# get all asset data br.start_date = "02 Jan 1990" br.finish_date = datetime.datetime.utcnow() br.spot_tc_bp = 2.5 # 2.5 bps bid/ask spread br.ann_factor = 252 # have vol target for each signal br.signal_vol_adjust = True br.signal_vol_target = 0.05 br.signal_vol_max_leverage = 3 br.signal_vol_periods = 60 br.signal_vol_obs_in_year = 252 br.signal_vol_rebalance_freq = 'BM' br.signal_vol_resample_freq = None tech_params = TechParams(); tech_params.sma_period = 200; indicator = 'SMA' # pick USD crosses in G10 FX # note: we are calculating returns from spot (it is much better to use to total return # indices for FX, which include carry) logger.info("Loading asset data...") tickers = ['EURUSD', 'USDJPY', 'GBPUSD', 'AUDUSD', 'USDCAD', 'NZDUSD', 'USDCHF', 'USDNOK', 'USDSEK'] vendor_tickers = ['FRED/DEXUSEU', 'FRED/DEXJPUS', 'FRED/DEXUSUK', 'FRED/DEXUSAL', 'FRED/DEXCAUS', 'FRED/DEXUSNZ', 'FRED/DEXSZUS', 'FRED/DEXNOUS', 'FRED/DEXSDUS'] time_series_request = TimeSeriesRequest( start_date = "01 Jan 1989", # start date finish_date = datetime.date.today(), # finish date
time_series_request = TimeSeriesRequest( start_date="01 Jan 1970", # start date finish_date=datetime.date.today(), # finish date freq='daily', # daily data data_source='quandl', # use Quandl as data source tickers=['EURUSD', # ticker (Thalesians) 'GBPUSD'], fields=['close'], # which fields to download vendor_tickers=['FRED/DEXUSEU', 'FRED/DEXUSUK'], # ticker (Quandl) vendor_fields=['close'], # which Bloomberg fields to download cache_algo='internet_load_return') # how to return data ltsf = LightTimeSeriesFactory() daily_vals = ltsf.harvest_time_series(time_series_request) techind = TechIndicator() tech_params = TechParams() tech_params.sma_period = 20 techind.create_tech_ind(daily_vals, 'SMA', tech_params=tech_params) sma = techind.get_techind() signal = techind.get_signal() combine = daily_vals.join(sma, how='outer') pf = PlotFactory() pf.plot_line_graph(combine, adapter='pythalesians')
start_date="01 Jan 1970", # start date finish_date=datetime.date.today(), # finish date freq='daily', # daily data data_source='quandl', # use Quandl as data source tickers=[ 'EURUSD', # ticker (Thalesians) 'GBPUSD' ], fields=['close'], # which fields to download vendor_tickers=['FRED/DEXUSEU', 'FRED/DEXUSUK'], # ticker (Quandl) vendor_fields=['close'], # which Bloomberg fields to download cache_algo='internet_load_return') # how to return data ltsf = LightTimeSeriesFactory() daily_vals = ltsf.harvest_time_series(time_series_request) techind = TechIndicator() tech_params = TechParams() tech_params.sma_period = 20 techind.create_tech_ind(daily_vals, 'SMA', tech_params=tech_params) sma = techind.get_techind() signal = techind.get_signal() combine = daily_vals.join(sma, how='outer') pf = PlotFactory() pf.plot_line_graph(combine, adapter='pythalesians')
# get all asset data br.start_date = "02 Jan 1990" br.finish_date = datetime.datetime.utcnow() br.spot_tc_bp = 2.5 # 2.5 bps bid/ask spread br.ann_factor = 252 # have vol target for each signal br.signal_vol_adjust = True br.signal_vol_target = 0.05 br.signal_vol_max_leverage = 3 br.signal_vol_periods = 60 br.signal_vol_obs_in_year = 252 br.signal_vol_rebalance_freq = 'BM' tech_params = TechParams(); tech_params.sma_period = 200; indicator = 'SMA' # pick USD crosses in G10 FX # note: we are calculating returns from spot (it is much better to use to total return # indices for FX, which include carry) logger.info("Loading asset data...") tickers = ['EURUSD', 'USDJPY', 'GBPUSD', 'AUDUSD', 'USDCAD', 'NZDUSD', 'USDCHF', 'USDNOK', 'USDSEK'] vendor_tickers = ['FRED/DEXUSEU', 'FRED/DEXJPUS', 'FRED/DEXUSUK', 'FRED/DEXUSAL', 'FRED/DEXCAUS', 'FRED/DEXUSNZ', 'FRED/DEXSZUS', 'FRED/DEXNOUS', 'FRED/DEXSDUS'] time_series_request = TimeSeriesRequest( start_date = "01 Jan 1989", # start date finish_date = datetime.date.today(), # finish date