def TrendFollower(ctx):
V = 1
alpha = 0.015
ctx.volumeStep = 30
linear_signal = math.RandomWalk(initialValue=200,
deltaDistr=const(-1),
name="200-t")
demo = ctx.addGraph('demo')
myVolume = lambda: [(orderbook.OfTrader().MidPrice, demo),
(trader.Position(), demo),
(orderbook.OfTrader().MidPrice.EW().Avg.OnEveryDt(1),
demo)]
return [
ctx.makeTrader_A(strategy.price.LiquidityProvider().Strategy(
orderFactory=order.side_price.Limit(
volume=constant(V * 8)).sideprice_WithExpiry(constant(100))),
label="liquidity"),
ctx.makeTrader_A(
strategy.side.Signal(linear_signal).Strategy(
event.Every(constant(1.)), order.side.Market(const(V * 3))),
"signal", [(linear_signal, ctx.amount_graph)]),
ctx.makeTrader_A(
strategy.side.TrendFollower(alpha).Strategy(
event.Every(constant(1.)), order.side.Market(volume=const(V))),
"trendfollower_ex", myVolume()),
]
def MeanReversion(ctx):
ctx.volumeStep = 40
alpha = 0.015
V = 1
linear_signal = math.RandomWalk(initialValue=200,
deltaDistr=constant(-1),
name="200-t")
demo = ctx.addGraph('demo')
myVolume = lambda: [(trader.Position() / 3, demo),
(orderbook.OfTrader().MidPrice.EW(alpha).Avg.OnEveryDt(
1), demo),
(orderbook.OfTrader().Asks.BestPrice, demo),
(orderbook.OfTrader().Bids.BestPrice, demo)]
return [
ctx.makeTrader_A(strategy.price.LiquidityProvider(
initialValue=30.).Strategy(orderFactory=order.side_price.Limit(
volume=constant(V * 20)).sideprice_WithExpiry(constant(10))),
label="liquidity"),
ctx.makeTrader_A(
strategy.side.Noise().Strategy(
event.Every(constant(1.)),
order.side.Market(volume=constant(V * 3))), "signal",
[(linear_signal, ctx.amount_graph)]),
ctx.makeTrader_A(
strategy.side.MeanReversion(alpha).Strategy(
event.Every(constant(1.)),
order.side.Market(volume=constant(V))), "meanreversion_ex",
myVolume()),
]
def Dependency(ctx):
V = 1
alpha = 0.015
ctx.volumeStep = 30
const = constant
linear_signal = math.RandomWalk(initialValue=200,
deltaDistr=const(-1),
name="200-t")
demo = ctx.addGraph('demo')
myVolume = lambda: [(orderbook.OfTrader().MidPrice, demo),
(trader.Position(), demo),
(orderbook.OfTrader().MidPrice.EW().Avg.OnEveryDt(1), demo)]
return [
ctx.makeTrader_A(
strategy.price.LiquidityProvider(100.)
.Strategy(orderFactory =
order.side_price.Limit(volume=constant(V*8)).sideprice_WithExpiry(constant(100))),
label="liquidity"),
ctx.makeTrader_B(
strategy.price.LiquidityProvider(200.)
.Strategy(orderFactory =
order.side_price.Limit(volume=constant(V*8)).sideprice_WithExpiry(constant(100))),
label="liquidity B"),
ctx.makeTrader_A(strategy.side.Signal(linear_signal)
.Strategy(event.Every(constant(1.)),
order.side.Market(const(V*3))),
"signal",
[
(linear_signal, ctx.amount_graph),
]),
ctx.makeTrader_B(
strategy.side.PairTrading(
ctx.book_A,
factor=2.
).Strategy(event.Every(constant(1.)),
order.side.Market(const(V*5))),
"B dependent on A ex"),
]
def FundamentalValue(ctx):
ctx.volumeStep = 30
fv = 200
demo = ctx.addGraph('demo')
myVolume = lambda: [(trader.Position(), demo),
(const(200.).OnEveryDt(100), demo),
(orderbook.OfTrader().Asks.BestPrice, demo),
(orderbook.OfTrader().Bids.BestPrice, demo)]
return [
ctx.makeTrader_A(
strategy.price.LiquidityProvider().Strategy(
orderFactory=order.side_price.Limit(
volume=const(6.)).sideprice_WithExpiry(const(100.))),
"liquidity"),
ctx.makeTrader_A(
strategy.side.FundamentalValue(const(fv)).Strategy(
event.Every(const(1.)), order.side.Market(volume=const(1.))),
"fv_200", myVolume()),
]
def TwoAverages(ctx):
ctx.volumeStep = 30
alpha_slow = 0.015
alpha_fast = 0.15
linear_signal = math.RandomWalk(initialValue=200,
deltaDistr=const(-1),
name="200-t")
demo = ctx.addGraph('demo')
myVolume = lambda: [
(orderbook.OfTrader().MidPrice, demo),
(trader.Position() / const(10.), demo),
(orderbook.OfTrader().MidPrice.EW(alpha_fast).Avg.OnEveryDt(1), demo),
(orderbook.OfTrader().MidPrice.EW(alpha_slow).Avg.OnEveryDt(1), demo)
]
return [
ctx.makeTrader_A(
strategy.price.LiquidityProvider(initialValue=10.).Strategy(
event.Every(constant(1.)),
order.side_price.Limit(volume=const(10))), "liquidity"),
ctx.makeTrader_A(
strategy.side.Signal(linear_signal).Strategy(
event.Every(constant(1.)), order.side.Market(volume=const(3))),
"signal", [(linear_signal, ctx.amount_graph)]),
ctx.makeTrader_A(
strategy.side.CrossingAverages(alpha_slow, alpha_fast).Strategy(
event.Every(constant(1.)),
order.side.Market(volume=const(1.))), 'avg_ex+', myVolume()),
ctx.makeTrader_A(
strategy.side.CrossingAverages(alpha_fast, alpha_slow).Strategy(
event.Every(constant(1.)),
order.side.Market(volume=const(1.))), 'avg_ex-', myVolume()),
]
def TradeIfProfitable(ctx):
ctx.volumeStep = 30
slow_alpha = 0.015
fast_alpha = 0.15
linear_signal = math.RandomWalk(initialValue=200,
deltaDistr=constant(-1),
name="200-t")
demo = ctx.addGraph('demo')
myVolume = lambda: [(trader.Position(), demo)]
myAverage = lambda alpha: [(orderbook.OfTrader().MidPrice.EW_Avg(alpha).
OnEveryDt(1), demo)]
def cross(alpha1, alpha2):
return strategy.CrossingAverages(
event.Every(constant(1.)), order.side.Market(volume=constant(1.)),
alpha1, alpha2)
avg_plus_virt = strategy.TradeIfProfitable(
cross(slow_alpha, fast_alpha), strategy.account.virtualMarket())
avg_minus_virt = strategy.TradeIfProfitable(
cross(fast_alpha, slow_alpha), strategy.account.virtualMarket())
avg_plus_real = strategy.TradeIfProfitable(cross(slow_alpha, fast_alpha),
strategy.account.real())
avg_minus_real = strategy.TradeIfProfitable(cross(fast_alpha, slow_alpha),
strategy.account.real())
return [
ctx.makeTrader_A(
strategy.LiquidityProvider(orderFactory=order.side_price.Limit(
volume=constant(45))), "liquidity"),
ctx.makeTrader_A(
strategy.Signal(event.Every(constant(1.)),
order.side.Market(volume=constant(20)),
linear_signal), "signal",
[(linear_signal, ctx.amount_graph)]),
ctx.makeTrader_A(
cross(slow_alpha, fast_alpha), 'avg+',
myAverage(slow_alpha) + myAverage(fast_alpha) + myVolume()),
ctx.makeTrader_A(cross(fast_alpha, slow_alpha), 'avg-', myVolume()),
ctx.makeTrader_A(avg_plus_virt, 'avg+ virt', myVolume()),
ctx.makeTrader_A(avg_minus_virt, 'avg- virt', myVolume()),
ctx.makeTrader_A(avg_plus_real, 'avg+ real', myVolume()),
ctx.makeTrader_A(avg_minus_real, 'avg- real', myVolume()),
]
def ChooseTheBest(ctx):
ctx.volumeStep = 30
slow_alpha = 0.015
fast_alpha = 0.15
linear_signal = math.RandomWalk(initialValue=200,
deltaDistr=constant(-1),
name="200-t")
demo = ctx.addGraph('demo')
myVolume = lambda: [(trader.Position(), demo)]
myAverage = lambda alpha: [(orderbook.OfTrader().MidPrice.EW(alpha).Avg.
OnEveryDt(1), demo)]
def cross(alpha1, alpha2):
return strategy.side.CrossingAverages(alpha1, alpha2)\
.Strategy(event.Every(constant(1.)),
order.side.Market(volume = constant(1.)))
def strategies():
return [cross(slow_alpha, fast_alpha), cross(fast_alpha, slow_alpha)]
return [
ctx.makeTrader_A(
strategy.price.LiquidityProvider().Strategy(
orderFactory=order.side_price.Limit(volume=constant(45))),
"liquidity"),
ctx.makeTrader_A(
strategy.side.Signal(linear_signal).Strategy(
event.Every(constant(1.)),
order.side.Market(volume=constant(20))), "signal",
[(linear_signal, ctx.amount_graph)]),
ctx.makeTrader_A(
cross(slow_alpha, fast_alpha), 'avg+',
myAverage(slow_alpha) + myAverage(fast_alpha) + myVolume()),
ctx.makeTrader_A(cross(fast_alpha, slow_alpha), 'avg-', myVolume()),
ctx.makeTrader_A(
strategy.ChooseTheBest(strategies(),
strategy.account.virtualMarket()),
'best virt', myVolume()),
ctx.makeTrader_A(
strategy.ChooseTheBest(strategies(), strategy.account.real()),
'best real', myVolume()),
]
def RSI(ctx):
const = constant
linear_signal = math.RandomWalk(initialValue=20,
deltaDistr=const(-.1),
name="20-0.1t")
one = const(1)
threshold = 30
demo = ctx.addGraph('demo')
myVolume = lambda: [(trader.Position(), demo)]
alpha = 1. / 14
myRsiBis = lambda: [(orderbook.OfTrader().RSI(1, alpha).OnEveryDt(1), demo)
]
return [
ctx.makeTrader_A(
strategy.LiquidityProvider(
event.Every(constant(1.)),
order.side_price.Limit(volume=const(4))), "liquidity"),
ctx.makeTrader_A(
strategy.Signal(event.Every(constant(1.)), order.side.Market(),
linear_signal), "signal",
[(linear_signal, ctx.amount_graph)]),
ctx.makeTrader_A(
strategy.RSI_linear(order.signedVolume.MarketSigned(),
alpha=alpha,
timeframe=1), "rsi_linear", myVolume()),
ctx.makeTrader_A(
strategy.RSIbis(event.Every(constant(1.)),
order.side.Market(one),
alpha=alpha,
timeframe=1,
threshold=threshold), "rsi_bis",
myVolume() + myRsiBis()),
]
