python ZIPLINE RUN PIPELINE

Posted 2021-05-08

import numpy as np
import pandas as pd
from datetime import datetime
import pytz

from zipline.pipeline.data import Column
from zipline.pipeline.data import DataSet
from zipline.api import symbols
from zipline.pipeline.loaders import USEquityPricingLoader
from zipline.utils.calendars import get_calendar
from zipline.data.bundles import register, load
from zipline.pipeline import Pipeline
from zipline.pipeline.data import USEquityPricing
from zipline.pipeline.factors import Returns, AnnualizedVolatility
from zipline.pipeline.filters import StaticAssets
from zipline.pipeline.engine import SimplePipelineEngine
from zipline.pipeline.loaders.frame import DataFrameLoader
from fintools.make_pipeline_engine import make_pipeline_engine


def make_pipeline(assets):

    WEIGHT1 = 1.0
    WEIGHT2 = 1.0
    WEIGHT3 = 1.0
    WEIGHT4 = 1.0

    etf_universe = StaticAssets(assets)

    day20_ret = Returns(inputs=[USEquityPricing.close], window_length=21, mask=etf_universe)
    day3mo_ret = Returns(inputs=[USEquityPricing.close], window_length=63, mask=etf_universe)
    day6mo_ret = Returns(inputs=[USEquityPricing.close], window_length=126, mask=etf_universe)
    day1yr_ret = Returns(inputs=[USEquityPricing.close], window_length=252, mask=etf_universe)

    volatility = AnnualizedVolatility(mask=etf_universe)
    score = ((WEIGHT1 * day20_ret) + (WEIGHT1 * day3mo_ret) + (WEIGHT3 * day6mo_ret) + (WEIGHT3 * day1yr_ret)) / (
        volatility)

    high = USEquityPricing.high.latest
    low = USEquityPricing.low.latest
    open_price = USEquityPricing.open.latest
    close = USEquityPricing.close.latest
    volume = USEquityPricing.volume.latest

    pipe = Pipeline(
        columns={
            'Score': score,
            'Day20': day20_ret,
            'high': high,
            'low': low,
            'close': close,
            'open_price': open_price,
            'volume': volume,
        },
        screen=etf_universe
    )
    return pipe


etfs = [
    # ----------------------------------------- #
    # SPDRS/State Street Global Advisors (SSGA)
    'XLY',  # Select SPDR U.S. Consumer Discretionary
    'XLP',  # Select SPDR U.S. Consumer Staples
    'XLE',  # Select SPDR U.S. Energy
    'XLF',  # Select SPDR U.S. Financials
    'XLV',  # Select SPDR U.S. Healthcare
    'XLI',  # Select SPDR U.S. Industrials
    'XLB',  # Select SPDR U.S. Materials
    'XLK',  # Select SPDR U.S. Technology
    'XLU',  # Select SPDR U.S. Utilities
    'KRE',  # SPDR S&P Regional Banking ETF
    'KBE',  # SPDR S&P Bank ETF
    'XOP',  # SPDR S&P Oil & Gas Explor & Product
    'GLD',  # SPDR Gold Trust
    'SLV',  # SPDR Silver Trust
    'SPY',  # SPDR S&P 500
    'JNK',  # SPDR Barclays Capital High Yield Bond ETF
    'DIA',  # SPDR Dow Jones Industrial Avg. ETF
    'XHB',  # SPDR Homebuilders ETF
    'MDY',  # SPDR S&P MidCap 400 ETF
    'FEZ',  # SPDR Euro Stoxx 50 ETF
    # ----------------------------------------- #
    # iShares
    'AGG',  # iShares Core U.S. Aggregate Bond ETF
    'IAU',  # iShares Gold Trust
    'IXC',  # iShares Global Energy ETF
    'IWR',  # iShares Russell Mid-Cap ETF
    'IWB',  # iShares Russell 1000 ETF
    'IJR',  # iShares Core S&P Small-Cap ETF
    'IJH',  # iShares Core S&P Mid-Cap ETF
    'EWT',  # iShares MSCI Taiwan ETF
    'EEM',  # iShares MSCI Emerging Markets ETF
    'IWM',  # iShares Russell 2000 ETF
    'EWG',  # iShares MSCI Germany ETF
    'EWJ',  # iShares MSCI Japan ETF
    'EFA',  # iShares MSCI EAFE ETF
    'EWZ',  # iShares MSCI Brazil Capped ETF
    'TLT',  # iShares 20+ Year Treasury Bond ETF
    'INDA',  # iShares MSCI India ETF
    'ECH',  # iShares MSCI Chile Capped ETF
    'EWU',  # iShares MSCI United Kingdom ETF
    'EWI',  # iShares MSCI Italy Capped ETF
    'EWP',  # iShares MSCI Spain Capped ETF
    'EWQ',  # iShares MSCI France ETF
    'EWL',  # iShares MSCI Switzerland Capped ETF
    'EWD',  # iShares MSCI Sweden ETF
    'EWT',  # iShares MSCI Taiwan ETF
    'EWY',  # iShares MSCI South Korea Capped ETF
    'EWA',  # iShares MSCI Australia ETF
    'EWS',  # iShares MSCI Singapore ETF
    'IYM',  # iShares Dow Jones U.S. Basic Materials Index
    'IYK',  # iShares Dow Jones U.S. Consumer Goods Index
    'IYC',  # iShares Dow Jones U.S. Consumer Services Index
    'IYE',  # iShares Dow Jones U.S. Energy Index
    'IYF',  # iShares Dow Jones U.S. Financial Sector Index
    'IYG',  # iShares Dow Jones U.S. Financial Services Index
    'IYH',  # iShares Dow Jones U.S. Healthcare Index
    'IYJ',  # iShares Dow Jones U.S. Industrial Index
    'IYR',  # iShares Dow Jones U.S. Real Estate Index
    'IYW',  # iShares Dow Jones U.S. Technology Index
    'IYZ',  # iShares Dow Jones U.S. Telecommunications Index
    'IYT',  # iShares Dow Jones Transportation Average Index
    'IDU',  # iShares Dow Jones U.S. Utilities Index
    'ICF',  # iShares Cohen & Steers Realty Majors Index
    'AAXJ',  # iShares MSCI All Country Asia ex Japan ETF
    'FXI',  # iShares China Large-Cap ETF
    'ACWI',  # iShares MSCI ACWI ETF
    'EZU',  # iShares MSCI Eurozone ETF
    'EWH',  # iShares MSCI Hong Kong ETF
    'EWM',  # iShares MSCI Malaysia ETF
    # ----------------------------------------- #
    # Vanguard
    'VGK',  # Vanguard FTSE Europe ETF
    'VEA',  # Vanguard Developed Market FTSE
    'VPU',  # Vangaurd Utilities ETF
    'VDE',  # Vanguard Energy ETF
    'VEU',  # Vanguard FTSE All-World ex-US ETF
    'VXUS',  # VanguardTotal Int'l Stock ETF
    'VOO',  # Vanguard S&P 500
    'VO',  # Vanguard Mid-Cap ETF
    'VB',  # Vanguard Small-Cap ETF
    'VOX',  # Vanguard Telecom Services ETF
    # ----------------------------------------- #
    # Market Vectors
    'SMH',  # Market Vectors Semiconductor ETF
    'GDX',  # Market Vectors TR Gold Miners
    'OIH',  # Market Vectors Oil Services ETF
    'RSX',  # Market Vectors Russia ETF
    'GDXJ',  # Market Vectors Junior Gold Miners ETF
    # ----------------------------------------- #
    # Powershares (Invesco)
    'QQQ',  # Powershares (Invesco) NASDAQ 100
    # ----------------------------------------- #
    # Uncategorized
    'AMLP',  # Alerian MLP ETF
    #           'HACK' , # Purefunds ISE Cyber Security ETF
    'FDN',  # First Trust Dow Jones Internet Index ETF
    'HEDJ',  # WisdomTree Europe Hedged Equity ETF
    'EPI'  # WisdomTree India Earnings ETF
]
start = datetime(2016, 1, 5, 0, 0, 0, 0, pytz.utc)
end = datetime(2016, 1, 7, 0, 0, 0, 0, pytz.utc)
# pipeline engine, Equity() assets
assets, engine = make_pipeline_engine(symbols=etfs, bundle='etfs_bundle')
# run pipeline
pipeline_output = engine.run_pipeline(make_pipeline(assets), start, end)
print(pipeline_output[:5])