def make_pipeline():
"""
Create a pipeline to select stocks each day.
"""
universe = TradableStocksUS('Real Estate') | TradableStocksUS('Utilities') | \
TradableStocksUS('Consumer Staples') | TradableStocksUS('Technology') | \
TradableStocksUS('Financials') | TradableStocksUS('Energy') | \
TradableStocksUS('Materials') | TradableStocksUS('Health Care') | \
TradableStocksUS('Industrials') | TradableStocksUS('Consumer Discretionary') | \
TradableStocksUS('Communications')
roic = shfd.slice(dimension='MRT', period_offset=0).ROIC.latest
ebit = shfd.slice(dimension='MRQ', period_offset=0).EBIT.latest
ev = shfd.slice(dimension='MRQ', period_offset=0).EV.latest
volatility = AnnualizedVolatility(window_length=100)
value = ebit / ev
roic_rank = roic.rank(mask=universe)
value_rank = value.rank(mask=universe)
volatility_rank = volatility.rank(mask=universe, ascending=False)
spy_ma100_price = SMA(inputs=[USEquityPricing.close],
window_length=100)[algo.sid("FIBBG000BDTBL9")]
spy_price = USEquityPricing.close.latest[algo.sid("FIBBG000BDTBL9")]
momentum_score = MomentumScore()
overall_rank = roic_rank + value_rank + volatility_rank
# seven_month_returns = Returns(window_length=148, mask=universe,)
# one_month_returns = Returns(window_length=30, mask=universe,)
pipeline = Pipeline(
columns={
'stock': master.SecuritiesMaster.Symbol.latest,
'sid': master.SecuritiesMaster.Sid.latest,
'sector': master.SecuritiesMaster.usstock_Sector.latest,
'average_dollar_volume': AverageDollarVolume(window_length=200),
'price': EquityPricing.close.latest,
'volume': EquityPricing.volume.latest,
'roic': roic,
'value': value,
'volatility': volatility,
'roic_rank': roic_rank,
'value_rank': value_rank,
'momentum': momentum_score,
'momentum_decile': momentum_score.deciles(),
'volatility_decile': volatility.deciles(),
'overall_rank': overall_rank,
'overall_rank_decile': overall_rank.deciles(),
'trend_filter': spy_price > spy_ma100_price,
# 'returns' : one_month_returns - seven_month_returns
},
screen=universe)
return pipeline
def test_simple_volatility(self):
"""
Simple test for uniform returns should generate 0 volatility
"""
nassets = 3
ann_vol = AnnualizedVolatility()
today = pd.Timestamp("2016", tz="utc")
assets = np.arange(nassets, dtype=np.float64)
returns = np.full((ann_vol.window_length, nassets),
0.004,
dtype=np.float64)
out = np.empty(shape=(nassets, ), dtype=np.float64)
ann_vol.compute(today, assets, out, returns, 252)
expected_vol = np.zeros(nassets)
np.testing.assert_almost_equal(out, expected_vol, decimal=8)
def test_volatility(self):
"""
Check volatility results against values calculated manually
"""
nassets = 3
ann_vol = AnnualizedVolatility()
today = pd.Timestamp("2016", tz="utc")
assets = np.arange(nassets, dtype=np.float64)
returns = np.random.normal(loc=0.001,
scale=0.01,
size=(ann_vol.window_length, nassets))
out = np.empty(shape=(nassets, ), dtype=np.float64)
ann_vol.compute(today, assets, out, returns, 252)
mean = np.mean(returns, axis=0)
annualized_variance = (((returns - mean)**2).sum(axis=0) /
returns.shape[0] * 252)
expected_vol = np.sqrt(annualized_variance)
np.testing.assert_almost_equal(out, expected_vol, decimal=8)
def test_simple_volatility(self):
"""
Simple test for uniform returns should generate 0 volatility
"""
nassets = 3
ann_vol = AnnualizedVolatility()
today = pd.Timestamp('2016', tz='utc')
assets = np.arange(nassets, dtype=np.float64)
returns = np.full((ann_vol.window_length, nassets),
0.004,
dtype=np.float64)
out = np.empty(shape=(nassets,), dtype=np.float64)
ann_vol.compute(today, assets, out, returns, 252)
expected_vol = np.zeros(nassets)
np.testing.assert_almost_equal(
out,
expected_vol,
decimal=8
)
def test_volatility(self):
"""
Check volatility results against values calculated manually
"""
nassets = 3
ann_vol = AnnualizedVolatility()
today = pd.Timestamp('2016', tz='utc')
assets = np.arange(nassets, dtype=np.float64)
returns = np.random.normal(loc=0.001,
scale=0.01,
size=(ann_vol.window_length, nassets))
out = np.empty(shape=(nassets,), dtype=np.float64)
ann_vol.compute(today, assets, out, returns, 252)
mean = np.mean(returns, axis=0)
annualized_variance = ((returns - mean) ** 2).sum(axis=0) / \
returns.shape[0] * 252
expected_vol = np.sqrt(annualized_variance)
np.testing.assert_almost_equal(
out,
expected_vol,
decimal=8
)
def make_pipeline(assets):
WEIGHT1 = 1.0
WEIGHT2 = 1.0
WEIGHT3 = 1.0
WEIGHT4 = 1.0
etf_universe = StaticAssets(assets)
day20_ret = Returns(inputs=[USEquityPricing.close],
window_length=21,
mask=etf_universe)
day3mo_ret = Returns(inputs=[USEquityPricing.close],
window_length=63,
mask=etf_universe)
day6mo_ret = Returns(inputs=[USEquityPricing.close],
window_length=126,
mask=etf_universe)
day1yr_ret = Returns(inputs=[USEquityPricing.close],
window_length=252,
mask=etf_universe)
volatility = AnnualizedVolatility(mask=etf_universe)
score = ((WEIGHT1 * day20_ret) + (WEIGHT1 * day3mo_ret) +
(WEIGHT3 * day6mo_ret) + (WEIGHT3 * day1yr_ret)) / (volatility)
high = USEquityPricing.high.latest
low = USEquityPricing.low.latest
open_price = USEquityPricing.open.latest
close = USEquityPricing.close.latest
volume = USEquityPricing.volume.latest
pipe = Pipeline(columns={
'Score': score,
'Day20': day20_ret,
'high': high,
'low': low,
'close': close,
'open_price': open_price,
'volume': volume,
},
screen=etf_universe)
return pipe
def make_pipeline(context):
'''
A function to create our dynamic stock selector (pipeline). Documentation on
pipeline can be found here: https://www.quantopian.com/help#pipeline-title
'''
universe = context.universe
# Factor of yesterday's close price.
day1mo_ret = Returns(inputs=[USEquityPricing.close], window_length=21, mask=universe)
day3mo_ret = Returns(inputs=[USEquityPricing.close], window_length=63, mask=universe)
day6mo_ret = Returns(inputs=[USEquityPricing.close], window_length=126, mask=universe)
day9mo_ret = Returns(inputs=[USEquityPricing.close], window_length=189, mask=universe)
day1yr_ret = Returns(inputs=[USEquityPricing.close], window_length=252, mask=universe)
volatility = AnnualizedVolatility(mask=universe)
score = ((WEIGHT1 * day1mo_ret) + (WEIGHT2 * day3mo_ret) + (WEIGHT3 * day6mo_ret)
+ (WEIGHT3 * day9mo_ret) + (WEIGHT5 * day1yr_ret)) / (volatility)
high = USEquityPricing.high.latest
low = USEquityPricing.low.latest
open_price = USEquityPricing.open.latest
close = USEquityPricing.close.latest
volume = USEquityPricing.volume.latest
pipe_columns = {
'Score': score,
'Day1mo': day1mo_ret,
'high': high,
'low': low,
'close': close,
'open_price': open_price,
'volume': volume,
}
pipe = Pipeline(columns=pipe_columns,screen=universe)
return pipe
'Mean_Reversion_Sector_Neutral_Smoothed')
pipeline.add(overnight_sentiment_smoothed(2, 10, universe),
'Overnight_Sentiment_Smoothed')
# ## Features and Labels
# Let's create some features that we think will help the model make predictions.
# ### "Universal" Quant Features
# To capture the universe, we'll use the following as features:
# - Stock Volatility 20d, 120d
# - Stock Dollar Volume 20d, 120d
# - Sector
# In[61]:
pipeline.add(
AnnualizedVolatility(window_length=20, mask=universe).rank().zscore(),
'volatility_20d')
pipeline.add(
AnnualizedVolatility(window_length=120, mask=universe).rank().zscore(),
'volatility_120d')
pipeline.add(
AverageDollarVolume(window_length=20, mask=universe).rank().zscore(),
'adv_20d')
pipeline.add(
AverageDollarVolume(window_length=120, mask=universe).rank().zscore(),
'adv_120d')
pipeline.add(sector, 'sector_code')
# ### Regime Features
# We are going to try to capture market-wide regimes. To do that, we'll use the following features:
# - High and low volatility 20d, 120d
def run_data_pipeline(engine, universe, start_date, end_date):
pipeline = Pipeline(screen=universe)
sector = Sector()
# Alpha Factors :
pipeline.add(DownsideRisk(), 'Downside Risk (Sortino Ratio)')
pipeline.add(Vol3M(), '3 Month Volatility')
pipeline.add(momentum_1yr(252, universe, sector), 'Momentum_1YR')
pipeline.add(
mean_reversion_5day_sector_neutral_smoothed(20, universe, sector),
'Mean_Reversion_Sector_Neutral_Smoothed')
pipeline.add(overnight_sentiment_smoothed(2, 10, universe),
'Overnight_Sentiment_Smoothed')
pipeline.add(rsi_sector_neutral(15, universe, sector),
'RSI_Sector_Neutral_15d')
pipeline.add(rsi_sector_neutral(30, universe, sector),
'RSI_Sector_Neutral_30d')
beta_factor = (RegressionAgainstTime(mask=universe).beta.rank().zscore())
gamma_factor = (RegressionAgainstTime(mask=universe).gamma.rank().zscore())
conditional_factor = (beta_factor * gamma_factor).rank().zscore()
pipeline.add(beta_factor, 'time_beta')
pipeline.add(gamma_factor, 'time_gamma')
pipeline.add(conditional_factor, 'conditional_factor')
# Universal Quant Features :
pipeline.add(
AnnualizedVolatility(window_length=20, mask=universe).rank().zscore(),
'volatility_20d')
pipeline.add(
AnnualizedVolatility(window_length=120, mask=universe).rank().zscore(),
'volatility_120d')
pipeline.add(
AverageDollarVolume(window_length=20, mask=universe).rank().zscore(),
'adv_20d')
pipeline.add(
AverageDollarVolume(window_length=120, mask=universe).rank().zscore(),
'adv_120d')
pipeline.add(sector, 'sector_code')
# Regime Features :
pipeline.add(
SimpleMovingAverage(inputs=[MarketDispersion(mask=universe)],
window_length=20), 'dispersion_20d')
pipeline.add(
SimpleMovingAverage(inputs=[MarketDispersion(mask=universe)],
window_length=120), 'dispersion_120d')
pipeline.add(MarketVolatility(window_length=20), 'market_vol_20d')
pipeline.add(MarketVolatility(window_length=120), 'market_vol_120d')
# Target
# Let's try to predict the go forward 1-week return. When doing this, it's important to quantize the target. The factor we create is the trailing 5-day return
pipeline.add(
Returns(window_length=5, mask=universe).quantiles(2), 'return_5d')
pipeline.add(
Returns(window_length=5, mask=universe).quantiles(25), 'return_5d_p')
# Running the Pipeline
all_factors = engine.run_pipeline(pipeline, start_date, end_date)
# Computing Date Features
all_factors = compute_date_features(all_factors, start_date, end_date)
# One Hot Encoding Sectors
all_factors = one_hot_encode_sectors(all_factors)
# Shifted Target For Training The Model
all_factors['target'] = all_factors.groupby(level=1)['return_5d'].shift(-5)
return all_factors
def make_pipeline(underly_sid, shortable_sid):#,DAY_HACK_ENABLED=True,BB_WIN_LEN=126,WIN_LEN=20):
sid = SidFactor()
pipeline_underly_sid = sid.eq(underly_sid[0])
print("jzzz:", type(pipeline_underly_sid))
print("MNAME:", MNAME)
for i in underly_sid:
pipeline_underly_sid = pipeline_underly_sid | sid.eq(i)
print('jzzz:', pipeline_underly_sid)
pipeline_shortable_sid = sid.eq(shortable_sid[0])
for i in shortable_sid:
pipeline_shortable_sid = pipeline_shortable_sid | sid.eq(i)
#Filter for our choice of assets.
bbands = BollingerBands(window_length=BB_WIN_LEN, k=sqrt(BB_WIN_LEN/5),mask = pipeline_underly_sid)
lower, middle, upper = bbands
#cud = Cud()#mask(pipeline underly_sid)
returns_1D = Returns(window_length = 2, mask = pipeline_underly_sid)
returns_6M = Returns(window_length = WIN_LEN, mask = pipeline_underly_sid)
returns_6M = returns_6M if DAY_HACK_ENABLED else returns_6M - returns_1D
returns_3M = Returns(window_length = 60, mask = pipeline_underly_sid)
returns_3M = returns_3M if DAY_HACK_ENABLED else returns_3M - returns_1D
returns_5M = Returns(window_length = WIN_LEN, mask = pipeline_underly_sid)#for es only
returns_5M = returns_5M if DAY_HACK_ENABLED else returns_5M - returns_1D
returns_1M = Returns(window_length = 20, mask = pipeline_underly_sid)#for es only
returns_1M = returns_1M if DAY_HACK_ENABLED else returns_1M - returns_1D
returns_5D = Returns(window_length =W_WIN_LEN,mask = pipeline_underly_sid)
returns_5D = returns_5D if DAY_HACK_ENABLED else returns_5D - returns_1D
returns_6D = Returns(window_length =7,mask = pipeline_underly_sid) - returns_1D
annualizedVolatility_6M = AnnualizedVolatility(window_length = WIN_LEN,mask = pipeline_underly_sid)
annualizedVolatility_3M = AnnualizedVolatility(window_length = int(WIN_LEN/2), mask = pipeline_underly_sid)
annualizedVolatility_1M = AnnualizedVolatility(window_length = int(WIN_LEN/6), mask = pipeline_underly_sid)
#annualizedVolatility_6M = ComputeVol6M(mask = pipeline_underly_sid)
#annualizedVolatility_3M = ComputeVol3M(mask = pipeline_underly_sid)
#annualizedVolatility_1M = ComputeVol1M(mask = pipeline_underly_sid)
annualizedVolatility = max(annualizedVolatility_6M, annualizedVolatility_3M,annualizedVolatility_1M)
sharpes_6M = returns_6M/annualizedVolatility_6M
raw_signals = None
if SHARPE:
raw_signals = sharpes_6M
else:
raw_signals = returns_6M
signals = raw_signals if LONG_ONLY else (raw_signals*raw_signals)
#positive_return = (returns_6M > 0)
#trigger = (returns 5D > -trigger_level) if LONG_ONLY else ((returns_5D < trigger_level)
sigtop = signals.top(NUM_TOP_POSITIONS)
raw_sig_top = raw_signals.top(NUM_TOP_POSITIONS)
raw_sig_bot = raw_signals.bottom(NUM_TOP_POSITIONS)
alongs = sigtop & raw_sig_top & (raw_signals > 0) & (returns_5D > -TRIGGER_LEVEL) # & (cud >= 13)
ashorts = sigtop & raw_sig_bot &(raw_signals <= 0 ) & (returns_5D < TRIGGER_LEVEL) & pipeline_shortable_sid
#alongs = (annualizedVolatility_6M> 0) #shorts# signals.top(NUN TOP POSITIONS)
if not PIPE_ENABLED:
alongs = (annualizedVolatility_6M > 0)
ashorts = (annualizedVolatility_6M < 0)# if LONG ONLY else longs
long_short_screen = alongs if LONG_ONLY else (alongs | ashorts)
my_screen = (annualizedVolatility_6M > 0) if MNAME in ['es','bd','dm','ed','md'] else long_short_screen
#my_screen = long_short_screen if False else (annualizedVolatility_6M > 0)#hlw
print('finger1',MNAME)
rsi = RSI(window_length=10,mask = pipeline_underly_sid)
print('rsipipe',annualizedVolatility_6M)
print('fxxxDAY_HACK_ENABLED',DAY_HACK_ENABLED)
#Only compute volatilities for assets that satisfy the requirements of our rolling strategy.
return Pipeline(
columns= {
#'cud' : cud,
'volatility' : annualizedVolatility,
'sharpes_6W' : sharpes_6M,
'drets': returns_1D,
'wrets': returns_5D,
'returns_6D': returns_6D,
'returns_1M': returns_1M,
'returns_3M': returns_3M,
'returns_5M': returns_5M,
'returns_6M': returns_6M,
#'signals': (signals)*signals,
'shorts' : ashorts,
#'wrets' : returns_5D,
'lower' : lower,
'middle' :middle,
'upper' :upper,
#'rsi':rsi.top(3),
'rsi_longs': rsi.top(3),
'rsi_shorts': rsi.bottom(3),
#'annualizedVolatility :annualizedVolatility_6M,
},
screen = my_screen
)