jquants-pairs-trading


Namejquants-pairs-trading JSON
Version 0.1.2 PyPI version JSON
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Summaryjquants-pairs-trading is a python library for backtest with japanese stock pairs trading using kalman filter, J-Quants on Python 3.8 and above.
upload_time2023-10-30 14:27:53
maintainer
docs_urlNone
author
requires_python>=3.8
license
keywords pairs trading backtest kalman filter python japanese stock j-quants jquants
VCS
bugtrack_url
requirements certifi charset-normalizer contourpy coverage cycler exceptiongroup fonttools idna importlib-resources iniconfig jquants-api-client kiwisolver matplotlib numpy packaging pandas patsy Pillow pluggy pykalman-bardo pyparsing pytest pytest-cov pytest-mock python-dateutil pytz requests scipy seaborn six statsmodels tenacity tomli types-python-dateutil types-requests types-urllib3 tzdata urllib3 zipp
Travis-CI No Travis.
coveralls test coverage No coveralls. 
            # jquants-pairs-trading

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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.


## Installation

    $ pip install jquants-pairs-trading

## Usage

### find pairs

```python
from jquants_pairs_trading import JquantsPairsTrading
import pprint

jpt = JquantsPairsTrading(
    mail_address="<your J-Quants mail address>",
    password="<your J-Quants 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="<your J-Quants mail address>",
    password="<your J-Quants 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="<your J-Quants mail address>",
    password="<your J-Quants 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="<your J-Quants mail address>",
    password="<your J-Quants 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/).

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