qnt/strategy.ipynb

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    "when you "
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    "import xarray as xr\n",
    "\n",
    "import qnt.ta as qnta\n",
    "import qnt.backtester as qnbt\n",
    "import qnt.data as qndata\n",
    "\n",
    "\n",
    "def load_data(period):\n",
    "    return qndata.futures_load_data(tail=period)\n",
    "\n",
    "\n",
    "def strategy(data):\n",
    "    close = data.sel(field='close')\n",
    "    sma200 = qnta.sma(close, 200).isel(time=-1)\n",
    "    sma20 = qnta.sma(close, 20).isel(time=-1)\n",
    "    return xr.where(sma200 < sma20, 1, 0)\n",
    "\n",
    "\n",
    "qnbt.backtest(\n",
    "    competition_type=\"futures\",\n",
    "    load_data=load_data,\n",
    "    lookback_period=365,\n",
    "    test_period=15*365,\n",
    "    strategy=strategy\n",
    ")"
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   "source": [
    "import xarray as xr\n",
    "import numpy as np\n",
    "\n",
    "import qnt.ta as qnta\n",
    "import qnt.backtester as qnbt\n",
    "import qnt.data as qndata\n",
    "\n",
    "\n",
    "def load_data(period):\n",
    "    futures = qndata.futures_load_data(tail=period)\n",
    "    crypto = qndata.crypto_load_data(tail=period)\n",
    "    return { \"futures\": futures, \"crypto\": crypto }, futures.time.values\n",
    "\n",
    "\n",
    "def window(data, max_date: np.datetime64, lookback_period:int):\n",
    "    min_date = max_date - np.timedelta64(lookback_period,'D')\n",
    "    return {\n",
    "        \"futures\":data['futures'].sel(time=slice(min_date,max_date)),\n",
    "        \"crypto\":data['crypto'].sel(time=slice(min_date,max_date)),\n",
    "    }\n",
    "\n",
    "\n",
    "def strategy(data):\n",
    "    close = data['futures'].sel(field='close')\n",
    "    sma200 = qnta.sma(close, 200).isel(time=-1)\n",
    "    sma20 = qnta.sma(close, 20).isel(time=-1)\n",
    "    return xr.where(sma200 < sma20, 1, 0)\n",
    "\n",
    "\n",
    "qnbt.backtest(\n",
    "    competition_type=\"futures\",\n",
    "    load_data=load_data,\n",
    "    lookback_period=365,\n",
    "    test_period=2*365,\n",
    "    strategy=strategy,\n",
    "    window=window\n",
    ")"
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