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quality-momentum

Sandbox for playing around with quality momentum

Docker instructions for running bot components

cp .env.template .env Edit your newly created .env file with your Quandl API Key. This file will be copied into your Dockerfile.

DISCLAIMER: If distributing docker image, we'll need to rework secrets/config.

Explore the Makefile for all availabe build actions. Most commands are simple wrappers around docker-compose.

# Run a jupyter notebook
make run
# Navigate to http://127.0.0.1:8888

# Pre-cache data from AWS S3 to improve backtesting performance
make cache S3_BUCKET=prod-stock-universe DATA_DIR=s3_data/

# Kill jupyter server
make stop

# Run test suite
make test

Editor Support

NOTE: Only VSCode has optimized workflows for common tasks such as breakpoint support within the docker container, running individual tests, etc., Many of these workflows can be optimized in other IDEs.

VSCode

Below you can find a sample tasks.json and launch.json file that provides some handy utilities for local development. The docker-run: debug task will

  1. build an image that runs a debugpy server
  2. run a container based on that image that runs pytest

From here you can run the `Python: Remotee Attach" debugger and hit breakpoints within your testing suite.

NOTE: I'm unable to get the launch.json "Python: Remote Attach" configuration to successfully run the docker-run: debug as a preLaunchTask. I hope to resolve this issue so that upon running this debugger, an up to date container will automatically run, allowing pytest suite to be ran on the active file 🙏🏼🙏🏼🙏🏼

tasks.json

{
	"version": "2.0.0",
	"tasks": [
		{
			"type": "docker-build",
			"label": "docker-build: debug",
			"dockerBuild": {
				"tag": "qualitymomentum:debugger",
				"dockerfile": "${workspaceFolder}/Dockerfile",
				"context": "${workspaceFolder}",
				"target": "debugger"
			}
		},
		{
			"type": "docker-run",
			"label": "docker-run: debug",
			"dependsOn":["docker-build: debug"],
			"dockerRun": {
				"image": "qualitymomentum:debugger",
				"command": "pytest ./tests",
				"ports": [
					{
						"containerPort": 5678,
						"hostPort": 5678
					}
				],
			}
		}
	]
}

launch.json

{
	"version": "0.2.0",
	"configurations": [
		{
			"name": "Python: Remote Attach",
			"type": "python",
			"request": "attach",
			"connect": {
				"host": "localhost",
				"port": 5678
			},
			"pathMappings": [
				{
					"localRoot": "${workspaceFolder}",
					"remoteRoot": "."
				}
			]
		}
	]
}

Initial results from 30-year backtest

|Strategy |Compound Annual Growth Rate (CAGR)|Sharpe Ratio| |-----------------------------------------------------------------------------| |QM-15th Percentile Market Cap|15.521% |0.60 | |QM-30th Percentile Market Cap|19.577% |0.69 | |QM-40th Percentile Market Cap|19.519% |0.69 | |QM-60th Percentile Market Cap|19.577% |0.69 | |QM-90th Percentile Market Cap|19.577% |0.69 | |S&P 500 |9.92% |0.41 |