ATR_talib.py

# This strategy was taken from http://www.investopedia.com/articles/trading/08/atr.asp

# The idea is to use ATR to identify breakouts, if the price goes higher than
# the previous close + ATR, a price breakout has occurred. The position is closed when
# the price goes 1 ATR below the previous close. 

# This algorithm uses ATR as a momentum strategy, but the same signal can be used for 
# a reversion strategy, since ATR doesn't indicate the price direction.

# Because this algorithm uses the history function, it will only run in minute mode. 
# entry and exit points for trading the SPY.


import talib
import numpy as np
import pandas as pd

# Setup our variables
def initialize(context):
    context.stock = symbol('SPY')
    
    # Create a variable to track the date change
    context.date = None
    
    # Algorithm will only take long positions.
    # It will stop if encounters a short position. 
    set_long_only()

   
def handle_data(context, data):
    
    # We will constrain the trading to once per day at market open in this example.
    todays_date = get_datetime().date()
    
    # Do nothing unless the date has changed and it's a new day.
    if todays_date == context.date:
        return
    
    # Set the new date
    context.date = todays_date
    
    # Track our position
    current_position = context.portfolio.positions[context.stock].amount
    record(position_size=current_position)
    
    
    # Load historical data for the stocks
    high =  history(30, '1d', 'high')
    low =   history(30, '1d', 'low')
    close = history(30, '1d', 'close_price')
    
    # Calculate the ATR for the stock
    atr = talib.ATR(high[context.stock],
                    low[context.stock],
                    close[context.stock],
                    timeperiod=14)[-1]
    
    price=data[context.stock].price
    
    # Use the close price from 2 days ago because we trade at market open
    prev_close = close.iloc[-3][context.stock]
    
    # An upside breakout occurs when the price goes 1 ATR above the previous close
    upside_signal = price - (prev_close + atr)
    
    # A downside breakout occurs when the previous close is 1 ATR above the price
    downside_signal = prev_close - (price + atr)
    
    # Enter position when an upside breakout occurs. Invest our entire portfolio to go long.
    if upside_signal > 0 and current_position <= 0:
        order_target_percent(context.stock, 1.0)
    
    # Exit position if a downside breakout occurs
    elif downside_signal > 0 and current_position >= 0:
        order_target_percent(context.stock, 0.0)
        
    
    record(upside_signal=upside_signal,
           downside_signal=downside_signal,
           ATR=atr)