advanced-algorithmic-trading

394
adf.test(comb$residuals, k=1)
# coint_bollinger_strategy.py
from __future__ import print_function
from collections import deque
from math import floor
import numpy as np
from qstrader.price_parser import PriceParser
from qstrader.event import (SignalEvent, EventType)
from qstrader.strategy.base import AbstractStrategy
class CointegrationBollingerBandsStrategy(AbstractStrategy):
"""
Requires:
tickers - The list of ticker symbols
events_queue - A handle to the system events queue
lookback - Lookback period for moving avg and moving std
weights - The weight vector describing
a "unit" of the portfolio
entry_z - The z-score trade entry threshold
exit_z - The z-score trade exit threshold
base_quantity - Number of "units" of the portfolio
to be traded
"""
def __init__(
self, tickers, events_queue,
lookback, weights, entry_z, exit_z,
base_quantity
):
self.tickers = tickers
self.events_queue = events_queue
self.lookback = lookback
self.weights = weights
self.entry_z = entry_z
self.exit_z = exit_z
self.qty = base_quantity
self.time = None
self.latest_prices = np.full(len(self.tickers), -1.0)
self.port_mkt_val = deque(maxlen=self.lookback)
self.invested = None