\uc548\ub155\ud558\uc138\uc694! \uc774\ubc88 \uac15\uc88c\uc5d0\uc11c\ub294 \ud30c\uc774\uc36c\uc744 \uc774\uc6a9\ud55c \uc790\ub3d9\ub9e4\ub9e4 \uac1c\ubc1c\uc5d0 \ub300\ud574 \uc18c\uac1c\ud558\uace0, \uadf8 \uc911\uc5d0\uc11c\ub3c4 Zipline\uc774\ub77c\ub294 \ub77c\uc774\ube0c\ub7ec\ub9ac\ub97c \uc0ac\uc6a9\ud558\uc5ec \uae30\ucd08\uc801\uc778 \uc790\ub3d9\ub9e4\ub9e4 \uc2dc\uc2a4\ud15c\uc744 \uad6c\ucd95\ud558\ub294 \ubc29\ubc95\uc5d0 \ub300\ud574 \uc790\uc138\ud788 \uc54c\uc544\ubcf4\uaca0\uc2b5\ub2c8\ub2e4. \uc790\ub3d9\ub9e4\ub9e4\ub294 \uc8fc\uc2dd\uc774\ub098 \uc554\ud638\ud654\ud3d0 \uac70\ub798\uc5d0\uc11c \ub110\ub9ac \uc0ac\uc6a9\ub418\uba70, \uae30\uc220\uc801 \ubd84\uc11d\uc744 \uae30\ubc18\uc73c\ub85c \ud55c \uc54c\uace0\ub9ac\uc998\uc744 \ud1b5\ud574 \ub9e4\uc218 \ub610\ub294 \ub9e4\ub3c4 \uacb0\uc815\uc744 \uc790\ub3d9\uc73c\ub85c \ub0b4\ub9ac\ub294 \uc2dc\uc2a4\ud15c\uc785\ub2c8\ub2e4.<\/p>\n
\uc790\ub3d9\ub9e4\ub9e4\ub294 \uc0ac\uc804\uc5d0 \uc124\uc815\ub41c \uc54c\uace0\ub9ac\uc998\uc5d0 \ub530\ub77c \ud22c\uc790 \uacb0\uc815\uc744 \uc790\ub3d9\uc73c\ub85c \uc218\ud589\ud558\ub294 \uc18c\ud504\ud2b8\uc6e8\uc5b4\uc785\ub2c8\ub2e4. \uc774\ub294 \uc0ac\ub78c\ub4e4\uc774 \ubc1c\uc0dd\ud560 \uc218 \uc788\ub294 \uac10\uc815\uc801 \uc694\uc18c\ub97c \ubc30\uc81c\ud558\uace0 \ub370\uc774\ud130 \uae30\ubc18\uc758 \uacb0\uc815\uc744 \ub0b4\ub9ac\ub3c4\ub85d \ub3d5\uc2b5\ub2c8\ub2e4. \uc790\ub3d9\ub9e4\ub9e4 \uc2dc\uc2a4\ud15c\uc740 \uc8fc\uc2dd\uc2dc\uc7a5, \uc120\ubb3c, \uc635\uc158, \uc678\ud658, \uc554\ud638\ud654\ud3d0 \ub4f1 \ub2e4\uc591\ud55c \uae08\uc735\uc2dc\uc7a5\uc5d0\uc11c \ud65c\uc6a9\ub418\uace0 \uc788\uc2b5\ub2c8\ub2e4.<\/p>\n
Zipline\uc740 \uc8fc\ub85c \uc8fc\uc2dd \uc2dc\uc7a5\uc5d0 \ub300\ud55c \ubc31\ud14c\uc2a4\ud2b8\ub97c \uc704\ud574 \uac1c\ubc1c\ub41c Python \uae30\ubc18\uc758 \uc54c\uace0\ub9ac\uc998 \ud2b8\ub808\uc774\ub529 \ub77c\uc774\ube0c\ub7ec\ub9ac\uc785\ub2c8\ub2e4. Bitfinex\uc640 \uac19\uc740 \uac70\ub798\uc18c\uc640\uc758 \ud1b5\ud569\uc744 \uc9c0\uc6d0\ud558\uc5ec \uc2e4\uc2dc\uac04\uc73c\ub85c \uac70\ub798\ub97c \uc2e4\ud589\ud560 \uc218 \uc788\uc2b5\ub2c8\ub2e4. Zipline\uc740 \uac04\ub2e8\ud55c API\ub97c \uc81c\uacf5\ud558\uc5ec \uc54c\uace0\ub9ac\uc998\uc744 \uc27d\uac8c \uc791\uc131\ud558\uace0 \ud14c\uc2a4\ud2b8\ud560 \uc218 \uc788\ub3c4\ub85d \ud574 \uc90d\ub2c8\ub2e4.<\/p>\n
Zipline\uc744 \uc0ac\uc6a9\ud558\uae30 \uc704\ud574\uc11c\ub294 \uc544\ub798\uc640 \uac19\uc774 pip\ub97c \uc774\uc6a9\ud558\uc5ec \uc124\uce58\ud560 \uc218 \uc788\uc2b5\ub2c8\ub2e4:<\/p>\n
pip install zipline<\/code><\/pre>\n\uc124\uce58\uac00 \uc644\ub8cc\ub418\uba74, \uc6b0\ub9ac\uac00 \uc0ac\uc6a9\ud560 \ub370\uc774\ud130\uc14b\uc744 \uc900\ube44\ud574\uc57c \ud569\ub2c8\ub2e4. Zipline\uc740 \uc5ec\ub7ec \uac00\uc9c0 \ub370\uc774\ud130 \uc18c\uc2a4\ub97c \uc9c0\uc6d0\ud558\uc9c0\ub9cc, \ud574\ub2f9 \uac15\uc88c\uc5d0\uc11c\ub294 ‘Yahoo Finance’\uc5d0\uc11c \uc8fc\uac00 \ub370\uc774\ud130\ub97c \uac00\uc838\uc624\ub294 \uc608\uc81c\ub97c \uc0ac\uc6a9\ud560 \uac83\uc785\ub2c8\ub2e4.<\/p>\n
4. \uae30\ubcf8\uc801\uc778 Zipline \uc0ac\uc6a9\ubc95<\/h2>\n
Zipline\uc758 \uae30\ubcf8 \uc0ac\uc6a9\ubc95\uc744 \uc774\ud574\ud558\uae30 \uc704\ud574 \uac04\ub2e8\ud55c \uc608\uc81c\ub97c \ud1b5\ud574 \uc790\ub3d9\ub9e4\ub9e4 \uc804\ub7b5\uc744 \uad6c\ud604\ud574 \ubcf4\uaca0\uc2b5\ub2c8\ub2e4. \uc544\ub798 \uc608\uc81c\ub294 \ubaa8\uba58\ud140 \uae30\ubc18\uc758 \uac04\ub2e8\ud55c \ub9e4\ub9e4 \uc804\ub7b5\uc744 \ubcf4\uc5ec\uc90d\ub2c8\ub2e4.<\/p>\n
4.1 \uc608\uc81c \ucf54\ub4dc<\/h3>\n
\uc544\ub798 \ucf54\ub4dc\ub294 \uadf8\ub0e5 \uc608\uc2dc\ub85c\uc368, \uc885\ubaa9\uc758 50\uc77c \uc774\ub3d9\ud3c9\uade0\uc744 \uacc4\uc0b0\ud558\uace0, \ud604\uc7ac\uac00\uac00 \uc774\ub3d9\ud3c9\uade0\uc744 \ucd08\uacfc\ud560 \uacbd\uc6b0 \ub9e4\uc218, \uadf8\ub807\uc9c0 \uc54a\uc73c\uba74 \ub9e4\ub3c4\ub97c \uc218\ud589\ud558\ub294 \uc804\ub7b5\uc785\ub2c8\ub2e4.<\/p>\n
\nimport zipline\nfrom zipline.api import order, record, symbol\nimport pandas as pd\nfrom datetime import datetime\nfrom zipline import run_algorithm\n\ndef initialize(context):\n context.asset = symbol('AAPL')\n context.MA_length = 50\n\ndef handle_data(context, data):\n # Get historical data\n historical_data = data.history(context.asset, 'price', context.MA_length, '1d')\n\n # Calculate moving average\n moving_average = historical_data.mean()\n\n if data.current(context.asset, 'price') > moving_average:\n order(context.asset, 10) # Buy 10 shares\n else:\n order(context.asset, -10) # Sell 10 shares\n\n # Record values for later inspection\n record(price=data.current(context.asset, 'price'),\n moving_average=moving_average)\n\nstart = datetime(2020, 1, 1)\nend = datetime(2021, 1, 1)\n\nresults = run_algorithm(start=start,\n end=end,\n initialize=initialize,\n capital_base=10000,\n handle_data=handle_data,\n data_frequency='daily',\n bundle='quantale')\n<\/code><\/pre>\n4.2 \ucf54\ub4dc \uc124\uba85<\/h3>\n
\uc704 \ucf54\ub4dc\ub294 \ub2e4\uc74c\uacfc \uac19\uc740 \uad6c\uc131 \uc694\uc18c\ub85c \uc774\ub8e8\uc5b4\uc838 \uc788\uc2b5\ub2c8\ub2e4:<\/p>\n
\n- initialize<\/strong>: \uc804\ub7b5 \uad6c\uc131 \ubc0f \ucd08\uae30 \ub9e4\uac1c\ubcc0\uc218 \uc124\uc815\uc744 \ub2f4\ub2f9\ud569\ub2c8\ub2e4.<\/li>\n
- handle_data<\/strong>: \ub9e4 \uac70\ub798\uc77c\ub9c8\ub2e4 \ud638\ucd9c\ub418\ub294 \ud568\uc218\ub85c, \ub9e4\uc218 \ubc0f \ub9e4\ub3c4\ub97c \uacb0\uc815\ud569\ub2c8\ub2e4.<\/li>\n
- data.history<\/strong>: \uc8fc\uc5b4\uc9c4 \uae30\uac04\uc5d0 \ub300\ud55c \uacfc\uac70 \ub370\uc774\ud130\ub97c \uac00\uc838\uc635\ub2c8\ub2e4.<\/li>\n
- order<\/strong>: \ud2b9\uc815 \uc885\ubaa9\uc5d0 \ub300\ud55c \ub9e4\ub9e4\uc8fc\ubb38\uc744 \uc2e4\ud589\ud569\ub2c8\ub2e4.<\/li>\n
- record<\/strong>: \ub9e4 \uac70\ub798\uc77c\ub9c8\ub2e4 \uae30\ub85d\ud560 \uac12\uc744 \uc124\uc815\ud569\ub2c8\ub2e4.<\/li>\n<\/ul>\n
5. \ubc31\ud14c\uc2a4\ud2b8 \uacb0\uacfc \ubd84\uc11d\ud558\uae30<\/h2>\n
Zipline\uc740 \uc8fc\uae30\uc801\uc73c\ub85c \ub9e4\ub9e4 \uacb0\uacfc\ub97c \uae30\ub85d\ud558\uace0, \ub9c8\uc9c0\ub9c9\uc5d0 \ubc18\ud658\ub41c results<\/code> \ub370\uc774\ud130\ud504\ub808\uc784\uc744 \ud1b5\ud574 \uc131\uacfc\ub97c \ubd84\uc11d\ud560 \uc218 \uc788\uc2b5\ub2c8\ub2e4.<\/p>\n\nimport matplotlib.pyplot as plt\n\n# Plot the results\nresults.portfolio_value.plot()\nplt.title('Portfolio Value Over Time')\nplt.xlabel('Date')\nplt.ylabel('Portfolio Value')\nplt.show()\n<\/code><\/pre>\n5.1 \uacb0\uacfc \ud574\uc11d<\/h3>\n
\uc704 \ucf54\ub4dc\ub97c \uc0ac\uc6a9\ud558\uba74 \uc2dc\uac04\uc5d0 \ub530\ub978 \ud3ec\ud2b8\ud3f4\ub9ac\uc624 \uac00\uce58\ub97c \uc2dc\uac01\uc801\uc73c\ub85c \ud655\uc778\ud560 \uc218 \uc788\uc2b5\ub2c8\ub2e4. \uc774 \uadf8\ub798\ud504\ub97c \ud1b5\ud574 \uc804\ub7b5\uc758 \uc131\uacfc\ub97c \ud55c\ub208\uc5d0 \ud3c9\uac00\ud560 \uc218 \uc788\uc2b5\ub2c8\ub2e4.<\/p>\n
6. \ud3ec\ud2b8\ud3f4\ub9ac\uc624 \uae30\ucd08 \ubc0f \ucd94\uac00 \uc804\ub7b5<\/h2>\n
\uc774\uc81c \ub2e8\uc77c \uc790\uc0b0\uc5d0 \ub300\ud55c \uc608\uc81c\ub97c \ub2e4\ub904\ubcf4\uc558\uc73c\ub2c8, \ub2e4\uc591\ud55c \uc790\uc0b0\uc5d0 \ub300\ud55c \ud3ec\ud2b8\ud3f4\ub9ac\uc624 \uad00\ub9ac \ubc29\ubc95\uc744 \uac04\ub2e8\ud558\uac8c \uc124\uba85\ud558\uaca0\uc2b5\ub2c8\ub2e4. Zipline\uc5d0\uc11c\ub294 \uc5ec\ub7ec \uc790\uc0b0\uc744 \ub3d9\uc2dc\uc5d0 \uc6b4\uc6a9\ud560 \uc218 \uc788\uc73c\uba70, \ub3d9\uc77c\ud55c \uc6d0\uce59\uc744 \uc801\uc6a9\ud558\uc5ec \uac01 \uc790\uc0b0\uc5d0 \ub300\ud55c \ub8e8\ud2f4\uc744 \uc124\uc815\ud560 \uc218 \uc788\uc2b5\ub2c8\ub2e4.<\/p>\n
6.1 \ud3ec\ud2b8\ud3f4\ub9ac\uc624 \ucd08\uae30\ud654<\/h3>\n\ndef initialize(context):\n context.assets = [symbol('AAPL'), symbol('GOOGL'), symbol('MSFT')]\n context.MA_length = 50\n<\/code><\/pre>\n6.2 \uba40\ud2f0 \uc790\uc0b0 \ucc98\ub9ac<\/h3>\n\ndef handle_data(context, data):\n for asset in context.assets:\n historical_data = data.history(asset, 'price', context.MA_length, '1d')\n moving_average = historical_data.mean()\n \n if data.current(asset, 'price') > moving_average:\n order(asset, 10)\n else:\n order(asset, -10)\n record(price=data.current(asset, 'price'),\n moving_average=moving_average)\n<\/code><\/pre>\n7. \uacb0\ub860<\/h2>\n
Zipline\uc744 \uc0ac\uc6a9\ud55c \uc790\ub3d9\ub9e4\ub9e4 \uc2dc\uc2a4\ud15c \uad6c\ucd95\uc5d0 \ub300\ud574 \uae30\ubcf8\uc801\uc778 \ubd80\ubd84\uc744 \uc0b4\ud3b4\ubcf4\uc558\uc2b5\ub2c8\ub2e4. \uc790\ub3d9\ub9e4\ub9e4\ub294 \ub370\uc774\ud130 \uae30\ubc18\uc758 \uacb0\uc815\uc744 \ud1b5\ud574 \uac10\uc815\uc801\uc778 \uc694\uc18c\ub97c \ubc30\uc81c\ud558\uace0, \ud22c\uc790 \uc131\uacfc\ub97c \ub192\uc774\ub294 \ub370 \ub3c4\uc6c0\uc744 \uc904 \uc218 \uc788\ub294 \uc720\uc6a9\ud55c \ub3c4\uad6c\uc785\ub2c8\ub2e4. \uc5ec\ub7ec\ubd84\ub3c4 Zipline\uc744 \ud65c\uc6a9\ud558\uc5ec \ub2e4\uc591\ud55c \uc804\ub7b5\uc744 \uc2dc\ub3c4\ud558\uace0, \uc131\uacfc\ub97c \ubd84\uc11d\ud574 \ubcf4\uc2dc\uae38 \ubc14\ub78d\ub2c8\ub2e4.<\/p>\n
\uc55e\uc73c\ub85c\ub3c4 Zipline\uacfc \uacb0\ud569\ud558\uc5ec \ub354 \ubc1c\uc804\ub41c \uc790\ub3d9\ub9e4\ub9e4 \uc804\ub7b5\uc744 \uc5f0\uad6c\ud574 \ubcf4\uae30\ub97c \ucd94\ucc9c\ub4dc\ub9bd\ub2c8\ub2e4. \uc774 \uac15\uc88c\ub97c \ud1b5\ud574 \uc5bb\uc740 \uc9c0\uc2dd\uc774 \uc5ec\ub7ec\ubd84\uc758 \ud22c\uc790 \uc5ec\uc815\uc5d0 \ub3c4\uc6c0\uc774 \ub418\uae38 \ubc14\ub78d\ub2c8\ub2e4!<\/p>\n
<\/body><\/p>\n","protected":false},"excerpt":{"rendered":"