quickstart.rst

Quickstart

Dual-Moving Average Example

The following code implements a simple dual moving average algorithm and tests it on data extracted from yahoo finance.

from zipline.algorithm import TradingAlgorithm
from zipline.transforms import MovingAverage
from zipline.utils.factory import load_from_yahoo

class DualMovingAverage(TradingAlgorithm):
    """Dual Moving Average algorithm.
    """
    def initialize(self, short_window=200, long_window=400):
        # Add 2 mavg transforms, one with a long window, one
        # with a short window.
        self.add_transform(MovingAverage, 'short_mavg', ['price'],
                        market_aware=True,
                        days=short_window)

        self.add_transform(MovingAverage, 'long_mavg', ['price'],
                        market_aware=True,
                        days=long_window)

        # To keep track of whether we invested in the stock or not
        self.invested = False

        self.short_mavg = []
        self.long_mavg = []


    def handle_data(self, data):
        if (data['AAPL'].short_mavg['price'] > data['AAPL'].long_mavg['price']) and not self.invested:
            self.order('AAPL', 100)
            self.invested = True
        elif (data['AAPL'].short_mavg['price'] < data['AAPL'].long_mavg['price']) and self.invested:
            self.order('AAPL', -100)
            self.invested = False

        # Save mavgs for later analysis.
        self.short_mavg.append(data['AAPL'].short_mavg['price'])
        self.long_mavg.append(data['AAPL'].long_mavg['price'])

data = load_from_yahoo()
dma = DualMovingAverage()
results = dma.run(data)

You can find other examples in the zipline/examples directory.