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    Calculation of trading strategies

    Strategy help
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    • D
      dark.pidgeot @support last edited by

      @support Hello,

      thank you for your feedback,

      how could I avoid this, please?

      support 1 Reply Last reply Reply Quote 0
      • support
        support @dark.pidgeot last edited by

        @dark-pidgeot

        Could you send a code snippet showing how you load the data?

        D 1 Reply Last reply Reply Quote 0
        • D
          dark.pidgeot @support last edited by

          @support Hi, the head on the strategy is :

          import xarray as xr
          import qnt.ta as qnta
          import qnt.data as qndata
          import qnt.output as qnout
          import qnt.stats as qns
          from IPython.display import display
          import xarray as xr
          import qnt.ta as qnta
          import qnt.backtester as qnbt
          import qnt.data as qndata

          data = qndata.stocks.load_ndx_data(min_date="2000-01-01")

          support 1 Reply Last reply Reply Quote 0
          • support
            support @dark.pidgeot last edited by

            @dark-pidgeot Ok, thanks. It means that you are using a single-pass approach, not the built-in backtester.

            Is your system generating trades since 1 Jan 2006 or you do not have any trade before?

            D 1 Reply Last reply Reply Quote 0
            • D
              dark.pidgeot @support last edited by

              @support Yes, i Use the single pass, I must change it on multi pass ?

              support 1 Reply Last reply Reply Quote 0
              • support
                support @dark.pidgeot last edited by

                @dark-pidgeot The single pass is ok. However, when the code is run, it will be automatically sliced and run in multi-pass fashion to avoid unintentional forward looking (example: usage of global means).

                Here it seems that your system makes no trades at all before 1 Jan 2006. Can you check that visualizing the equity curve?

                D 3 Replies Last reply Reply Quote 0
                • D
                  dark.pidgeot @support last edited by

                  @support Hello,

                  when I do the test, it seems ok except on the last day

                  1 Reply Last reply Reply Quote 0
                  • D
                    dark.pidgeot @support last edited by

                    @support 098f8748-2b83-4aa6-af81-77314e896bc0-image.png

                    1 Reply Last reply Reply Quote 0
                    • D
                      dark.pidgeot @support last edited by

                      @support 354e802e-85e0-4891-a262-8741e6e449a6-image.png

                      support 1 Reply Last reply Reply Quote 0
                      • support
                        support @dark.pidgeot last edited by

                        @dark-pidgeot Ok, thanks. If you click on the logs button, there should be info explaining he reason for the failure on Sep 1st. Can you share it?

                        D 3 Replies Last reply Reply Quote 0
                        • D
                          dark.pidgeot @support last edited by

                          @support Hello, yes I can provide you with the logs without the code.
                          I am still surprised, I followed the simulation. Everything is going well except for the last day. How is it possible that on the last day, it crashes

                          1 Reply Last reply Reply Quote 0
                          • D
                            dark.pidgeot @support last edited by

                            @support Calculation start...
                            [NbConvertApp] Converting notebook strategy.ipynb to html
                            [NbConvertApp] Executing notebook with kernel: python3
                            [NbConvertApp] Writing 699954 bytes to strategy.html
                            Calculation completed.
                            Strategy body:

                            In [1]:
                            %%javascript
                            window.IPython && (IPython.OutputArea.prototype._should_scroll = function
                            (lines) { return false; })
                            // run this cell for disabling widget scrolling
                            In [2]:
                            import xarray as xr
                            import qnt.ta as qnta
                            import qnt.data as qndata
                            import qnt.output as qnout
                            import qnt.stats as qns
                            from IPython.display import display
                            import xarray as xr
                            import qnt.ta as qnta
                            import qnt.backtester as qnbt
                            import qnt.data as qndata
                            data = qndata.stocks.load_ndx_data(min_date="2005-01-01")

                            HIDDEN strategy CODE

                            SINGLE PASS

                            is_liquid = data.sel(field="is_liquid")
                            weights = is_liquid*weights

                            clean weights taking corner cases into account:

                            weights = qnout.clean(weights, data, "stocks_nasdaq100")

                            check before submission:

                            qnout.check(weights, data, "stocks_nasdaq100")
                            qnout.write(weights)

                            calc stats

                            stats = qns.calc_stat(data, weights.sel(time=slice("2000-01-01",None)))
                            stats.to_pandas().tail()
                            import qnt.graph as qngraph
                            import qnt.stats as qnstats
                            statistics = qnstats.calc_stat(data, weights)
                            performance = statistics.to_pandas()['equity']
                            qngraph.make_plot_filled(performance.index, performance, name='PnL (Equity)')

                            qnout.check(weights, data)
                            100% (35181 of 35181) |##################| Elapsed Time: 0:00:00 Time: 0:00:00
                            100% (35957 of 35957) |##################| Elapsed Time: 0:00:00 Time: 0:00:00
                            100% (14750756 of 14750756) |############| Elapsed Time: 0:00:00 Time: 0:00:00
                            fetched chunk 1/6 1s
                            100% (14750752 of 14750752) |############| Elapsed Time: 0:00:00 Time: 0:00:00
                            fetched chunk 2/6 3s
                            100% (14750720 of 14750720) |############| Elapsed Time: 0:00:00 Time: 0:00:00
                            fetched chunk 3/6 4s
                            100% (14750628 of 14750628) |############| Elapsed Time: 0:00:00 Time: 0:00:00
                            fetched chunk 4/6 6s
                            100% (14750720 of 14750720) |############| Elapsed Time: 0:00:00 Time: 0:00:00
                            fetched chunk 5/6 7s
                            100% (979196 of 979196) |################| Elapsed Time: 0:00:00 Time: 0:00:00
                            fetched chunk 6/6 7s
                            Data loaded 8s
                            Output cleaning...
                            fix uniq
                            ffill if the current price is None...
                            Check liquidity...
                            Ok.
                            Check missed dates...
                            Ok.
                            Normalization...
                            Output cleaning is complete.
                            Check liquidity...
                            Ok.
                            Check missed dates...
                            Ok.
                            Check the sharpe ratio...
                            Period: 2006-01-01 - 2022-09-01
                            Sharpe Ratio =#####
                            Ok.
                            Check correlation.
                            correlation check disabled

                            Ok. This strategy does not correlate with other strategies.
                            Write output: /root/fractions.nc.gz
                            Check liquidity...
                            Ok.
                            Check missed dates...
                            Ok.
                            Check the sharpe ratio...
                            Period: 2006-01-01 - 2022-09-01
                            Sharpe Ratio = #####
                            Ok.
                            Check correlation.
                            correlation check disabled

                            Ok. This strategy does not correlate with other strategies.
                            In [3]:
                            performance = statistics.to_pandas()['equity']
                            qngraph.make_plot_filled(performance.index, performance, name='PnL (Equity)')
                            Submit...
                            Post task: https://stat.quantiacs.io/regular/task/343939393231303664343261616232333665666532323034343662653936326535353161353038306566633564333132613465326339326330653931646339363A313636323530313135303A37333730333736/regular/task
                            {
                            "submission_id": "7941751",
                            "output": "H4sIAD3BF2MC/+y9X8xl1ZUnRiZmXBnSEjQVgxCGQUJqWtaIns...",
                            "source": true,
                            "html": "H4sIAEbBF2MC/+y9a5PcOK4g+t2/Iscdc9vurkynlG972mdmz2...",
                            "state": null,
                            "last_data": true
                            }
                            Task #7370376

                            1 Reply Last reply Reply Quote 0
                            • D
                              dark.pidgeot @support last edited by

                              @support The short description :

                              INFO: 2022-09-06T21:52:30Z: pass started: 7962346
                              INFO: 2022-09-06T21:53:13Z: pass completed: 7962346
                              INFO: 2022-09-06T22:49:52Z: stats received light=false
                              INFO: 2022-09-06T22:49:53Z: progress: 1.0
                              INFO: 2022-09-06T22:49:53Z: checking: last pass
                              INFO: 2022-09-06T22:49:53Z: filter passed: source exists
                              INFO: 2022-09-06T22:49:53Z: filter passed: output html exists
                              INFO: 2022-09-06T22:49:53Z: filter passed: output exists
                              INFO: 2022-09-06T22:49:53Z: filter passed: strategy uses the last data
                              INFO: 2022-09-06T22:49:53Z: filter passed: liquidity
                              FAIL: 2022-09-06T22:49:53Z: filter failed: in sample period is too short:3417 < 3764

                              support 1 Reply Last reply Reply Quote 0
                              • support
                                support @dark.pidgeot last edited by

                                @dark-pidgeot ok, there are not enough trading days. Are you generating non-zero positions since 1 Jan 2006?

                                D 1 Reply Last reply Reply Quote 0
                                • D
                                  dark.pidgeot @support last edited by

                                  @support a9c0ea62-4ced-48fa-b1c8-0b5d8ea6e4ef-image.png

                                  On the picture, there are indeed generated positions, so I don't really understand

                                  support 1 Reply Last reply Reply Quote 0
                                  • support
                                    support @dark.pidgeot last edited by

                                    @dark-pidgeot Can you take a screenshot so that it is visible also what happens on 1 Jan 2006? Here it is visible only what happens since 2010.

                                    D 1 Reply Last reply Reply Quote 0
                                    • D
                                      dark.pidgeot @support last edited by

                                      @support aa093a72-4904-4b0a-9316-011d1ed7ded5-image.png

                                      Hi, here the screenshoot

                                      J 1 Reply Last reply Reply Quote 0
                                      • J
                                        jeppe_and @dark.pidgeot last edited by

                                        @dark-pidgeot Actually there could be some hidden problem.

                                        Your code fails on the very last day, let us say 2022-09-01 as you sent in a previous screenshot.

                                        Are you sure that no forward looking is going on? Let us suppose that we are on 2022-09-01, and on that day your code is looking into the future. Then it will fail, as it will have no data at all.

                                        D 1 Reply Last reply Reply Quote 0
                                        • D
                                          dark.pidgeot @jeppe_and last edited by

                                          @jeppe_and Thanks for the reply, i'll check my code

                                          1 Reply Last reply Reply Quote 0
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