quantrading

백테스팅 유틸 라이브러리입니다.

설치

pip install quantrading

사용 예시

example -> open_close_backtest_example.py 참고

import quantrading as qt
from datetime import datetime
import pandas as pd


class MyStrategy(qt.OpenCloseStrategy):
    def __init__(self, **kwargs):
        super().__init__(**kwargs)

    def on_data(self):
        data = self.get_available_data()
        today_date = self.get_date()

        allocation = {
            'MSCI_WORLD_ACWI': 0.8,
            'IEF_BOND_7_10_INDEX': 0.2
        }

        print(today_date, allocation)

        self.set_allocation(allocation)

    def on_end_of_algorithm(self):
        data = self.get_available_data(exclude_today_data=False)
        stock_price = data["market_close_df"]['MSCI_WORLD_ACWI']
        self.add_to_rebalancing_factor_history(stock_price)


if __name__ == "__main__":
    market_df = pd.read_csv("./stock_bond_data.csv", index_col=0, parse_dates=True)
    market_df = market_df.ffill()

    custom_mp_df = pd.DataFrame(data=[[0.5, 0.5]], index=[datetime(2020, 1, 6)], columns=[
        'MSCI_WORLD_ACWI',
        'IEF_BOND_7_10_INDEX',
    ])

    print(custom_mp_df)

    simulation_args = {
        "market_close_df": market_df,
        "market_open_price_df": market_df,
        "name": "OpenCloseStrategy 주식8 채권2 전략",
        "start_date": datetime(2005, 1, 1),
        "end_date": datetime(2020, 7, 31),
        "rebalancing_periodic": "quarterly",
        "rebalancing_moment": "first",
        "benchmark_ticker": "MSCI_WORLD_ACWI",
        "sell_delay": 1,
        "buy_delay": 2,

        "custom_mp_option": True,
        "custom_mp_start_date": datetime(2020, 1, 1),
        "custom_mp": custom_mp_df,
        "custom_mp_sell_delay": 0,
        "custom_mp_buy_delay": 1,

        "portfolio_transaction_fee": 0.02
    }

    strategy = MyStrategy(**simulation_args)
    strategy.run()
    strategy.print_result_log(display_image=True)
    strategy.result_to_excel(folder_path="simulation_result5")

Release files for quantrading 0.1.41

For a detailed explanation of source distributions (sdists) and built distributions (wheels), please see the package formats documentation.

Built distribution (wheel)

Table of built distributions (wheels) for quantrading 0.1.41
File	Interpreter	ABI	Platform	Reset
quantrading-0.1.41-py3-none-any.whl 22.9 kB Nov 20, 2020	Python 3	none	any	Details

Release files / quantrading-0.1.41-py3-none-any.whl

Download URL	quantrading-0.1.41-py3-none-any.whl
Size	22.9 kB
Tags	Python 3
SHA-256 checksum How to use checksums	`ab404253e71df2b2b8a85bd57fe517f7d8e2d91a54de5754610dc0560918b165`
BLAKE2b-256 checksum How to use checksums	`97c431fedafd1459467d2865622e80cdd6c81ced8e55ee261213222220a078c2`
Upload date	Nov 20, 2020
Uploaded using Trusted Publishing? What is trusted publishing?	No
Uploaded via	`twine/3.2.0 pkginfo/1.5.0.1 requests/2.24.0 setuptools/49.2.0 requests-toolbelt/0.9.1 tqdm/4.48.2 CPython/3.8.4`