gistfile1.txt

from zipline.algorithm import TradingAlgorithm
from zipline.transforms import MovingAverage
from zipline.utils.factory import load_from_yahoo
from zipline.finance.slippage import FixedSlippage
from zipline.finance.commission import PerShare
from datetime import datetime
import matplotlib.pyplot as plt

class DualMovingAverage(TradingAlgorithm):

    def initialize(self, short_window=50, long_window=200):
      self.min_window = max(short_window,long_window)
      self.add_transform(MovingAverage, 'short_mavg', ['price'], window_length=short_window)
      self.add_transform(MovingAverage, 'long_mavg', ['price'], window_length=long_window)
      self.invested, self.days = (False, 0)
      self.set_slippage(FixedSlippage(spread=0.00))
      self.set_commission(PerShare(cost=0.00))  
  
    def handle_data(self, data):
      self.short_mavg = data['SPY'].short_mavg['price']
      self.long_mavg = data['SPY'].long_mavg['price']
      self.buy, self.sell = (False, False)
      if self.short_mavg > self.long_mavg and self.days > self.min_window and not self.invested:
          self.order_percent('SPY',1)
          self.invested, self.buy = (True, True)
      elif self.short_mavg < self.long_mavg and self.days > self.min_window and self.invested:
          self.order_percent('SPY',-1)
          self.invested, self.sell = (False, True)
      self.days = self.days + 1
      self.record(
          short_mavg=self.short_mavg, long_mavg=self.long_mavg,
          buy=self.buy, sell=self.sell, days=self.days)

data = load_from_yahoo(
    stocks=['SPY'], indexes={}, start=datetime(2000, 1, 1),
    end=datetime(2014, 3, 25), adjusted=bool(1))
results = DualMovingAverage().run(data)
results.portfolio_value.plot(title="Equity Curve")
plt.show()
results.to_csv('/Users/jeickmeier/Desktop/python_results.csv',',')