zipline-reloaded 2.0.0rc2

A backtester for trading algorithms

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Zipline is a Pythonic event-driven system for backtesting, used as the backtesting and live-trading engine by Quantopian before the company closed down in late 2020. Since then, the domain that originally hosted these docs have expired. The library is used extensively in the book Machine Larning for Algorithmic Trading by Stefan Jansen who is trying to keep the library up to date and available to his readers and the wider Python algotrading community.

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Features

• Ease of Use: Zipline tries to get out of your way so that you can focus on algorithm development. See below for a code example.
• "Batteries Included": many common statistics like moving average and linear regression can be readily accessed from within a user-written algorithm.
• PyData Integration: Input of historical data and output of performance statistics are based on Pandas DataFrames to integrate nicely into the existing PyData ecosystem.
• Statistics and Machine Learning Libraries: You can use libraries like matplotlib, scipy, statsmodels, and sklearn to support development, analysis, and visualization of state-of-the-art trading systems.

Installation

Zipline supports Python 3.7, 3.8, and 3.9, and may be installed via either pip or conda.

Note: Installing Zipline is slightly more involved than the average Python package. See the full Zipline Install Documentation for detailed instructions.

Quickstart

See our getting started tutorial.

The following code implements a simple dual moving average algorithm.

from zipline.api import order_target, record, symbol

def initialize(context):
    context.i = 0
    context.asset = symbol('AAPL')


def handle_data(context, data):
    # Skip first 300 days to get full windows
    context.i += 1
    if context.i < 300:
        return

    # Compute averages
    # data.history() has to be called with the same params
    # from above and returns a pandas dataframe.
    short_mavg = data.history(context.asset, 'price', bar_count=100, frequency="1d").mean()
    long_mavg = data.history(context.asset, 'price', bar_count=300, frequency="1d").mean()

    # Trading logic
    if short_mavg > long_mavg:
        # order_target orders as many shares as needed to
        # achieve the desired number of shares.
        order_target(context.asset, 100)
    elif short_mavg < long_mavg:
        order_target(context.asset, 0)

    # Save values for later inspection
    record(AAPL=data.current(context.asset, 'price'),
           short_mavg=short_mavg,
           long_mavg=long_mavg)

You can then run this algorithm using the Zipline CLI. First, you must download some sample pricing and asset data:

$ zipline ingest -b quandl
$ zipline run -f dual_moving_average.py --start 2014-1-1 --end 2018-1-1 -o dma.pickle --no-benchmark

This will download asset pricing data sourced from Quandl, and stream it through the algorithm over the specified time range. Then, the resulting performance DataFrame is saved as dma.pickle, which you can load and analyze from Python.

You can find other examples in the zipline/examples directory.

Questions?

If you find a bug, feel free to open an issue and fill out the issue template.