This is a fixed version of the Gold vs. gold-miners algorithm. Do not use this version, but see below for a fixed version that uses the batch_transform to compute the regression.

Clone Algorithm

719

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Backtest from
to
with
initial capital

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 zipline.transforms.utils import EventWindow from zipline.transforms.stddev import MovingStandardDevWindow from zipline.transforms.mavg import MovingAverageEventWindow from zipline.utils.protocol_utils import ndict import statsmodels.api as sm class OLSWindow(EventWindow): def __init__(self, window_size, stock1, stock2): # Call the superclass constructor to set up base EventWindow # infrastructure. This call will create a window of window_size trading days - # holidays and weekends will be excluded from the tally. EventWindow.__init__(self, True, window_size, None) self.stock1 = stock1 self.stock2 = stock2 self.last_calc = None self.daycount = window_size self.refresh_period = window_size // 10 # flag for signaling that the event window is full # i.e. we have window_size trading days of data self.full = False self.beta = None self.zscore = None self.spread_stddev = MovingStandardDevWindow(True, self.refresh_period, None) self.spread_mavg = MovingAverageEventWindow(['spread'], True, self.refresh_period, None) def handle_data(self, data): """ New method to handle a data frame as sent to the algorithm's handle_data method. """ price1 = data[self.stock1].price price2 = data[self.stock2].price spread = price1 - price2 dt = data[self.stock1].datetime if dt < data[self.stock2].datetime: dt = data[self.stock2].datetime event = ndict({ 'dt' : data[self.stock1].datetime, 'price1': data[self.stock1].price, 'price2': data[self.stock2].price, 'spread': spread }) self.update(event) if not self.beta: return current_date = data[self.stock1].datetime self.spread = data[self.stock1].price - self.beta * data[self.stock2].price # at the moment, the standard deviation event window only looks at a price field, # while moving average will take a parameter for the field to average. So, our # event fakes out the std deviation event window by repeating the spread in the price. spread_event = ndict({ 'price' : self.spread, 'spread': self.spread, 'dt' : current_date }) # calculate the stddev of the spread self.spread_stddev.update(spread_event) # calculate the average of the spread self.spread_mavg.update(spread_event) spread_avg = self.spread_mavg.get_averages()['spread'] spread_std = self.spread_stddev.get_stddev() if spread_std: self.zscore = (self.spread - spread_avg)/spread_std def handle_add(self, event): """ This method is required by EventWindow, and is called for each new event added to the window. There isn't an incremental implementation for OLS available (clone and create one! We'll send you a t-shirt!), so rather than recalculate every minute, we hold a value for refresh_period days and then recalculate. """ if not self.last_calc: self.last_calc = event.dt return ols_age = event.dt - self.last_calc if ols_age.days >= self.refresh_period: # EventWindow holds the current window of data in a list # called ticks. Here we are splitting it into two lists of # prices (floats) to pass to the Ordinary Least Squares (OLS) # implemented in statsmodels. p1 = [x.price1 for x in self.ticks] p2 = [x.price2 for x in self.ticks] model = sm.OLS(p1, p2) results = model.fit() self.beta = results.params[0] self.last_calc = event.dt def handle_remove(self, event): """ This method is required by EventWindow, and is called whenever an event falls out of the active window. Because the OLS implementation we are using from statsmodels is not iterative, and is quite heavy computationally, we ignore this event and only periodically re-calcuate the OLS in handle_add (above) """ # since an event is expiring, we know the window is full self.full = True def initialize(context): context.gld = sid(26807) context.gdx = sid(32133) # there are 252 trading days per year on US Markets, so # 126 days is a 6 month window. # 6-month rolling ols calculation, recalculated every 30 days # ols is making a linear fit between price of gld and price of gdx. context.ols_window = OLSWindow(126, context.gld, context.gdx) # calculate the std dev over # maximum total exposure (longs - shorts) in $US allowed context.max_notional = 1 * 1000 * 1000.0 #1M def handle_data(context, data): context.ols_window.handle_data(data) if not context.ols_window.full: return # calculate the current notional value of each position notional1 = context.portfolio.positions[context.gld].amount * data[context.gld].price notional2 = context.portfolio.positions[context.gdx].amount * data[context.gdx].price # if notional1 is zero, we don't have a bet on and we can buy or sell if notional1 == 0: can_buy = True can_sell = True spread_bet = 0.0 else: # check that our spread bet has an absolute exposure within our max_notional limit. spread_bet = abs(notional1) + abs(notional2) * notional1/abs(notional1) can_buy = spread_bet < 0 or spread_bet < context.max_notional can_sell = spread_bet > 0 or spread_bet > -1 * context.max_notional # hit the escape hatch if we don't have enough data to do calculations. zscore = context.ols_window.zscore beta = context.ols_window.beta bet_shares = 5 if zscore >= 2.0 and can_sell: # sell the spread, betting it will narrow since it is over 2 std deviations # away from the average order(context.gld, -1 * bet_shares) order(context.gdx, bet_shares * beta) elif zscore <= -2.0 and can_buy: # buy the spread order(context.gld, bet_shares) order(context.gdx, -1 * beta * bet_shares) elif zscore <= 1.0 and zscore >= -1.0: reduce_position(context.portfolio, context.gld, data, bet_shares) reduce_position(context.portfolio, context.gdx, data, bet_shares) def reduce_position(portfolio, stock, data, abs_quantity): """ decrease exposure, regardless of position long/short. buy for a short position, sell for a long. """ pos_amount = portfolio.positions[stock].amount if pos_amount > 0: order(stock, -1 * abs_quantity) elif pos_amount < 0: order(stock, abs_quantity)

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