jquants-pairs-trading 0.1.0

jquants-pairs-trading is a python library for backtest with japanese stock pairs trading using kalman filter, J-Quants on Python 3.8 and above.

jquants-pairs-trading

jquants-pairs-trading is a python library for backtest with japanese stock pairs trading using kalman filter, J-Quants on Python 3.8 and above.

Installation

$ pip install jquants-pairs-trading

Usage

find pairs

from jquants_pairs_trading import JquantsPairsTrading
import pprint

jpt = MyJpt(
    mail_address="<your J-Quants mail address>",
    password="<your J-Quants password>",
)
pprint.pprint(jpt.find_pairs([3382, 4063, 4502]))

[('3382', '4502')]

backtest

from jquants_pairs_trading import JquantsPairsTrading
import pprint

jpt = MyJpt(
    mail_address="<your J-Quants mail address>",
    password="<your J-Quants password>",
)
pprint.pprint(jpt.backtest((3382, 4502)))

{'cointegration': '0.016',
 'correlation': '0.814',
 'maximum_drawdown': '443.000',
 'profit_factor': '1.654',
 'riskreward_ratio': '1.081',
 'sharpe_ratio': '0.183',
 'total_profit': '2184.000',
 'total_trades': '86.000',
 'win_rate': '0.605'}

latest signal

from jquants_pairs_trading import JquantsPairsTrading
import pprint

jpt = MyJpt(
    mail_address="<your J-Quants mail address>",
    password="<your J-Quants password>",
)
pprint.pprint(jpt.latest_signal((6954, 6981)))

{'6954 buy': True,
 '6954 close': '4348.000',
 '6954 long': False,
 '6954 sell': False,
 '6954 short': False,
 '6981 buy': False,
 '6981 close': '2775.000',
 '6981 long': False,
 '6981 sell': True,
 '6981 short': False,
 'date': '2023-07-31'}

advanced

from jquants_pairs_trading import JquantsPairsTrading
import pprint

jpt = MyJpt(
    mail_address="<your J-Quants mail address>",
    password="<your J-Quants password>",
    window=1,
    transition_covariance=0.01,
    pvalues=0.05,
    zscore=0.5,
)
pprint.pprint(jpt.find_pairs([3382, 4063, 4502]))
pprint.pprint(jpt.backtest((3382, 4502)))
pprint.pprint(jpt.latest_signal((6954, 6981)))

Getting started

For help getting started with J-Quants, view our online documentation.