Eventually pysystemtrade will include the following:
- Backtesting enviroment that will work out of the box for the three examples in "Systematic Trading"
- Implement all the optimisation and system design principles in the book.
- Complete implementation of a fully automated system for futures trading (for interactive brokers only), including regularly updated data
- Code to run the present, and future, examples on my blog (i.e. it will replace systematictradingexamples.
Relevant blog posts
Original motivating post
Estimating forecast scalars
Instruments weights, correlations, and diversification multipliers
Optimising in the presence of costs
The breakout trading rule
A note on support
This is an open source project, designed for people who are already comfortable using and writing python code, are capable of installing the dependencies, and who want a head start on implementing a system of their own. I do not have the time to provide support. Of course I am very happy if you get in touch with me on any of the following topics:
- Confusing error messages
- Missing or misleading documentation
- Suggestions for extra features
However I can't guarantee that I will reply immediately, or at all. If you need that level of support then you are better off with another project. The most efficient way of doing this is by opening an issue on github.
I'll try and incorporate any feedback into the code, but this is a part time venture for me, and it will be competing with my other interests (writing books, blogging and research). But if you occasionally check github you will hopefully find it gradually improving. Offers to contribute will of course be gratefully accepted.
A very quick demo
There is a long demo, and an even longer user guide, in the repo so I don't need to repeat them here. Instead here is how you'd simulate the system in chapter 15 of my book, in three lines:
from systems.provided.futures_chapter15.basesystem import futures_system
from matplotlib.pyplot import show
system = futures_system()
|The account curve for the system in chapter 15 of my book. Sharpe Ratio 0.48