Save this code as sma_crossover.py:
from pyalgotrade import strategy
from pyalgotrade.technical import ma
from pyalgotrade.technical import cross
class SMACrossOver(strategy.BacktestingStrategy):
def __init__(self, feed, instrument, smaPeriod):
super(SMACrossOver, self).__init__(feed)
self.__instrument = instrument
self.__position = None
# We'll use adjusted close values instead of regular close values.
self.setUseAdjustedValues(True)
self.__prices = feed[instrument].getPriceDataSeries()
self.__sma = ma.SMA(self.__prices, smaPeriod)
def getSMA(self):
return self.__sma
def onEnterCanceled(self, position):
self.__position = None
def onExitOk(self, position):
self.__position = None
def onExitCanceled(self, position):
# If the exit was canceled, re-submit it.
self.__position.exitMarket()
def onBars(self, bars):
# If a position was not opened, check if we should enter a long position.
if self.__position is None:
if cross.cross_above(self.__prices, self.__sma) > 0:
shares = int(self.getBroker().getCash() * 0.9 / bars[self.__instrument].getPrice())
# Enter a buy market order. The order is good till canceled.
self.__position = self.enterLong(self.__instrument, shares, True)
# Check if we have to exit the position.
elif not self.__position.exitActive() and cross.cross_below(self.__prices, self.__sma) > 0:
self.__position.exitMarket()
and use the following code to execute the strategy:
from __future__ import print_function
import sma_crossover
from pyalgotrade import plotter
from pyalgotrade.tools import quandl
from pyalgotrade.stratanalyzer import sharpe
def main(plot):
instrument = "AAPL"
smaPeriod = 163
# Download the bars.
feed = quandl.build_feed("WIKI", [instrument], 2011, 2012, ".")
strat = sma_crossover.SMACrossOver(feed, instrument, smaPeriod)
sharpeRatioAnalyzer = sharpe.SharpeRatio()
strat.attachAnalyzer(sharpeRatioAnalyzer)
if plot:
plt = plotter.StrategyPlotter(strat, True, False, True)
plt.getInstrumentSubplot(instrument).addDataSeries("sma", strat.getSMA())
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:
2017-07-24 22:56:58,112 quandl [INFO] Downloading AAPL 2011 to ./WIKI-AAPL-2011-quandl.csv
2017-07-24 22:57:02,364 quandl [INFO] Downloading AAPL 2012 to ./WIKI-AAPL-2012-quandl.csv
Sharpe ratio: 1.12
and this is what the plot should look like:
You can get better returns by tunning the sma period.