此回溯测试用于回溯测试算法/数量交易策略。
quantbacktest的Python项目详细描述
访问
存储库（GitLab）：https://gitlab.com/fsbc/theses/quantbacktest PyPI:https://pypi.org/project/quantbacktest/
硕士论文：https://ssrn.com/abstract=3620154
设置
通过shell安装项目：pip install quantbacktest。在
通过shell更新到更新的版本（这样做两次！）：pip install quantbacktest --upgrade。在
典型用法
from quantbacktest import backtest_visualizer
# Importing modules from this repository
import sys
# For managing dates
from datetime import datetime
# For allowing for flexible time differences (frequencies)
from pandas.tseries.offsets import Timedelta
display_options = {
'boolean_plot_heatmap': False,
'boolean_test': False, # If multi-asset strategy is used, this will cause sampling of the signals to speed up the run for testing during development.
'warning_no_price_for_last_day': False,
'warning_no_price_during_execution': False,
'warning_no_price_for_intermediate_valuation': True,
'warning_alternative_date': False,
'warning_calculate_daily_returns_alternative_date': False,
'warning_no_price_for_calculate_daily_returns': False,
'warning_buy_order_could_not_be_filled': True,
'warning_sell_order_could_not_be_filled': True,
'errors_on_benchmark_gap': True,
'boolean_plot_equity_curve': False,
'boolean_save_equity_curve_to_disk': True,
'string_results_directory': '/home/janspoerer/code/janspoerer/tmp/results'
}
general_settings = {
'rounding_decimal_places': 4,
'rounding_decimal_places_for_security_quantities': 0,
}
excel_worksheet_name = 'weights'
strategy_hyperparameters = {
'maximum_deviation_in_days': 300,
'prices_table_id_column_name': 'token_itin',
'excel_worksheet_name': excel_worksheet_name, # Set this to None if CSV is used!
# For OpenMetrics: 9.8
'buy_parameter_space': [9.8], # [11, 20] # Times 10! Will be divided by 10.
# For OpenMetrics: 9.7
'sell_parameter_space': [9.7], # [5, 9] # Times 10! Will be divided by 10.
'maximum_relative_exposure_per_buy': 0.34,
'frequency': Timedelta(days=1),
'moving_average_window_in_days': 14,
'id': 'TP3B-248N-Q',
'boolean_allow_partially_filled_orders': True,
'string_file_path_with_signal_data': '/home/janspoerer/code/janspoerer/quantbacktest/quantbacktest/assets/strategy_tables/test.csv'
}
constraints = {
'maximum_individual_asset_exposure_all': 1.0, # Not yet implemented
'maximum_individual_asset_exposure_individual': {}, # Not yet implemented
'maximum_gross_exposure': 1.0, # Already implemented
'boolean_allow_shortselling': False, # Shortselling not yet implemented
'minimum_cash': 100,
}
comments = {
'display_options': repr(display_options),
'strategy_hyperparameters': repr(strategy_hyperparameters)
}
backtest_visualizer(
file_path_with_price_data='/home/janspoerer/code/janspoerer/quantbacktest/quantbacktest/assets/raw_itsa_data/20190717_itsa_tokenbase_top600_wtd302_token_daily.csv',
# ONLY LEAVE THIS LINE UNCOMMENTED IF YOU WANT TO USE ETH-ADDRESSES AS ASSET IDENTIFIERS!
# file_path_with_token_data='raw_itsa_data/20190717_itsa_tokenbase_top600_wtd301_token.csv', # Only for multi-asset strategies.
name_of_foreign_key_in_price_data_table='token_itin',
name_of_foreign_key_in_token_metadata_table='token_itin',
# 1: execute_strategy_white_noise()
# 2: Not used anymore, can be reassigned
# 3: execute_strategy_multi_asset() -> Uses strategy table
# 4: execute_strategy_ma_crossover()
int_chosen_strategy=4,
dict_crypto_options={
'general': {
'percentage_buying_fees_and_spread': 0.005, # 0.26% is the taker fee for low-volume clients at kraken.com https://www.kraken.com/features/fee-schedule
'percentage_selling_fees_and_spread': 0.005, # 0.26% is the taker fee for low-volume clients at kraken.com https://www.kraken.com/features/fee-schedule
# Additional fees may apply for depositing money.
'absolute_fee_buy_order': 0.0,
'absolute_fee_sell_order': 0.0,
}
},
float_budget_in_usd=1000000.00,
strategy_hyperparameters=strategy_hyperparameters,
margin_loan_rate=0.05,
list_times_of_split_for_robustness_test=[
[datetime(2014, 1, 1), datetime(2019, 5, 30)]
],
benchmark_data_specifications={
'name_of_column_with_benchmark_primary_key': 'id', # Will be id after processing. Columns will be renamed.
'benchmark_key': 'TP3B-248N-Q', # Ether: T22F-QJGB-N, Bitcoin: TP3B-248N-Q
'file_path_with_benchmark_data': '/home/janspoerer/code/janspoerer/quantbacktest/quantbacktest/assets/raw_itsa_data/20190717_itsa_tokenbase_top600_wtd302_token_daily.csv',
'risk_free_rate': 0.02
},
display_options=display_options,
constraints=constraints,
general_settings=general_settings,
comments=comments,
)
为维护者/贡献者提供的信息
要使更改在GitLab中可用并作为pip install，请先将更改推送到GitLab的新分支并合并它们。在
- 更新
VERSION中的版本号。在 - 生成轮子：
python setup.py sdist bdist_wheel。在 - 上传到PyPI:
twine upload --skip-existing dist/*.* - 获取计算机上的当前版本：
pip install quantbacktest --upgrade
维护人员也可以参考这个伟大的指南：https://realpython.com/pypi-publish-python-package/#versioning-your-package
进一步参考一般的定量交易
Quantopian为股票市场的定量交易策略提供了最先进的回溯测试。他们的YouTube channel主持了一些来自知名专家的优秀、普遍适用的演讲：
- "When Should You Build Your Own Backtester?" by Dr. Michael Halls-Moore
- "Optimizing Trading Strategies without Overfitting" by Dr. Ernest Chan - QuantCon 2018
- "Beware of Low Frequency Data" by Ernest Chan
- 项目
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