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

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

backtest kalman-filter pairs-trading python stock

Last synced: 5 days ago
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stock-pairs-trading is a python library for backtest with stock pairs trading using kalman filter on Python 3.8 and above.

Host: GitHub
URL: https://github.com/10mohi6/stock-pairs-trading-python
Owner: 10mohi6
License: mit
Created: 2022-09-17T12:28:43.000Z (over 2 years ago)
Default Branch: main
Last Pushed: 2023-09-19T11:26:04.000Z (over 1 year ago)
Last Synced: 2024-12-31T07:13:59.274Z (27 days ago)
Topics: backtest, kalman-filter, pairs-trading, python, stock
Language: Python
Homepage:
Size: 93.8 KB
Stars: 36
Watchers: 2
Forks: 11
Open Issues: 1
Metadata Files:
- Readme: README.md
- License: LICENSE.txt

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README

        # stock-pairs-trading

[![PyPI](https://img.shields.io/pypi/v/stock-pairs-trading)](https://pypi.org/project/stock-pairs-trading/)

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

[![codecov](https://codecov.io/gh/10mohi6/stock-pairs-trading-python/branch/main/graph/badge.svg?token=DukbkJ6Pnx)](https://codecov.io/gh/10mohi6/stock-pairs-trading-python)

[![Build Status](https://app.travis-ci.com/10mohi6/stock-pairs-trading-python.svg?branch=main)](https://app.travis-ci.com/10mohi6/stock-pairs-trading-python)

[![PyPI - Python Version](https://img.shields.io/pypi/pyversions/stock-pairs-trading)](https://pypi.org/project/stock-pairs-trading/)

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

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

## Installation

    $ pip install stock-pairs-trading

## Usage

### find pairs

```python

from stock_pairs_trading import StockPairsTrading

spt = StockPairsTrading(

    start="2007-12-01",

    end="2017-12-01",

)

r = spt.find_pairs(["AAPL", "ADBE", "MSFT", "IBM"])

print(r)

```

```python

[('ADBE', 'MSFT')]

```

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

### backtest

```python

from pprint import pprint

from stock_pairs_trading import StockPairsTrading

spt = StockPairsTrading(

    start="2007-12-01",

    end="2017-12-01",

)

r = spt.backtest(('ADBE', 'MSFT'))

pprint(r)

```

```python

{'cointegration': 0.0018311528816901195,

 'correlation': 0.9858057442729853,

 'maximum_drawdown': 34.801876068115234,

 'profit_factor': 1.1214715644744209,

 'riskreward_ratio': 0.8095390763424627,

 'sharpe_ratio': 0.03606830691295276,

 'total_profit': 35.97085762023926,

 'total_trades': 520,

 'win_rate': 0.5807692307692308}

```

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

### latest signal

```python

from pprint import pprint

from stock_pairs_trading import StockPairsTrading

spt = StockPairsTrading(

    start="2007-12-01",

    end="2017-12-01",

)

r = spt.latest_signal(("ADBE", "MSFT"))

pprint(r)

```

```python

{'ADBE Adj Close': 299.5,

 'ADBE Buy': True, # entry buy

 'ADBE Cover': False, # exit buy

 'ADBE Sell': False, # entry sell

 'ADBE Short': False, # exit sell

 'MSFT Adj Close': 244.74000549316406,

 'MSFT Buy': False, # entry buy

 'MSFT Cover': False, # exit buy

 'MSFT Sell': True, # entry sell

 'MSFT Short': False, # exit sell

 'date': '2022-09-16',

 'zscore': -36.830427514962274}

```

## Advanced Usage

```python

from pprint import pprint

from stock_pairs_trading import StockPairsTrading

spt = StockPairsTrading(

    start="2007-12-01",

    end="2017-12-01",

    outputs_dir_path = "outputs",

    data_dir_path = "data",

    column = "Adj Close",

    window = 1,

    transition_covariance = 0.01,

)

r = spt.backtest(('ADBE', 'MSFT'))

pprint(r)

```