Additional apps

Optimizer

The optimizer application is a tool for back-testing strategy with different parameters in parallel. optimizer helps select the best hyper-parameters for a strategy.

How-To

To use the optimizer application, a new section should be added to the tradeplan.toml file:

# This is a TOML configuration file.
portfolio_value = 25000

[strategies]

[strategies.TrendFollow]
debug = true
filename = "/Users/amichayoren/dev/trades/strats/trendfollow.py"
index = 'SP500'
portfolio_id = "2b94a5c6-4ccf-480c-91cd-71cdeacf158c"
rank_days = 90
rebalance_rate = "daily"
reinvest = true
stock_count = 10

[optimizer]
end_date = '2021-06-19'
start_date = '2021-01-01'

[optimizer.parameters.strategies.TrendFollow]
portfolio_id = {param_type = 'portfolio', size = 10000, credit = 1000}

[optimizer.hyperparameters.strategies.TrendFollow]
stock_count = {param_type = 'int', min = 5, max = 15}

• Note the [optimizer] section is added to the tradeplan.toml file,
• start_date & end_date specify the time-window for back-testing,
• The optimizer always runs in daily time-scale,

Parameters and Hyper-parameters

The optimizer application supports two different types of configuration-space constructs: Parameters and Hyper-Parameters.

Parameters are meta-instructions for generating configurations for strategies, that are calculated per back-testing step. In contrast, Hyper-Parameters is a configuration space spanning a product of all possible values for each Hyper-Parameter.

Usage

To run the optimizer application, simply type:

optimizer

The application will read the tradeplan.toml file and spawn process for back-testing the different configurations.

Model

Each optimizer execution generates a UUID representing a unique execution identification. Each back-test will generate its own batch-id. The relationship between the optimizer execution id, batch-ids and the hyper-parameters configurations is stored in the OPTIMIZER_RUN database table.

Analysis

A dedicated Jupyter Notebook (see the analysis section) allows loading and comparing performance of different configurations.

Parallel execution

Similar to trader application, optimizer supports multi-processing execution to optimize run times. By default the optimizer executes 4 processes, however that may be changed by specifying the –concurrency parameter.

Portfolio

The Portfolio app uses Google Fire infrastructure for CLI development.

The application provides means to creating portfolios, summarizing current portfolio status in a neat table, displaying the cash account transactions, as well as a re-processing tool.

Usage

To see the different commands of the portfolio application, type:

portfolio --help

Create Portfolio

To create a new portfolio, type:

portfolio create <portfolio cash amount> <credit line>

For example, running the below creates a new portfolio, with a cash account of $10,000 and a credit line of $1,000.

portfolio create 10000 1000

Re-processing

The cash account is updated with every trade. Normally, there will not be a need to re-calculate the cash requests from the account. In some cases, however, where manual intervention is required, it may be helpful to re-calculate the cash transaction.

WARNING: This operation is irreversible!

To create a recalculated portfolio, type:

portfolio recalc <portfolio-id>