LinearRegression.py

### Quantiacs Trading System Template
# This program may take several minutes
# import necessary Packages

import numpy as np
from sklearn import linear_model
from sklearn.preprocessing import PolynomialFeatures


def myTradingSystem(DATE, OPEN, HIGH, LOW, CLOSE, VOL, OI, P, R, RINFO, exposure, equity, settings):
    """ This system uses linear regression to allocate capital into the desired equities"""

    # Get parameters from setting
    nMarkets = len(settings['markets'])
    lookback = settings['lookback']
    dimension = settings['dimension']
    threshold = settings['threshold']

    pos = np.zeros(nMarkets, dtype=np.float)

    poly = PolynomialFeatures(degree=dimension)
    for market in range(nMarkets):
        reg = linear_model.LinearRegression()
        try:
            reg.fit(poly.fit_transform(np.arange(lookback).reshape(-1, 1)), CLOSE[:, market])
            trend = (reg.predict(poly.fit_transform(np.array([[lookback]]))) - CLOSE[-1, market]) / CLOSE[-1, market]

            if abs(trend[0]) < threshold:
                trend[0] = 0

            pos[market] = np.sign(trend)

        # for NaN data set position to 0
        except ValueError:
            pos[market] = .0

    return pos, settings


def mySettings():
    """ Define your trading system settings here """

    settings = {}

    # Futures Contracts
    # does not include F_VX
    settings['markets'] = ['CASH', 'F_AD', 'F_AE', 'F_AH', 'F_AX', 'F_BC', 'F_BG', 'F_BO', 'F_BP', 'F_C',  'F_CA',
                           'F_CC', 'F_CD', 'F_CF', 'F_CL', 'F_CT', 'F_DL', 'F_DM', 'F_DT', 'F_DX', 'F_DZ', 'F_EB',
                           'F_EC', 'F_ED', 'F_ES', 'F_F',  'F_FB', 'F_FC', 'F_FL', 'F_FM', 'F_FP', 'F_FV', 'F_FY',
                           'F_GC', 'F_GD', 'F_GS', 'F_GX', 'F_HG', 'F_HO', 'F_HP', 'F_JY', 'F_KC', 'F_LB', 'F_LC',
                           'F_LN', 'F_LQ', 'F_LR', 'F_LU', 'F_LX', 'F_MD', 'F_MP', 'F_ND', 'F_NG', 'F_NQ', 'F_NR',
                           'F_NY', 'F_O',  'F_OJ', 'F_PA', 'F_PL', 'F_PQ', 'F_RB', 'F_RF', 'F_RP', 'F_RR', 'F_RU',
                           'F_RY', 'F_S',  'F_SB', 'F_SF', 'F_SH', 'F_SI', 'F_SM', 'F_SS', 'F_SX', 'F_TR', 'F_TU',
                           'F_TY', 'F_UB', 'F_US', 'F_UZ', 'F_VF', 'F_VT', 'F_VW', 'F_W', 'F_XX', 'F_YM',
                           'F_ZQ']

    settings['lookback'] = 252
    settings['budget'] = 10 ** 6
    settings['slippage'] = 0.05

    settings['threshold'] = 0.2
    settings['dimension'] = 3
    settings['beginInSample'] = '20090101'
    return settings


# Evaluate trading system defined in current file.
if __name__ == '__main__':
    import quantiacsToolbox
    results = quantiacsToolbox.runts(__file__)