margot 0.2.7

simple to use, batteries included, tools for quantitative trading.

# What is margot?

## margot wants you to be a better quant.

Margot currently includes three components; these can be used together or independently.

# Margot Data

The first component is margot.data.

Margot Data manages data collection, cleaning and assemblance into a well organised Pandas Dataframe using a clean, declarative API inspired by Django ORM.

## Columns

Data retreived from external sources, such as “closing_price” or “volume”, we call Columns.

e.g. to get closing_price from AlphaVantage:

adj_close = av.Column(function=’historical_daily_adjusted’, column=’adjusted_close’)

## Features

Columns can be augmented by derived time-series, such as “returns” or “SMA20”, which we call, Features.

e.g.

simple_returns = feature.SimpleReturns(column=’adjusted_close’) log_returns = feature.LogReturns(column=’adjusted_close’) sma20 = feature.SimpleMovingAverage(column=’adjusted_close’, window=20)

Margot Data includes many common financial Features, and it’s very easy to add more.

## Symbols

Often, you want to make a dataframe combining a number of these columns and features. Margot Data makes this very easy. e.g.

class MyEquity(Symbol):

adjusted_close = av.Column(function=’historical_daily_adjusted’, column=’adjusted_close’) log_returns = feature.LogReturns(column=’adjusted_close’) realised_vol = feature.RealisedVolatility(column=’log_returns’, window=30) upper_band = feature.UpperBollingerBand(column=’adjusted_close’, window=20, width=2.0) sma20 = feature.SimpleMovingAverage(column=’adjusted_close’, window=20) lower_band = feature.LowerBollingerBand(column=’adjusted_close’, window=20, width=2.0)

spy = MyEquity(symbol=’SPY)

## Ensembles

class MyEnsemble(Ensemble):

spy = Equity(symbol=’SPY’) iwm = Equity(symbol=’IWM’) spy_iwm_ratio = Ratio(numerator=spy.adjusted_close, denominator=iwm.adjusted_close, label=’spy_iwm_ratio’)

my_df = MyEnsemble().to_pandas()

# Margot backtest

The second major component, margot.backtest isn’t yet included in these releases.

Margot backtest provides a base class to inherit where you define your trading algorithm, and an implementation of a walk-forward backetesting algorithm that produced backtests of your algorithm using margot.data. Results of the backtest can be analysed with pyfolio.

# Margot live

Margot live allows you to trade live using the exact same algorithm you backtested using margot.backtest.

## margot wants to help you:

- Wrangle data

• Use a simple, declarative, Django ORM inspired API to blend data from a variety of sources into a neat, consolidated time-series dataframe.

- Reuse features

• a library of reusable financial and statistical features to apply to your data.

- Make custom features

• easily create your own features from of preferred indicators or ratios, and incorporate them in to your algorithms in a repeatable way.

- Write algorithms that trade

• TODO express your idea using simple logic, without getting bogged down by the nuances of Pandas or stochastic algebra.

- Walk-forward backtest your algos

• TODO Backtest your algorithm, generating a historical returns time-series that can be analysed using pyfolio.

- Manage risk

• TODO Learn the expected volatility of a strategy so that you can size it into your portfolio.

- Allocate accordingly

• TODO allocate funds to a strategy based on realised volatility.

- Trade

• TODO execute your trades with your brokers API.

- Bookkeep

• TODO track fees and P&L, per strategy.

## Status This is still an early stage software project, and should not be used for live trading.

## Getting Started

pip install margot

## Documentation

in progress - for examples see the notebooks folder.

## Contributing

Feel free to make a pull request; but please feel even free-er to chat about your idea first via issues.

The general idea is to keep things simple. This is intended to be long-running operational software; it must be easy to maintain, and easy to understand.

Dependencies are kept to a minimum. Generally if there’s a way to do something in the standard library (or numpy / Pandas), let’s do it that way rather than seeking the convenience of another library.

## Resources

If you come across this, I suggest you checkout http://robotwealth.com. Kris and James taught me everything I know about trading. They’re like 5th Dan blackbelts at quantitative finance. You should try one of their bootcamps.

## License This version of this software may only be used under the terms set out in [the License](License.txt).