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hanyang univ team 3 results
Changho Son
posted
Clone Algorithm
23
Loading...
Total Returns
--
Alpha
--
Beta
--
Sharpe
--
Sortino
--
Max Drawdown
--
Benchmark Returns
--
Volatility
--
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.algorithm import attach_pipeline, pipeline_output
from quantopian.pipeline import Pipeline
from quantopian.pipeline.data.builtin import USEquityPricing
from quantopian.pipeline.factors import Latest
from quantopian.pipeline.filters import StaticAssets,Q500US, make_us_equity_universe, Q1500US
from quantopian.pipeline import CustomFactor
from quantopian.pipeline.data.morningstar import asset_classification, valuation
from quantopian.pipeline.classifiers.morningstar import Sector
import numpy as np
from itertools import combinations
import statsmodels.api as statm
from statsmodels.tsa.stattools import adfuller
import pandas as pd
from scipy import odr


class check_and_get_pairs:

    population_size = 300 
    max_pairs = 20 
    stationary_window = 63 
    signi_level = 0.05
    deviation_cutoff = 1.
    close_cutoff = 0.25
    stop_loss = 6.0 
    margin = 0.1725 
      
    def __init__(self, context, data):

        self.context = context
        self.data = data 
        
    def get_pairs(self):

        self.context.stock_list.loc[:,"isInt1"]= self.context.stock_list["sid"].map(lambda sec:self.check_Int1(sec)) 

        self.context.stock_group=self.context.stock_list[ self.context.stock_list["isInt1"].values].\
                        groupby("industry")
        self.context.paircount=0
        for key, group in self.context.stock_group:
            group_sids = group["sid"].tolist()
            group_sids.sort(key=lambda x:x.sid)
            if len(group_sids) > 1:
                for pair in combinations(group_sids,2):
                    self.context.paircount+=1 
                    if self.check_coint(pair): 
                        self.context.today_pairs.append(pair)
                        if pair in self.context.pair_hist:
                            None
                        else:
                            self.context.pair_hist[pair]={}
                            self.context.pair_hist[pair]["stock1"]=pair[0].asset_name
                            self.context.pair_hist[pair]["stock2"]=pair[1].asset_name
                            self.context.pair_hist[pair]["profit"]=0
                            self.context.pair_hist[pair]["nTrades"]=0
                            self.context.pair_hist[pair]["weight"]=0
                            self.context.pair_hist[pair]["cur_weight"]=0
                            
        
    def get_weight(self, pair, dev_cutoff, dev_ceil = 3):

        price_diff=self.context.price_hist[pair[0]].sub(self.context.price_hist[pair[1]])
        mean_diff=price_diff.mean() 
        sd_diff=price_diff.std()
        price1 = self.data.current(pair[0],"price") 
        price2 = self.data.current(pair[1],"price") 
        cur_diff = price1 - price2 
        cur_deviation = abs(cur_diff - mean_diff)/sd_diff 
        mprice=max(price1,price2) 
        weight=0

        if (sd_diff/mprice > 0.1): 
            return 0 
        if (cur_deviation > dev_cutoff and cur_deviation < dev_ceil): 
            if (cur_diff > mean_diff):
                data_x=self.context.price_hist[pair[0]] 
                data_y=self.context.price_hist[pair[1]] 
                weight=-1.0*self.get_beta(pair, data_x, data_y).beta[0]
            else:
                weight=(1.0)
        return weight  


    def check_Int1(self, sid):

        data_x = self.context.price_hist[sid].diff()[1:]
        if data_x.isnull().any():
            return False
        else:
            return self.is_stationary(data_x, self.signi_level)
    
    def check_coint(self, pair):
  
        data_x=self.context.price_hist[pair[0]]
        data_y=self.context.price_hist[pair[1]]
        return self.is_cointegrated(pair,data_x,data_y, self.signi_level)        
        
    def is_stationary(self, data_x, cutoff):

        p_value = adfuller(data_x)[1] 
        if p_value < cutoff:
            return True
        else:
            return False
        
        
    def get_beta(self, pair, data_x, data_y, cutoff=0.01):

        X=statm.add_constant(data_x)
        linear_comb=statm.OLS(data_y,X)
        fitted=linear_comb.fit()
        const,beta=fitted.params
    
        model = odr.Model(lambda B,x: (B[0]*x + B[1])) 
        data = odr.RealData(data_x, data_y, sx=np.std(data_x), sy=np.std(data_y))

        myodr = odr.ODR(data, model, beta0=[beta, const])
        myoutput = myodr.run() 

        return myoutput 
    
        
    def is_cointegrated(self, pair, data_x, data_y, cutoff=0.01):

        myoutput = self.get_beta(pair, data_x, data_y)

        spread = data_y - myoutput.beta[0] * data_x - myoutput.beta[1]
    
        beta = myoutput.beta[0]
    
        if (beta < 0 or beta > 2):
            return False
    
        else:    
            return self.is_stationary(spread,cutoff)
        

class trade_pairs(check_and_get_pairs):

    def __init__(self, context, data):

        self.context = context
        self.data = data
        
    
    def trade_algo(self):

        weight_pos = [self.get_weight(pair,self.close_cutoff, self.stop_loss) for pair in self.context.pair_pos]
    

        for ind, weight in enumerate(weight_pos):
            if weight == 0:
                self.close_pair(self.context.pair_pos[ind])
        
       
        self.context.pair_pos=[pair for ind,pair in enumerate(self.context.pair_pos) if weight_pos[ind] !=0]
    
        if len(self.context.pair_pos) == self.max_pairs:
            return
        else:
            self.get_pairs() 
        
        value=self.context.portfolio.cash/self.max_pairs/self.margin 
        rel_weights=[]
    
    
        for pair in self.context.today_pairs:
         
            rel_weights.append( self.get_weight(pair, self.deviation_cutoff))
            
        self.context.today_pairs=[ b for a,b in sorted(zip(rel_weights,self.context.today_pairs),
                                                  key= lambda x: abs(x[0]),reverse=True)] 
         

        rel_weights.sort(key=lambda x:-abs(x)) 
        cur_pos= [sec.sid for stocks in self.context.pair_pos for sec in stocks]
         
        for ind,pair in enumerate(self.context.today_pairs):
            if rel_weights[ind] != 0: 
                if pair[0].sid in cur_pos or pair[1].sid in cur_pos: 
                    rel_weights[ind] =0
                else:
                    cur_pos.append(pair[0].sid)
                    cur_pos.append(pair[1].sid)
                
        self.context.today_pairs=[ b for a,b in sorted(zip(rel_weights,self.context.today_pairs),
                                                  key= lambda x: abs(x[0]),reverse=True)]
        rel_weights.sort(key=lambda x:-abs(x))
    
        trade_count = self.max_pairs - len(self.context.pair_pos) 
 

        for ind,pair in enumerate(self.context.today_pairs[0:trade_count]):

            if rel_weights[ind] != 0: 
                if (rel_weights[ind] <0):
                    amount = -value
                else: #0보다 크면
                    amount=value
                self.order_pair(pair,amount) 
                self.context.pair_pos.append(pair) 
        
    def order_pair(self, pair, value):

        order_value(pair[0],value) 
        order_value(pair[1],-value)
        
    def close_pair(self, pair):

        for security in pair:
            pos=self.context.portfolio.positions[security].amount 
            price = self.data.current(security, 'price') 
            init_price=self.context.portfolio.positions[security].cost_basis 
            profit=(price-init_price)*pos
            self.context.pair_hist[pair]["profit"]+=profit 
        self.context.pair_hist[pair]["nTrades"]+=1
        order_target_percent(pair[0],0) 
        order_target_percent(pair[1],0) 
    
    
def initialize(context):

    context.universe = Q500US() 

    context.pair_hist={} 
    context.pair_pos=[]

    context.first_run=True 

    schedule_function(trade, date_rules.every_day(), time_rules.market_open(hours=1))
     

    attach_pipeline(pipeline_data(context), 'fund_data')
    
def trade(context,data):

    trading = trade_pairs(context,data)
    trading.trade_algo()

    
def before_trading_start(context, data):

    context.stock_list = pipeline_output('fund_data') 
    context.stock_list.loc[:,"sid"]=context.stock_list.index 
    context.today_pairs=[]
    hist_price(context,data) 
    
 
def hist_price(context,data):

    if (context.first_run): 
        all_stocks=context.stock_list["sid"].tolist() 
        context.price_hist = data.history(all_stocks, "price", check_and_get_pairs.stationary_window, '1d') 
        context.first_run=False 
    else:
        hist_stocks=context.price_hist.columns.tolist() 
        prev_price=data.history(hist_stocks, "price", 1, '1d') 
        context.price_hist = pd.concat([context.price_hist.iloc[1:,:], 
                                        prev_price])
        hist_stock_ids=[sec.sid for sec in hist_stocks] 
        today_only_stocks=[sec for sec in context.stock_list["sid"] if sec.sid not in hist_stock_ids]
        today_stock_hist = data.history(today_only_stocks, "price", check_and_get_pairs.stationary_window, '1d') 
        context.price_hist = pd.concat([context.price_hist,
                                        today_stock_hist],axis=1) 
        
        
def pipeline_data(context):

    context.selection = make_us_equity_universe(check_and_get_pairs.population_size, rankby=valuation.market_cap.latest, mask=context.universe,max_group_weight=0.1, groupby=asset_classification.morningstar_industry_code.latest)
    industry = asset_classification.morningstar_industry_code.latest
    

    pipe_columns = {
            'industry':industry
            }

    

    pipe = Pipeline(columns=pipe_columns,screen=context.selection)
    return pipe
There was a runtime error.
3 responses
Doug Baldwin

Thanks for posting. To better understand what is being taught, I have refactored your algorithm. The same performance is as expected. An obvious next step would be to be to address dividend payments and stock splits, which your algoithm fails to catch. If someone on the team would like to take this further, send me a message.

Clone Algorithm
6
Loading...
Total Returns
--
Alpha
--
Beta
--
Sharpe
--
Sortino
--
Max Drawdown
--
Benchmark Returns
--
Volatility
--
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.algorithm import attach_pipeline, pipeline_output
from quantopian.pipeline import Pipeline
from quantopian.pipeline.filters import Q500US, make_us_equity_universe
from quantopian.pipeline.data.morningstar import asset_classification, valuation
from itertools import combinations
import statsmodels.api as statm
from statsmodels.tsa.stattools import adfuller
import pandas as pd
from scipy import odr

class PairsTradingAlgo(object):
    population_size = 300 
    max_pairs = 20 
    stationary_window = 63 
    signi_level = 0.05
    deviation_cutoff = 1.
    close_cutoff = 0.25
    stop_loss = 6.0 
    margin = 0.1725 
      
    def __init__(self, context):
        self.context = context
        self.pair_pos = list()
    
    def get_pairs(self):
        pairs = list()
        for _, group in self.context.assets[
            [ self.check_Int1( asset ) for asset in self.context.assets.index ]
        ].groupby("industry"):
            if group.shape[0] > 1:
                pairs.extend(
                    [
                        pair for pair in combinations(
                            sorted(
                                group.index.tolist(),
                                key = lambda x: x.sid
                            ),
                            2
                        ) if self.is_cointegrated( pair )
                    ]
                )
        return pairs
        
    def get_weight(self, pair, dev_cutoff, dev_ceil = 3):
        data_x = self.context.price_hist[ pair[0] ]
        data_y = self.context.price_hist[ pair[1] ]
        mean_diff, sd_diff = ( data_x - data_y ).pipe(
            lambda ds: ( ds.mean(), ds.std() )
        )
        price1 = self.data.current( pair[0],"price" ) 
        price2 = self.data.current( pair[1],"price" ) 
        cur_diff = price1 - price2 
        cur_deviation = abs( cur_diff - mean_diff ) / sd_diff
        if (
            sd_diff / max( price1, price2 ) <= 0.1
            and
            cur_deviation > dev_cutoff
            and
            cur_deviation < dev_ceil
        ): 
            if (cur_diff > mean_diff):
                weight = -1.0 * self.get_betas( data_x, data_y )[0]
            else:
                weight = 1.0
        else:
            weight = 0.0
        return weight

    def check_Int1(self, asset):
        return self.context.price_hist[ asset ].diff()[1:].pipe(
            lambda ds:
            ds.notnull().all()
            and
            self.is_stationary( ds )
        )
    
    def is_stationary(self, data_x):
        return adfuller( data_x )[1] < self.signi_level
    
    def get_betas(self, data_x, data_y):
        const, beta = statm.OLS(
            data_y,
            statm.add_constant(
                data_x
            )
        ).fit().params
        return odr.ODR(
            odr.RealData(
                data_x,
                data_y,
                sx = data_x.std(),
                sy = data_y.std()
            ),
            odr.Model(
                lambda B, x :
                B[0] * x + B[1]
            ),
            beta0 = [ beta, const ]
        ).run().beta
        
    def is_cointegrated(self, pair):
        data_x = self.context.price_hist[ pair[0] ]
        data_y = self.context.price_hist[ pair[1] ]
        beta = self.get_betas( data_x, data_y )
        return (
            beta[0] >= 0
            and
            beta[0] <= 2
            and
            self.is_stationary(
                data_y
                -
                beta[0] * data_x
                -
                beta[1]
            )
        )

    def trade(self, data):
        self.data = data
        pair_pos = list()
        for pair in self.pair_pos:
            if self.get_weight(
                pair,
                self.close_cutoff,
                self.stop_loss
            ):
                pair_pos.append( pair )
            else:
                self.close_pair( pair )
        self.pair_pos = pair_pos            
        if len( self.pair_pos ) == self.max_pairs:
            return
        pairs = self.get_pairs()
        if not pairs:
            return
        rel_weights = [
            self.get_weight(
                pair,
                self.deviation_cutoff
            )
            for pair in pairs
        ]
        def get_ordered_nonzero_index():
            return [
                i for i, weight in sorted(
                    enumerate( rel_weights ),
                    key = lambda x: abs( x[1] ),
                    reverse = True
                ) if weight
            ]
        cur_pos = [ asset for pair in self.pair_pos for asset in pair]
        for i in get_ordered_nonzero_index():
            pair = pairs[ i ]
            if pair[0] in cur_pos or pair[1] in cur_pos: 
                rel_weights[ i ] = 0
            else:
                cur_pos.append( pair[0] )
                cur_pos.append( pair[1] )
        value = self.context.portfolio.cash / self.max_pairs / self.margin
        for i in get_ordered_nonzero_index()[ :self.max_pairs - len( self.pair_pos ) ]:
            self.order_pair(
                pairs[ i ],
                value if rel_weights[ i ] > 0 else -value
            )
            self.pair_pos.append( pairs[ i ] )
        
    def order_pair(self, pair, value):
        order_value( pair[0], value ) 
        order_value( pair[1], -value )
        
    def close_pair(self, pair):
        order_target_percent( pair[0], 0 ) 
        order_target_percent( pair[1], 0 )
    
def initialize(context):
    attach_pipeline( pipeline_data(), 'assets' )
    context.pairs_trading_algo = PairsTradingAlgo( context )
    context.price_hist = None
    schedule_function( trade, date_rules.every_day(), time_rules.market_open( hours = 1 ) )
    
def trade(context,data):
    context.pairs_trading_algo.trade( data )
    
def before_trading_start(context, data):
    context.assets = pipeline_output( 'assets' )
    if context.price_hist is None:
        context.price_hist = data.history(
            context.assets.index,
            "price",
            PairsTradingAlgo.stationary_window,
            '1d'
        )
    else:
        context.price_hist = pd.concat(
            [
                context.price_hist.iloc[1:,:],
                data.history(
                    context.price_hist.columns,
                    "price",
                    1,
                    '1d'
                )
            ],
            axis = 0
        )
        context.price_hist = pd.concat(
            [
                context.price_hist,
                data.history(
                    [
                        asset for asset in context.assets.index
                        if asset not in context.price_hist.columns
                    ],
                    "price",
                    PairsTradingAlgo.stationary_window,
                    '1d'
                ) 
            ],
            axis = 1
        )
        
def pipeline_data():
    return Pipeline(
        columns = {
            'industry': asset_classification.morningstar_industry_code.latest
        },
        screen = make_us_equity_universe(
            target_size = PairsTradingAlgo.population_size,
            rankby = valuation.market_cap.latest,
            mask = Q500US(),
            max_group_weight = 0.1,
            groupby = asset_classification.morningstar_industry_code.latest
        )
    )
There was a runtime error.
Blue Seahawk

Hits leverage of 12 right away in shorting. Try starting with this or this to make that visible in the custom chart and then this to see ordering to help resolve that. You can limit it like this: 'symbols': ['LMT', 'WB', 'KMG']. Welp, ok, will attach.

Should help if you make the context object available in the code where ordering occurs for info on current positions etc.

Clone Algorithm
3
Loading...
Total Returns
--
Alpha
--
Beta
--
Sharpe
--
Sortino
--
Max Drawdown
--
Benchmark Returns
--
Volatility
--
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.algorithm import attach_pipeline, pipeline_output
from quantopian.pipeline import Pipeline
from quantopian.pipeline.filters import Q500US, make_us_equity_universe
from quantopian.pipeline.data.morningstar import asset_classification, valuation
from itertools import combinations
import statsmodels.api as statm
from statsmodels.tsa.stattools import adfuller
import pandas as pd
from scipy import odr

class PairsTradingAlgo(object):
    population_size = 300
    max_pairs = 20
    stationary_window = 63
    signi_level = 0.05
    deviation_cutoff = 1.
    close_cutoff = 0.25
    stop_loss = 6.0
    margin = 0.1725

    def __init__(self, context):
        self.context = context
        self.pair_pos = list()

    def get_pairs(self):
        pairs = list()
        for _, group in self.context.assets[
            [ self.check_Int1( asset ) for asset in self.context.assets.index ]
        ].groupby("industry"):
            if group.shape[0] > 1:
                pairs.extend(
                    [
                        pair for pair in combinations(
                            sorted(
                                group.index.tolist(),
                                key = lambda x: x.sid
                            ),
                            2
                        ) if self.is_cointegrated( pair )
                    ]
                )
        return pairs

    def get_weight(self, pair, dev_cutoff, dev_ceil = 3):
        data_x = self.context.price_hist[ pair[0] ]
        data_y = self.context.price_hist[ pair[1] ]
        mean_diff, sd_diff = ( data_x - data_y ).pipe(
            lambda ds: ( ds.mean(), ds.std() )
        )
        price1 = self.data.current( pair[0],"price" )
        price2 = self.data.current( pair[1],"price" )
        cur_diff = price1 - price2
        cur_deviation = abs( cur_diff - mean_diff ) / sd_diff
        if (
            sd_diff / max( price1, price2 ) <= 0.1
            and
            cur_deviation > dev_cutoff
            and
            cur_deviation < dev_ceil
        ):
            if (cur_diff > mean_diff):
                weight = -1.0 * self.get_betas( data_x, data_y )[0]
            else:
                weight = 1.0
        else:
            weight = 0.0
        return weight

    def check_Int1(self, asset):
        return self.context.price_hist[ asset ].diff()[1:].pipe(
            lambda ds:
            ds.notnull().all()
            and
            self.is_stationary( ds )
        )

    def is_stationary(self, data_x):
        return adfuller( data_x )[1] < self.signi_level

    def get_betas(self, data_x, data_y):
        const, beta = statm.OLS(
            data_y,
            statm.add_constant(
                data_x
            )
        ).fit().params
        return odr.ODR(
            odr.RealData(
                data_x,
                data_y,
                sx = data_x.std(),
                sy = data_y.std()
            ),
            odr.Model(
                lambda B, x :
                B[0] * x + B[1]
            ),
            beta0 = [ beta, const ]
        ).run().beta

    def is_cointegrated(self, pair):
        data_x = self.context.price_hist[ pair[0] ]
        data_y = self.context.price_hist[ pair[1] ]
        beta = self.get_betas( data_x, data_y )
        return (
            beta[0] >= 0
            and
            beta[0] <= 2
            and
            self.is_stationary(
                data_y
                -
                beta[0] * data_x
                -
                beta[1]
            )
        )

    def trade(self, data):
        self.data = data
        pair_pos = list()
        for pair in self.pair_pos:
            if self.get_weight(
                pair,
                self.close_cutoff,
                self.stop_loss
            ):
                pair_pos.append( pair )
            else:
                self.close_pair( pair )
        self.pair_pos = pair_pos
        if len( self.pair_pos ) == self.max_pairs:
            return
        pairs = self.get_pairs()
        if not pairs:
            return
        rel_weights = [
            self.get_weight(
                pair,
                self.deviation_cutoff
            )
            for pair in pairs
        ]
        def get_ordered_nonzero_index():
            return [
                i for i, weight in sorted(
                    enumerate( rel_weights ),
                    key = lambda x: abs( x[1] ),
                    reverse = True
                ) if weight
            ]
        cur_pos = [ asset for pair in self.pair_pos for asset in pair]
        for i in get_ordered_nonzero_index():
            pair = pairs[ i ]
            if pair[0] in cur_pos or pair[1] in cur_pos:
                rel_weights[ i ] = 0
            else:
                cur_pos.append( pair[0] )
                cur_pos.append( pair[1] )
        value = self.context.portfolio.cash / self.max_pairs / self.margin
        for i in get_ordered_nonzero_index()[ :self.max_pairs - len( self.pair_pos ) ]:
            self.order_pair(
                pairs[ i ],
                value if rel_weights[ i ] > 0 else -value
            )
            self.pair_pos.append( pairs[ i ] )

    def order_pair(self, pair, value):
        order_target_value( pair[0], value )
        order_target_value( pair[1], -value )

    def close_pair(self, pair):
        order_target_percent( pair[0], 0 )
        order_target_percent( pair[1], 0 )

def initialize(context):
    attach_pipeline( pipeline_data(), 'assets' )
    context.pairs_trading_algo = PairsTradingAlgo( context )
    context.price_hist = None
    schedule_function( trade, date_rules.every_day(), time_rules.market_open( hours = 1 ) )

    for i in range(1, 391):
        schedule_function(pvr, date_rules.every_day(), time_rules.market_open(minutes=i))

    for i in range(1, 391):
        schedule_function(track_orders, date_rules.every_day(), time_rules.market_open(minutes=i))

    # To limit partial fills
    #schedule_function(cncl_oos, date_rules.every_day(), time_rules.market_open(minutes=61))
    
def cncl_oos(context, data):    # Primarily to prevent the logging of unfilled orders at end of day
    oo = get_open_orders()        #   Can also be use at any time to limit partial fills.
    for s in oo:
        for o in oo[s]:
            cancel_order(o.id)

def track_orders(context, data):
    '''  Show orders when made and filled.
           Info: https://www.quantopian.com/posts/track-orders
           
           
           
           for https://www.quantopian.com/posts/hanyang-univ-team-3-results
           ... I added leverage to the output here.
           
           
           
    '''
    c = context
    if 'trac' not in c:
        c.t_opts = {        # __________    O P T I O N S    __________
            #'symbols'     : ['LMT', 'WB', 'KMG'],
            'symbols'     : [],   # List of symbols to filter for, like ['TSLA', 'SPY']
            'log_neg_cash': 1,    # Show cash only when negative.
            'log_cash'    : 1,    # Show cash values in logging window or not.
            'log_ids'     : 1,    # Include order id's in logging window or not.
            'log_unfilled': 1,    # When orders are unfilled. (stop & limit excluded).
            'log_cancels' : 0,    # When orders are canceled.
        }    # Move these to initialize() for better efficiency.
        c.trac = {}
        c.t_dates  = {  # To not overwhelm the log window, start/stop dates can be entered.
            'active': 0,
            'start' : [],   # Start dates, option like ['2007-05-07', '2010-04-26']
            'stop'  : []    # Stop  dates, option like ['2008-02-13', '2010-11-15']
        }
    from pytz import timezone as _tz  # Python only does once, makes this portable.
                                      #   Move to top of algo for better efficiency.
    # If 'start' or 'stop' lists have something in them, triggers ...
    if c.t_dates['start'] or c.t_dates['stop']:
        _date = str(get_datetime().date())
        if   _date in c.t_dates['start']:    # See if there's a match to start
            c.t_dates['active'] = 1
        elif _date in c.t_dates['stop']:     #   ... or to stop
            c.t_dates['active'] = 0
    else: c.t_dates['active'] = 1           # Set to active b/c no conditions.
    if c.t_dates['active'] == 0: return     # Skip if not active.
    def _minute():   # To preface each line with the minute of the day.
        bar_dt = get_datetime().astimezone(_tz('US/Eastern'))
        return (bar_dt.hour * 60) + bar_dt.minute - 570 # (-570 = 9:31a)
    def _trac(to_log):      # So all logging comes from the same line number,
        log.info(' {}   {} {}'.format(str(_minute()).rjust(3), to_log, '%.1f' % c.account.leverage))  # for vertical alignment in the logging window.

    for oid in c.trac.copy():               # Existing known orders
      o = get_order(oid)
      if o.dt == o.created: continue        # No chance of fill yet.
      cash = ''
      prc  = data.current(o.sid, 'price') if data.can_trade(o.sid) else c.portfolio.positions[o.sid].last_sale_price
      if (c.t_opts['log_neg_cash'] and c.portfolio.cash < 0) or c.t_opts['log_cash']:
        cash = str(int(c.portfolio.cash))
      if o.status == 2:                     # Canceled
        do = 'Buy' if o.amount > 0 else 'Sell' ; style = ''
        if o.stop:
          style = ' stop {}'.format(o.stop)
          if o.limit: style = ' stop {} limit {}'.format(o.stop, o.limit)
        elif o.limit: style = ' limit {}'.format(o.limit)
        if not c.t_opts['symbols'] or (c.t_opts['symbols'] and o.sid.symbol in c.t_opts['symbols']):
          if c.t_opts['log_cancels']:
            _trac('  Canceled {} {} {}{} at {}   {}  {}'.format(do, o.amount,
               o.sid.symbol, style, prc, cash, o.id[-4:] if c.t_opts['log_ids'] else ''))
        del c.trac[o.id]
      elif o.filled:                        # Filled at least some.
        filled = '{}'.format(o.amount)
        filled_amt = 0
        if o.status == 1:                   # Complete
          if 0 < c.trac[o.id] < o.amount:
            filled   = 'all {}/{}'.format(o.filled - c.trac[o.id], o.amount)
          filled_amt = o.filled
        else:                                    # c.trac[o.id] value is previously filled total
          filled_amt = o.filled - c.trac[o.id]   # filled this time, can be 0
          c.trac[o.id] = o.filled                # save fill value for increments math
          filled = '{}/{}'.format(filled_amt, o.amount)
        if filled_amt:
          now = ' ({})'.format(c.portfolio.positions[o.sid].amount) if c.portfolio.positions[o.sid].amount else ' _'
          pnl = ''  # for the trade only
          amt = c.portfolio.positions[o.sid].amount ; style = ''
          if (amt - o.filled) * o.filled < 0:    # Profit-taking scenario including short-buyback
            cb = c.portfolio.positions[o.sid].cost_basis
            if cb:
              pnl  = -filled_amt * (prc - cb)
              sign = '+' if pnl > 0 else '-'
              pnl  = '  ({}{})'.format(sign, '%.0f' % abs(pnl))
          if o.stop:
            style = ' stop {}'.format(o.stop)
            if o.limit: style = ' stop () limit {}'.format(o.stop, o.limit)
          elif o.limit: style = ' limit {}'.format(o.limit)
          if o.filled == o.amount: del c.trac[o.id]
          if not c.t_opts['symbols'] or (c.t_opts['symbols'] and o.sid.symbol in c.t_opts['symbols']):
            _trac('   {} {} {}{} at {}{}{}'.format(
              'Bot' if o.amount > 0 else 'Sold', filled, o.sid.symbol, now,
              '%.2f' % prc, pnl, style).ljust(52) + '  {}  {}'.format(cash, o.id[-4:] if c.t_opts['log_ids'] else ''))
      elif c.t_opts['log_unfilled'] and not (o.stop or o.limit):
        if not c.t_opts['symbols'] or (c.t_opts['symbols'] and o.sid.symbol in c.t_opts['symbols']):
          _trac('      {} {}{} unfilled  {}'.format(o.sid.symbol, o.amount,
           ' limit' if o.limit else '', o.id[-4:] if c.t_opts['log_ids'] else ''))

    oo = get_open_orders().values()
    if not oo: return                       # Handle new orders
    cash = ''
    if (c.t_opts['log_neg_cash'] and c.portfolio.cash < 0) or c.t_opts['log_cash']:
      cash = str(int(c.portfolio.cash))
    for oo_list in oo:
      for o in oo_list:
        if o.id in c.trac: continue         # Only new orders beyond this point
        prc = data.current(o.sid, 'price') if data.can_trade(o.sid) else c.portfolio.positions[o.sid].last_sale_price
        c.trac[o.id] = 0 ; style = ''
        now  = ' ({})'.format(c.portfolio.positions[o.sid].amount) if c.portfolio.positions[o.sid].amount else ' _'
        if o.stop:
          style = ' stop {}'.format(o.stop)
          if o.limit: style = ' stop {} limit {}'.format(o.stop, o.limit)
        elif o.limit: style = ' limit {}'.format(o.limit)
        if not c.t_opts['symbols'] or (c.t_opts['symbols'] and o.sid.symbol in c.t_opts['symbols']):
          _trac('{} {} {}{} at {}{}'.format('Buy' if o.amount > 0 else 'Sell',
            o.amount, o.sid.symbol, now, '%.2f' % prc, style).ljust(52) + '  {}  {}'.format(cash, o.id[-4:] if c.t_opts['log_ids'] else ''))


def trade(context,data):
    context.pairs_trading_algo.trade( data )

def before_trading_start(context, data):
    context.assets = pipeline_output( 'assets' )
    if context.price_hist is None:
        context.price_hist = data.history(
            context.assets.index,
            "price",
            PairsTradingAlgo.stationary_window,
            '1d'
        )
    else:
        context.price_hist = pd.concat(
            [
                context.price_hist.iloc[1:,:],
                data.history(
                    context.price_hist.columns,
                    "price",
                    1,
                    '1d'
                )
            ],
            axis = 0
        )
        context.price_hist = pd.concat(
            [
                context.price_hist,
                data.history(
                    [
                        asset for asset in context.assets.index
                        if asset not in context.price_hist.columns
                    ],
                    "price",
                    PairsTradingAlgo.stationary_window,
                    '1d'
                )
            ],
            axis = 1
        )

def pipeline_data():
    return Pipeline(
        columns = {
            'industry': asset_classification.morningstar_industry_code.latest
        },
        screen = make_us_equity_universe(
            target_size = PairsTradingAlgo.population_size,
            rankby = valuation.market_cap.latest,
            mask = Q500US(),
            max_group_weight = 0.1,
            groupby = asset_classification.morningstar_industry_code.latest
        )
    )

def pvr(context, data):
    ''' Custom chart and/or logging of profit_vs_risk returns and related information
        http://quantopian.com/posts/pvr
    '''
    import time
    from datetime import datetime as _dt
    from pytz import timezone      # Python will only do once, makes this portable.
                                   #   Move to top of algo for better efficiency.
    c = context  # Brevity is the soul of wit -- Shakespeare [for readability]
    if 'pvr' not in c:

        # For real money, you can modify this to total cash input minus any withdrawals
        manual_cash = c.portfolio.starting_cash
        time_zone   = 'US/Pacific'   # Optionally change to your own time zone for wall clock time

        c.pvr = {
            'options': {
                # # # # # # # # # #  Options  # # # # # # # # # #
                'logging'         : 0,    # Info to logging window with some new maximums
                'log_summary'     : 126,  # Summary every x days. 252/yr

                'record_pvr'      : 1,    # Profit vs Risk returns (percentage)
                'record_pvrp'     : 0,    # PvR (p)roportional neg cash vs portfolio value
                'record_cash'     : 0,    # Cash available
                'record_max_lvrg' : 1,    # Maximum leverage encountered
                'record_max_risk' : 1,    # Highest risk overall
                'record_shorting' : 0,    # Total value of any shorts
                'record_max_shrt' : 1,    # Max value of shorting total
                'record_cash_low' : 1,    # Any new lowest cash level
                'record_q_return' : 0,    # Quantopian returns (percentage)
                'record_pnl'      : 0,    # Profit-n-Loss
                'record_risk'     : 0,    # Risked, max cash spent or shorts beyond longs+cash
                'record_leverage' : 0,    # End of day leverage (context.account.leverage)
                # All records are end-of-day or the last data sent to chart during any day.
                # The way the chart operates, only the last value of the day will be seen.
                # # # # # # # # #  End options  # # # # # # # # #
            },
            'pvr'        : 0,      # Profit vs Risk returns based on maximum spent
            'cagr'       : 0,
            'max_lvrg'   : 0,
            'max_shrt'   : 0,
            'max_risk'   : 0,
            'days'       : 0.0,
            'date_prv'   : '',
            'date_end'   : get_environment('end').date(),
            'cash_low'   : manual_cash,
            'cash'       : manual_cash,
            'start'      : manual_cash,
            'tz'         : time_zone,
            'begin'      : time.time(),  # For run time
            'run_str'    : '{} to {}  ${}  {} {}'.format(get_environment('start').date(), get_environment('end').date(), int(manual_cash), _dt.now(timezone(time_zone)).strftime("%Y-%m-%d %H:%M"), time_zone)
        }
        if c.pvr['options']['record_pvrp']: c.pvr['options']['record_pvr'] = 0 # if pvrp is active, straight pvr is off
        if get_environment('arena') not in ['backtest', 'live']: c.pvr['options']['log_summary'] = 1 # Every day when real money
        log.info(c.pvr['run_str'])
    p = c.pvr ; o = c.pvr['options'] ; pf = c.portfolio ; pnl = pf.portfolio_value - p['start']
    def _pvr(c):
        p['cagr'] = ((pf.portfolio_value / p['start']) ** (1 / (p['days'] / 252.))) - 1
        ptype = 'PvR' if o['record_pvr'] else 'PvRp'
        log.info('{} {} %/day   cagr {}   Portfolio value {}   PnL {}'.format(ptype, '%.4f' % (p['pvr'] / p['days']), '%.3f' % p['cagr'], '%.0f' % pf.portfolio_value, '%.0f' % pnl))
        log.info('  Profited {} on {} activated/transacted for PvR of {}%'.format('%.0f' % pnl, '%.0f' % p['max_risk'], '%.1f' % p['pvr']))
        log.info('  QRet {} PvR {} CshLw {} MxLv {} MxRisk {} MxShrt {}'.format('%.2f' % (100 * pf.returns), '%.2f' % p['pvr'], '%.0f' % p['cash_low'], '%.2f' % p['max_lvrg'], '%.0f' % p['max_risk'], '%.0f' % p['max_shrt']))
    def _minut():
        dt = get_datetime().astimezone(timezone(p['tz']))
        return str((dt.hour * 60) + dt.minute - 570).rjust(3)  # (-570 = 9:31a)
    date = get_datetime().date()
    if p['date_prv'] != date:
        p['date_prv'] = date
        p['days'] += 1.0
    do_summary = 0
    if o['log_summary'] and p['days'] % o['log_summary'] == 0 and _minut() == '100':
        do_summary = 1              # Log summary every x days
    if do_summary or date == p['date_end']:
        p['cash'] = pf.cash
    elif p['cash'] == pf.cash and not o['logging']: return  # for speed

    shorts = sum([z.amount * z.last_sale_price for s, z in pf.positions.items() if z.amount < 0])
    new_key_hi = 0                  # To trigger logging if on.
    cash       = pf.cash
    cash_dip   = int(max(0, p['start'] - cash))
    risk       = int(max(cash_dip, -shorts))

    if o['record_pvrp'] and cash < 0:   # Let negative cash ding less when portfolio is up.
        cash_dip = int(max(0, cash_dip * p['start'] / pf.portfolio_value))
        # Imagine: Start with 10, grows to 1000, goes negative to -10, should not be 200% risk.

    if int(cash) < p['cash_low']:             # New cash low
        new_key_hi = 1
        p['cash_low'] = int(cash)             # Lowest cash level hit
        if o['record_cash_low']: record(CashLow = p['cash_low'])

    if c.account.leverage > p['max_lvrg']:
        new_key_hi = 1
        p['max_lvrg'] = c.account.leverage    # Maximum intraday leverage
        if o['record_max_lvrg']: record(MxLv    = p['max_lvrg'])

    if shorts < p['max_shrt']:
        new_key_hi = 1
        p['max_shrt'] = shorts                # Maximum shorts value
        if o['record_max_shrt']: record(MxShrt  = p['max_shrt'])

    if risk > p['max_risk']:
        new_key_hi = 1
        p['max_risk'] = risk                  # Highest risk overall
        if o['record_max_risk']:  record(MxRisk = p['max_risk'])

    # Profit_vs_Risk returns based on max amount actually invested, long or short
    if p['max_risk'] != 0: # Avoid zero-divide
        p['pvr'] = 100 * pnl / p['max_risk']
        ptype = 'PvRp' if o['record_pvrp'] else 'PvR'
        if o['record_pvr'] or o['record_pvrp']: record(**{ptype: p['pvr']})

    if o['record_shorting']: record(Shorts = shorts)             # Shorts value as a positve
    if o['record_leverage']: record(Lv     = c.account.leverage) # Leverage
    if o['record_cash']    : record(Cash   = cash)               # Cash
    if o['record_risk']    : record(Risk   = risk)  # Amount in play, maximum of shorts or cash used
    if o['record_q_return']: record(QRet   = 100 * pf.returns)
    if o['record_pnl']     : record(PnL    = pnl)                # Profit|Loss

    if o['logging'] and new_key_hi:
        log.info('{}{}{}{}{}{}{}{}{}{}{}{}'.format(_minut(),
            ' Lv '     + '%.1f' % c.account.leverage,
            ' MxLv '   + '%.2f' % p['max_lvrg'],
            ' QRet '   + '%.1f' % (100 * pf.returns),
            ' PvR '    + '%.1f' % p['pvr'],
            ' PnL '    + '%.0f' % pnl,
            ' Cash '   + '%.0f' % cash,
            ' CshLw '  + '%.0f' % p['cash_low'],
            ' Shrt '   + '%.0f' % shorts,
            ' MxShrt ' + '%.0f' % p['max_shrt'],
            ' Risk '   + '%.0f' % risk,
            ' MxRisk ' + '%.0f' % p['max_risk']
        ))
    if do_summary: _pvr(c)
    if get_datetime() == get_environment('end'):   # Summary at end of run
        _pvr(c) ; elapsed = (time.time() - p['begin']) / 60  # minutes
        log.info( '{}\nRuntime {} hr {} min'.format(p['run_str'], int(elapsed / 60), '%.1f' % (elapsed % 60)))
There was a runtime error.
Doug Baldwin

Very different outcome when dividends and splits are included...

Clone Algorithm
6
Loading...
Total Returns
--
Alpha
--
Beta
--
Sharpe
--
Sortino
--
Max Drawdown
--
Benchmark Returns
--
Volatility
--
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.algorithm import attach_pipeline, pipeline_output
from quantopian.pipeline import Pipeline
from quantopian.pipeline.filters import Q500US, make_us_equity_universe
from quantopian.pipeline.data.morningstar import asset_classification, valuation
from itertools import combinations
import statsmodels.api as statm
from statsmodels.tsa.stattools import adfuller
import pandas as pd
from scipy import odr

class PairsTradingAlgo(object):
    population_size = 300 
    max_pairs = 20 
    stationary_window = 63 
    signi_level = 0.05
    deviation_cutoff = 1.
    close_cutoff = 0.25
    stop_loss = 6.0 
    margin = 0.1725 
      
    def __init__(self, context):
        self.context = context
        self.pairs = list()
    
    def get_pairs(self):
        pairs = list()
        for _, group in self.context.assets[
            [ self.check_Int1( asset ) for asset in self.context.assets.index ]
        ].groupby("industry"):
            if group.shape[0] > 1:
                pairs.extend(
                    [
                        pair for pair in combinations(
                            sorted(
                                group.index.tolist(),
                                key = lambda x: x.sid
                            ),
                            2
                        ) if self.is_cointegrated( pair )
                    ]
                )
        return pairs
        
    def get_weight(self, pair, dev_cutoff, dev_ceil = 3):
        data_x = self.context.price_hist[ pair[0] ]
        data_y = self.context.price_hist[ pair[1] ]
        mean_diff, sd_diff = ( data_x - data_y ).pipe(
            lambda ds: ( ds.mean(), ds.std() )
        )
        price1 = self.data.current( pair[0],"price" ) 
        price2 = self.data.current( pair[1],"price" ) 
        cur_diff = price1 - price2 
        cur_deviation = abs( cur_diff - mean_diff ) / sd_diff
        if (
            sd_diff / max( price1, price2 ) <= 0.1
            and
            cur_deviation > dev_cutoff
            and
            cur_deviation < dev_ceil
        ): 
            if (cur_diff > mean_diff):
                weight = -1.0 * self.get_betas( data_x, data_y )[0]
            else:
                weight = 1.0
        else:
            weight = 0.0
        return weight

    def check_Int1(self, asset):
        return self.context.price_hist[ asset ].diff()[1:].pipe(
            lambda ds:
            ds.notnull().all()
            and
            self.is_stationary( ds )
        )
    
    def is_stationary(self, data_x):
        return adfuller( data_x )[1] < self.signi_level
    
    def get_betas(self, data_x, data_y):
        const, beta = statm.OLS(
            data_y,
            statm.add_constant(
                data_x
            )
        ).fit().params
        return odr.ODR(
            odr.RealData(
                data_x,
                data_y,
                sx = data_x.std(),
                sy = data_y.std()
            ),
            odr.Model(
                lambda B, x :
                B[0] * x + B[1]
            ),
            beta0 = [ beta, const ]
        ).run().beta
        
    def is_cointegrated(self, pair):
        data_x = self.context.price_hist[ pair[0] ]
        data_y = self.context.price_hist[ pair[1] ]
        beta = self.get_betas( data_x, data_y )
        return (
            beta[0] >= 0
            and
            beta[0] <= 2
            and
            self.is_stationary(
                data_y
                -
                beta[0] * data_x
                -
                beta[1]
            )
        )

    def trade(self, data):
        self.data = data
        pairs = list()
        for pair in self.pairs:
            if self.get_weight(
                pair,
                self.close_cutoff,
                self.stop_loss
            ):
                pairs.append( pair )
            else:
                self.close_pair( pair )
        self.pairs = pairs            
        if len( self.pairs ) == self.max_pairs:
            return
        pairs = self.get_pairs()
        if not pairs:
            return
        weights = [
            self.get_weight(
                pair,
                self.deviation_cutoff
            )
            for pair in pairs
        ]
        def get_ordered_nonzero_index():
            return [
                i for i, weight in sorted(
                    enumerate( weights ),
                    key = lambda x: abs( x[1] ),
                    reverse = True
                ) if weight
            ]
        assets = set([ asset for pair in self.pairs for asset in pair ])
        for i in get_ordered_nonzero_index():
            asset_pair = set( pairs[ i ] )
            if asset_pair & assets: 
                weights[ i ] = 0
            else:
                assets |= asset_pair
        value = self.context.portfolio.cash / self.max_pairs / self.margin
        for i in get_ordered_nonzero_index()[ :self.max_pairs - len( self.pairs ) ]:
            self.order_pair(
                pairs[ i ],
                value if weights[ i ] > 0 else -value
            )
            self.pairs.append( pairs[ i ] )
        
    def order_pair(self, pair, value):
        order_value( pair[0], value ) 
        order_value( pair[1], -value )
        
    def close_pair(self, pair):
        order_target_percent( pair[0], 0 ) 
        order_target_percent( pair[1], 0 )
    
def initialize(context):
    attach_pipeline( pipeline_data(), 'assets' )
    context.pairs_trading_algo = PairsTradingAlgo( context )
    context.price_hist = None
    schedule_function( trade, date_rules.every_day(), time_rules.market_open( hours = 1 ) )
    
def trade(context,data):
    context.pairs_trading_algo.trade( data )
    
def before_trading_start(context, data):
    context.assets = pipeline_output( 'assets' )
    context.price_hist = data.history(
        list(
            set( context.assets.index )
            |
            set( context.portfolio.current_portfolio_weights.index )
        ),
        "price",
        PairsTradingAlgo.stationary_window,
        '1d'
    )
    # if context.price_hist is None:
    #     context.price_hist = data.history(
    #         context.assets.index,
    #         "price",
    #         PairsTradingAlgo.stationary_window,
    #         '1d'
    #     )
    # else:
    #     context.price_hist = pd.concat(
    #         [
    #             context.price_hist.iloc[1:,:],
    #             data.history(
    #                 context.price_hist.columns,
    #                 "price",
    #                 1,
    #                 '1d'
    #             )
    #         ],
    #         axis = 0
    #     )
    #     context.price_hist = pd.concat(
    #         [
    #             context.price_hist,
    #             data.history(
    #                 [
    #                     asset for asset in context.assets.index
    #                     if asset not in context.price_hist.columns
    #                 ],
    #                 "price",
    #                 PairsTradingAlgo.stationary_window,
    #                 '1d'
    #             ) 
    #         ],
    #         axis = 1
    #     )
        
def pipeline_data():
    return Pipeline(
        columns = {
            'industry': asset_classification.morningstar_industry_code.latest
        },
        screen = make_us_equity_universe(
            target_size = PairsTradingAlgo.population_size,
            rankby = valuation.market_cap.latest,
            mask = Q500US(),
            max_group_weight = 0.1,
            groupby = asset_classification.morningstar_industry_code.latest
        )
    )
There was a runtime error.
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