sedna16/fastquant

fastquant — Backtest and optimize your trading strategies with only 3 lines of code!

fastquant 🤓

Bringing backtesting to the mainstream

fastquant allows you to easily backtest investment strategies with as few as 3 lines of python code. Its goal is to promote data driven investments by making quantitative analysis in finance accessible to everyone.

Features

1. Easily access historical stock data
2. Backtest and optimize trading strategies with only 3 lines of code

^{* - Both Yahoo Finance and Philippine stock data data are accessible straight from fastquant}

Installation

Python

pip install fastquant

R

R support is pending development, but you may install the R package by typing the following

# install.packages("remotes")

remotes::install_github("enzoampil/fastquant", subdir = "R")

Get stock data

All symbols from Yahoo Finance and Philippine Stock Exchange (PSE) are accessible via get_stock_data.

Python

from fastquant import get_stock_data
df = get_stock_data("JFC", "2018-01-01", "2019-01-01")
print(df.head())

#           dt  close
#   2019-01-01  293.0
#   2019-01-02  292.0
#   2019-01-03  309.0
#   2019-01-06  323.0
#   2019-01-07  321.0

R

library(fastquant)

get_pse_data("JFC", "2018-01-01", "2019-01-01")

Note: Python has Yahoo Finance and phisix support. R only has phisix support. Symbols from Yahoo Finance will return closing prices in USD, while symbols from PSE will return closing prices in PHP

Get crypto data

The data is pulled from Binance, and all the available tickers are found here.

from fastquant import get_crypto_data
crypto = get_crypto_data("BTC/USDT", "2018-12-01", "2019-12-31")
crypto.head()

#             open    high     low     close    volume
# dt                                                          
# 2018-12-01  4041.27  4299.99  3963.01  4190.02  44840.073481
# 2018-12-02  4190.98  4312.99  4103.04  4161.01  38912.154790
# 2018-12-03  4160.55  4179.00  3827.00  3884.01  49094.369163
# 2018-12-04  3884.76  4085.00  3781.00  3951.64  48489.551613
# 2018-12-05  3950.98  3970.00  3745.00  3769.84  44004.799448

Backtest trading strategies

Note: Support for backtesting in R is pending

Simple Moving Average Crossover (15 day MA vs 40 day MA)

Daily Jollibee prices from 2018-01-01 to 2019-01-01

from fastquant import backtest
backtest('smac', df, fast_period=15, slow_period=40)

# Starting Portfolio Value: 100000.00
# Final Portfolio Value: 102272.90

Optimize trading strategies with automated grid search

Simple Moving Average Crossover (15 to 30 day MA vs 40 to 55 day MA)

Daily Jollibee prices from 2018-01-01 to 2019-01-01

from fastquant import backtest
res = backtest("smac", df, fast_period=range(15, 30, 3), slow_period=range(40, 55, 3), verbose=False)

# Optimal parameters: {'init_cash': 100000, 'buy_prop': 1, 'sell_prop': 1, 'execution_type': 'close', 'fast_period': 15, 'slow_period': 40}
# Optimal metrics: {'rtot': 0.022, 'ravg': 9.25e-05, 'rnorm': 0.024, 'rnorm100': 2.36, 'sharperatio': None, 'pnl': 2272.9, 'final_value': 102272.90}

print(res[['fast_period', 'slow_period', 'final_value']].head())

#	fast_period	slow_period	final_value
#0	15	        40	        102272.90
#1	21	        40	         98847.00
#2	21	        52	         98796.09
#3	24	        46	         98008.79
#4	15	        46	         97452.92

Library of trading strategies

Strategy	Alias	Parameters
Relative Strength Index (RSI)	rsi	rsi_period, rsi_upper, rsi_lower
Simple moving average crossover (SMAC)	smac	fast_period, slow_period
Exponential moving average crossover (EMAC)	emac	fast_period, slow_period
Moving Average Convergence Divergence (MACD)	macd	fast_perod, slow_upper, signal_period, sma_period, sma_dir_period
Bollinger Bands	bbands	period, devfactor
Buy and Hold	buynhold	N/A
Sentiment Strategy	sentiment	keyword , page_nums, senti

Relative Strength Index (RSI) Strategy

backtest('rsi', df, rsi_period=14, rsi_upper=70, rsi_lower=30)

# Starting Portfolio Value: 100000.00
# Final Portfolio Value: 132967.87

Simple moving average crossover (SMAC) Strategy

backtest('smac', df, fast_period=10, slow_period=30)

# Starting Portfolio Value: 100000.00
# Final Portfolio Value: 95902.74

Exponential moving average crossover (EMAC) Strategy

backtest('emac', df, fast_period=10, slow_period=30)

# Starting Portfolio Value: 100000.00
# Final Portfolio Value: 90976.00

Moving Average Convergence Divergence (MACD) Strategy

backtest('macd', df, fast_period=12, slow_period=26, signal_period=9, sma_period=30, dir_period=10)

# Starting Portfolio Value: 100000.00
# Final Portfolio Value: 96229.58

Bollinger Bands Strategy

backtest('bbands', df, period=20, devfactor=2.0)

# Starting Portfolio Value: 100000.00
# Final Portfolio Value: 97060.30

News Sentiment Strategy

Use Tesla (TSLA) stock from yahoo finance and news articles from Business Times

from fastquant import get_yahoo_data, get_bt_news_sentiment
data = get_yahoo_data("TSLA", "2020-01-01", "2020-07-04")
sentiments = get_bt_news_sentiment(keyword="tesla", page_nums=3)
backtest("sentiment", data, sentiments=sentiments, senti=0.2)

# Starting Portfolio Value: 100000.00
# Final Portfolio Value: 313198.37

Multi Strategy

Multiple registered strategies can be utilized together in an OR fashion, where buy or sell signals are applied when at least one of the strategies trigger them.

df = get_stock_data("JFC", "2018-01-01", "2019-01-01")

# Utilize single set of parameters
strats = { 
    "smac": {"fast_period": 35, "slow_period": 50}, 
    "rsi": {"rsi_lower": 30, "rsi_upper": 70} 
} 
res = backtest("multi", df, strats=strats)
res.shape
# (1, 16)


# Utilize auto grid search
strats_opt = { 
    "smac": {"fast_period": 35, "slow_period": [40, 50]}, 
    "rsi": {"rsi_lower": [15, 30], "rsi_upper": 70} 
} 

res_opt = backtest("multi", df, strats=strats_opt)
res_opt.shape
# (4, 16)

See more examples here.