trendFollowing.py

### Quantiacs Trend Following Trading System Example
# import necessary Packages below:
import numpy


def myTradingSystem(DATE, OPEN, HIGH, LOW, CLOSE, VOL, exposure, equity, settings):
    ''' This system uses trend following techniques to allocate capital into the desired equities'''

    nMarkets = CLOSE.shape[1]

    periodLonger = 200
    periodShorter = 40

    # Calculate Simple Moving Average (SMA)
    smaLongerPeriod = numpy.nansum(CLOSE[-periodLonger:, :], axis=0)/periodLonger
    smaShorterPeriod = numpy.nansum(CLOSE[-periodShorter:, :], axis=0)/periodShorter

    longEquity = smaShorterPeriod > smaLongerPeriod
    shortEquity = ~longEquity

    pos = numpy.zeros(nMarkets)
    pos[longEquity] = 1
    pos[shortEquity] = -1

    weights = pos/numpy.nansum(abs(pos))

    return weights, settings


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

    settings = {}

    # S&P 100 stocks
    # settings['markets']=['CASH','AAPL','ABBV','ABT','ACN','AEP','AIG','ALL',
    # 'AMGN','AMZN','APA','APC','AXP','BA','BAC','BAX','BK','BMY','BRKB','C',
    # 'CAT','CL','CMCSA','COF','COP','COST','CSCO','CVS','CVX','DD','DIS','DOW',
    # 'DVN','EBAY','EMC','EMR','EXC','F','FB','FCX','FDX','FOXA','GD','GE',
    # 'GILD','GM','GOOGL','GS','HAL','HD','HON','HPQ','IBM','INTC','JNJ','JPM',
    # 'KO','LLY','LMT','LOW','MA','MCD','MDLZ','MDT','MET','MMM','MO','MON',
    # 'MRK','MS','MSFT','NKE','NOV','NSC','ORCL','OXY','PEP','PFE','PG','PM',
    # 'QCOM','RTN','SBUX','SLB','SO','SPG','T','TGT','TWX','TXN','UNH','UNP',
    # 'UPS','USB','UTX','V','VZ','WAG','WFC','WMT','XOM']

    # Futures Contracts

    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_VX',  'F_W', 'F_XX', 'F_YM',
                           'F_ZQ']

    settings['lookback'] = 504
    settings['budget'] = 10**6
    settings['slippage'] = 0.05

    return settings

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