Navigation

    Quantiacs Community

    • Register
    • Login
    • Search
    • Categories
    • News
    • Recent
    • Tags
    • Popular
    • Users
    • Groups

    Backtesting

    Strategy help
    4
    16
    1165
    Loading More Posts
    • Oldest to Newest
    • Newest to Oldest
    • Most Votes
    Reply
    • Reply as topic
    Log in to reply
    This topic has been deleted. Only users with topic management privileges can see it.
    • V
      Vyacheslav_B @magenta.kabuto last edited by

      @magenta-kabuto

      Hello

      An example using pandas
      One can work with pandas DataFrames at intermediate steps and at the end convert them to xarray data structures:

      def get_price_pct_change(prices):
          prices_pandas = prices.to_pandas()
          assets = data.coords["asset"].values
          for asset in assets:
              prices_pandas[asset] = prices_pandas[asset].pct_change()
          return prices_pandas
      
      prices = data.sel(field="close") * 1.0
      prices_pct_change = get_price_pct_change(prices).unstack().to_xarray()
      
      M 1 Reply Last reply Reply Quote 1
      • M
        magenta.kabuto @Vyacheslav_B last edited by

        @vyacheslav_b Thank you 🙂

        1 Reply Last reply Reply Quote 0
        • S
          stefanm @magenta.kabuto last edited by

          @magenta-kabuto Hi, maybe this can help with your strategy also:
          In your function regime_trade() before returning signals_df, convert it to pandas.Series structure, and name it to corresponding asset (e.g. "NAS: AAPL").

          series = signals_df.squeeze().rename(asset_name)
          return series
          

          After putting it to trades = dict(), you can concatenate trades.values(), which will create pandas.DataFrame of signals by assets:

          pd_signals = pd.concat(trades.values(), axis=1)
          

          Then, convert it to xarray.DataArray and pass it as weights to backtester.

          import xarray as xr
          
          xr_signals = xr.DataArray(pd_signals, dims=('time', 'asset'))
          
          M 1 Reply Last reply Reply Quote 2
          • M
            magenta.kabuto @stefanm last edited by

            @stefanm Thank you very much, that was extremely helpful. Without your help I would probably be still trying to figure out a way 👏

            1 Reply Last reply Reply Quote 0
            • M
              magenta.kabuto last edited by

              @magenta-kabuto Bildschirmfoto 2023-03-29 um 17.33.56.png Bildschirmfoto 2023-03-29 um 17.32.54.png
              First of all thx again for the help. Single-Pass Backtesting works fine and I am pretty happy with the result. Multiple-Pass Backtesting however returns the error shown in the screenshot. I assume that this problem occurs because load data, an xArray DataArray is passed into the function that inputs pandas. IS this right ?And if yes, can I avoid it without having to rewrite the algo or can I skip Multiple-Pass backtest as my algo doesnt look into the future? Very grateful, if anyone can help. Regards

              M S 2 Replies Last reply Reply Quote 0
              • M
                magenta.kabuto @magenta.kabuto last edited by

                @magenta-kabuto And what is the exact competition name ? 😅

                1 Reply Last reply Reply Quote 0
                • S
                  stefanm @magenta.kabuto last edited by

                  @magenta-kabuto Hi, yes that's right, it seems that xarray DataArray is passed to function which expects pandas DataFrame (your entire algorithm is not visible, which is ok, so this is an assumption), but maybe you can try with this:

                  ### use your regime_trade(Stockdata, param_2=0.15) as helper function
                  
                  
                  def strategy(data):
                  # param data: the data returned from load_data function, xarray.DataArray structure. 
                      Stockdata = ... # prepare data for regime_trade input, like you did for single pass
                      trades = {}
                      for j in logopenmod.keys():
                          trades[j] = regime_trade(Stockdata[j].iloc[:,3], 0.15)
                      pd_signals = pd.concat(trades.values(), axis=1)
                      xr_signals = xr.DataArray(pd_signals, dims=('time', 'asset'))
                      is_liquid = data.sel(field="is_liquid") # assume that "stocks" is exactly the same as data is
                      return xr_signals * is_liquid
                      
                  

                  Try it with Multi-pass, and change the name in competition_type. Set the start date as below:

                  weights = qnbk.backtest(
                    competition_type = "stocks_nasdaq100",
                    load_data = load_data, # if omitted it loads data by competition_type
                    lookback_period = 365,
                    start_date = "2006-01-01", # set start_date 
                    strategy = strategy,
                    analyze = True,
                  )
                  

                  Regards

                  M 1 Reply Last reply Reply Quote 1
                  • M
                    magenta.kabuto @stefanm last edited by

                    @stefanm I cant thank you enough. A very elegant way. The backtest atleast gets started but after approx. 20 seconds: the following occurs:
                    Sry for being so annoying, the conversion is an extreme blindspot to me and if it takes too much time, pls focus on your strategy instead of mineBildschirmfoto 2023-03-29 um 20.42.45.png Bildschirmfoto 2023-03-29 um 20.42.50.png

                    S 1 Reply Last reply Reply Quote 0
                    • S
                      stefanm @magenta.kabuto last edited by

                      @magenta-kabuto No problem, you're welcome. Can you please change the start_date to '2006-01-01' when running backtester, and let us know if it worked?

                      M support 2 Replies Last reply Reply Quote 1
                      • M
                        magenta.kabuto @stefanm last edited by

                        @stefanm Finally worked. For whatever reason I had to write the trade library and the loop outside the strategy function, as the output was otherwise empty. (Tried all sorts of spacing to get it inside the stratety function but didnt work). Good luck with your strategy if you are taking part in the contest too! 🙂 Bildschirmfoto 2023-03-30 um 02.14.55.png

                        M 1 Reply Last reply Reply Quote 0
                        • M
                          magenta.kabuto @magenta.kabuto last edited by

                          This post is deleted!
                          M 1 Reply Last reply Reply Quote 0
                          • M
                            magenta.kabuto @magenta.kabuto last edited by

                            This post is deleted!
                            1 Reply Last reply Reply Quote 0
                            • support
                              support @stefanm last edited by

                              @stefanm Thank you!

                              1 Reply Last reply Reply Quote 0
                              • First post
                                Last post
                              Powered by NodeBB | Contributors
                              • Documentation
                              • About
                              • Career
                              • My account
                              • Privacy policy
                              • Terms and Conditions
                              • Cookies policy
                              Home
                              Copyright © 2014 - 2021 Quantiacs LLC.
                              Powered by NodeBB | Contributors