I wrote a base algo that incorporates machine learning in the pipeline. i.e. as the pipeline runs, it trains a ML model PER STOCK and comes up with a prediction on the stock's movement. The algo can then use the output of the pipeline and long the predicted up stocks and short the predicted short stocks.

As it stands, this algo does not perform well, but it can serve as a basis for someone else.

/Luc Prieur

Clone Algorithm

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Backtest from
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Cumulative performance:

Algorithm
Benchmark

Custom data:

Total Returns

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Alpha

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Beta

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Sharpe

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Sortino

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Max Drawdown

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Benchmark Returns

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Volatility

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Returns | 1 Month | 3 Month | 6 Month | 12 Month |

Alpha | 1 Month | 3 Month | 6 Month | 12 Month |

Beta | 1 Month | 3 Month | 6 Month | 12 Month |

Sharpe | 1 Month | 3 Month | 6 Month | 12 Month |

Sortino | 1 Month | 3 Month | 6 Month | 12 Month |

Volatility | 1 Month | 3 Month | 6 Month | 12 Month |

Max Drawdown | 1 Month | 3 Month | 6 Month | 12 Month |

from quantopian.pipeline import Pipeline, CustomFilter, CustomFactor from quantopian.algorithm import attach_pipeline, pipeline_output from quantopian.pipeline.factors import Latest from quantopian.pipeline.data.builtin import USEquityPricing from quantopian.pipeline.data.psychsignal import aggregated_twitter_withretweets_stocktwits as st from sklearn.preprocessing import StandardScaler from quantopian.pipeline.factors import SimpleMovingAverage from quantopian.pipeline.filters import Q500US import numpy as np from sklearn.svm import SVC from sklearn.naive_bayes import GaussianNB import pandas as pd class Prediction(CustomFactor): def compute(self, today, asset_ids, out, bull_msgs, bear_msgs, close_prices, open_prices): predictions = [] for i in range(close_prices.shape[1]): bull_msg = bull_msgs[:, i] bear_msg = bear_msgs[:, i] result = (close_prices[:, i] > open_prices[:, i]) * 2 - 1 df = pd.DataFrame(data={'bull':bull_msg.flatten(), 'bear': bear_msg.flatten(), \ 'result': result.flatten()}) # before shifting, we must record the last values as they will be used # to run the model on for the prediction. df['bull_ma'] = df['bull'].rolling(window=10).mean() #.shift(1) df['bear_ma'] = df['bear'].rolling(window=10).mean() #.shift(1) df['bull_rs'] = df['bull'].rolling(window=5).apply(compute_slope) #.shift(1) df['bear_rs'] = df['bear'].rolling(window=5).apply(compute_slope) #.shift(1) scaler = StandardScaler() try: features = ['bull_rs', 'bear_rs'] X_live = df[features][-1:] df[features] = df[features].shift(1) df.dropna(inplace=True) X_train = scaler.fit_transform(df[features]) y_train = df['result'] model = GaussianNB() prediction = model.fit(X_train, y_train).predict(scaler.transform(X_live))[0] predictions.append(prediction) except: predictions.append(1) out[:] = predictions def custom_pipeline(context): sma_10 = SimpleMovingAverage(inputs = [USEquityPricing.close], window_length=10) sma_50 = SimpleMovingAverage(inputs = [USEquityPricing.close], window_length=50) # for testing only small_universe = SidInList(sid_list = (24)) #changed to be easier to read. my_screen = (Q500US() & \ (sma_10 > sma_50) & \ (st.bull_scored_messages.latest > 10)) prediction = Prediction(inputs=[st.bull_scored_messages, st.bear_scored_messages, \ USEquityPricing.close, USEquityPricing.open],\ window_length=200, mask=small_universe) return Pipeline( columns={ 'sma10': sma_10, 'close': USEquityPricing.close.latest, 'prediction': prediction }, screen=my_screen) def initialize(context): #ADDED TO MONITOR LEVERAGE MINUTELY. context.minLeverage = [0] context.maxLeverage = [0] attach_pipeline(custom_pipeline(context), 'custom_pipeline') schedule_function(evaluate, date_rules.every_day(), time_rules.market_open(minutes=1)) schedule_function(sell, date_rules.every_day(), time_rules.market_open()) schedule_function(buy, date_rules.every_day(), time_rules.market_open(minutes = 5)) context.longs = [] context.shorts = [] def before_trading_start(context, data): context.results = pipeline_output('custom_pipeline') class SidInList(CustomFilter): """ Filter returns True for any SID included in parameter tuple passed at creation. Usage: my_filter = SidInList(sid_list=(23911, 46631)) """ inputs = [] window_length = 1 params = ('sid_list',) def compute(self, today, assets, out, sid_list): out[:] = np.in1d(assets, sid_list) def compute_slope(a): x = np.arange(0, len(a)) y = np.array(a) A = np.vstack([x, np.ones(len(x))]).T m, c = np.linalg.lstsq(A, y)[0] return m def evaluate (context, data): context.longs = [] for sec in context.results.index: if context.results.loc[sec, 'prediction'] == 1: print "Here" if sec not in context.portfolio.positions: context.longs.append(sec) def sell (context,data): for sec in context.portfolio.positions: if sec not in context.longs: order_target_percent(sec, 0.0) def buy (context,data): for sec in context.longs: order_target_percent(sec, 1.0 / (len(context.longs) + len(context.portfolio.positions)))