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Hi, please help, i tried my first algo as i learned in a tutorial but i cannot backtest it. Where is the mistake? I guess it is about the downloading of the historical data or something like that?
import numpy as np
class BasicTemplateAlgorithm(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2014,10,07) #Set Start Date
self.SetEndDate(2014,10,11) #Set End Date
self.SetCash(100000) #Set Strategy Cash
self.AddEquity("AAL", Resolution.Daily)
self.AddEquity("UAL", Resolution.Daily)
self.long_on_spread = False
self.shorting_spread = False
def OnData(self, data):
prices = self.History(["AAL","UAL"], 3)
short_prices = prices.iloc[-1:]
mavg_30 = np.mean(prices["AAL"]-prices["UAL"])
std_30 = np.std(prices["AAL"]-prices["UAL"])
mavg_1 = np.mean(short_prices["AAL"] - short_prices["UAL"])
if std_30 > 0:
zscore = (mavg_1 - mavg_30)/std_30
if zscore > 1.0 and not self.shorting_spread:
self.SetHoldings("AAL", -0.5)
self.SetHoldings("UAL", 0.5)
self.shorting_spread = True
self.long_on_spread = False
elif zscore < 1.0 and not self.long_on_spread:
self.SetHoldings("AAL", 0.5)
self.SetHoldings("UAL", -0.5)
self.shorting_spread = False
self.long_on_spread = True
elif abs(zscore) < 0.1:
self.SetHoldings("AAL", 0)
self.SetHoldings("UAL", 0)
self.shorting_spread = False
self.long_on_spread = False
Tyler Durden
I'm fairly new here and new to python but this is what I'd do. A python expert could do much better with it.
import numpy as np class BasicTemplateAlgorithm(QCAlgorithm): def Initialize(self): self.SetStartDate(2014,8,07) #Set Start Date self.SetEndDate(2014,10,11) #Set End Date self.SetCash(100000) #Set Strategy Cash self.AddEquity("AAL", Resolution.Daily) self.AddEquity("UAL", Resolution.Daily) self.long_on_spread = False self.shorting_spread = False def OnData(self, data): history = self.History(["AAL", "UAL"], 3, Resolution.Daily) close1 = history.loc["AAL"]['close'] close2 = history.loc["UAL"]['close'] mavg_30 = np.mean(close1 - close2) std_30 = np.std(close1 - close2) mavg_1 = np.mean(close1 - close2) if std_30 > 0: zscore = (mavg_1 - mavg_30)/std_30 if zscore > 1.0 and not self.shorting_spread: self.SetHoldings("AAL", -0.5) self.SetHoldings("UAL", 0.5) self.shorting_spread = True self.long_on_spread = False elif zscore < 1.0 and not self.long_on_spread: self.SetHoldings("AAL", 0.5) self.SetHoldings("UAL", -0.5) self.shorting_spread = False self.long_on_spread = True elif abs(zscore) < 0.1: self.SetHoldings("AAL", 0) self.SetHoldings("UAL", 0) self.shorting_spread = False self.long_on_spread = FalseLlassadar
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