allensmile/pysystemtrade

Systematic Trading in python

pysystemtrade

Systematic Trading in python

Rob Carver

http://qoppac.blogspot.co.uk/p/pysystemtrade.html

Version 0.13.0

20170109

Release notes

See DONE_TO_DO for release notes, and future plans.

Description

pysystem trade is the open source version of my own backtesting engine that implements systems according to the framework outlined in my book "Systematic Trading", which is further developed on my blog.

For a longer explanation of the motivation and point of this project see my blog post.

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 qoppac.blogspot.co.uk

Use and documentation

Introduction (start here)

User guide

Dependencies

Python 3.x, pandas, matplotlib, pyyaml, numpy, scipy See requirements.txt for full details.

Make sure you get the python3 versions of the relevant packages, i.e. use:

sudo pip3 install ....

Installation

This package isn't hosted on pip. So to get the code the easiest way is to use git:

git clone https://github.com/robcarver17/pysystemtrade.git

A setup.py file is provided, however as the installation is trivial this shouldn't be neccessary. Just add the relevant ibsystemtrade directory to the path that python searches in, and off you go.

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. If you discover a bug please include:

• The full script that produces the error, including all import statements, or if it's a standard example file a pointer to the file. Ideally this should be a "minimal example" - the shortest possible script that produces the problem.
• Versions of any neccessary libraries you have installed
• The full output trace including the error messages

If you don't include the information above I will close the issue and then ignore it.

I'll try and incorporate any feedback into the code, but this is a part time (and unpaid!) 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.

Licensing and legal stuff

GNU v3 ( See LICENSE )

Absolutely no warranty is implied with this product. Use at your own risk. I provide no guarantee that it will be profitable, or that it won't lose all your money very quickly, or delete every file on your computer (by the way: it's not supposed to do that. Just in case you thought it was.).