from pyalgotrade import strategy
from pyalgotrade.barfeed import yahoofeed
from pyalgotrade import plotter
from pyalgotrade.tools import yahoofinance
from pyalgotrade.technical import vwap
import os
class MyStrategy(strategy.Strategy):
def __init__(self, feed, instrument, vwapWindowSize):
strategy.Strategy.__init__(self, feed)
self.__instrument = instrument
self.__vwap = vwap.VWAP(feed[instrument], vwapWindowSize)
def getVWAPDS(self):
return self.__vwap
def onBars(self, bars):
vwap = self.__vwap[-1]
if vwap == None:
return
shares = self.getBroker().getShares(self.__instrument)
price = bars[self.__instrument].getClose()
notional = shares * price
if price < vwap * 0.995 and notional > 0:
self.order(self.__instrument, -100)
elif price > vwap * 1.005 and notional < 1000000:
self.order(self.__instrument, 100)
def build_feed(instruments, fromYear, toYear):
feed = yahoofeed.Feed()
for year in range(fromYear, toYear+1):
for symbol in instruments:
fileName = "%s-%d-yahoofinance.csv" % (symbol, year)
if not os.path.exists(fileName):
print "Downloading %s %d" % (symbol, year)
csv = yahoofinance.get_daily_csv(symbol, year)
f = open(fileName, "w")
f.write(csv)
f.close()
feed.addBarsFromCSV(symbol, fileName)
return feed
def main(plot):
instrument = "aapl"
vwapWindowSize = 5
# Download the bars.
feed = build_feed([instrument], 2011, 2012)
myStrategy = MyStrategy(feed, instrument, vwapWindowSize)
if plot:
plt = plotter.StrategyPlotter(myStrategy, True, False, True)
plt.getInstrumentSubplot(instrument).addDataSeries("vwap", myStrategy.getVWAPDS())
myStrategy.run()
print "Result: %.2f" % myStrategy.getResult()
if plot:
plt.plot()
if __name__ == "__main__":
main(True)
this is what the output should look like:
Downloading aapl 2011
Downloading aapl 2012
Result: 1436098.00
and this is what the plot should look like:
you can get better returns by tunning the VWAP period as well as the entry and exit points.