working Q2 modif for multi-strat

florentchandelier · May 16, 2016 · cdbaf28 · cdbaf28
1 parent 045e33a
commit cdbaf28
Show file tree

Hide file tree

Showing 3 changed files with 30 additions and 20 deletions.
diff --git a/example/multi-strat_multi-instru/multi_strat_zipline.py b/example/multi-strat_multi-instru/multi_strat_zipline.py
@@ -18,28 +18,32 @@
 
 if __name__ == '__main__':
 
-    fast_backtest = True
-    algo = TradingAlgorithm(initialize=initialize, handle_data=handle_data, capital_base = 10000, fast_backtest=fast_backtest)
-
-    instrument = [''.join(w) for w in algo.instrument.values()]
+#    fast_backtest = True
+#    algo = TradingAlgorithm(initialize=initialize, handle_data=handle_data, capital_base = 10000, fast_backtest=fast_backtest)
+    algo = TradingAlgorithm(initialize=initialize, handle_data=handle_data)
+
+#    instrument = [''.join(w) for w in algo.instrument.values()]
+    instrument = ['SPY', 'TLT']
+    startDate = datetime(2004, 1, 1, 0, 0, 0, 0, pytz.utc)
+    endDate = datetime(2015, 1, 1, 0, 0, 0, 0, pytz.utc) 
 
-    data = load_from_yahoo(stocks=instrument, indexes={},start=algo.startDate, end=algo.endDate)
+    data = load_from_yahoo(stocks=instrument, indexes={},start=startDate, end=endDate)
     data = data.dropna()
 
     '''
     Setting Analytics and Log System
     '''
-    log_level = 2 # 2-INFO; 3=WARNING .... check AnalyticsManager module
-    algo.portfolio_manager.order_manager.set_dumpanalytics(False)
-    algo.portfolio_manager.order_manager.set_log_option(logconsole=False, logfile=False, level=log_level)    
-
-    idx = algo.portfolio_manager.list_strategies.index('tlt strategy')
-    algo.portfolio_manager.strategies[idx].set_log_option(logconsole=False, logfile=False, level=log_level)
-    algo.portfolio_manager.strategies[idx].set_dumpanalytics(True) 
-
-    idx = algo.portfolio_manager.list_strategies.index('spy strategy')
-    algo.portfolio_manager.strategies[idx].set_log_option(logconsole=False, logfile=True, level=log_level)
-    algo.portfolio_manager.strategies[idx].set_dumpanalytics(False) 
+#    log_level = 2 # 2-INFO; 3=WARNING .... check AnalyticsManager module
+#    algo.portfolio_manager.order_manager.set_dumpanalytics(False)
+#    algo.portfolio_manager.order_manager.set_log_option(logconsole=False, logfile=False, level=log_level)    
+#
+#    idx = algo.portfolio_manager.list_strategies.index('tlt strategy')
+#    algo.portfolio_manager.strategies[idx].set_log_option(logconsole=False, logfile=False, level=log_level)
+#    algo.portfolio_manager.strategies[idx].set_dumpanalytics(True) 
+#    
+#    idx = algo.portfolio_manager.list_strategies.index('spy strategy')
+#    algo.portfolio_manager.strategies[idx].set_log_option(logconsole=False, logfile=True, level=log_level)
+#    algo.portfolio_manager.strategies[idx].set_dumpanalytics(False) 
     #
     # End Of Fetch and Load
     #

diff --git a/example/multi-strat_multi-instru/multi_strategy/strat1/strat1_core.py b/example/multi-strat_multi-instru/multi_strategy/strat1/strat1_core.py
@@ -25,13 +25,16 @@ def __init__(self, context, name = 'stupid momentum strategy on TLT', instrument
     def abs_mom_up (self, data):
         inst = self.instruments.values()[0]
 
-        prices = history(self.lookback, '1d', 'price')
+#        prices = history(self.lookback, '1d', 'price')
+        security_list = self.instruments.values()
+        prices = data.history(security_list, 'price', self.lookback, '1d')
         NbNan = np.count_nonzero(np.isnan(prices))
         if NbNan > 0:
             return -1
 
         mom = prices.mean()
-        if data[inst].price > mom[inst]:
+#        if data[inst].price > mom[inst]:
+        if data.current(inst, 'price') > mom[inst]:
             return 1
         else:
             return 0

diff --git a/example/multi-strat_multi-instru/multi_strategy/strat2/strat2_core.py b/example/multi-strat_multi-instru/multi_strategy/strat2/strat2_core.py
@@ -25,13 +25,16 @@ def __init__(self, context, name = 'stupid momentum strategy on SPY', instrument
     def abs_mom_up (self, data):
         inst = self.instruments.values()[0]
 
-        prices = history(self.lookback, '1d', 'price')
+#        prices = history(self.lookback, '1d', 'price')
+        security_list = self.instruments.values()
+        prices = data.history(security_list, 'price', self.lookback, '1d')
         NbNan = np.count_nonzero(np.isnan(prices))
         if NbNan > 0:
             return -1
 
         mom = prices.mean()
-        if data[inst].price > mom[inst]:
+#        if data[inst].price > mom[inst]:
+        if data.current(inst, 'price') > mom[inst]:
             return 1
         else:
             return 0