AutoQuant 1.1.1

Description:

AutoQuant 1.1.1

AutoQuant
AutoQuant is an out-of-the-box quantitative investment platform.
It contains the full ML pipeline of data processing, strategy building(includes AI & traditionals), back-testing, and covers the entire chain of quantitative investment: alpha seeking, risk modeling, portfolio optimization, and order execution.
With AutoQuant, users can easily try ideas to create better Quant investment strategies.

AutoQuant
Quick Start

Installation
Data Preparation
Backtest


Advanced Topics

Market
Index
Indicators

Specific Indicators
Backtrader Indicators


Metrics

Specific Metrics
TA-Lib Metrics


Providers

Price Provider

Provides List
API


Financial Statement Provider

Provides List
API


Index Provider

Provides List
API






Contribution Guide

Test

Test all
Test specified test


Development

Generate Requirements
Package Update





Quick Start
Installation
pip install --upgrade autoquant

Data Preparation
from autoquant.collector import Collector
from autoquant import Market
from datetime import date

collector = Collector.default()

data = collector.daily_prices(
market=Market.SZ,
code='002594',
start=date(2021, 11, 1),
end=date(2021, 11, 5)
)

data = collector.quarter_statement(
market=Market.SH,
code='601318',
quarter=date(2021, 9, 30)
)


Backtest
from autoquant.collector import Collector
from autoquant.workflow import Workflow
from autoquant.broker import Broker
from autoquant import Market
from datetime import date

from autoquant.workflow import Workflow
from autoquant.strategy import MA_CrossOver


class SmaCross(MA_CrossOver):
params = dict(fast=5, slow=20)


collector = Collector.default()
broker = Broker.default(kick_start=100000, commission=0.01)

data = collector.daily_prices(market=Market.SZ, code='002594', start=date(2020, 1, 1), end=date(2021, 11, 1))
w = Workflow().with_broker(broker).with_strategy(SmaCross).backtest(data)

w.visualize()

Advanced Topics
Market
AutoQuant support Shanghai, Shenzhen, HongKong and US markets now.
Use Market Enum in codes:
from autoquant import Market

Market.SZ
Market.SH
Market.HK
Market.CN
Market.US

Index
AutoQuant support the indexes in multiple markets now.
Use StocksIndex Enum in codes:
from autoquant import StocksIndex

StocksIndex.ZZ500
StocksIndex.HS300
StocksIndex.SZ50

Use FundsIndex Enum in codes:
from autoquant import FundsIndex

FundsIndex.CN_ALL
FundsIndex.CN_ETF
FundsIndex.CN_QDII
FundsIndex.HUAXIA_SECTOR_ETF

Indicators
Specific Indicators

ParityIndex
AdjustedMomentum

Backtrader Indicators
All the indicators in Backtrader are available in AutoQuant.
For Example, if you were using the indicators of Backtrader like this:
from backtrader.indicators import Momentum

You can simply change the import sentence to use the indicators in AutoQuant. The codes would be:
from autoquant.indicators import Momentum

Metrics
Specific Metrics

Gross Rate Of Return
CAGR(Compound Annual Growth Rate)

TA-Lib Metrics
All the metrics in TA-Lib are available in AutoQuant.
For Example, if you were using the metrics of TA-Lib like this:
from talib import SMA

close = numpy.random.random(100)
output = MOM(close, timeperiod=5)

You can simply change the import sentence to use the metrics in AutoQuant. The codes would be:
from AutoQuant import SMA

close = numpy.random.random(100)
output = MOM(close, timeperiod=5)

Providers
Price Provider
Provides List

BaostockProvider
TushareProvider
EastmoneyProvider

API
def daily_prices(self, market: Market, code: str, start: date, end: date, **kwargs)

Financial Statement Provider
Provides List

SnowballProvider

API
def quarter_statement(self, market: Market, code: str, quarter: date, **kwargs)

def yearly_balance_sheet(self, market: Market, code: str, years: list, **kwargs)

def yearly_income_sheets(self, market: Market, code: str, years: list, **kwargs)

def yearly_flow_sheets(self, market: Market, code: str, years: list, **kwargs)

Index Provider
Provides List

BaostockProvider
EastmoneyProvider

API
def stocks_of_index(self, index: StocksIndex, **kwargs)

def funds_of_index(self, index: FundsIndex, **kwargs)

Contribution Guide
Test
Test all
PYTHONPATH=./ pytest

Test specified test
PYTHONPATH=./ pytest tests/<YOUR_DISIRE_FILE>.py -k "<YOUR_DISIRE_TEST_CASE>" -s

Development
Generate Requirements
pipreqs ./ --encoding=utf8 --force

Package Update
python3 -m build
python3 -m twine upload dist/*