Strategy Title¶

Short description

Data¶

In [1]:

from btbox import *
from pandas import Series

In [2]:

SYMBOL = 'SYMBOL'
START = '2014-01-01'
WINDOW = 500
INTERVAL = 1

In [3]:

dfs = {SYMBOL: import_yahoo_csv(f'../../_data_/{SYMBOL}_bar1day.csv')}

Benchmark¶

In [4]:

class BM_AllInAndForget(Strategy):

    def initial(self, b: Broker):
        b.portfolio.trade_target_weight(SYMBOL, 1)

class BM_KeepAtHalf(Strategy):

    @interval(INTERVAL)
    def step(self, b: Broker):
        b.portfolio.trade_target_weight(SYMBOL, 0.5)

Indicator¶

In [5]:

def sma_cross(short: int, long: int, win: Series) -> bool | None:
    short_ma = win.iloc[-short - 1:].rolling(short).mean().dropna()
    long_ma = win.iloc[-long - 1:].rolling(long).mean().dropna()
    diff_ma = short_ma - long_ma
    if diff_ma[-1] > 0 and diff_ma[-2] < 0:
        return True
    if diff_ma[-1] < 0 and diff_ma[-2] > 0:
        return False
    return None

Strategy¶

In [6]:

def ST_SMACross(short: int, long: int):

    class ST(Strategy):
        name = f'ST_SMACross({short},{long})'

        @interval(1)
        def step(self, b: Broker):
            win = b.market.get_close_window(SYMBOL)
            ind = sma_cross(short, long, win)
            if ind == True:
                b.portfolio.trade_target_weight(SYMBOL, 1)
            if ind == False:
                b.portfolio.trade_target_weight(SYMBOL, 0)

    return ST

Backtest¶

In [7]:

bt = create_backtest(
    [
        BM_AllInAndForget,
        BM_KeepAtHalf,
        ST_SMACross(10, 20),
        ST_SMACross(20, 50),
        ST_SMACross(50, 200),
    ],
    dfs,
    start=START,
    window=WINDOW,
)

In [8]:

results = bt.run()

Dashboard¶

In [9]:

results.dashboard_pretty()

Out[9]:

	return	cagr	mu	sigma	mdd	duration	sharpe	calmar
BM_AllInAndForget	2,137.3%	41.92%	63.78%	75.38%	-83.43%	364 days 00:00	0.846	0.764
BM_BuyHalfAndForget	1,068.6%	31.91%	46.24%	60.55%	-80.27%	364 days 00:00	0.764	0.576
BM_KeepAtHalf	2,213.2%	42.46%	44.28%	42.09%	-52.79%	418 days 00:00	1.052	0.839
ST_SMACross(10,20)	8,841.4%	65.90%	64.12%	51.82%	-71.42%	626 days 00:00	1.237	0.898
ST_SMACross(20,50)	5,678.1%	57.93%	59.58%	52.61%	-74.14%	443 days 00:00	1.132	0.804
ST_SMACross(50,200)	5,275.2%	56.65%	62.16%	58.28%	-71.29%	817 days 00:00	1.067	0.872

Equity Curve¶

In [10]:

results.plot(log_y=True)