| Overall Statistics |
|
Total Trades 453 Average Win 0.09% Average Loss -0.06% Compounding Annual Return 4.184% Drawdown 1.300% Expectancy 0.221 Net Profit 2.776% Sharpe Ratio 1.358 Probabilistic Sharpe Ratio 63.604% Loss Rate 55% Win Rate 45% Profit-Loss Ratio 1.70 Alpha 0.027 Beta 0.008 Annual Standard Deviation 0.019 Annual Variance 0 Information Ratio 0.408 Tracking Error 0.173 Treynor Ratio 3.165 Total Fees $4556.24 Estimated Strategy Capacity $120000.00 Lowest Capacity Asset NDRA 2T |
"""
Basic Liquidation System Strategy
@version: 0.5
@creation date: 10/06/2022
- At Open, do 15min VWAP/TWAP entry for a total position of $15,000.
- At 9:45 set stop at HOD
- At 10:05 if P/L > 0, exit 50%. If P/L < 0, exit 100% (Adjust stop size accordingly)
- At 10:30 exit all.
"""
import pandas as pd
from io import StringIO
from AlgorithmImports import *
from ast import literal_eval
TICKERS_CSV = "https://drive.google.com/uc?export=download&id=1did0Sk3F9Sn5Il_nUX252jOB_n0UFqat"
AGG_OPS = {"open": "first", "close": "last",
"high": "max", "low": "min",
"volume": "sum"}
class LiquidationBasic(QCAlgorithm):
def Initialize(self):
self.capital = literal_eval(self.GetParameter("capital"))
self.entry_size = literal_eval(self.GetParameter("entry_size")) # Negative value for shorts
self.wap_type = literal_eval(self.GetParameter("wap_type")) # VWAP or TWAP
self.wap_res = literal_eval(self.GetParameter("wap_resolution")) # Resolution, in seconds, for WAP calculation
self.wap_fract = self.wap_res/(15*60)
self.SetCash(self.capital) # Set Strategy Cash
self.SetStartDate(2019, 5, 1)
self.SetEndDate(2022, 6, 1)
csv = StringIO(self.Download(TICKERS_CSV))
self.overhang = pd.read_csv(csv, parse_dates=["Agreement Start Date"],
dayfirst=True)
self.overhang["Date"] = self.overhang["Agreement Start Date"].dt.date
self.AddUniverse(self.coarse_filter)
self.resolution = Resolution.Second
self.UniverseSettings.Resolution = self.resolution
self.SetSecurityInitializer(lambda x: x.SetMarketPrice(self.GetLastKnownPrice(x)))
every_day = self.DateRules.EveryDay()
every_second = self.TimeRules.Every(TimeSpan.FromSeconds(self.wap_res))
at = self.TimeRules.At
self.Schedule.On(every_day, every_second, self.open_trade)
self.Schedule.On(every_day, at(9, 45), self.set_stop)
self.Schedule.On(every_day, at(10, 5), self.adjust_position)
self.Schedule.On(every_day, at(10, 30), self.close_trade)
def open_trade(self):
if time(9, 30) < self.Time.time() < time(9, 45):
symbols = list(self.ActiveSecurities.Keys)
history = self.History(symbols, self.Time.date(), self.Time,
resolution=self.resolution)
if len(history) > 0:
self.Transactions.CancelOpenOrders()
for symbol in symbols:
order_value = self.entry_size*self.wap_fract
price = self.Securities[symbol].Price
quantity = int(order_value / price)
self.LimitOrder(symbol, quantity, price)
def set_stop(self):
symbols = self.get_owned_stocks()
history = self.History(symbols, self.Time.date(), self.Time,
resolution=self.resolution)
if len(history) > 0:
self.Debug(f"{self.Time} - Set Stop")
self.Transactions.CancelOpenOrders()
today_bar = history.groupby("symbol").agg(AGG_OPS)
limits = today_bar.eval("high + (high - low)*0.5") # Intra range 1.05 as limit price
for s in symbols:
self.StopLimitOrder(s, -self.Portfolio[s].Quantity,
today_bar["high"][s], limits[s])
def adjust_position(self):
symbols = self.get_owned_stocks()
history = self.History(symbols, self.Time.date(), self.Time,
resolution=self.resolution)
if len(history) > 0:
self.Debug(f"{self.Time} - Adjust Position")
self.Transactions.CancelOpenOrders()
today_bar = history.groupby("symbol").agg(AGG_OPS)
limits = today_bar.eval("high + (high - low)*0.5") # Intra range 1.05 as limit price
for s in symbols:
pl = self.Portfolio[s].get_Profit() \
+ self.Portfolio[s].get_UnrealizedProfit()
price = self.Securities[s].Price
qty = self.Portfolio[s].Quantity
if pl > 0:
self.LimitOrder(s, -int(qty/2), price)
self.StopLimitOrder(s, int(qty/2)-qty,
today_bar["high"][s], limits[s])
else:
self.LimitOrder(s, -int(qty), price)
def get_owned_stocks(self):
return [s for s in self.ActiveSecurities.Keys
if self.Portfolio[s].Quantity != 0]
def close_trade(self):
if len(list(self.ActiveSecurities.Keys)) > 0:
self.Debug(f"{self.Time} - Close Trade")
self.Transactions.CancelOpenOrders()
self.Liquidate()
def coarse_filter(self, coarse):
tickers = self.overhang.query("Date == @self.Time.date()")
universe = [] if len(tickers) == 0 else \
[x.Symbol for x in coarse if
(x.Symbol.Value == tickers["ticker"]).any()]
self.Debug(f"{self.Time} - Universe {len(tickers)} tickers")
return universe
"""
Basic Liquidation System Strategy
@version: 0.7
@creation date: 10/06/2022
- At Open, do 15min VWAP/TWAP entry for a total position of $15,000.
- At 9:45 set stop at HOD
- At 10:05 if P/L > 0, exit 50%. If P/L < 0, exit 100% (Adjust stop size accordingly)
- At 10:30 exit all.
"""
import pandas as pd
from io import StringIO
from AlgorithmImports import *
from ast import literal_eval
TICKERS_CSV = "https://drive.google.com/uc?export=download&id=1did0Sk3F9Sn5Il_nUX252jOB_n0UFqat"
AGG_OPS = {"open": "first", "close": "last",
"high": "max", "low": "min",
"volume": "sum"}
class LiquidationBasic(QCAlgorithm):
def Initialize(self):
self.capital = literal_eval(self.GetParameter("capital"))
self.entry_size = literal_eval(self.GetParameter("entry_size")) # Negative value for shorts
self.wap_type = literal_eval(self.GetParameter("wap_type")) # VWAP or TWAP
self.wap_res = literal_eval(self.GetParameter("wap_resolution")) # Resolution, in seconds, for WAP calculation
self.wap_fract = self.wap_res/(15*60)
self.SetCash(self.capital) # Set Strategy Cash
self.SetStartDate(2019, 5, 1)
self.SetEndDate(2022, 6, 1)
csv = StringIO(self.Download(TICKERS_CSV))
self.overhang = pd.read_csv(csv, parse_dates=["Agreement Start Date"],
dayfirst=True)
self.overhang["Date"] = self.overhang["Agreement Start Date"].dt.date
self.AddUniverse(self.coarse_filter)
self.resolution = Resolution.Second
self.UniverseSettings.Resolution = self.resolution
self.SetSecurityInitializer(lambda x: x.SetMarketPrice(self.GetLastKnownPrice(x)))
every_day = self.DateRules.EveryDay()
every_second = self.TimeRules.Every(TimeSpan.FromSeconds(self.wap_res))
at = self.TimeRules.At
self.Schedule.On(every_day, every_second, self.open_trade)
self.Schedule.On(every_day, at(9, 45), self.set_stop)
self.Schedule.On(every_day, at(10, 5), self.adjust_position)
self.Schedule.On(every_day, at(10, 30), self.close_trade)
def open_trade(self):
if time(9, 30) < self.Time.time() < time(9, 45):
symbols = list(self.ActiveSecurities.Keys)
history = self.History(symbols, self.Time.date(), self.Time,
resolution=self.resolution)
if len(history) > 0:
self.Transactions.CancelOpenOrders()
for symbol in symbols:
order_value = self.entry_size*self.wap_fract
price = self.Securities[symbol].Price
quantity = int(order_value / price)
self.LimitOrder(symbol, quantity, price)
def set_stop(self):
symbols = self.get_owned_stocks()
history = self.History(symbols, self.Time.date(), self.Time,
resolution=self.resolution)
if len(history) > 0:
self.Debug(f"{self.Time} - Set Stop")
self.Transactions.CancelOpenOrders()
today_bar = history.groupby("symbol").agg(AGG_OPS)
limits = today_bar.eval("high + (high - low)*0.05") # Intra range 1.05 as limit price
for s in symbols:
self.StopLimitOrder(s, -self.Portfolio[s].Quantity,
today_bar["high"][s], limits[s])
def adjust_position(self):
symbols = self.get_owned_stocks()
history = self.History(symbols, self.Time.date(), self.Time,
resolution=self.resolution)
if len(history) > 0:
self.Debug(f"{self.Time} - Adjust Position")
self.Transactions.CancelOpenOrders()
today_bar = history.groupby("symbol").agg(AGG_OPS)
limits = today_bar.eval("high + (high - low)*0.05") # Intra range 1.05 as limit price
for s in symbols:
pl = self.Portfolio[s].get_Profit() \
+ self.Portfolio[s].get_UnrealizedProfit()
price = self.Securities[s].Price
qty = self.Portfolio[s].Quantity
if pl > 0:
self.LimitOrder(s, -int(qty/2), price)
self.StopLimitOrder(s, int(qty/2)-qty,
today_bar["high"][s], limits[s])
else:
self.LimitOrder(s, -int(qty), price)
def get_owned_stocks(self):
return [s for s in self.ActiveSecurities.Keys
if self.Portfolio[s].Quantity != 0]
def close_trade(self):
if len(list(self.ActiveSecurities.Keys)) > 0:
self.Debug(f"{self.Time} - Close Trade")
self.Transactions.CancelOpenOrders()
self.Liquidate()
def coarse_filter(self, coarse):
tickers = self.overhang.query("Date == @self.Time.date()")
universe = [] if len(tickers) == 0 else \
[x.Symbol for x in coarse if
(x.Symbol.Value == tickers["ticker"]).any()]
self.Debug(f"{self.Time} - Universe {len(tickers)} tickers")
return universe
"""
Basic ML Liquidation Strategy
@version: 0.4
@creation date: 16/07/2022
- At Open, predict the probability of success (triple labeling, up, stop loss or null)
- Enter with limit order at 9:45 price
- Exit with limit order at 10:30 price
- Liquidate at 15:55 if there are still positions open
"""
from AlgorithmImports import *
import numpy as np
import pandas as pd
from io import StringIO
from ast import literal_eval
from sklearn.model_selection import cross_val_score
from sklearn.ensemble import GradientBoostingClassifier
import indicators as idx
pd.set_option('mode.use_inf_as_na', True)
TICKERS_CSV = "https://drive.google.com/uc?export=download&id=1bzOypNRbhLMRsQzS5DJUxG0OaIRi7hI8"
AGG_OPS = {"open": "first", "close": "last",
"high": "max", "low": "min", "volume": "sum"}
class LiquidationBasicML(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2021, 10, 1)
self.SetEndDate(2022, 6, 1)
self.model = GradientBoostingClassifier(n_iter_no_change=1)
self.benchmark = self.GetParameter("benchmark")
self.entry_size = -abs(literal_eval(self.GetParameter("entry_size")))
self.capital = literal_eval(self.GetParameter("capital"))
self.SetCash(self.capital)
self.atms = self.get_atms()
self.AddEquity(self.benchmark, Resolution.Daily)
self.SetBenchmark(self.benchmark)
self.test_score = 0
self.Train(self.DateRules.MonthStart(),
self.TimeRules.At(0, 0),
self.train_model)
every_day = self.DateRules.EveryDay(self.benchmark)
at = self.TimeRules.At
self.Schedule.On(every_day, at(9, 45), self.enter_trades)
self.Schedule.On(every_day, at(10, 30), self.exit_trades)
self.Schedule.On(every_day, at(11, 30), self.liquidate)
def train_model(self):
train_start = self.atms.index.get_level_values("time").min()
x, y = self.get_data(train_start, self.Time)
fit_params = dict(sample_weight=abs(y))
cv_scores = cross_val_score(self.model, X=x, y=(y>0).astype(float),
scoring="precision", fit_params=fit_params)
self.test_score = np.mean(cv_scores)
self.model.fit(x, (y > 0).astype(float), **fit_params)
self.Debug(f"Training Points: {len(x)} Test Score: {self.test_score:.1%}")
self.Plot("ML", "Test Score", self.test_score)
def enter_trades(self):
start, end = self.Time-timedelta(1), self.Time
today_atms = self.atms.query("(time >= @start) and (time <= @end)")
if (len(today_atms) > 0) and (self.test_score > 0.5):
x_pred = self.get_data(start, end, with_target=False)
if len(x_pred) > 0:
y_proba = pd.Series(self.model.predict_proba(x_pred)[:, 1],
index=x_pred.index).groupby("symbol").last()
positions = y_proba[y_proba > 0.5]
for symbol, position in positions.items():
order_value = self.entry_size * position
self.Debug(f"{self.Time} - Trading {symbol} Value: {order_value}")
self.MarketOrder(symbol, order_value)
else:
self.Debug("No data available!")
def exit_trades(self):
for s in self.get_owned_stocks():
self.Transactions.CancelOpenOrders(s)
self.LimitOrder(s, -self.Portfolio[s].Quantity, self.Portfolio[s].Price)
def liquidate(self):
self.Transactions.CancelOpenOrders()
self.Liquidate()
#for s in self.get_owned_stocks():
# self.LimitOrder(s, -self.Portfolio[s].Quantity, 2*self.Portfolio[s].Price)
def get_owned_stocks(self):
return [s for s in self.ActiveSecurities.Keys
if self.Portfolio[s].Quantity != 0]
def get_data(self, start, end, with_target=True):
datapoints = self.atms.query("(time >= @start) and (time <= @end)")
minute_bars = [self.History([s], t, min(t + timedelta(1), self.Time),
Resolution.Minute)
for s, t in datapoints.index]
minute_bars = pd.concat(minute_bars)
opening_bars = idx.filter_bars(minute_bars, "09:30", "09:45")
day_grouper = [pd.Grouper(level="symbol"),
pd.Grouper(level="time", freq="1D")]
opening_bar = opening_bars.groupby(day_grouper).agg(AGG_OPS)
features = pd.DataFrame()
#atm_capacity = self.atms.loc[opening_bar.index, "Total ATM Capacity"]
#features["opening_volume_atm"] = opening_bar.eval("volume*close") / atm_capacity
features["opening_range"] = opening_bar.eval("(close-low)/(high-low)")
if len(features.dropna()) == 0:
self.Debug("No data available!")
features.dropna(inplace=True)
if with_target:
target_bars = idx.filter_bars(minute_bars, "09:45", "10:30")
target_bar = target_bars.groupby(day_grouper).agg(AGG_OPS)
returns = target_bar.eval("1-close/open").apply(np.log1p).dropna()
index = returns.index.intersection(features.index)
return features.loc[index], returns.loc[index]
else:
return features
def get_atms(self):
csv = StringIO(self.Download(TICKERS_CSV))
atms = pd.read_csv(csv, parse_dates=["Date"], dayfirst=False)
atms["Date"] = atms["Date"].dt.date
atms.rename(columns={"Date": "time", "Symbol": "symbol"}, inplace=True)
[self.AddEquity(s, Resolution.Minute) for s in atms["symbol"].unique()]
atms["symbol"] = atms["symbol"].apply(lambda x: str(self.Symbol(x).ID))
atms.set_index(["symbol", "time"], inplace=True)
return atms[~atms.index.duplicated(keep='first')]
"""
Basic ML Liquidation Strategy
@version: 0.8
@creation date: 16/07/2022
! Added gap size and vwap divergence to features
! At Open, predict the probability of success (triple labeling, up, stop loss or null)
! Enter with limit order at 9:45 price
! Exit with limit order at 10:30 price
! Liquidate at 15:55 if there are still positions open
? multiple entry points
"""
from AlgorithmImports import *
import numpy as np
import pandas as pd
from io import StringIO
from ast import literal_eval
from sklearn.model_selection import cross_val_score
from sklearn.ensemble import GradientBoostingClassifier
import indicators as idx
from timeseriescv import TimeSeriesSplitGroups
pd.set_option('mode.use_inf_as_na', True)
TICKERS_CSV = "https://drive.google.com/uc?export=download&id=1bzOypNRbhLMRsQzS5DJUxG0OaIRi7hI8"
AGG_OPS = {"open": "first", "close": "last",
"high": "max", "low": "min", "volume": "sum"}
class LiquidationBasicML(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2021, 10, 1)
self.SetEndDate(2022, 6, 1)
self.model = GradientBoostingClassifier(n_iter_no_change=3)
self.benchmark = self.GetParameter("benchmark")
self.capital = literal_eval(self.GetParameter("capital"))
self.SetCash(self.capital)
self.atms = self.get_atms()
self.train_start = self.atms.index.get_level_values("time").min()
self.AddEquity(self.benchmark, Resolution.Minute)
self.SetBenchmark(self.benchmark)
self.precision = 0
self.cv = TimeSeriesSplitGroups(n_splits=10)
self.Train(self.DateRules.MonthStart(),
self.TimeRules.At(0, 0),
self.train_model)
every_day = self.DateRules.EveryDay(self.benchmark)
at = self.TimeRules.At
self.Schedule.On(every_day, at(9, 45), self.enter_trades)
self.Schedule.On(every_day, at(10, 30), self.exit_trades)
self.Schedule.On(every_day, at(11, 30), self.liquidate)
def train_model(self):
x, y = self.get_data(self.train_start, self.Time)
fit_params = dict(sample_weight=abs(np.log1p(y)))
time_groups = x.index.get_level_values("time")
cv_scores = cross_val_score(self.model, X=x, y=(y>0).astype(float),
cv=self.cv, groups=time_groups,
scoring="precision", fit_params=fit_params)
self.precision = np.mean(cv_scores)
self.model.fit(x, (y > 0).astype(float), **fit_params)
self.Debug(f"Training Points: {len(x)} Precision: {self.precision:.1%}")
self.Plot("ML", "Precision", self.precision)
def enter_trades(self):
start, end = self.Time-timedelta(1), self.Time
today_atms = self.atms.query("(time >= @start) and (time <= @end)")
if (len(today_atms) > 0) and (self.precision > 0.5):
x_pred = self.get_data(start, end, with_target=False)
y_pred = pd.Series(self.model.predict(x_pred),
index=x_pred.index.get_level_values("symbol"))
# scaling the position by the predicted probability of going up
# and model precision (not accuracy, True Positives / (TP + FP))
trades = y_pred[y_pred == 1]
for symbol in trades.index:
self.Debug(f"{self.Time} - Trading {symbol}")
qty = self.CalculateOrderQuantity(symbol, -0.01)
last_price = self.Securities[symbol].Price
self.LimitOrder(symbol, qty, last_price)
def exit_trades(self):
for s in self.get_owned_stocks():
self.Transactions.CancelOpenOrders(s)
self.LimitOrder(s, -self.Portfolio[s].Quantity, self.Portfolio[s].Price)
def liquidate(self):
self.Transactions.CancelOpenOrders()
self.Liquidate()
def get_owned_stocks(self):
return [s for s in self.ActiveSecurities.Keys
if self.Portfolio[s].Quantity != 0]
def get_data(self, start, end, with_target=True):
datapoints = self.atms.query("(time >= @start) and (time <= @end)")
minute_bars = []
for symbol, date in datapoints.index:
from_date = self.get_last_day(date)
to_date = min(date + timedelta(1), self.Time)
minute_bars += [self.History([symbol], from_date, to_date,
Resolution.Minute)]
minute_bars = pd.concat(minute_bars)
grouper = [pd.Grouper(level="symbol"),
pd.Grouper(level="time", freq="1D")]
opening_bar = agg_bars(minute_bars, "09:31", "09:45", grouper)
pm_bar = agg_bars(minute_bars, "07:01", "09:30", grouper)
day_bar = agg_bars(minute_bars, "09:31", "16:00", grouper)
features = pd.DataFrame()
features["opening_range"] = opening_bar.eval("(close-low)/(high-low)")
features["pm_volume_usd"] = pm_bar.eval("close * volume")
opening_bars = idx.filter_bars(minute_bars, "09:31", "09:45")
vwap = idx.intra_vwap(opening_bars).groupby(grouper).last()
features["divergence"] = vwap / opening_bar["close"] - 1
# TODO: Add shares as % of float
yesterday_bar = day_bar["close"].groupby("symbol").shift(1)
features["gap"] = day_bar["open"]/yesterday_bar - 1
features.dropna(inplace=True)
if with_target:
target_bar = agg_bars(minute_bars, "09:46", "10:30", grouper)
returns = -target_bar.eval("close/open - 1").dropna() # Inverted return since we are shorting
index = returns.index.intersection(features.index)
return features.loc[index], returns.loc[index]
else:
return features
def get_atms(self):
csv = StringIO(self.Download(TICKERS_CSV))
atms = pd.read_csv(csv, parse_dates=["Date"], dayfirst=False)
atms["Date"] = atms["Date"].dt.date
atms.rename(columns={"Date": "time", "Symbol": "symbol"}, inplace=True)
[self.AddEquity(s, Resolution.Minute, extendedMarketHours=True)
for s in atms["symbol"].unique()]
atms["symbol"] = atms["symbol"].apply(lambda x: str(self.Symbol(x).ID))
atms.set_index(["symbol", "time"], inplace=True)
return atms[~atms.index.duplicated(keep='first')]
def get_last_day(self, date):
trade_days = self.TradingCalendar.GetTradingDays(date - timedelta(7),
date - timedelta(1))
return list(filter(lambda p: p.BusinessDay and not p.PublicHoliday,
trade_days))[-1].Date
def agg_bars(minute_bars, start_time, end_time, grouper):
filtered_bars = idx.filter_bars(minute_bars, start_time, end_time)
return filtered_bars.groupby(grouper).agg(AGG_OPS)
"""
Basic ML Liquidation Strategy
@version: 0.9
@creation date: 16/07/2022
! Added gap size and vwap divergence to features
! Reading the ATM file and dynamic gap filtering
TODO: multiple entry points
TODO: Offline storage of features to improve performance
"""
from AlgorithmImports import *
import numpy as np
import pandas as pd
from io import StringIO
from ast import literal_eval
from sklearn.model_selection import cross_val_score
from sklearn.ensemble import GradientBoostingClassifier
import indicators as idx
from timeseriescv import TimeSeriesSplitGroups
pd.set_option('mode.use_inf_as_na', True)
TICKERS_CSV = "https://drive.google.com/uc?export=download&id=1did0Sk3F9Sn5Il_nUX252jOB_n0UFqat"
DATE_COLUMN = "Agreement Start Date"
SYMBOL_COLUMN = "ticker"
MIN_GAP = 0.15
AGG_OPS = {"open": "first", "close": "last",
"high": "max", "low": "min", "volume": "sum"}
class LiquidationBasicML(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2021, 10, 1)
self.SetEndDate(2022, 6, 1)
self.model = GradientBoostingClassifier(n_iter_no_change=3)
self.benchmark = self.GetParameter("benchmark")
self.capital = literal_eval(self.GetParameter("capital"))
self.SetCash(self.capital)
self.atms = self.get_atms()
self.train_start = self.atms.index.get_level_values("time").min()
self.AddEquity(self.benchmark, Resolution.Minute)
self.SetBenchmark(self.benchmark)
self.precision = 0
self.cv = TimeSeriesSplitGroups(n_splits=10)
self.Train(self.DateRules.MonthStart(),
self.TimeRules.At(0, 0),
self.train_model)
every_day = self.DateRules.EveryDay(self.benchmark)
at = self.TimeRules.At
self.Schedule.On(every_day, at(9, 45), self.enter_trades)
self.Schedule.On(every_day, at(10, 30), self.exit_trades)
self.Schedule.On(every_day, at(11, 30), self.liquidate)
def train_model(self):
x, y = self.get_data(self.train_start, self.Time)
fit_params = dict(sample_weight=abs(np.log1p(y)))
time_groups = x.index.get_level_values("time")
cv_scores = cross_val_score(self.model, X=x, y=(y>0).astype(float),
cv=self.cv, groups=time_groups,
scoring="precision", fit_params=fit_params)
self.precision = np.nanmean(cv_scores)
self.model.fit(x, (y > 0).astype(float), **fit_params)
self.Debug(f"Training Points: {len(x)} Precision: {self.precision:.1%}")
self.Plot("ML", "Precision", self.precision)
def enter_trades(self):
if self.precision > 0.5:
start, end = self.Time-timedelta(1), self.Time
x_pred = self.get_data(start, end, with_target=False)
x_pred = x_pred.query("time == @self.Time.date()")
if len(x_pred) > 0:
y_pred = pd.Series(self.model.predict(x_pred),
index=x_pred.index.get_level_values("symbol"))
trades = y_pred[y_pred == 1] # Trading only the stocks predicted to go down (label=1)
for symbol in trades.index:
self.Debug(f"{self.Time} - Trading {symbol}")
qty = self.CalculateOrderQuantity(symbol, -0.01)
last_price = self.Securities[symbol].Price
self.LimitOrder(symbol, qty, last_price)
def exit_trades(self):
for s in self.get_owned_stocks():
self.Transactions.CancelOpenOrders(s)
self.LimitOrder(s, -self.Portfolio[s].Quantity, self.Portfolio[s].Price)
def liquidate(self):
self.Transactions.CancelOpenOrders()
self.Liquidate()
def get_owned_stocks(self):
return [s for s in self.ActiveSecurities.Keys
if self.Portfolio[s].Quantity != 0]
def get_data(self, start, end, with_target=True):
datapoints = self.atms.query("(time >= @start) and (time <= @end)")
minute_bars = []
for symbol, date in datapoints.index:
from_date = self.get_last_day(date)
to_date = min(date + timedelta(1), self.Time)
minute_bars += [self.History([symbol], from_date, to_date,
Resolution.Minute)]
minute_bars = pd.concat(minute_bars)
grouper = [pd.Grouper(level="symbol"),
pd.Grouper(level="time", freq="1D")]
opening_bar = agg_bars(minute_bars, "09:31", "09:45", grouper)
pm_bar = agg_bars(minute_bars, "07:01", "09:30", grouper)
day_bar = agg_bars(minute_bars, "09:31", "16:00", grouper)
features = pd.DataFrame()
features["opening_range"] = opening_bar.eval("(close-low)/(high-low)")
features["pm_volume"] = pm_bar.eval("volume")
opening_bars = idx.filter_bars(minute_bars, "09:31", "09:45")
vwap = idx.intra_vwap(opening_bars).groupby(grouper).last()
features["divergence"] = vwap / opening_bar["close"] - 1
# TODO: Add shares as % of float
yesterday_bar = day_bar["close"].groupby("symbol").shift(1)
features["gap"] = day_bar["open"]/yesterday_bar - 1
features = features.query("gap >= @MIN_GAP") # Not including also negative gaps?
last_atms = datapoints.groupby("symbol").last()
features = features.join(last_atms[["Total ATM Capacity", "atm_date"]])
features.rename(columns={"Total ATM Capacity": "atm_shares",
"atm_date": "atm_days"}, inplace=True)
features.eval("pm_volume_atm = pm_volume / atm_shares", inplace=True)
time_idx = features.index.get_level_values("time")
features["atm_days"] = (time_idx - features["atm_days"]) / np.timedelta64(1, 'D')
features = features.query("atm_days <= 365")
features.dropna(inplace=True)
if with_target:
target_bar = agg_bars(minute_bars, "09:46", "10:30", grouper)
returns = -target_bar.eval("close/open - 1").dropna() # Inverted return since we are shorting
index = returns.index.intersection(features.index)
return features.loc[index], returns.loc[index]
else:
return features
def get_atms(self):
csv = StringIO(self.Download(TICKERS_CSV))
atms = pd.read_csv(csv, parse_dates=[DATE_COLUMN], dayfirst=True,
thousands=",")
atms[DATE_COLUMN] = atms[DATE_COLUMN].dt.date
atms.rename(columns={DATE_COLUMN: "time", SYMBOL_COLUMN: "symbol"},
inplace=True)
[self.AddEquity(s, Resolution.Minute, extendedMarketHours=True)
for s in atms["symbol"].unique()]
atms["symbol"] = atms["symbol"].apply(lambda x: str(self.Symbol(x).ID))
atms.set_index(["symbol", "time"], inplace=True)
atms["atm_date"] = atms.index.get_level_values("time")
return atms.query("OfferingType == 'ATM'")
def get_last_day(self, date):
trade_days = self.TradingCalendar.GetTradingDays(date - timedelta(7),
date - timedelta(1))
return list(filter(lambda p: p.BusinessDay and not p.PublicHoliday,
trade_days))[-1].Date
def agg_bars(minute_bars, start_time, end_time, grouper):
filtered_bars = idx.filter_bars(minute_bars, start_time, end_time)
return filtered_bars.groupby(grouper).agg(AGG_OPS)
"""
Basic ML Liquidation Strategy
@version: 0.11
@creation date: 16/07/2022
! Added gap size and vwap divergence to features
! Reading the ATM file and dynamic gap filtering
TODO: multiple entry points
TODO: Offline storage of features to improve performance
"""
from AlgorithmImports import *
import numpy as np
import pandas as pd
pd.set_option('mode.use_inf_as_na', True)
from io import StringIO
from ast import literal_eval
from sklearn.model_selection import cross_val_score
from sklearn.ensemble import GradientBoostingClassifier
import indicators as idx
from timeseriescv import TimeSeriesSplitGroups
TICKERS_CSV = "https://drive.google.com/uc?export=download&id=1did0Sk3F9Sn5Il_nUX252jOB_n0UFqat"
DATE_COLUMN = "Agreement Start Date"
SYMBOL_COLUMN = "ticker"
MIN_GAP = 0.15
AGG_OPS = {"open": "first", "close": "last",
"high": "max", "low": "min", "volume": "sum"}
class LiquidationBasicML(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2021, 10, 27)
self.SetEndDate(2022, 6, 1)
self.model = GradientBoostingClassifier(n_iter_no_change=3)
self.benchmark = self.GetParameter("benchmark")
self.capital = literal_eval(self.GetParameter("capital"))
self.SetCash(self.capital)
self.atms = self.get_atms()
self.train_start = self.atms.index.get_level_values("time").min()
self.AddEquity(self.benchmark, Resolution.Minute)
self.SetBenchmark(self.benchmark)
self.precision = 0
self.cv = TimeSeriesSplitGroups(n_splits=10)
self.Train(self.DateRules.MonthStart(),
self.TimeRules.At(0, 0),
self.train_model)
every_day = self.DateRules.EveryDay(self.benchmark)
at = self.TimeRules.At
self.Schedule.On(every_day, at(9, 45), self.enter_trades)
self.Schedule.On(every_day, at(10, 30), self.exit_trades)
self.Schedule.On(every_day, at(11, 30), self.liquidate)
def train_model(self):
x, y = self.get_data(self.train_start, self.Time)
fit_params = dict(sample_weight=abs(np.log1p(y)))
time_groups = x.index.get_level_values("time")
cv_scores = cross_val_score(self.model, X=x, y=(y>0).astype(float),
cv=self.cv, groups=time_groups,
scoring="precision", fit_params=fit_params)
self.precision = np.mean(cv_scores)
self.model.fit(x, (y > 0).astype(float), **fit_params)
self.Debug(f"Training Points: {len(x)} Precision: {self.precision:.1%}")
self.Plot("ML", "Precision", self.precision)
def enter_trades(self):
if self.precision <= 0.5: return
start, end = self.get_last_day(self.Time), self.Time
x_pred = self.get_data(start, end, with_target=False)
if x_pred is None: return
y_pred = pd.Series(self.model.predict(x_pred),
index=x_pred.index.get_level_values("symbol"))
trades = y_pred[y_pred == 1] # Trading only the stocks predicted to go down (label=1)
for symbol in trades.index:
self.Debug(f"{self.Time} - Trading {symbol}")
qty = self.CalculateOrderQuantity(symbol, -0.01)
last_price = self.Securities[symbol].Price
self.LimitOrder(symbol, qty, last_price)
def exit_trades(self):
for s in self.get_owned_stocks():
self.Transactions.CancelOpenOrders(s)
self.LimitOrder(s, -self.Portfolio[s].Quantity, self.Portfolio[s].Price)
def liquidate(self):
self.Transactions.CancelOpenOrders()
self.Liquidate()
def get_owned_stocks(self):
return [s for s in self.ActiveSecurities.Keys
if self.Portfolio[s].Quantity != 0]
def get_data(self, start, end, with_target=True):
gaplist = self.get_gaplist(start, end)
if len(gaplist) == 0: return None
minute_bars = []
for symbol, day in gaplist.index:
end = min(day + timedelta(1), self.Time)
minute_bars += [self.History([symbol], day, end, Resolution.Minute)]
minute_bars = pd.concat(minute_bars)
if len(minute_bars) == 0: return None # TODO: Fix gaplist function
opening_bar = agg_bars(minute_bars, "09:31", "09:45")
pm_bar = agg_bars(minute_bars, "07:01", "09:30")
features = gaplist.to_frame("gap")
features["opening_range"] = opening_bar.eval("(close-low)/(high-low)")
features["pm_volume_usd"] = pm_bar.eval("close * volume")
opening_bars = idx.filter_bars(minute_bars, "09:31", "09:45")
grouper = [pd.Grouper(level="symbol"), pd.Grouper(level="time", freq="1D")]
vwap = idx.intra_vwap(opening_bars).groupby(grouper).last()
features["divergence"] = vwap / opening_bar["close"] - 1
# TODO: Add shares as % of float
"""
TODO: TO BE REVIEWED
atm_start = start - timedelta(365)
valid_atms = self.atms.query("(time >= @atm_start) and (time <= @end)")
last_atms = valid_atms.groupby("symbol").last()
features = features.join(last_atms[["Total ATM Capacity", "atm_date"]])
features.rename(columns={"Total ATM Capacity": "atm_shares",
"atm_date": "atm_days"}, inplace=True)
features.eval("pm_volume_atm = pm_volume / atm_shares", inplace=True)
time_idx = features.index.get_level_values("time")
features["atm_days"] = (time_idx - features["atm_days"]) / np.timedelta64(1, 'D')
features = features.query("atm_days <= 365")
"""
features.dropna(inplace=True)
if with_target:
target_bar = agg_bars(minute_bars, "09:46", "10:30")
returns = -target_bar.eval("close/open - 1").dropna() # Inverted return since we are shorting
index = returns.index.intersection(features.index)
return features.loc[index], returns.loc[index]
else:
return features
def get_atms(self):
csv = StringIO(self.Download(TICKERS_CSV))
atms = pd.read_csv(csv, parse_dates=[DATE_COLUMN], dayfirst=True,
thousands=",")
atms[DATE_COLUMN] = atms[DATE_COLUMN].dt.date
atms.rename(columns={DATE_COLUMN: "time", SYMBOL_COLUMN: "symbol"},
inplace=True)
[self.AddEquity(s, Resolution.Minute, extendedMarketHours=True)
for s in atms["symbol"].unique()]
atms["symbol"] = atms["symbol"].apply(lambda x: str(self.Symbol(x).ID))
atms.set_index(["symbol", "time"], inplace=True)
atms["atm_date"] = atms.index.get_level_values("time")
return atms.query("OfferingType == 'ATM'")
def get_gaplist(self, start, end):
atm_start = start - timedelta(365)
valid_atms = self.atms.query("(time >= @atm_start) and (time <= @end)")
symbols = valid_atms.index.get_level_values("symbol").unique().tolist()
day_start = self.get_last_day(start)
day_bars = self.History(symbols, day_start, end, Resolution.Daily)
last_index = day_bars.index.get_level_values("time").max()
if end > last_index: # adding manually the last day bar if missing
day_start = end.replace(hour=9, minute=30, second=0)
day_end = min(end.replace(hour=16, minute=0, second=0), self.Time)
last_day_bars = self.History(symbols, day_start, day_end,
Resolution.Minute)
last_day_bar = agg_bars(last_day_bars, "09:31", "16:00")
day_bars = pd.concat([day_bars, last_day_bar])
yesterday_bars = day_bars.groupby("symbol").shift(1)
gaps = day_bars["open"]/yesterday_bars["close"]-1
return gaps[gaps > MIN_GAP]
def get_last_day(self, date):
trade_days = self.TradingCalendar.GetTradingDays(date - timedelta(7),
date - timedelta(1))
return list(filter(lambda p: p.BusinessDay and not p.PublicHoliday,
trade_days))[-1].Date
def agg_bars(minute_bars, start_time, end_time):
grouper = [pd.Grouper(level="symbol"), pd.Grouper(level="time", freq="1D")]
filtered_bars = idx.filter_bars(minute_bars, start_time, end_time)
return filtered_bars.groupby(grouper).agg(AGG_OPS)
"""
Big Bertha Strategy with Machine Learning
Done
- New Features (bb volume and open)
- Offline data storage to avoid symbols limitation
- Trade execution on high probability trades
Todo
- Risk management with stop loss
@version: 0.11
@creation date: 05/07/2022
"""
from AlgorithmImports import *
import numpy as np
import pandas as pd
from ast import literal_eval
from sklearn.model_selection import cross_val_score
from sklearn.ensemble import GradientBoostingClassifier
import indicators as idx
pd.set_option('mode.use_inf_as_na', True)
GROUPER = [pd.Grouper(level="symbol"), pd.Grouper(level="time", freq="1D")]
AGG_OPS = {"open": "first", "close": "last", "high": "max",
"low": "min", "volume": "sum"}
class BigBerthaML(QCAlgorithm):
def Initialize(self):
self.min_usd_volume = literal_eval(self.GetParameter("min_usd_volume"))
self.capital = literal_eval(self.GetParameter("capital"))
self.benchmark = self.GetParameter("benchmark")
self.SetStartDate(2021, 1, 1)
self.SetEndDate(2022, 1, 1)
self.SetCash(self.capital)
self.UniverseSettings.Resolution = Resolution.Minute
self.UniverseSettings.ExtendedMarketHours = True
self.AddUniverse(self.coarse_filter)
self.AddEquity(self.benchmark, Resolution.Minute)
self.SetBenchmark(self.benchmark)
self.accuracy = None
self.features, self.targets = None, None
self.model = GradientBoostingClassifier(n_iter_no_change=3)
at = self.TimeRules.At
every_day = self.DateRules.EveryDay(self.benchmark)
self.Train(self.DateRules.WeekStart(), at(0, 0), self.train_model)
self.Schedule.On(every_day, at(9, 35), self.store_data)
self.Schedule.On(every_day, at(9, 35), self.trade)
self.Schedule.On(every_day, at(15, 55), self.stop_trading)
def coarse_filter(self, coarse):
return [x.Symbol for x in coarse if
x.HasFundamentalData and
x.DollarVolume > self.min_usd_volume]
def train_model(self):
if self.features is None or self.targets is None: return
self.Debug(f"{self.Time} Training")
x, y = self.get_train_data()
fit_params = dict(sample_weight=abs(y))
cv_scores = cross_val_score(self.model, X=x, y=(y > 0).astype(float),
cv=10, fit_params=fit_params)
self.accuracy = np.mean(cv_scores)
self.model.fit(x, (y > 0).astype(float))
self.Debug(f"{self.Time} Points:{len(x)} Accuracy:{self.accuracy:.1%}")
self.Plot("ML", "Accuracy", self.accuracy)
def trade(self):
if self.accuracy is None: return
self.Debug(f"{self.Time} Trading")
x_pred = self.get_pred_data()
y_proba = pd.Series(self.model.predict_proba(x_pred)[:, 1],
index=x_pred.index).groupby("symbol").last()
self.Debug(f"Predictions: {len(y_proba)} - Proba {min(y_proba):.0%}-{max(y_proba):.0%}")
positions = (y_proba[(y_proba <= 0.4)|(y_proba >= 0.6)] - 0.5) * self.accuracy # Model and trade confidence
if sum(abs(positions)) > 1: positions /= sum(abs(positions)) # Ensuring no leverage is used
[self.SetHoldings(symbol, pos) for symbol, pos in positions.items()]
def stop_trading(self):
self.Transactions.CancelOpenOrders()
self.Liquidate()
def store_data(self):
trade_days = self.TradingCalendar.GetTradingDays(self.Time - timedelta(7),
self.Time - timedelta(1))
last_day = list(filter(lambda p: p.BusinessDay and not p.PublicHoliday,
trade_days))[-1].Date
start = last_day.replace(hour=9, minute=30, second=0)
end = self.Time.replace(hour=9, minute=35, second=0)
tickers = list(filter(lambda x: str(x) not in self.benchmark,
self.ActiveSecurities.Keys))
minute_bars = self.History(tickers, start, end, Resolution.Minute)
self.add_features(minute_bars)
self.add_targets(minute_bars)
self.Debug(f"{self.Time} Data updated: {len(self.features)} datapoints")
def add_features(self, minute_bars):
day_bar = self.agg_bars(minute_bars, "09:31", "16:00")
pm_bar = self.agg_bars(minute_bars, "00:01", "09:30")
min5_bar = self.agg_bars(minute_bars, "09:31", "09:35")
features = min5_bar.add_prefix("bb_")
features["bb_size"] = min5_bar.eval("(high-low)/open")
features["bb_close_range"] = min5_bar.eval("(close-low)/(high-low)")
features["bb_open_range"] = min5_bar.eval("(open-low)/(high-low)")
features["pm_volume_usd"] = pm_bar.eval("close * volume")
yesterday_close = day_bar["close"].groupby("symbol").shift(1)
features["gap"] = day_bar["open"] / yesterday_close-1
features.dropna(inplace=True)
if self.features is not None:
new_idx = features.index.difference(self.features.index) # Removing potential duplicates
self.features = pd.concat([self.features, features.loc[new_idx]])
else:
self.features = features
def add_targets(self, minute_bars):
trading_bar = self.agg_bars(minute_bars, "09:36", "15:55")
targets = trading_bar.eval("close/open-1").dropna()
if self.targets is not None:
new_idx = targets.index.difference(self.targets.index) # Removing potential duplicates
self.targets = pd.concat([self.targets, targets.loc[new_idx]])
else:
self.targets = targets
def get_train_data(self):
train_idx = self.targets.index.intersection(self.features.index)
return self.features.loc[train_idx], self.targets.loc[train_idx]
def get_pred_data(self):
return self.features.query("time == @self.Time.date()")
def agg_bars(self, minute_bars, start_time, end_time):
filtered_bars = idx.filter_bars(minute_bars, start_time, end_time)
return filtered_bars.groupby(GROUPER).agg(AGG_OPS)
"""
Big Bertha Strategy with Machine Learning
Done
- New Features (bb volume and open)
- Offline data storage to avoid symbols limitation
- Trade execution on high probability trades
Todo
- Risk management with stop loss
@version: 0.12
@creation date: 05/07/2022
"""
from AlgorithmImports import *
import numpy as np
import pandas as pd
from ast import literal_eval
from sklearn.model_selection import cross_val_score
from sklearn.ensemble import GradientBoostingClassifier
import indicators as idx
pd.set_option('mode.use_inf_as_na', True)
GROUPER = [pd.Grouper(level="symbol"), pd.Grouper(level="time", freq="1D")]
AGG_OPS = {"open": "first", "close": "last", "high": "max",
"low": "min", "volume": "sum"}
RETR_PCT = 0.7
class BigBerthaML(QCAlgorithm):
def Initialize(self):
self.min_usd_volume = literal_eval(self.GetParameter("min_usd_volume"))
self.capital = literal_eval(self.GetParameter("capital"))
self.benchmark = self.GetParameter("benchmark")
self.SetStartDate(2021, 1, 1)
self.SetEndDate(2022, 1, 1)
self.SetCash(self.capital)
self.UniverseSettings.Resolution = Resolution.Minute
self.UniverseSettings.ExtendedMarketHours = True
self.AddUniverse(self.coarse_filter)
self.AddEquity(self.benchmark, Resolution.Minute)
self.SetBenchmark(self.benchmark)
self.accuracy = 0
self.features, self.targets = None, None
self.model = GradientBoostingClassifier(n_iter_no_change=3)
at = self.TimeRules.At
every_day = self.DateRules.EveryDay(self.benchmark)
self.Train(self.DateRules.WeekStart(), at(0, 0), self.train_model)
self.Schedule.On(every_day, at(9, 35), self.store_data)
self.Schedule.On(every_day, at(9, 35), self.trade)
self.Schedule.On(every_day, at(15, 55), self.stop_trading)
def coarse_filter(self, coarse):
return [x.Symbol for x in coarse if
x.HasFundamentalData and
x.DollarVolume > self.min_usd_volume]
def train_model(self):
if self.features is None or self.targets is None: return
self.Debug(f"{self.Time} Training")
x, y = self.get_train_data()
cv_scores = cross_val_score(self.model, X=x, y=y, cv=10)
self.accuracy = np.mean(cv_scores)
self.model.fit(x, y)
self.Debug(f"{self.Time} Points:{len(x)} Accuracy:{self.accuracy:.1%}")
self.Plot("ML", "Accuracy", self.accuracy)
def trade(self):
if self.accuracy <= 0.5: return
self.Debug(f"{self.Time} Trading")
x_pred = self.get_pred_data()
y_proba = pd.DataFrame(self.model.predict_proba(x_pred),
index=x_pred.index,
columns=self.model.classes_).groupby("symbol").last()
actions = y_proba.idxmax(axis=1)
positions = actions.apply(lambda x: 0.01 if x=="long" else -0.01 if x=="short" else 0)
self.Debug(f"Predictions: {len(y_proba)} - Proba {y_proba}")
for symbol, pos in positions.items():
qty = self.CalculateOrderQuantity(symbol, pos)
self.MarketOrder(symbol, qty)
feats = x_pred.loc[symbol].iloc[0] # TODO: Refactor
window = (feats.bb_high - feats.bb_low) * RETR_PCT
stop_loss = feats.bb_high - window if pos > 0 \
else feats.bb_low + window # TODO: Refactor
self.StopMarketOrder(symbol, -qty, stop_loss)
def stop_trading(self):
self.Transactions.CancelOpenOrders()
self.Liquidate()
def store_data(self):
trade_days = self.TradingCalendar.GetTradingDays(self.Time - timedelta(7),
self.Time - timedelta(1))
last_day = list(filter(lambda p: p.BusinessDay and not p.PublicHoliday,
trade_days))[-1].Date
start = last_day.replace(hour=9, minute=30, second=0)
end = self.Time.replace(hour=9, minute=35, second=0)
tickers = list(filter(lambda x: str(x) not in self.benchmark,
self.ActiveSecurities.Keys))
minute_bars = self.History(tickers, start, end, Resolution.Minute)
new_features = self.calc_features(minute_bars).dropna()
if self.features is not None:
new_idx = new_features.index.difference(self.features.index) # Removing potential duplicates
self.features = pd.concat([self.features, new_features.loc[new_idx]])
else:
self.features = new_features
new_targets = self.calc_targets(minute_bars).dropna()
if self.targets is not None:
new_idx = new_targets.index.difference(self.targets.index) # Removing potential duplicates
self.targets = pd.concat([self.targets, new_targets.loc[new_idx]])
else:
self.targets = new_targets
self.Debug(f"{self.Time} Data updated: {len(self.features)} datapoints")
def calc_features(self, minute_bars):
day_bar = self.agg_bars(minute_bars, "09:31", "16:00")
pm_bar = self.agg_bars(minute_bars, "00:01", "09:30")
min5_bar = self.agg_bars(minute_bars, "09:31", "09:35")
features = min5_bar.add_prefix("bb_")
features["bb_size"] = min5_bar.eval("(high-low)/open")
features["bb_close_range"] = min5_bar.eval("(close-low)/(high-low)")
features["bb_open_range"] = min5_bar.eval("(open-low)/(high-low)")
features["pm_volume_usd"] = pm_bar.eval("close * volume")
yesterday_close = day_bar["close"].groupby("symbol").shift(1)
features["gap"] = day_bar["open"] / yesterday_close-1
return features
def calc_targets(self, minute_bars):
trading_bar = self.agg_bars(minute_bars, "09:36", "15:55")
min5_bar = self.agg_bars(minute_bars, "09:31", "09:35")
trading_bar = trading_bar.join(min5_bar.add_prefix("bb_"))
return trading_bar.apply(calc_exit_price, axis=1)
def get_train_data(self):
train_idx = self.targets.index.intersection(self.features.index)
return self.features.loc[train_idx], self.targets.loc[train_idx]
def get_pred_data(self):
return self.features.query("time == @self.Time.date()")
def agg_bars(self, minute_bars, start_time, end_time):
filtered_bars = idx.filter_bars(minute_bars, start_time, end_time)
return filtered_bars.groupby(GROUPER).agg(AGG_OPS)
def get_dataset_days(self):
return len(self.features.index.get_level_values("time").unique()) \
if self.features is not None else 0
def calc_exit_price(row, retr_pct=RETR_PCT):
window = (row.bb_high-row.bb_low)*retr_pct
if row.close > row.open: # long trade
stop_loss = row.bb_high - window
target = "long" if row.low > stop_loss else "pass" # 1 if profitable long and not touching the SL
else: # short trade
stop_loss = row.bb_low + window
target = "short" if row.high < stop_loss else "pass" # -1 if profitable short and not touching the SL
return target"""
Full Liquidation System Strategy
@version: 0.1
@creation date: 13/7/2022
"""
import pandas as pd
from io import StringIO
from AlgorithmImports import *
from ast import literal_eval
from datetime import datetime, timedelta
AGG_OPS = {"open": "first", "high": "max", "low": "min",
"close": "last", "volume": "sum"}
TICKERS_CSV = "https://drive.google.com/uc?export=download&id=1bzOypNRbhLMRsQzS5DJUxG0OaIRi7hI8"
#"https://drive.google.com/uc?export=download&id=1cReDW0EPToXFmOfIWtdK9-bR5doecw0-"
class LiquidationFulll(QCAlgorithm):
def Initialize(self):
self.capital = literal_eval(self.GetParameter("capital"))
self.entry_size = literal_eval(self.GetParameter("entry_size")) # Negative value for shorts
self.SetCash(self.capital) # Set Strategy Cash
self.SetStartDate(2021, 10, 1)
self.SetEndDate(2022, 7, 1)
csv = StringIO(self.Download(TICKERS_CSV))
self.overhang = pd.read_csv(csv, parse_dates=["Date"], dayfirst=False)
self.overhang["Date"] = self.overhang["Date"].dt.date
self.AddUniverse(self.coarse_filter)
self.resolution = Resolution.Second
self.UniverseSettings.Resolution = self.resolution
every_day = self.DateRules.EveryDay()
every_second = self.TimeRules.Every(TimeSpan.FromSeconds(30))
every_minute = self.TimeRules.Every(TimeSpan.FromMinutes(15))
at = self.TimeRules.At
self.Schedule.On(every_day, every_second, self.open_trade)
self.Schedule.On(every_day, every_second, self.adding_trade)
self.Schedule.On(every_day, at(7, 5), self.PM_entry)
self.Schedule.On(every_day, at(7, 15), self.PM_stop)
self.Schedule.On(every_day, at(8, 10), self.PM_second_entry)
self.Schedule.On(every_day, at(8, 15), self.PM_second_stop)
self.Schedule.On(every_day, at(9, 45), self.set_stop)
self.Schedule.On(every_day, at(10, 5), self.adjust_position)
self.Schedule.On(every_day, at(10, 30), self.adjust_second_position)
self.Schedule.On(every_day, every_minute, self.set_second_stop)
self.Schedule.On(every_day, at(15, 55), self.close_trade)
self.Schedule.On(every_day, at(15, 58), self.liquidate_trade)
self.SetSecurityInitializer(lambda x: x.SetMarketPrice(self.GetLastKnownPrice(x)))
def PM_entry(self):
symbols = list(self.ActiveSecurities.Keys)
history = self.History(symbols, self.Time.date(), self.Time,
resolution=self.resolution)
if len(history) > 0:
self.Transactions.CancelOpenOrders()
self.Debug(f"{self.Time} - PM entry1")
hod = history["high"].groupby("symbol").max()
lod = history["low"].groupby("symbol").min()
intra_range = hod - lod
intra_range1 = (hod - lod) * .1
vwap_bars = history.eval("volume*(high+low+close)/3")
total_vwap = vwap_bars.groupby("symbol").sum()
vwap = total_vwap/history["volume"].groupby("symbol").sum()
limit_price = vwap - intra_range1
for s in symbols:
lasts = self.Securities[s].Price
order_val = self.entry_size
quantity = int(order_val/vwap[s]/8)
self.LimitOrder(s, quantity, lasts)
def PM_stop(self):
symbols = self.get_owned_stocks()
history = self.History(symbols, self.Time.replace(hour=7,minute=00,second=00), self.Time,
resolution=self.resolution)
if len(history) > 0:
self.Transactions.CancelOpenOrders()
self.Debug(f"{self.Time} - PM stop1")
hod = history["high"].groupby("symbol").max()
lod = history["low"].groupby("symbol").min()
intra_range = hod - lod
intra_range1 = (hod - lod) * .1
vwap_bars = history.eval("volume*(high+low+close)/3")
total_vwap = vwap_bars.groupby("symbol").sum()
vwap = total_vwap/history["volume"].groupby("symbol").sum()
limit_price = hod + intra_range1
for s in symbols:
lasts = self.Securities[s].Price
order_val = self.entry_size
qty = self.Portfolio[s].Quantity
self.StopLimitOrder(s, -qty, hod[s],limit_price[s])
def PM_second_entry(self):
symbols = self.get_owned_stocks()
history = self.History(symbols, self.Time.replace(hour=7,minute=00,second=00), self.Time,
resolution=self.resolution)
if len(history) > 0:
self.Transactions.CancelOpenOrders()
self.Debug(f"{self.Time} - PM entry2")
hod = history["high"].groupby("symbol").max()
lod = history["low"].groupby("symbol").min()
intra_range = hod - lod
intra_range1 = (hod - lod) * .1
vwap_bars = history.eval("volume*(high+low+close)/3")
total_vwap = vwap_bars.groupby("symbol").sum()
vwap = total_vwap/history["volume"].groupby("symbol").sum()
limit_price = hod + intra_range1
for s in symbols:
lasts = self.Securities[s].Price
order_val = self.entry_size
holding = self.Portfolio[s]
pos_avg = holding.Price
stop_limit = pos_avg + intra_range1[s]
#_current = data.Bars[self.symbol.Symbol]
pl = self.Portfolio[s].get_UnrealizedProfit()
if pl >= 0:
qty = self.Portfolio[s].Quantity
#self.MarketOrder(s, -int(qty/2))
#self.LimitOrder(s, -int(qty/2),target_price[s])
self.LimitOrder(s, qty,lasts)
#self.StopLimitOrder(s, int(qty/2)-qty, hod[s],limit_price[s])
self.StopLimitOrder(s, -qty, hod[s],limit_price[s])
else:
qty = self.Portfolio[s].Quantity
self.LimitOrder(s, -int(qty),lasts)
def PM_second_stop(self):
symbols = self.get_owned_stocks()
history = self.History(symbols, self.Time.replace(hour=7,minute=00,second=00), self.Time,
resolution=self.resolution)
if len(history) > 0:
self.Transactions.CancelOpenOrders()
self.Debug(f"{self.Time} - PM stop2")
hod = history["high"].groupby("symbol").max()
lod = history["low"].groupby("symbol").min()
intra_range = hod - lod
intra_range1 = (hod - lod) * .1
vwap_bars = history.eval("volume*(high+low+close)/3")
total_vwap = vwap_bars.groupby("symbol").sum()
vwap = total_vwap/history["volume"].groupby("symbol").sum()
limit_price = hod + intra_range1
for s in symbols:
lasts = self.Securities[s].Price
order_val = self.entry_size
qty = self.Portfolio[s].Quantity
self.StopLimitOrder(s, -self.Portfolio[s].Quantity, hod[s],limit_price[s])
def open_trade(self):
if time(9, 30) < self.Time.time() < time(9, 35):
symbols = self.get_owned_stocks()
history = self.History(symbols, self.Time.replace(hour=9,minute=30,second=00), self.Time,
resolution=self.resolution)
if len(history) > 0:
self.Transactions.CancelOpenOrders()
hod = history["high"].groupby("symbol").max()
lod = history["low"].groupby("symbol").min()
intra_range = hod - lod
intra_range1 = (hod - lod) * .1
vwap_bars = history.eval("volume*(high+low+close)/3")
total_vwap = vwap_bars.groupby("symbol").sum()
vwap = total_vwap/history["volume"].groupby("symbol").sum()
limit_price = vwap - intra_range1
for s in symbols:
lasts = self.Securities[s].Price
holding = self.Portfolio[s]
order_val = self.entry_size
pl = self.Portfolio[s].get_UnrealizedProfit()
if pl >= 0:
quantity = int(order_val/vwap[s]/20)
#limit_price = vwap[symbol] - intra_range1[symbol]
self.LimitOrder(s, quantity, lasts)
#self.LimitOrder(symbol,quantity,self.lasts_close[symbol])
else:
qty = self.Portfolio[s].Quantity
self.LimitOrder(s, -int(qty), lasts)
def adding_trade(self):
if time(9, 35) < self.Time.time() < time(9, 45):
symbols = self.get_owned_stocks()
history = self.History(symbols, self.Time.replace(hour=9,minute=30,second=00), self.Time,
resolution=self.resolution)
if len(history) > 0:
self.Transactions.CancelOpenOrders()
hod = history["high"].groupby("symbol").max()
lod = history["low"].groupby("symbol").min()
intra_range = hod - lod
intra_range1 = (hod - lod) * .1
vwap_bars = history.eval("volume*(high+low+close)/3")
total_vwap = vwap_bars.groupby("symbol").sum()
vwap = total_vwap/history["volume"].groupby("symbol").sum()
limit_price = vwap - intra_range1
for s in symbols:
lasts = self.Securities[s].Price
holding = self.Portfolio[s]
order_val = self.entry_size
pl = self.Portfolio[s].get_UnrealizedProfit()
quantity = int(order_val/vwap[s]/80)
#limit_price = vwap[symbol] - intra_range1[symbol]
self.LimitOrder(s, quantity, lasts)
#self.LimitOrder(symbol,quantity,self.lasts_close[symbol])
def set_stop(self):
symbols = self.get_owned_stocks()
history = self.History(symbols, self.Time.replace(hour=9,minute=30,second=00), self.Time,
resolution=self.resolution)
if len(history) > 0:
self.Debug(f"{self.Time} - Set Stop")
self.Transactions.CancelOpenOrders()
hod = history["high"].groupby("symbol").max()
lod = history["low"].groupby("symbol").min()
intra_range = hod - lod
intra_range1 = (hod - lod) *.05
intra_range2 = (hod - lod) *.15
stop_price = hod + intra_range1
limit_price = hod + intra_range2
target_price = lod + intra_range1
for s in symbols:
holding = self.Portfolio[s]
pos_avg = holding.Price
lasts = self.Securities[s].Price
qty = self.Portfolio[s].Quantity
#self.StopLimitOrder(s, -self.Portfolio[s].Quantity, self.Portfolio[s].Price, hod[s])
self.StopLimitOrder(s, -self.Portfolio[s].Quantity, stop_price[s],limit_price[s])
#self.LimitOrder(s, -int(qty/4),target_price[s])
def adjust_position(self):
symbols = self.get_owned_stocks()
history = self.History(symbols, self.Time.replace(hour=9,minute=30,second=00), self.Time,
resolution=self.resolution)
if len(history) > 0:
self.Debug(f"{self.Time} - Adjust Position")
self.Transactions.CancelOpenOrders()
hod = history["high"].groupby("symbol").max()
lod = history["low"].groupby("symbol").min()
intra_range = hod - lod
intra_range1 = (hod - lod) * .05
limit_price = hod + intra_range1
target_price = lod + intra_range1
for s in symbols:
lasts = self.Securities[s].Price
holding = self.Portfolio[s]
pos_avg = holding.Price
stop_limit = pos_avg + intra_range1[s]
pl = self.Portfolio[s].get_UnrealizedProfit()
# pl = self.Portfolio[s].get_Profit() \
# + self.Portfolio[s].get_UnrealizedProfit()
if pl > 0:
qty = self.Portfolio[s].Quantity
#self.MarketOrder(s, -int(qty/2))
#self.LimitOrder(s, -int(qty/2),target_price[s])
#self.LimitOrder(s, -int(qty/4),lasts)
#self.StopLimitOrder(s, int(qty/2)-qty, hod[s],limit_price[s])
self.StopLimitOrder(s, -int(qty), pos_avg, stop_limit)
else:
qty = self.Portfolio[s].Quantity
self.LimitOrder(s, -int(qty),lasts)
#self.Liquidate(s)
def adjust_second_position(self):
symbols = self.get_owned_stocks()
history = self.History(symbols, self.Time.replace(hour=9,minute=30,second=00), self.Time,
resolution=self.resolution)
if len(history) > 0:
self.Debug(f"{self.Time} - Adjust Position_2")
self.Transactions.CancelOpenOrders()
hod = history["high"].groupby("symbol").max()
lod = history["low"].groupby("symbol").min()
intra_range = hod - lod
intra_range1 = (hod - lod) * .05
intra_range2 = (hod - lod) * .15
limit_price = hod + intra_range1
target_price = lod + intra_range1
for s in symbols:
lasts = self.Securities[s].Price
holding = self.Portfolio[s]
pos_avg = holding.Price
stop_limit = pos_avg + intra_range2[s]
pl = self.Portfolio[s].get_UnrealizedProfit()
if pl > 0:
qty = self.Portfolio[s].Quantity
#self.MarketOrder(s, -int(qty/2))
self.LimitOrder(s, int(qty/2),target_price[s])
#self.StopLimitOrder(s, int(qty/2)-qty, hod[s],limit_price[s])
self.StopLimitOrder(s, -int(qty), pos_avg, stop_limit)
else:
qty = self.Portfolio[s].Quantity
self.LimitOrder(s, -int(qty),lasts)
#self.Liquidate(s)
def set_second_stop(self):
if time(10, 35) < self.Time.time() < time(15, 45):
symbols = self.get_owned_stocks()
history = self.History(symbols, self.Time.replace(hour=9,minute=30,second=00), self.Time,
resolution=self.resolution)
if len(history) > 0:
self.Debug(f"{self.Time} - Set Stop2")
#self.Transactions.CancelOpenOrders()
hod = history["high"].groupby("symbol").max()
lod = history["low"].groupby("symbol").min()
intra_range = hod - lod
intra_range1 = (hod - lod) *.05
intra_range2 = (hod - lod) *.15
stop_price = hod + intra_range1
limit_price = hod + intra_range2
target_price = lod + intra_range1
for s in symbols:
holding = self.Portfolio[s]
pos_avg = holding.Price
lasts = self.Securities[s].Price
qty = self.Portfolio[s].Quantity
r_pl = self.Portfolio[s].get_Profit()
stop_limit = pos_avg + intra_range2[s]
#self.StopLimitOrder(s, -self.Portfolio[s].Quantity, self.Portfolio[s].Price, hod[s])
if r_pl > 0:
self.Transactions.CancelOpenOrders()
self.StopLimitOrder(s, -int(qty), pos_avg, stop_limit[s])
#self.LimitOrder(s, -int(qty/4),target_price[s])
def get_owned_stocks(self):
return [s for s in self.ActiveSecurities.Keys
if self.Portfolio[s].Quantity != 0]
def close_trade(self):
#if len(list(self.ActiveSecurities.Keys)) > 0:
symbols = self.get_owned_stocks()
history = self.History(symbols, self.Time.replace(hour=9,minute=30,second=00), self.Time,
resolution=self.resolution)
if len(history) > 0:
self.Debug(f"{self.Time} - Close Trade")
self.Transactions.CancelOpenOrders()
hod = history["high"].groupby("symbol").max()
lod = history["low"].groupby("symbol").min()
intra_range = hod - lod
intra_range1 = (hod - lod) * .05
for s in symbols:
lasts = self.Securities[s].Price
qty = self.Portfolio[s].Quantity
limit_price = lasts + intra_range1[s]
self.LimitOrder(s, -int(qty), limit_price)
#self.Liquidate()
def liquidate_trade(self):
if len(list(self.ActiveSecurities.Keys)) > 0:
self.Debug(f"{self.Time} - Liquidate Trade")
self.Transactions.CancelOpenOrders()
self.Liquidate()
def coarse_filter(self, coarse):
tickers = self.overhang.query("Date == @self.Time.date()")
universe = [] if len(tickers) == 0 else \
[x.Symbol for x in coarse if
(x.Symbol.Value == tickers["Symbol"]).any()]
self.Debug(f"{self.Time} - Universe {len(tickers)} tickers")
return universe
#def OnData(self, data: Slice):
# if self.aapl_symbol in data.Bars:
# aapl_current_trade = data.Bars[self.aapl_symbol]"""
Basic ML Liquidation Strategy
@version: 0.5
@creation date: 16/07/2022
- At Open, predict the probability of success (triple labeling, up, stop loss or null)
- Enter with limit order at 9:45 price
- Exit with limit order at 10:30 price
- Liquidate at 15:55 if there are still positions open
"""
from AlgorithmImports import *
import numpy as np
import pandas as pd
from io import StringIO
from ast import literal_eval
from sklearn.model_selection import cross_val_score
from sklearn.ensemble import GradientBoostingClassifier
import indicators as idx
pd.set_option('mode.use_inf_as_na', True)
TICKERS_CSV = "https://drive.google.com/uc?export=download&id=1bzOypNRbhLMRsQzS5DJUxG0OaIRi7hI8"
AGG_OPS = {"open": "first", "close": "last",
"high": "max", "low": "min", "volume": "sum"}
class LiquidationBasicML(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2021, 10, 1)
self.SetEndDate(2022, 6, 1)
self.benchmark = self.GetParameter("benchmark")
self.entry_size = -abs(literal_eval(self.GetParameter("entry_size")))
self.capital = literal_eval(self.GetParameter("capital"))
self.SetCash(self.capital)
self.UniverseSettings.Resolution = Resolution.Minute
self.UniverseSettings.ExtendedMarketHours = True
self.model = GradientBoostingClassifier(n_iter_no_change=1)
self.atms = self.get_atms()
self.AddEquity(self.benchmark)
self.SetBenchmark(self.benchmark)
self.test_score = 0
self.Train(self.DateRules.MonthStart(),
self.TimeRules.At(0, 0),
self.train_model)
every_day = self.DateRules.EveryDay(self.benchmark)
at = self.TimeRules.At
self.Schedule.On(every_day, at(9, 45), self.enter_trades)
self.Schedule.On(every_day, at(10, 30), self.exit_trades)
self.Schedule.On(every_day, at(11, 30), self.liquidate)
def train_model(self):
train_start = self.atms.index.get_level_values("time").min()
x, y = self.get_data(train_start, self.Time)
fit_params = dict(sample_weight=abs(y))
cv_scores = cross_val_score(self.model, X=x, y=(y>0).astype(float),
scoring="precision", fit_params=fit_params)
self.test_score = np.mean(cv_scores)
self.model.fit(x, (y > 0).astype(float), **fit_params)
self.Debug(f"Training Points: {len(x)} Test Score: {self.test_score:.1%}")
self.Plot("ML", "Test Score", self.test_score)
def enter_trades(self):
start, end = self.Time-timedelta(1), self.Time
today_atms = self.atms.query("(time >= @start) and (time <= @end)")
if (len(today_atms) > 0) and (self.test_score > 0.5):
x_pred = self.get_data(start, end, with_target=False)
if len(x_pred) > 0:
y_proba = pd.Series(self.model.predict_proba(x_pred)[:, 1],
index=x_pred.index).groupby("symbol").last()
positions = y_proba[y_proba > 0.5]
for symbol, position in positions.items():
order_value = self.entry_size * position
self.Debug(f"{self.Time} - Trading {symbol} Value: {order_value}")
self.MarketOrder(symbol, order_value)
else:
self.Debug("No data available!")
def exit_trades(self):
for s in self.get_owned_stocks():
self.Transactions.CancelOpenOrders(s)
self.LimitOrder(s, -self.Portfolio[s].Quantity, self.Portfolio[s].Price)
def liquidate(self):
self.Transactions.CancelOpenOrders()
self.Liquidate()
def get_owned_stocks(self):
return [s for s in self.ActiveSecurities.Keys
if self.Portfolio[s].Quantity != 0]
def get_data(self, start, end, with_target=True):
datapoints = self.atms.query("(time >= @start) and (time <= @end)")
minute_bars = [self.History([s], t, min(t + timedelta(1), self.Time),
Resolution.Minute)
for s, t in datapoints.index]
minute_bars = pd.concat(minute_bars)
day_grouper = [pd.Grouper(level="symbol"),
pd.Grouper(level="time", freq="1D")]
opening_bars = idx.filter_bars(minute_bars, "09:31", "09:45")
opening_bar = opening_bars.groupby(day_grouper).agg(AGG_OPS)
pm_bars = idx.filter_bars(minute_bars, "07:01", "09:30")
pm_bar = pm_bars.groupby(day_grouper).agg(AGG_OPS)
features = pd.DataFrame()
features["opening_range"] = opening_bar.eval("(close-low)/(high-low)")
features["pm_volume_usd"] = pm_bar.eval("close*volume")
if len(features.dropna()) == 0:
self.Debug("No data available!")
features.dropna(inplace=True)
if with_target:
target_bars = idx.filter_bars(minute_bars, "09:45", "10:30")
target_bar = target_bars.groupby(day_grouper).agg(AGG_OPS)
returns = target_bar.eval("1-close/open").apply(np.log1p).dropna()
index = returns.index.intersection(features.index)
return features.loc[index], returns.loc[index]
else:
return features
def get_atms(self):
csv = StringIO(self.Download(TICKERS_CSV))
atms = pd.read_csv(csv, parse_dates=["Date"], dayfirst=False)
atms["Date"] = atms["Date"].dt.date
atms.rename(columns={"Date": "time", "Symbol": "symbol"}, inplace=True)
[self.AddEquity(s, Resolution.Minute) for s in atms["symbol"].unique()]
atms["symbol"] = atms["symbol"].apply(lambda x: str(self.Symbol(x).ID))
atms.set_index(["symbol", "time"], inplace=True)
return atms[~atms.index.duplicated(keep='first')]
"""
Full Liquidation System Strategy
- Added pm volume filtering
@version: 0.6
@creation date: 13/7/2022
"""
import pandas as pd
from io import StringIO
from ast import literal_eval
from AlgorithmImports import *
import indicators as idx
TICKERS_CSV = "https://drive.google.com/uc?export=download&id=1bzOypNRbhLMRsQzS5DJUxG0OaIRi7hI8"
AGG_OPS = {"open": "first", "high": "max", "low": "min",
"close": "last", "volume": "sum"}
class LiquidationFull(QCAlgorithm):
def Initialize(self):
self.capital = literal_eval(self.GetParameter("capital"))
self.benchmark = self.GetParameter("benchmark")
self.entry_size = -abs(literal_eval(self.GetParameter("capital")))
self.SetCash(self.capital) # Set Strategy Cash
self.SetStartDate(2021, 10, 1)
self.SetEndDate(2022, 7, 1)
csv = StringIO(self.Download(TICKERS_CSV))
self.atms = pd.read_csv(csv, parse_dates=["Date"], dayfirst=False)
self.atms["Date"] = self.atms["Date"].dt.date
self.resolution = Resolution.Second
self.UniverseSettings.Resolution = self.resolution
self.UniverseSettings.ExtendedMarketHours = True
self.SetBenchmark(self.benchmark)
self.AddEquity(self.benchmark, Resolution.Minute)
self.AddUniverse(self.coarse_filter)
at = self.TimeRules.At
every_day = self.DateRules.EveryDay(self.benchmark)
every_30sec = self.TimeRules.Every(TimeSpan.FromSeconds(30))
every_15min = self.TimeRules.Every(TimeSpan.FromMinutes(15))
self.Schedule.On(every_day, every_30sec, self.open_trade)
self.Schedule.On(every_day, every_30sec, self.adding_trade)
self.Schedule.On(every_day, at(7, 5), self.PM_entry1)
self.Schedule.On(every_day, at(7, 15), self.PM_stop1)
self.Schedule.On(every_day, at(8, 10), self.PM_entry2)
self.Schedule.On(every_day, at(8, 15), self.PM_stop2)
self.Schedule.On(every_day, at(9, 45), self.set_stop1)
self.Schedule.On(every_day, at(10, 5), self.adjust_position1)
self.Schedule.On(every_day, every_15min, self.set_stop2)
self.Schedule.On(every_day, at(10, 30), self.adjust_position2)
self.Schedule.On(every_day, at(15, 55), self.close_trade)
self.Schedule.On(every_day, at(15, 58), self.liquidate_trade)
def PM_entry1(self):
history = self.History(self.get_universe_stocks(),
self.Time.replace(hour=7, minute=0, second=0), # TODO: Start at midnight or 7am?
self.Time,
resolution=self.resolution)
if len(history) > 0:
self.Transactions.CancelOpenOrders()
self.Debug(f"{self.Time} - PM entry1")
vwaps = idx.intra_vwap(history).groupby("symbol").last().dropna()
for symbol, vwap in vwaps.items():
last_price = self.Securities[symbol].Price
quantity = int(self.entry_size/vwap/8) # TODO: What is this 8? Should we make it parametric?
self.LimitOrder(symbol, quantity, last_price)
def PM_stop1(self):
today = self.get_today_bar(self.Time.replace(hour=7, minute=0, second=0),
self.Time)
if today is not None:
self.Transactions.CancelOpenOrders()
self.Debug(f"{self.Time} - PM stop1")
limit_prices = today["high"] + (today["high"] - today["low"]) * .1 # TODO: Should we make this .1 parametric?
for symbol, limit_price in limit_prices.items():
qty = self.Portfolio[symbol].Quantity
self.StopLimitOrder(symbol, -qty, today.loc[symbol, "high"],
limit_price)
def PM_entry2(self):
today = self.get_today_bar(self.Time.replace(hour=7, minute=0, second=0),
self.Time)
if today is not None:
self.Transactions.CancelOpenOrders()
self.Debug(f"{self.Time} - PM entry2")
limit_prices = today["high"] + (today["high"] - today["low"]) * .1 # TODO: Should we make this .1 parametric?
for symbol, limit_price in limit_prices.items():
last_price = self.Securities[symbol].Price
pl = self.Portfolio[symbol].get_UnrealizedProfit()
qty = self.Portfolio[symbol].Quantity
if pl >= 0:
self.LimitOrder(symbol, qty, last_price)
self.StopLimitOrder(symbol, -qty,
today.loc[symbol, "high"],
limit_price)
else:
self.LimitOrder(symbol, -qty, last_price)
def PM_stop2(self):
today = self.get_today_bar(self.Time.replace(hour=7, minute=0, second=0),
self.Time)
if today is not None:
self.Transactions.CancelOpenOrders()
self.Debug(f"{self.Time} - PM stop2")
limit_prices = today["high"] + (today["high"] - today["low"]) * .1 # TODO: Should we make this .1 parametric?
for symbol, limit_price in limit_prices.items():
self.StopLimitOrder(symbol, -self.Portfolio[symbol].Quantity,
today.loc[symbol, "high"], limit_price)
def open_trade(self):
if time(9, 30) < self.Time.time() < time(9, 35):
history = self.History(self.get_owned_stocks(),
self.Time.replace(hour=9, minute=30, second=0),
self.Time,
resolution=self.resolution)
if len(history) > 0:
self.Transactions.CancelOpenOrders()
vwaps = idx.intra_vwap(history).groupby("symbol").last().dropna()
for symbol, vwap in vwaps.items():
last_price = self.Securities[symbol].Price
pl = self.Portfolio[symbol].get_UnrealizedProfit()
if pl >= 0:
quantity = int(self.entry_size/vwap/20) # TODO: What is this 20? Should we make it parametric?
self.LimitOrder(symbol, quantity, last_price)
else:
qty = self.Portfolio[symbol].Quantity
self.LimitOrder(symbol, -int(qty), last_price)
def adding_trade(self):
if time(9, 35) < self.Time.time() < time(9, 45):
history = self.History(self.get_owned_stocks(),
self.Time.replace(hour=9, minute=30, second=0),
self.Time,
resolution=self.resolution)
if len(history) > 0:
self.Transactions.CancelOpenOrders()
vwaps = idx.intra_vwap(history).groupby("symbol").last().dropna()
for symbol, vwap in vwaps.items():
last_price = self.Securities[symbol].Price
quantity = int(self.entry_size/vwap/80) # TODO: What is this 80? Should we make it parametric?
self.LimitOrder(symbol, quantity, last_price)
def set_stop1(self):
today = self.get_today_bar(self.Time.replace(hour=9, minute=30, second=0),
self.Time)
if today is not None:
self.Debug(f"{self.Time} - Set Stop")
self.Transactions.CancelOpenOrders()
intra_ranges = today["high"] - today["low"]
stop_price = today["high"] + intra_ranges * 0.5 # TODO: Should we make this parametric?
limit_prices = today["high"] + intra_ranges * 0.15
for symbol, limit_price in limit_prices.items():
self.StopLimitOrder(symbol, -self.Portfolio[symbol].Quantity,
stop_price[symbol], limit_price)
def adjust_position1(self):
today = self.get_today_bar(self.Time.replace(hour=9, minute=30, second=0),
self.Time)
if today is not None:
self.Debug(f"{self.Time} - Adjust Position")
self.Transactions.CancelOpenOrders()
intra_ranges = today["high"] - today["low"]
for symbol, intra_range in intra_ranges.items():
last_price = self.Securities[symbol].Price
stop_limit = last_price + intra_range * .05 # TODO: Should we make this parametric
pl = self.Portfolio[symbol].get_UnrealizedProfit()
if pl > 0:
qty = self.Portfolio[symbol].Quantity
self.StopLimitOrder(symbol, -int(qty), last_price, stop_limit)
else:
qty = self.Portfolio[symbol].Quantity
self.LimitOrder(symbol, -int(qty), last_price)
def adjust_position2(self):
today = self.get_today_bar(self.Time.replace(hour=9, minute=30, second=0),
self.Time)
if today is not None:
self.Debug(f"{self.Time} - Adjust Position_2")
self.Transactions.CancelOpenOrders()
intra_ranges = today["high"] - today["low"]
target_prices = today["low"] + intra_ranges * .05 # TODO: Should we make this .05 parametric?
for symbol, target_price in target_prices.items():
last_price = self.Securities[symbol].Price
stop_limit = last_price + intra_ranges[symbol] * .15
pl = self.Portfolio[symbol].get_UnrealizedProfit()
qty = self.Portfolio[symbol].Quantity
if pl > 0:
self.LimitOrder(symbol, int(qty/2), target_price)
self.StopLimitOrder(symbol, -int(qty), last_price, stop_limit)
else:
self.LimitOrder(symbol, -int(qty), last_price)
def set_stop2(self):
if time(10, 35) < self.Time.time() < time(15, 45):
today = self.get_today_bar(self.Time.replace(hour=9, minute=30, second=0),
self.Time)
if today is not None:
self.Debug(f"{self.Time} - Set Stop2")
intra_ranges = today["high"] - today["low"]
for symbol, intra_range in intra_ranges.items():
last_price = self.Portfolio[symbol].Price
qty = self.Portfolio[symbol].Quantity
r_pl = self.Portfolio[symbol].get_Profit()
stop_limit = last_price + intra_range * .15 # TODO: Should we make this parametric?
if r_pl > 0:
self.Transactions.CancelOpenOrders()
self.StopLimitOrder(symbol, -qty, last_price, stop_limit)
def get_owned_stocks(self):
return [s for s in self.ActiveSecurities.Keys
if self.Portfolio[s].Quantity != 0]
def get_universe_stocks(self):
history = self.History(list(self.ActiveSecurities.Keys),
self.Time.replace(hour=7, minute=0, second=0),
self.Time,
resolution=self.resolution)
if len(history) > 0:
median_volume = history["volume"].groupby("symbol").median()
universe = median_volume[median_volume>2500].index.to_list()
else:
universe = []
self.Debug(f"{self.Time} - Universe {len(universe)} tickers")
return universe
def close_trade(self):
today = self.get_today_bar(self.Time.replace(hour=9, minute=30, second=0),
self.Time)
if today is not None:
self.Debug(f"{self.Time} - Close Trade")
self.Transactions.CancelOpenOrders()
intra_range = today["high"] - today["low"]
for symbol in intra_range.index:
lasts = self.Securities[symbol].Price
qty = self.Portfolio[symbol].Quantity
limit_prices = lasts + intra_range[symbol] * .05 # TODO: Should we make this parametric?
self.LimitOrder(symbol, -int(qty), limit_prices)
def liquidate_trade(self):
if len(self.get_owned_stocks()) > 0:
self.Debug(f"{self.Time} - Liquidate Trade")
self.Transactions.CancelOpenOrders()
self.Liquidate()
def get_today_bar(self, start, end):
history = self.History(self.get_owned_stocks(), start, end,
resolution=self.resolution)
return history.groupby("symbol").agg(AGG_OPS) if len(history) > 0 \
else None
def coarse_filter(self, coarse):
trade_days = self.TradingCalendar.GetTradingDays(self.Time,
self.Time+timedelta(7))
next_day = list(filter(lambda p: p.BusinessDay and not p.PublicHoliday,
trade_days))[0].Date.date()
tickers = self.atms.query("Date == @next_day")
universe = [] if len(tickers) == 0 else \
[x.Symbol for x in coarse if
(x.Symbol.Value == tickers["Symbol"]).any()]
return universe
#region imports
from AlgorithmImports import *
#endregion
"""
Library of indicators
@version: 0.11
"""
import pandas as pd
def filter_bars(bars, start, end):
time_idx = bars.index.get_level_values("time")
return bars.iloc[time_idx.indexer_between_time(start, end)]
def rename(bars, name):
return bars.rename(name) if isinstance(bars, pd.Series) \
else bars.add_prefix(f"{name}_")
def get_daygrouper():
return [pd.Grouper(level="symbol"), pd.Grouper(level="time", freq="1D")]
# Daily indicators
def roll_max(bars, window, groupby="symbol"):
groups = bars.groupby(groupby)
output = groups.apply(lambda x: x.rolling(window, min_periods=1).max())
return output
def roll_min(bars, window, groupby="symbol"):
groups = bars.groupby(groupby)
return groups.apply(lambda x: x.rolling(window).min())
def roll_average(bars, window, groupby="symbol", mean_type="arit"):
mean_func = (lambda x: x.ewm(span=window).mean()) if mean_type=="exp" \
else (lambda x: x.rolling(window).mean())
return bars.groupby(groupby).apply(mean_func)
def roll_range(bars, window):
max_high = roll_max(bars["high"], window).squeeze()
min_low = roll_min(bars["low"], window).squeeze()
avg_close = roll_average(bars["close"], window).squeeze()
return (avg_close-min_low)/(max_high-min_low)
def roll_change(bars, window):
return bars.groupby("symbol").pct_change(window)
def position_range(bars, window):
yesterday_bars = bars.groupby("symbol").shift(1) # Not including trading date
max_high = roll_max(yesterday_bars["high"], window).squeeze()
min_low = roll_min(yesterday_bars["low"], window).squeeze()
return (bars["open"]-min_low)/(max_high-min_low)
def gap(bars):
yesterday_bars = bars.groupby("symbol").shift(1) # Not including trading date
return bars["open"]/yesterday_bars["close"]-1
def extension(bars, window):
max_high = roll_max(bars["high"], window).squeeze()
min_low = roll_max(bars["low"], window).squeeze()
return (bars["high"]-max_high)/(max_high-min_low)
def retracement(bars, window):
max_high = roll_max(bars["high"], window).squeeze()
min_low = roll_max(bars["low"], window).squeeze()
return (max_high-bars["low"])/(max_high-min_low)
def gap_extension(bars):
yesterday_bars = bars.groupby("symbol").shift(1) # Not including trading date
return (yesterday_bars["high"]-bars["open"])/(bars["open"]-yesterday_bars["close"])
def day_range(bars):
return bars.eval("(open-low)/(high-low)")
def gap_retracement(bars):
yesterday_bars = bars.groupby("symbol").shift(1) # Not including trading date
return (bars["open"]-yesterday_bars["low"])/(bars["open"]-yesterday_bars["close"])
def roll_vwap(bars, window):
price_volume = bars[["high","low","close"]].mean(axis=1)*bars["volume"]
avg_price_volume = price_volume.groupby("symbol").apply(lambda x: x.rolling(window, min_periods=1).sum())
avg_volume = bars["volume"].groupby("symbol").apply(lambda x: x.rolling(window, min_periods=1).sum())
return avg_price_volume/avg_volume
def shift(bars, shift):
return bars.groupby("symbol").shift(shift)
def divergence(num_bars, den_bars):
return num_bars/den_bars-1
# Intra day indicators
def intra_change(bars):
grouper = bars.groupby(get_daygrouper())
return grouper.last()/grouper.first()-1
def intra_vwap(bars):
price_volume = bars.eval("(high + low + close)/3 * volume")
price_volume = price_volume.groupby("symbol").cumsum()
volume = bars["volume"].groupby("symbol").cumsum()
return price_volume/volume
def intra_average(bars):
return bars.groupby(get_daygrouper()).average()
def intra_max(bars):
return bars.groupby(get_daygrouper()).max()
def intra_min(bars):
return bars.groupby(get_daygrouper()).min()
def intra_gapext(daily_bars, intra_bars): # Gap Extension
numerator = intra_max(intra_bars["high"])-daily_bars["open"]
denominator = daily_bars["open"] - daily_bars["close"].groupby("symbol").shift(1)
return numerator.divide(denominator, axis="index")
def intra_highext(daily_bars, intra_bars): # Total High Extension
intra_high = intra_max(intra_bars["high"])
intra_low = intra_min(intra_bars["low"])
return (daily_bars["high"]-intra_high).divide(intra_high-intra_low,
axis="index")
def intra_retrace(bars): # Retrace
grouper = bars.groupby(get_daygrouper())
start_bars = grouper.first()
end_bars = grouper.last()
return (end_bars["high"]-start_bars["high"])/(start_bars["high"]-start_bars["low"])
def intra_divup(bars): # Divergence Up
vwap = intra_vwap(bars)
return (bars["high"] - vwap) / vwap
def intra_divdown(bars): # Divergence Down
vwap = intra_vwap(bars)
return (vwap - bars["low"]) / vwap
def intra_position_range(bars): # Posin Range
grouper = bars.groupby(get_daygrouper())
return (grouper["close"].last()-grouper["low"].min())/(grouper["high"].max()-grouper["low"].min())
def intra_relvolume(daily_bars, intra_bars, avg_days=10):
grouper = intra_bars.groupby(get_daygrouper())
intra_volume = grouper["volume"].sum()
avg_volume = shift(roll_average(daily_bars["volume"], avg_days), 1) # Shift 1 day later to match with intra-day data
return intra_volume/avg_volume.squeeze()
def intra_volume_hod(bars):
grouper = bars.groupby(get_daygrouper())
index = grouper.apply(lambda x: x.idxmax()[1])
return grouper["volume"].cumsum()[index].groupby(get_daygrouper()).last()"""
Basic ML Liquidation Strategy
@version: 0.13
@creation date: 16/07/2022
! Added gap size and vwap divergence to features
! Reading the ATM file and dynamic gap filtering
TODO: multiple entry points
TODO: Offline storage of features to improve performance
"""
from AlgorithmImports import *
import numpy as np
import pandas as pd
pd.set_option('mode.use_inf_as_na', True)
from io import StringIO
from ast import literal_eval
from sklearn.model_selection import cross_val_score
from sklearn.ensemble import GradientBoostingClassifier
import indicators as idx
from timeseriescv import TimeSeriesSplitGroups
TICKERS_CSV = "https://drive.google.com/uc?export=download&id=1did0Sk3F9Sn5Il_nUX252jOB_n0UFqat"
DATE_COLUMN = "Agreement Start Date"
SYMBOL_COLUMN = "ticker"
MIN_GAP = 0.15
AGG_OPS = {"open": "first", "close": "last",
"high": "max", "low": "min", "volume": "sum"}
class LiquidationBasicML(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2021, 10, 1)
self.SetEndDate(2022, 6, 1)
self.model = GradientBoostingClassifier(n_iter_no_change=3)
self.benchmark = self.GetParameter("benchmark")
self.capital = literal_eval(self.GetParameter("capital"))
self.SetCash(self.capital)
self.atms = self.get_atms()
self.train_start = self.atms.index.get_level_values("time").min()
self.AddEquity(self.benchmark, Resolution.Minute)
self.SetBenchmark(self.benchmark)
self.confidence = 0
self.cv = TimeSeriesSplitGroups(n_splits=10)
self.UniverseSettings.DataNormalizationMode = DataNormalizationMode.Raw
every_day = self.DateRules.EveryDay(self.benchmark)
at = self.TimeRules.At
self.Train(self.DateRules.MonthStart(), at(0, 0), self.train_model)
self.Schedule.On(every_day, at(9, 45), self.enter_trades)
self.Schedule.On(every_day, at(10, 30), self.exit_trades)
self.Schedule.On(every_day, at(11, 30), self.liquidate)
def train_model(self):
x, y = self.get_data(self.train_start, self.Time, with_target=True)
fit_params = dict(sample_weight=abs(np.log1p(y)))
time_groups = x.index.get_level_values("time")
y_binary = (y>0).astype(float)
cv_scores = cross_val_score(self.model, X=x, y=y_binary, cv=self.cv,
groups=time_groups, fit_params=fit_params)
self.confidence = max(np.mean(cv_scores) - 0.5, 0) * 2
self.model.fit(x, y_binary, **fit_params)
self.Debug(f"Training Points: {len(x)} Confidence: {self.confidence:.1%}")
self.Plot("ML", "Confidence", self.confidence)
def enter_trades(self):
if self.confidence == 0: return
start, end = self.get_last_day(self.Time), self.Time
x_pred = self.get_data(start, end, with_target=False)
if x_pred is None: return
y_proba = pd.Series(self.model.predict_proba(x_pred)[:,1],
index=x_pred.index.get_level_values("symbol"))
positions = -y_proba.apply(lambda x: max(x-0.5, 0) * 2) * self.confidence
for symbol, pos in positions[positions != 0].items():
self.Debug(f"{self.Time} - Trading {symbol}")
qty = self.CalculateOrderQuantity(symbol, pos)
last_price = self.Securities[symbol].Price
self.LimitOrder(symbol, qty, last_price)
def exit_trades(self):
for s in self.ActiveSecurities.Keys:
self.Transactions.CancelOpenOrders(s)
qty = self.Portfolio[s].Quantity
price = self.Portfolio[s].Price
if qty != 0: self.LimitOrder(s, -self.Portfolio[s].Quantity, price)
def liquidate(self):
self.Transactions.CancelOpenOrders()
self.Liquidate()
def get_data(self, start, end, with_target=True):
gaplist = self.get_gaplist(start, end)
if len(gaplist) == 0: return None
minute_bars = []
for symbol, day in gaplist.index:
end = min(day + timedelta(1), self.Time)
minute_bars += [self.History([symbol], day, end, Resolution.Minute)]
minute_bars = pd.concat(minute_bars)
if len(minute_bars) == 0: return None # TODO: Fix gaplist function
opening_bar = agg_bars(minute_bars, "09:31", "09:45")
pm_bar = agg_bars(minute_bars, "07:01", "09:30")
features = gaplist.to_frame("gap")
features["opening_range"] = opening_bar.eval("(close-low)/(high-low)")
features["pm_volume_usd"] = pm_bar.eval("close * volume")
opening_bars = idx.filter_bars(minute_bars, "09:31", "09:45")
grouper = [pd.Grouper(level="symbol"), pd.Grouper(level="time", freq="1D")]
vwap = idx.intra_vwap(opening_bars).groupby(grouper).last()
features["divergence"] = opening_bar["close"]/vwap - 1 # TODO: Rolling MAX close/vwap
# TODO: Add shares as % of float
# TODO: atm usd volume
"""
TODO: TO BE REVIEWED
atm_start = start - timedelta(365)
valid_atms = self.atms.query("(time >= @atm_start) and (time <= @end)")
last_atms = valid_atms.groupby("symbol").last()
features = features.join(last_atms[["Total ATM Capacity", "atm_date"]])
features.rename(columns={"Total ATM Capacity": "atm_shares",
"atm_date": "atm_days"}, inplace=True)
features.eval("pm_volume_atm = pm_volume / atm_shares", inplace=True)
time_idx = features.index.get_level_values("time")
features["atm_days"] = (time_idx - features["atm_days"]) / np.timedelta64(1, 'D')
features = features.query("atm_days <= 365")
"""
# TODO: Add gap days since last ATM
features.dropna(inplace=True)
if with_target:
target_bar = agg_bars(minute_bars, "09:46", "10:29")
targets = -target_bar.eval("close/open - 1").dropna() # Inverted return since we are shorting
index = targets.index.intersection(features.index)
return features.loc[index], targets.loc[index]
else:
return features
def get_atms(self):
csv = StringIO(self.Download(TICKERS_CSV))
atms = pd.read_csv(csv, parse_dates=[DATE_COLUMN], dayfirst=True,
thousands=",")
atms[DATE_COLUMN] = atms[DATE_COLUMN].dt.date
atms.rename(columns={DATE_COLUMN: "time", SYMBOL_COLUMN: "symbol"},
inplace=True)
[self.AddEquity(s, Resolution.Minute, extendedMarketHours=True)
for s in atms["symbol"].unique()]
atms["symbol"] = atms["symbol"].apply(lambda x: str(self.Symbol(x).ID))
atms.set_index(["symbol", "time"], inplace=True)
atms["atm_date"] = atms.index.get_level_values("time")
return atms.query("OfferingType == 'ATM'")
def get_gaplist(self, start, end):
atm_start = start - timedelta(365)
valid_atms = self.atms.query("(time >= @atm_start) and (time <= @end)")
symbols = valid_atms.index.get_level_values("symbol").unique().tolist()
day_start = self.get_last_day(start)
day_bars = self.History(symbols, day_start, end, Resolution.Daily)
today_start = self.Time.replace(hour=9, minute=30, second=0)
if end > today_start: # adding manually the last day bar if missing
today_end = min(end, self.Time)
last_day_bars = self.History(symbols, today_start, today_end,
Resolution.Minute)
last_day_bar = agg_bars(last_day_bars, "09:31", "15:59")
day_bars = pd.concat([day_bars, last_day_bar])
yesterday_bars = day_bars.groupby("symbol").shift(1)
gaps = day_bars["open"]/yesterday_bars["close"]-1
return gaps[gaps > MIN_GAP]
def get_last_day(self, date):
trade_days = self.TradingCalendar.GetTradingDays(date - timedelta(7),
date - timedelta(1))
return list(filter(lambda p: p.BusinessDay and not p.PublicHoliday,
trade_days))[-1].Date
def agg_bars(minute_bars, start_time, end_time):
grouper = [pd.Grouper(level="symbol"), pd.Grouper(level="time", freq="1D")]
filtered_bars = idx.filter_bars(minute_bars, start_time, end_time)
return filtered_bars.groupby(grouper).agg(AGG_OPS)
#region imports
from AlgorithmImports import *
#endregion
import math
import numpy as np
from math import factorial
from itertools import combinations
from sklearn.model_selection._split import _BaseKFold, indexable
class TimeSeriesSplitGroups(_BaseKFold):
def __init__(self, n_splits=5, purge_groups=0):
super().__init__(n_splits, shuffle=False, random_state=None)
self.purge_groups = purge_groups
def split(self, X, y=None, groups=None):
X, y, groups = indexable(X, y, groups)
n_folds = self.n_splits + 1
group_list = np.unique(groups)
n_groups = len(group_list)
if n_folds + self.purge_groups > n_groups:
raise ValueError((f"Cannot have number of folds plus purged groups "
f"={n_folds+self.purge_groups} greater than the "
f"number of groups: {n_groups}."))
test_size = (n_groups-self.purge_groups) // n_folds
test_starts = [n_groups-test_size*c for c in range(1, n_folds)]
for tstart in test_starts:
train_idx = np.isin(groups, group_list[:tstart - self.purge_groups])
test_idx = np.isin(groups, group_list[tstart:tstart + test_size])
yield (np.nonzero(train_idx)[0], np.nonzero(test_idx)[0])
class CombinatorialPurgedCV(_BaseKFold):
def __init__(self, n=4, k=2, purge=0, embargo=0):
self.n = n
self.k = k
self.purge = purge
self.embargo = embargo
n_splits = int(factorial(n)/(factorial(k)*factorial(n-k)))
super().__init__(n_splits, shuffle=False, random_state=None)
def split(self, X, y=None, groups=None):
X, y, groups = indexable(X, y, groups)
unique_groups = list(np.unique(groups))
required_folds = self.n_splits
if required_folds > len(unique_groups):
raise ValueError((f"Required folds ={required_folds} greater than "
f"the number of groups: {len(unique_groups)}."))
fold_size = int(math.ceil(len(unique_groups) / self.n))
test_folds = combinations(range(self.n), self.k)
for test_fold in test_folds:
train_groups, test_groups = [], []
for c in range(self.n):
start = c * fold_size
stop = min((c + 1) * fold_size, len(unique_groups)) # To avoid going out of bound
if c in test_fold:
test_groups += unique_groups[start:stop]
else:
# Naive fold sizing, should be distributed before train/test split
if c-1 in test_fold: start += self.embargo
if c+1 in test_fold: stop -= (self.purge+self.embargo)
train_groups += unique_groups[start:stop]
train_idx = np.nonzero(np.isin(groups, train_groups))[0]
test_idx = np.nonzero(np.isin(groups, test_groups))[0]
yield train_idx, test_idx