https://github.com/10mohi6/jquants-pairs-trading-python

jquants-pairs-trading is a python library for backtest with japanese stock pairs trading using kalman filter, J-Quants on Python 3.8 and above.
https://github.com/10mohi6/jquants-pairs-trading-python

backtest j-quants japanese-stock jquants kalman-filter pairs-trading python

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jquants-pairs-trading is a python library for backtest with japanese stock pairs trading using kalman filter, J-Quants on Python 3.8 and above.

• Host: GitHub
• URL: https://github.com/10mohi6/jquants-pairs-trading-python
• Owner: 10mohi6
• License: mit
• Created: 2023-10-11T06:58:13.000Z (over 1 year ago)
• Default Branch: main
• Last Pushed: 2023-10-30T14:25:52.000Z (about 1 year ago)
• Last Synced: 2025-01-08T16:14:47.117Z (18 days ago)
• Topics: backtest, j-quants, japanese-stock, jquants, kalman-filter, pairs-trading, python
• Language: Python
• Homepage:
• Size: 218 KB
• Stars: 4
• Watchers: 1
• Forks: 1
• Open Issues: 0
• Metadata Files:
  • Readme: README.md

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README

        
# jquants-pairs-trading

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[![License: MIT](https://img.shields.io/badge/License-MIT-yellow.svg)](https://opensource.org/licenses/MIT)

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[![Downloads](https://pepy.tech/badge/jquants-pairs-trading)](https://pepy.tech/project/jquants-pairs-trading)

jquants-pairs-trading is a python library for backtest with japanese stock pairs trading using kalman filter, J-Quants on Python 3.8 and above.

## Installation

    $ pip install jquants-pairs-trading

## Usage

### find pairs

```python

from jquants_pairs_trading import JquantsPairsTrading

import pprint

jpt = JquantsPairsTrading(

    mail_address="",

    password="",

)

pprint.pprint(jpt.find_pairs([3382, 4063, 4502]))

```

![pairs.png](https://raw.githubusercontent.com/10mohi6/jquants-pairs-trading-python/main/tests/pairs.png)

```python

[('3382', '4502')]

```

### backtest

```python

from jquants_pairs_trading import JquantsPairsTrading

import pprint

jpt = JquantsPairsTrading(

    mail_address="",

    password="",

)

pprint.pprint(jpt.backtest((3382, 4502)))

```

![performance.png](https://raw.githubusercontent.com/10mohi6/jquants-pairs-trading-python/main/tests/performance.png)

```python

{'cointegration': '0.016',

 'correlation': '0.814',

 'maximum_drawdown': '443.000',

 'profit_factor': '1.654',

 'riskreward_ratio': '1.081',

 'sharpe_ratio': '0.183',

 'total_profit': '2184.000',

 'total_trades': '86.000',

 'win_rate': '0.605'}

```

### latest signal

```python

from jquants_pairs_trading import JquantsPairsTrading

import pprint

jpt = JquantsPairsTrading(

    mail_address="",

    password="",

)

pprint.pprint(jpt.latest_signal((6954, 6981)))

```

```python

{'6954 buy': True,

 '6954 close': '4348.000',

 '6954 long': False,

 '6954 sell': False,

 '6954 short': False,

 '6981 buy': False,

 '6981 close': '2775.000',

 '6981 long': False,

 '6981 sell': True,

 '6981 short': False,

 'date': '2023-07-31'}

```

### advanced

```python

from jquants_pairs_trading import JquantsPairsTrading

import pprint

jpt = JquantsPairsTrading(

    mail_address="",

    password="",

    window=1,

    transition_covariance=0.01,

    pvalues=0.05,

    zscore=0.5,

)

pprint.pprint(jpt.find_pairs([3382, 4063, 4502]))

pprint.pprint(jpt.backtest((3382, 4502)))

pprint.pprint(jpt.latest_signal((6954, 6981)))

```

## Getting started

For help getting started with J-Quants, view our online [documentation](https://jpx-jquants.com/).