hmm_market_behavior_initialize_catalyst.py

def initialize(context):
    context.asset = symbol('btc_usd')
    context.leverage = 1.0

    context.std_period = 10
    context.ma_period = 10
    context.price_deviation_period = 10
    context.volume_deviation_period = 10
    context.n_periods = 5 + int(np.max([context.std_period, context.ma_period,
        context.price_deviation_period, context.volume_deviation_period]))
    context.tf = '1440T'

    context.model = joblib.load('quandl_BITFINEX_BTCUSD_final_model.pkl')
    context.cols_features = ['last_return', 'std_normalized', 'ma_ratio', 'price_deviation', 'volume_deviation']
    context.long_states = [2]
    context.random_states = [1]
    context.short_states = [0]

    context.set_commission(maker = 0.001, taker = 0.002)
    context.set_slippage(slippage = 0.0005)
    context.set_benchmark(context.asset)