vskynet / algo-trader

Personal framework to run trading strategies with Backtrader

Aglo Trader

Intro

This is my repo for backtesting algorithmic trading strategies.

Implemented with Backtrader in Python.

Current Implemented Strategies

• Buy and Hold (BuyAndHold.py)
• Simple Moving Average Cross-Over (CrossOver.py)
• Leveraged ETF Pairs (LeveragedEtfPair.py)
• Pair Switching (PairSwitching.py)

Notes:

Pair Switching

This strategy has been successful for the ETF pairs MDY and TLT.

Backtest results:

2003 - 2013

Method	Value	SPY
Total Returns	525.71%	89.86%
Max Drawdown	16.28%	54.83%
CAGR	20.15%	6.63%
Sharpe	1.03988	0.24775
Sortino	1.52483	0.34871

2013 - 2018

Method	Value	SPY
Total Returns	55.83%	100.92%
Max Drawdown	9.76%	12.93%
CAGR	9.29%	14.99%
Sharpe	0.51831	0.95824
Sortino	0.72603	1.35337

2018 - YTD (09/04/2019)

Method	Value	SPY
Total Returns	14.64%	12.29%
Max Drawdown	12.05%	19.15%
CAGR	8.50%	7.19%
Sharpe	0.43412	0.30127
Sortino	0.58252	0.40374

MeanReversion

This strategy has been successful for the S&P 100 stocks.

Possible Enhancements:

Quantopian: Enhancing short term mean reversion strategies

• Filter out large 1-day news-realted moves
  • (Sort by 5d standard-deviation of returns)

Backtest results:

2013 - 2018 (60d lookback, 5d rebalance)

Method	Value	SPY
Total Returns	133.90%	96.88%
Max Drawdown	18.10%	13.04%
CAGR	17.54%	14.52%
Sharpe	0.97543	0.93255
Sortino	1.43594	1.32703

2018 - YTD (12/16/2019) (60d lookback, 5d rebalance)

Method	Value	OEF
Total Returns	33.29%	22.65%
Max Drawdown	20.20%	19.41%
CAGR	13.88%	11.03%
Sharpe	0.66737	0.53051
Sortino	0.94469	0.71488