr_10 & filter_overbought
return Pipeline(columns={
'stocks': stocks_to_trade,
'rsi': rsi,
'atr': atr_10
},
screen=(stocks_to_trade))
def make_pipeline():
mean_close_10 = SimpleMovingAverage(inputs=[USEquityPricing.close],
window_length=10)
mean_close_30 = SimpleMovingAverage(inputs=[USEquityPricing.close],
window_length=30)
rsi_7 = RSI(inputs=[USEquityPricing.close], window_length=10)
percent_difference = (mean_close_10 - mean_close_30) / mean_close_30
rsi_under_35 = (rsi_7 < 35)
latest_close = USEquityPricing.close.latest
dollar_volume = AverageDollarVolume(window_length=30)
high_dollar_volume = dollar_volume.percentile_between(85, 100)
filters = high_dollar_volume & rsi_under_35
return Pipeline(columns={
'10_day_mean_close': mean_close_10,
'latest_close_price': latest_close,
'percent_difference': percent_difference,
'dollar_value': dollar_volume
},
screen=filters)
def initialize(context):
set_slippage(
slippage.VolumeShareSlippage(volume_limit=0.25, price_impact=0.1))
set_commission(commission.PerShare(
cost=0.000, min_trade_cost=0.00)) # Assume Robinhood zero-commissions
# Filter order:
# 1. MktCap > X # filters stocks with minimum size
# 2. Volume > X # filters stocks with minimum volume
# 3. X < SMA_200 & X < SMA_10 # filter stocks with gaps more likely to fill
# 4. Y < RSI < X # filters stocks with (+) momentum and strong trend
mkt_cap = MarketCap()
last_close = LastClose()
dollar_volume = AverageDollarVolume(window_length=10)
sma_200 = SimpleMovingAverage(inputs=[USEquityPricing.close],
window_length=200)
sma_10 = SimpleMovingAverage(inputs=[USEquityPricing.close],
window_length=10)
rsi = RSI(inputs=[USEquityPricing.close], window_length=15)
mkt_cap_rank = mkt_cap.rank(ascending=False)
mkt_cap_filter = (mkt_cap_rank < 4000)
#sma_filter = (last_close > sma_10) # & (last_close < sma_200) # shouldnt be last close, should be open price
dollar_volume_filter = (dollar_volume > 100000)
rsi_filter = (rsi > 15) & (rsi < 50)
pipe = Pipeline(
columns={
'mkt_cap_rank': mkt_cap_rank,
'last_close': last_close,
'$volume': dollar_volume,
'sma_200%': last_close / sma_200,
'sma_10%': last_close / sma_10,
'rsi/50': rsi / 50
},
screen=(mkt_cap_filter & dollar_volume_filter & rsi_filter
) # & sma_filter)
)
attach_pipeline(pipe, name='my_pipeline')
for i in range(2, 5):
schedule_function( # This will execute buys at 9:31AM
openFunction,
date_rules.week_start(
days_offset=i), #do not run on Mondays (poor success)
time_rules.market_open(minutes=1),
False #exclude half days
)
schedule_function( # This will sell open positions before close
closeFunction,
date_rules.week_start(
days_offset=i), #do not run on Mondays (poor success)
time_rules.market_close(minutes=30),
False #exclude half days
)
def make_pipeline():
#context.features = ['RSI', 'MACD', 'EMA','SMA_5','SMA_10','ADX']
base_universe = Q1500US()
sector = mstar.asset_classification.morningstar_sector_code.latest
sectors_311 = sector.eq(311)
returns_5 = Returns(window_length=5)
rsi = RSI(inputs=[USEquityPricing.close])
macd = MovingAverageConvergenceDivergenceSignal(
mask=base_universe
)
ema = ExponentialWeightedMovingAverage(
mask=base_universe,
inputs=[USEquityPricing.close],
window_length=30,
decay_rate=(1 - (2.0 / (1 + 15.0)))
)
mean_5 = SimpleMovingAverage(
inputs=[USEquityPricing.close],
window_length=5,
mask=base_universe
)
mean_10 = SimpleMovingAverage(
inputs=[USEquityPricing.close],
window_length=10,
mask=base_universe
)
bb = BollingerBands(
inputs=[USEquityPricing.close],
window_length=20,
k=2
)
diluted_eps = Fundamentals.diluted_eps_earnings_reports.latest
growth_score = Fundamentals.growth_score.latest
tangible_bv = Fundamentals.tangible_book_value.latest
return Pipeline(
columns={
'returns_5': returns_5,
'RSI': rsi,
'MACD': macd,
'EMA': ema,
'SMA_5': mean_5,
'SMA_10': mean_10,
'bb_upper': bb.upper,
'bb_middle': bb.middle,
'bb_lower': bb.lower,
'diluted_eps': diluted_eps,
'growth_score': growth_score,
'tangible_bv': tangible_bv
},
screen=(base_universe & sectors_311),
)
def make_pipeline(context):
base_universe = Q500US()
rsi_factor = RSI(window_length=5)
fso_factor = FastStochasticOscillator()
beta = SimpleBeta(target=sid(8554), regression_length=260)
pipe = Pipeline(columns={
'rsi': rsi_factor,
'fso': fso_factor,
'beta': beta
},
screen=base_universe & rsi_factor.notnull()
& fso_factor.notnull())
context.sma_short = SimpleMovingAverage(inputs=[USEquityPricing.close],
window_length=20)
pipe.add(context.sma_short, "sma_short")
context.sma_long = SimpleMovingAverage(inputs=[USEquityPricing.close],
window_length=50)
pipe.add(context.sma_long, "sma_long")
return pipe
def make_pipeline():
"""
A function to create our dynamic stock selector (pipeline). Documentation on
pipeline can be found here: https://www.quantopian.com/help#pipeline-title
"""
rsi = RSI(inputs=[USEquityPricing.close], window_length=10)
symbol = SidInList(sid_list=(8554))
return Pipeline(
columns={
'RSI': rsi,
'symbol': symbol,
},
screen=symbol,
)
def make_pipeline():
"""
Create our pipeline.
"""
# Base universe set to the QTradableStocksUS.
base_universe = QTradableStocksUS()
# 50-day close price average.
mean_50 = SimpleMovingAverage(inputs=[USEquityPricing.close],
window_length=10,
mask=base_universe)
# 180-day close price average.
mean_180 = SimpleMovingAverage(inputs=[USEquityPricing.close],
window_length=30,
mask=base_universe)
bollinger_bands = BollingerBands(window_length=20, k=2)
lower_band = bollinger_bands.lower
upper_band = bollinger_bands.upper
percent_difference = (mean_50 - mean_180) / mean_50
RSI_Factor = RSI(inputs=[USEquityPricing.close],
window_length=30,
mask=base_universe)
RSI_Filter = RSI_Factor > 98
# Filter to select securities to short.
shorts = percent_difference.top(20) | (USEquityPricing.close > upper_band)
longs = percent_difference.bottom(20) | (USEquityPricing.close <
lower_band)
securities_to_trade = (percent_difference.top(50)
| percent_difference.bottom(50))
return Pipeline(columns={
'longs': longs,
'shorts': shorts
},
screen=(securities_to_trade))
def make_pipeline(context):
# Parameters
fast_ma_periods = context.fast_ma_periods
slow_ma_periods = context.slow_ma_periods
assets = context.assets
# Define factors.
if context.fast_ma_type == 'sma':
ma_fast = SimpleMovingAverage(inputs=[EquityPricing.close],
window_length=fast_ma_periods)
else:
ma_fast = EWMA.from_span(
inputs=[EquityPricing.close],
window_length=fast_ma_periods * 2 + 20,
span=fast_ma_periods,
)
if context.slow_ma_type == 'sma':
ma_slow = SimpleMovingAverage(inputs=[EquityPricing.close],
window_length=slow_ma_periods)
else:
ma_slow = EWMA.from_span(
inputs=[EquityPricing.close],
window_length=slow_ma_periods * 2 + 20,
span=slow_ma_periods,
)
last_close_price = EquityPricing.close.latest
rsi = RSI(inputs=[EquityPricing.close], window_length=context.rsi_period)
# Define a filter.
base_universe = StaticAssets(assets)
# define pipeline
pipe = Pipeline(columns={
'price': last_close_price,
'fast_ma': ma_fast,
'slow_ma': ma_slow,
'rsi': rsi
},
screen=base_universe)
return pipe
def make_pipeline():
base_universe = Q1500US()
yesterday_close = PrevClose()
today_open = USEquityPricing.open
dollar_volume = AverageDollarVolume(window_length=30)
## gap = today_open / yesterday_close - 1 では出来ない．
## TypeError: unsupported operand type(s) for /: 'BoundColumn' and 'BoundColumn'
gap = Gap()
rsi = RSI() #default window_length = 15
rsi_under_60 = rsi < 60
#ToDo この範囲を色々変えてみる．
high_dollar_volume = dollar_volume.percentile_between(98, 100)
pipe = Pipeline(
columns={
'close': yesterday_close,
'today_open': today_open.latest,
'dollar_volume': dollar_volume,
'high_dollar_volume': high_dollar_volume,
'gap': gap,
},
screen=base_universe & high_dollar_volume & rsi_under_60,
)
return pipe
symbols('WCLD'),
symbols('ARKF'),
symbols('ARKG'),
symbols('ARKW'),
symbols('STAG'),
symbols('IRT'),
symbols('CHNG'),
]
# Define factors.
fast_ma = SimpleMovingAverage(inputs=[EquityPricing.close],
window_length=fast_ma_periods)
slow_ma = SimpleMovingAverage(inputs=[EquityPricing.close],
window_length=slow_ma_periods)
# ema = EWMA.from_span(inputs=[EquityPricing.close], window_length=slow_ma_periods*2+20, span=slow_ma_periods,)
rsi = RSI(inputs=[EquityPricing.close], window_length=5)
price = EquityPricing.close.latest
sell = (price < fast_ma) & (price < slow_ma)
buy = (price > fast_ma) & (price > slow_ma)
# Define a filter.
base_universe = StaticAssets(assets)
# define pipeline
pipe = Pipeline(
columns={
'yersterday_price': price,
'ma_fast': fast_ma,
'ma_slow': slow_ma,
#'ema': ema,
'rsi': rsi,
def make_pipeline(context):
## symbol universe
base_universe = Q500US() if False else Q1500US()
## filters
# Filter for primary share equities. IsPrimaryShare is a built-in filter.
primary_share = IsPrimaryShare()
# Equities listed as common stock (as opposed to, say, preferred stock).
# 'ST00000001' indicates common stock.
common_stock = morningstar.share_class_reference.security_type.latest.eq('ST00000001')
# Non-depositary receipts. Recall that the ~ operator inverts filters,
# turning Trues into Falses and vice versa
not_depositary = ~morningstar.share_class_reference.is_depositary_receipt.latest
# Equities not trading over-the-counter.
not_otc = ~morningstar.share_class_reference.exchange_id.latest.startswith('OTC')
# Not when-issued equities.
not_wi = ~morningstar.share_class_reference.symbol.latest.endswith('.WI')
# Equities without LP in their name, .matches does a match using a regular expression
not_lp_name = ~morningstar.company_reference.standard_name.latest.matches('.* L[. ]?P.?$')
# Equities with a null value in the limited_partnership Morningstar fundamental field.
not_lp_balance_sheet = morningstar.balance_sheet.limited_partnership.latest.isnull()
# Equities whose most recent Morningstar market cap is not null have fundamental data and therefore are not ETFs.
have_market_cap = morningstar.valuation.market_cap.latest.notnull()
is_cyclical = SuperSector().eq(SuperSector.CYCLICAL)
is_defensive = SuperSector().eq(SuperSector.DEFENSIVE)
is_sensitive = SuperSector().eq(SuperSector.SENSITIVE)
# Filter for stocks that pass all of our previous filters.
tradeable_stocks = (
primary_share
&common_stock
¬_depositary
¬_otc
¬_wi
¬_lp_name
¬_lp_balance_sheet
&have_market_cap
#&(is_cyclical)
#&(is_defensive)
#&(is_sensitive)
&(is_cyclical | is_defensive | is_sensitive)
)
# ToDo この範囲を色々変えてみる．
dollar_volume = AverageDollarVolume(window_length=30)
high_dollar_volume = dollar_volume.percentile_between(98, 100)
daily_volatility = AnnualizedVolatility(window_length=20)/math.sqrt(252)
sme20 = SimpleMovingAverage(inputs=[USEquityPricing.close], window_length=20)
rsi = RSI(inputs=[USEquityPricing.close])
#sector = ms.asset_classification.morningstar_sector_code
sector = Sector()
static_sectors = (sector.eq(311) |
sector.eq(309) |
sector.eq(103) |
sector.eq(101) |
sector.eq(308) |
sector.eq(206) )
if context.static_asset:
myscreen = StaticSids(context.special_sids) #context.special_assets
else:
myscreen = (base_universe & tradeable_stocks & high_dollar_volume ) # & static_sectors
pipe = Pipeline(
columns={
'prev_close': PrevClose(),
'prev_volume': PrevVolume(),
'prev_turnover': PrevClose()*PrevVolume(),
'dollar_volume': dollar_volume,
'high_dollar_volume': high_dollar_volume,
'daily_volatility': daily_volatility,
'sma20': sme20,
'rsi': rsi,
'morningstar_sector_code': sector,
},
screen=myscreen,
)
return pipe
remove_ticker = ticker2
else:
remove_ticker = ticker1
if remove_ticker in tickers:
tickers.remove(remove_ticker)
assets = []
for t in tickers:
assets.append(symbols(t))
return_6m = PercentChange(inputs=[EquityPricing.close], window_length=126)
return_1m = PercentChange(inputs=[EquityPricing.close], window_length=21)
return_2w = PercentChange(inputs=[EquityPricing.close], window_length=10)
stoch_k = FastStochasticOscillator(
[EquityPricing.close, EquityPricing.low, EquityPricing.high])
stoch_d = SimpleMovingAverage(inputs=[stoch_k], window_length=4)
rsi = RSI(inputs=[EquityPricing.close])
base_universe = StaticAssets(assets)
pipe = Pipeline(
columns={
'return_6m': return_6m,
'return_1m': return_1m,
'return_2w': return_2w,
'stoch_d': stoch_d,
'rsi': rsi
},
screen=base_universe &
(return_2w >= return_1m) #& (return_2w > 0) & (stoch_d > 0)
)
pipeline_result = run_pipeline(pipe, '2020-08-25', '2020-08-25')
m = np.median(pipeline_result['return_6m'])
