VWAP Momentum Trade

This sample is based on:

• https://www.quantopian.com/posts/momentum-trade

from pyalgotrade import strategy
from pyalgotrade import plotter
from pyalgotrade.tools import yahoofinance
from pyalgotrade.technical import vwap


class MyStrategy(strategy.BacktestingStrategy):
    def __init__(self, feed, instrument, vwapWindowSize):
        strategy.BacktestingStrategy.__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 is 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.marketOrder(self.__instrument, -100)
        elif price > vwap * 1.005 and notional < 1000000:
            self.marketOrder(self.__instrument, 100)


def main(plot):
    instrument = "aapl"
    vwapWindowSize = 5

    # Download the bars.
    feed = yahoofinance.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:

2013-09-21 00:01:23,813 yahoofinance [INFO] Creating data directory
2013-09-21 00:01:23,814 yahoofinance [INFO] Downloading aapl 2011 to data/aapl-2011-yahoofinance.csv
2013-09-21 00:01:25,275 yahoofinance [INFO] Downloading aapl 2012 to data/aapl-2012-yahoofinance.csv
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.