def initialize(context):
attach_pipeline(make_pipeline(), 'pipeline')
#Schedule Functions
if not IS_LIVE:
schedule_function(
trade,
#date_rules.every_day(),
#date_rules.week_end(days_offset=1),#0=Fri 1= Thurs
date_rules.month_end(days_offset=3),
time_rules.market_close(minutes=30)
)
schedule_function(record_vars, date_rules.every_day(), time_rules.market_close())
schedule_function(cancel_open_orders, date_rules.week_end(days_offset=2), time_rules.market_close())
context.spy = symbol('SPY') #sid(8554) #SPY
context.TF_filter = False
#context.TF_lookback = 60
#Set number of securities to buy and bonds fund (when we are out of stocks)
context.Target_securities_to_buy = 15 #10 #15 #2 #1 #5 #10 #5
context.bonds = symbol('IEF') #sid(23870) #IEF
context.relative_momentum_lookback = 44 #66 #22 #4 #22 #22 #22 #126 #Momentum lookback
context.momentum_skip_days = 1
context.top_n_relative_momentum_to_buy = 10 #15 #10 #15 #1 #5 #5 #10 #5 #Number to buy
context.stock_weights = pd.Series()
context.bond_weights = pd.Series()
context.auto_close = {} #Initialize portfolio auto_close list.
context.TRACK_ORDERS_ON = False
def initialize(context):
schedule_function(func=trade,
date_rule=date_rules.every_day(),
time_rule=time_rules.market_open(),
half_days=True)
schedule_function(func=cancel,
time_rule=time_rules.market_close(minutes=5),
date_rule=date_rules.every_day(),
half_days=True)
schedule_function(func=reorder,
time_rule=time_rules.market_open(minutes=5),
date_rule=date_rules.every_day(),
half_days=True)
context.asserts = symbols('SPY')
context.bonds = symbol('SHY')
context.rebalance_date = 0
context.fired = False
context.rebalance_inteval = 'D' #'Q', #'D', #'M' #'Q' #'Y'
context.top_n_by_momentum = pd.Series()
#Choose X stocks out of portfolio of Y stocks- how many stocks to hold - top X by momentum
context.stocks = 1
#Lookback for momentum calculation
context.momentum_days = 60
#set at less than 1 to ensure no leverage
context.leverage_buffer = 0.99
#Set to 0 to reject any stocks with negative momentum, set to -1 to accept stocks with negative momentum
context.trend = 0.0
context.reorder_dict = {}
def get_date_rules(freq):
if freq == "day":
start_rule = date_rules.every_day()
end_rule = date_rules.every_day()
elif freq == "week":
start_rule = date_rules.week_start()
end_rule = date_rules.week_end()
elif freq == "month":
start_rule = date_rules.month_start()
end_rule = date_rules.month_end()
else:
start_rule = date_rules.every_day()
end_rule = date_rules.every_day()
date_rule = {"start": start_rule, "end": end_rule}
time_rule = {
"start": time_rules.market_open(),
"end": time_rules.market_close()
}
return date_rule, time_rule
def initialize(context):
"""
Called once at the start of the algorithm.
"""
c = context
c.etf_universe = StaticAssets(
symbols('XLY', 'XLP', 'XLE', 'XLF', 'XLV', 'XLI', 'XLB', 'XLK', 'XLU'))
c.alphas = pd.DataFrame()
# Rebalance every day, 1 hour after market open.
schedule_function(
rebalance,
date_rules.every_day(),
time_rules.market_open(hours=1),
)
# Record tracking variables at the end of each day.
schedule_function(
record_vars,
date_rules.every_day(),
time_rules.market_close(),
)
# Create our dynamic stock selector.
attach_pipeline(make_pipeline(context), 'pipeline')
attach_pipeline(make_pipeinit(context), 'pipeinit')
c.first_trading_day = True
c.factor_name_list = make_factor().keys()
def initialize(context):
ws.send(msg_placeholder % "Simulation Start")
context.security = symbol(ticker)
context.model = RandomForestRegressor()
context.trained = False
context.lookback = 3
context.history_range = 400
schedule_function(create_model, date_rules.week_end(), time_rules.market_close(minutes=10))
schedule_function(trade, date_rules.every_day(), time_rules.market_open(minutes=minutes))
ws.send(msg_placeholder % "Execution of Training and Trading functions scheduled")
def initialize(context):
"""
Called once at the start of the algorithm.
"""
# Rebalance every day, 1 hour after market open.
schedule_function(rebalance, date_rules.month_end(),
time_rules.market_open(hours=1))
# Record tracking variables at the end of each day.
schedule_function(
record_vars,
date_rules.every_day(),
time_rules.market_close(),
)
# Create our dynamic stock selector.
print('ATTACH PIPELINE')
attach_pipeline(make_pipeline(), 'pipeline')
print('PIPELINE ATTACHED')
def initialize(context):
context.universe = StaticAssets(symbols(
'XLY', # Select SPDR U.S. Consumer Discretionary
'XLP', # Select SPDR U.S. Consumer Staples
'XLE', # Select SPDR U.S. Energy
'XLF', # Select SPDR U.S. Financials
'XLV', # Select SPDR U.S. Healthcare
'XLI', # Select SPDR U.S. Industrials
'XLB', # Select SPDR U.S. Materials
'XLK', # Select SPDR U.S. Technology
'XLU', # Select SPDR U.S. Utilities
))
# my_pipe = Pipeline()
my_pipe = make_pipeline(context)
# context.universe = StaticAssets(etfs)
attach_pipeline(my_pipe, 'my_pipeline')
schedule_function(func=rebalance,
date_rule=date_rules.month_end(days_offset=2),
# date_rule=date_rules.every_day(),
time_rule=time_rules.market_close(minutes=30))