Moonshot Strategy Code¶
The strategy code is provided in first_last.py.
Code highlights¶
In prices_to_signals, we extract the first half hour returns, including the overnight returns:
closes = prices.loc["Close"]
opens = prices.loc["Open"]
# Calculate first half-hour returns (including overnight return)
prior_closes = closes.xs('15:59:00', level="Time").shift()
ten_oclock_prices = opens.xs('10:00:00', level="Time")
first_half_hour_returns = (ten_oclock_prices - prior_closes) / prior_closes
Then calculate the penultimate half-hour returns:
# Calculate penultimate half-hour returns
fifteen_oclock_prices = opens.xs('15:00:00', level="Time")
fifteen_thirty_prices = opens.xs('15:30:00', level="Time")
penultimate_half_hour_returns = (fifteen_thirty_prices - fifteen_oclock_prices) / fifteen_oclock_prices
We go long when both returns are positive and short when both are negative:
# long when both are positive, short when both are negative
long_signals = (first_half_hour_returns > 0) & (penultimate_half_hour_returns > 0)
short_signals = (first_half_hour_returns < 0) & (penultimate_half_hour_returns < 0)
This strategy is an example of an intraday strategy that only trades once a day. Accordingly, we utilize the convention of "reducing" the intraday DataFrame of prices to a daily DataFrame of signals through the use of the Pandas method .xs(), which isolates a particular time and in so doing drops the Time level from the index. See the usage guide for more details on the different conventions you can use for intraday strategies that trade once-a-day vs throughout-the-day.
Install strategy file¶
Moonshot looks for strategies inside the "moonshot" directory, so execute the following cell to "install" the strategy by moving the file to that location:
# make directory if doesn't exist
!mkdir -p /codeload/moonshot
!mv first_last.py /codeload/moonshot/
Run backtest¶
Next we can run the backtest:
from quantrocket.moonshot import backtest
backtest("first-last", filepath_or_buffer="first_last.csv")
And view the performance. Most of the strategy's profitability came during the financial crisis.
from moonchart import Tearsheet
Tearsheet.from_moonshot_csv("first_last.csv")
