Algo trading with Zipline
Zipline is a very powerful tool with many options, most of which we will not be able to investigate in this book. It makes creating trading algorithms and their simulation on historical data very easy (but there is still some creativity required).
Zipline provides several operational models. One allows the execution of Python script files via the command line. We will exclusively use a model where we include Zipline into our pandas application and request it to run our algorithms.
To do this, we will need to implement our algorithms and instruct Zipline on how to run them. This is actually a very simple process, and we will walk through implementing three algorithms of increasing complexity: buy apple, dual moving average crossover, and pairs trade.
The algorithms that we will implement have been discussed earlier: the dual moving average crossover and the pairs trading mean-reversion algorithm. We will, however, start with a very simple algorithm, buy apple, which...
