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(feat) test stat arb

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This commit is contained in:
cardosofede
2023-07-12 15:36:59 +02:00
parent 298988a68f
commit ff50b19ee2
2 changed files with 23 additions and 25 deletions
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17
pages/9_⚙️_Backtesting.py
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@@ -3,6 +3,7 @@ import pandas_ta as ta
import streamlit as st
from quants_lab.strategy.mean_reversion.bollinger import Bollinger
from quants_lab.strategy.mean_reversion.stat_arb import StatArb
from quants_lab.utils import data_management
from quants_lab.backtesting.backtesting import Backtesting
from quants_lab.backtesting.backtesting_analysis import BacktestingAnalysis
@@ -22,26 +23,18 @@ df_to_show = data_management.get_dataframe(
)
strategy = Bollinger(
exchange="binance_perpetual",
trading_pair="ETH-USDT",
interval="3m",
bb_length=66,
bb_std=2.8,
bb_long_threshold=0.17,
bb_short_threshold=1.23,
)
strategy = StatArb(trading_pair="ETH-USDT", periods=24, deviation_threshold=1.5)
backtesting = Backtesting(strategy=strategy)
positions = backtesting.run_backtesting(
start='2021-04-01',
# start='2022-01-01',
# end='2023-06-02',
order_amount=50,
leverage=20,
initial_portfolio=100,
take_profit_multiplier=4.3,
stop_loss_multiplier=3.0,
take_profit_multiplier=3.0,
stop_loss_multiplier=1.5,
time_limit=60 * 60 * 24,
std_span=None,
)

31
quants_lab/strategy/strategy_optimizer.py
View File

@@ -5,19 +5,21 @@ from quants_lab.strategy.mean_reversion.bollinger import Bollinger
from quants_lab.strategy.mean_reversion.macd_bb import MACDBB
from optuna.exceptions import TrialPruned
STUDY_NAME = "bollinger"
from quants_lab.strategy.mean_reversion.stat_arb import StatArb
STUDY_NAME = "stat_arb"
def objective(trial):
strategy = Bollinger(
exchange="binance_perpetual",
trading_pair="ETH-USDT",
interval="3m",
bb_length=trial.suggest_int("bb_length", 20, 300),
bb_std=trial.suggest_float("bb_std", 1.0, 3.0),
bb_long_threshold=trial.suggest_float("bb_long_threshold", -0.5, 0.3),
bb_short_threshold=trial.suggest_float("bb_short_threshold", 0.7, 1.5),
)
# strategy = Bollinger(
# exchange="binance_perpetual",
# trading_pair="ETH-USDT",
# interval="3m",
# bb_length=trial.suggest_int("bb_length", 20, 300),
# bb_std=trial.suggest_float("bb_std", 1.0, 3.0),
# bb_long_threshold=trial.suggest_float("bb_long_threshold", -0.5, 0.3),
# bb_short_threshold=trial.suggest_float("bb_short_threshold", 0.7, 1.5),
# )
# fast_macd = trial.suggest_int("fast_macd", 10, 50)
# strategy = MACDBB(
@@ -31,16 +33,19 @@ def objective(trial):
# fast_macd=fast_macd,
# slow_macd=trial.suggest_int("slow_macd", fast_macd + 1, 100),
# signal_macd=trial.suggest_int("signal_macd", 8, 54)
#
# )
strategy = StatArb(trading_pair="ETH-USDT",
periods=trial.suggest_int("periods", 10, 150),
deviation_threshold=trial.suggest_float("deviation_threshold", 0.9, 2.0))
try:
backtesting = Backtesting(strategy=strategy)
backtesting_result = backtesting.run_backtesting(
start='2021-04-01',
order_amount=50,
leverage=20,
initial_portfolio=100,
take_profit_multiplier=trial.suggest_float("take_profit_multiplier", 1.0, 5.0),
stop_loss_multiplier=trial.suggest_float("stop_loss_multiplier", 1.0, 5.0),
take_profit_multiplier=trial.suggest_float("take_profit_multiplier", 1.0, 3.0),
stop_loss_multiplier=trial.suggest_float("stop_loss_multiplier", 1.0, 3.0),
time_limit=60 * 60 * trial.suggest_int("time_limit", 1, 24),
std_span=None,
)