VWAP Momentum Trade

This example 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
from pyalgotrade.stratanalyzer import sharpe


class VWAPMomentum(strategy.BacktestingStrategy):
    def __init__(self, feed, instrument, vwapWindowSize, threshold):
        super(VWAPMomentum, self).__init__(feed)
        self.__instrument = instrument
        self.__vwap = vwap.VWAP(feed[instrument], vwapWindowSize)
        self.__threshold = threshold

    def getVWAP(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 * (1 + self.__threshold) and notional < 1000000:
            self.marketOrder(self.__instrument, 100)
        elif price < vwap * (1 - self.__threshold) and notional > 0:
            self.marketOrder(self.__instrument, -100)


def main(plot):
    instrument = "aapl"
    vwapWindowSize = 5
    threshold = 0.01

    # Download the bars.
    feed = yahoofinance.build_feed([instrument], 2011, 2012, ".")

    strat = VWAPMomentum(feed, instrument, vwapWindowSize, threshold)
    sharpeRatioAnalyzer = sharpe.SharpeRatio()
    strat.attachAnalyzer(sharpeRatioAnalyzer)

    if plot:
        plt = plotter.StrategyPlotter(strat, True, False, True)
        plt.getInstrumentSubplot(instrument).addDataSeries("vwap", strat.getVWAP())

    strat.run()
    print "Sharpe ratio: %.2f" % sharpeRatioAnalyzer.getSharpeRatio(0.05)

    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
Sharpe ratio: 0.89

and this is what the plot should look like:

You can get better returns by tunning the VWAP and threshold parameters.