(Python : Basic) zipline 써보기

# import
import pandas_datareader.data as web
import datetime
import matplotlib.pyplot as plt
from zipline.api import order, symbol
from zipline.algorithm import TradingAlgorithm

# data
start = datetime.datetime(2010, 1, 1)
end = datetime.datetime(2016, 3, 19)
data = web.DataReader("AAPL", "yahoo", start, end)

# 백테스트를 위해서 데이터 필터링
    # 종가 데이터만 있으면 됨
data = data[['Adj Close']]
    # columns 명 수정
data.columns = ['AAPL']
    # 시간을 UTC 시로 변경
data = data.tz_localize('UTC')

# 초기값을 딱히 설정할 것이 없다면 pass
def initialize(context):
    pass

def handle_data(context, data):
    # 매일 AAPL을 한 주 씩 산다는 명령
    order(symbol('AAPL'), 1)

"""
                     starting_cash    ending_cash  ending_value
2010-01-04 21:00:00  100000.000000  100000.000000      0.000000
2010-01-05 21:00:00  100000.000000   99971.104604     27.895396
2010-01-06 21:00:00   99971.104604   99942.652921     54.903366
2010-01-07 21:00:00   99942.652921   99914.251985     82.202808
2010-01-08 21:00:00   99914.251985   99885.668879    110.332424
"""

# 알고리즘 시작
algo = TradingAlgorithm(initialize=initialize, handle_data=handle_data)
result = algo.run(data)

# result.portfolio_value = ending_cash + ending_value 
# 를 의미한다
plt.plot(result.index, result.portfolio_value)
plt.show()

import pandas_datareader.data as web
import datetime
import matplotlib.pyplot as plt
from zipline.api import order_target, record, symbol
from zipline.algorithm import TradingAlgorithm

start = datetime.datetime(2010, 1, 1)
end = datetime.datetime(2016, 3, 29)
data = web.DataReader("AAPL", "yahoo", start, end)

#plt.plot(data.index, data['Adj Close'])
#plt.show()

data = data[['Adj Close']]
data.columns = ['AAPL']
data = data.tz_localize('UTC')

#print(data.head())

def initialize(context):
    context.i = 0
    context.sym = symbol('AAPL')

def handle_data(context, data):
    context.i += 1
    # 20일 평균선을 기준으로 하기에 20일 전까지는 모두 return처리
    if context.i < 20:
        return

    ma5 = data.history(context.sym, 'price', 5, '1d').mean()
    ma20 = data.history(context.sym, 'price', 20, '1d').mean()

    if ma5 > ma20:
        order_target(context.sym, 1)
    else:
        order_target(context.sym, -1)

    record(AAPL=data.current(context.sym, "price"), ma5=ma5, ma20=ma20)

algo = TradingAlgorithm(initialize=initialize, handle_data=handle_data)
result = algo.run(data)