buy_and_hodl.py

#!/usr/bin/env python
#
# Copyright 2017 Enigma MPC, Inc.
# Copyright 2015 Quantopian, Inc.
#
# Licensed under the Apache License, Version 2.0 (the "License");
# you may not use this file except in compliance with the License.
# You may obtain a copy of the License at
#
#     http://www.apache.org/licenses/LICENSE-2.0
#
# Unless required by applicable law or agreed to in writing, software
# distributed under the License is distributed on an "AS IS" BASIS,
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
# See the License for the specific language governing permissions and
# limitations under the License.
import pandas as pd
import matplotlib.pyplot as plt

from catalyst import run_algorithm
from catalyst.api import (order_target_value, symbol, record,
                          cancel_order, get_open_orders, )


def initialize(context):
    context.ASSET_NAME = 'btc_usd'
    context.TARGET_HODL_RATIO = 0.8
    context.RESERVE_RATIO = 1.0 - context.TARGET_HODL_RATIO

    context.is_buying = True
    context.asset = symbol(context.ASSET_NAME)

    context.i = 0


def handle_data(context, data):
    context.i += 1

    starting_cash = context.portfolio.starting_cash
    target_hodl_value = context.TARGET_HODL_RATIO * starting_cash
    reserve_value = context.RESERVE_RATIO * starting_cash

    # Cancel any outstanding orders
    orders = get_open_orders(context.asset) or []
    for order in orders:
        cancel_order(order)

    # Stop buying after passing the reserve threshold
    cash = context.portfolio.cash
    if cash <= reserve_value:
        context.is_buying = False

    # Retrieve current asset price from pricing data
    price = data.current(context.asset, 'price')

    # Check if still buying and could (approximately) afford another purchase
    if context.is_buying and cash > price:
        print('buying')
        # Place order to make position in asset equal to target_hodl_value
        order_target_value(
            context.asset,
            target_hodl_value,
            limit_price=price * 1.1,
        )

    record(
        price=price,
        volume=data.current(context.asset, 'volume'),
        cash=cash,
        starting_cash=context.portfolio.starting_cash,
        leverage=context.account.leverage,
    )


def analyze(context=None, results=None):

    # Plot the portfolio and asset data.
    ax1 = plt.subplot(611)
    results[['portfolio_value']].plot(ax=ax1)
    ax1.set_ylabel('Portfolio\nValue\n(USD)')

    ax2 = plt.subplot(612, sharex=ax1)
    ax2.set_ylabel('{asset}\n(USD)'.format(asset=context.ASSET_NAME))
    results[['price']].plot(ax=ax2)

    trans = results.ix[[t != [] for t in results.transactions]]
    buys = trans.ix[
        [t[0]['amount'] > 0 for t in trans.transactions]
    ]
    ax2.scatter(
        buys.index.to_pydatetime(),
        results.price[buys.index],
        marker='^',
        s=100,
        c='g',
        label=''
    )

    ax3 = plt.subplot(613, sharex=ax1)
    results[['leverage', 'alpha', 'beta']].plot(ax=ax3)
    ax3.set_ylabel('Leverage ')

    ax4 = plt.subplot(614, sharex=ax1)
    results[['starting_cash', 'cash']].plot(ax=ax4)
    ax4.set_ylabel('Cash (USD)')

    results[[
        'treasury',
        'algorithm',
        'benchmark',
    ]] = results[[
        'treasury_period_return',
        'algorithm_period_return',
        'benchmark_period_return',
    ]]

    ax5 = plt.subplot(615, sharex=ax1)
    results[[
        'treasury',
        'algorithm',
        'benchmark',
    ]].plot(ax=ax5)
    ax5.set_ylabel('Percent\nChange')

    ax6 = plt.subplot(616, sharex=ax1)
    results[['volume']].plot(ax=ax6)
    ax6.set_ylabel('Volume')

    plt.legend(loc=3)

    # Show the plot.
    plt.gcf().set_size_inches(18, 8)
    plt.show()


if __name__ == '__main__':
    run_algorithm(
        capital_base=10000,
        data_frequency='daily',
        initialize=initialize,
        handle_data=handle_data,
        analyze=analyze,
        exchange_name='bitfinex',
        algo_namespace='buy_and_hodl',
        quote_currency='usd',
        start=pd.to_datetime('2015-03-01', utc=True),
        end=pd.to_datetime('2017-10-31', utc=True),
    )