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('FXCM:AUD/USD'):1,
symbol('FXCM:EUR/USD'):1,
symbol('FXCM:GBP/USD'):1,
symbol('FXCM:NZD/USD'):1,
symbol('FXCM:USD/CAD'):-1,
symbol('FXCM:USD/CHF'):-1,
symbol('FXCM: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))
# set trading cost and slippage to zero
set_commission(fx=commission.PipsCost(cost=0.00))
set_slippage(fx=slippage.FixedSlippage(0.00))
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('FXCM:AUD/USD'),
symbol('FXCM:EUR/CHF'),
symbol('FXCM:EUR/JPY'),
symbol('FXCM:EUR/USD'),
symbol('FXCM:GBP/USD'),
symbol('FXCM:NZD/USD'),
symbol('FXCM:USD/CAD'),
symbol('FXCM:USD/CHF'),
symbol('FXCM: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 trading cost and slippage to zero
set_commission(fx=commission.PipsCost(cost=context.params['pip_cost']))
set_slippage(fx=slippage.FixedSlippage(0.00))
# 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):
'''
Called once at the start of the strategy execution.
This is the place to define things to do at the start of the strategy.
'''
# set the account base currency and strategy parameters
set_account_currency('USD')
context.params = {
'verbose': False,
'leverage': 1,
'rebalance_freq': '15m',
'no_overnight_position': True,
'pip_cost': 0.00008,
'rollover_spread': 0.00,
'BBands_period': 1440,
'SMA_period_short': 150,
'SMA_period_long': 600,
'indicator_lookback': 1440, # max of all lookbacks!!!
'indicator_freq': '1m',
'buy_signal_threshold': 0.5,
'sell_signal_threshold': -0.5
}
# define the strategy instruments universe
context.universe = [
symbol('FXCM:AUD/USD'),
symbol('FXCM:EUR/USD'),
symbol('FXCM:NZD/USD'),
symbol('FXCM:USD/CAD'),
symbol('FXCM:USD/CHF'),
]
context.ccy_universe = [
'AUD', 'CAD', 'CHF', 'EUR', 'GBP', 'JPY', 'NZD', 'USD'
]
# function to schedule roll-overs, at 5 PM EST or 9 PM UTC (3 hours before midnight)
schedule_function(compute_rollovers, date_rules.every_day(),
time_rules.market_close(hours=3, minutes=0))
# set up cost structures, we assume a $1 per $10K all-in cost
set_commission(fx=commission.PipsCost(cost=context.params['pip_cost']))
set_slippage(fx=slippage.FixedSlippage(spread=0.00))
# variables to track signals and target portfolio
context.signals = dict((security, 0) for security in context.universe)
context.weights = dict((security, 0) for security in context.universe)
# Call rebalance function, see below under standard helper functions to modify
rebalance_scheduler(context)
# make the back-test lighter
context.perf_tracker.keep_transactions = False
context.perf_tracker.keep_orders = False
def initialize(context):
'''
Called once at the start of the strategy execution.
This is the place to define things to do at the start of the strategy.
'''
# set the account base currency and strategy parameters
set_account_currency('USD')
context.params = {
'verbose': False,
'leverage': 2,
'rebalance_freq': 'monthly',
'no_overnight_position': False,
'pip_cost': 0.0001,
'rollover_spread': 0.00,
'positions': 2,
'lookback': 26 * 6
}
# define the strategy instruments universe
context.universe = [
symbol('FXCM:AUD/USD'),
symbol('FXCM:EUR/CHF'),
symbol('FXCM:EUR/JPY'),
symbol('FXCM:EUR/USD'),
symbol('FXCM:GBP/JPY'),
symbol('FXCM:GBP/USD'),
symbol('FXCM:NZD/USD'),
symbol('FXCM:USD/CAD'),
symbol('FXCM:USD/CHF'),
symbol('FXCM:USD/JPY'),
]
context.ccy_universe = [
'AUD', 'CAD', 'CHF', 'EUR', 'GBP', 'JPY', 'NZD', 'USD'
]
# function to schedule roll-overs, at 5 PM EST or 9 PM UTC (3 hours before midnight)
schedule_function(compute_rollovers, date_rules.every_day(),
time_rules.market_close(hours=3, minutes=0))
# set up cost structures, we assume a $1 per $10K all-in cost
set_commission(fx=commission.PipsCost(cost=context.params['pip_cost']))
set_slippage(fx=slippage.FixedSlippage(spread=0.00))
# Call rebalance function, see below under standard helper functions to modify
rebalance_scheduler(context)
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('FXCM:GBP/USD')
context.y = symbol('FXCM: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))
# set trading cost and slippage to zero
set_commission(fx=commission.PipsCost(cost=0.00))
set_slippage(fx=slippage.FixedSlippage(0.00))
# 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))
