Awesome Open Source
Awesome Open Source

Moonshot

Moonshot is a backtester designed for data scientists, created by and for QuantRocket.

Key features

Pandas-based: Moonshot is based on Pandas, the centerpiece of the Python data science stack. If you love Pandas you'll love Moonshot. Moonshot can be thought of as a set of conventions for organizing Pandas code for the purpose of running backtests.

Lightweight: Moonshot is simple and lightweight because it relies on the power and flexibility of Pandas and doesn't attempt to re-create functionality that Pandas can already do. No bloated codebase full of countless indicators and models to import and learn. Most of Moonshot's code is contained in a single Moonshot class.

Fast: Moonshot is fast because Pandas is fast. No event-driven backtester can match Moonshot's speed. Speed promotes alpha discovery by facilitating rapid experimentation and research iteration.

Multi-asset class, multi-time frame: Moonshot supports end-of-day and intraday strategies using equities, futures, and FX.

Machine learning support: Moonshot supports machine learning and deep learning strategies using scikit-learn or Keras.

Live trading: Live trading with Moonshot can be thought of as running a backtest on up-to-date historical data and generating a batch of orders based on the latest signals produced by the backtest.

No black boxes, no magic: Moonshot provides many conveniences to make backtesting easier, but it eschews hidden behaviors and complex, under-the-hood simulation rules that are hard to understand or audit. What you see is what you get.

Example

A basic Moonshot strategy is shown below:

from moonshot import Moonshot

class DualMovingAverageStrategy(Moonshot):

    CODE = "dma-tech"
    DB = "tech-giants-1d"
    LMAVG_WINDOW = 300
    SMAVG_WINDOW = 100

    def prices_to_signals(self, prices):
        closes = prices.loc["Close"]

        # Compute long and short moving averages
        lmavgs = closes.rolling(self.LMAVG_WINDOW).mean()
        smavgs = closes.rolling(self.SMAVG_WINDOW).mean()

        # Go long when short moving average is above long moving average
        signals = smavgs > lmavgs

        return signals.astype(int)

    def signals_to_target_weights(self, signals, prices):
        # spread our capital equally among our trades on any given day
        daily_signal_counts = signals.abs().sum(axis=1)
        weights = signals.div(daily_signal_counts, axis=0).fillna(0)
        return weights

    def target_weights_to_positions(self, weights, prices):
        # we'll enter in the period after the signal
        positions = weights.shift()
        return positions

    def positions_to_gross_returns(self, positions, prices):
        # Our return is the security's close-to-close return, multiplied by
        # the size of our position
        closes = prices.loc["Close"]
        gross_returns = closes.pct_change() * positions.shift()
        return gross_returns

See the QuantRocket docs for a fuller discussion.

Machine Learning Example

Moonshot supports machine learning strategies using scikit-learn or Keras. The model must be trained outside of Moonshot, either using QuantRocket or by training the model manually and persisting it to disk:

from sklearn.tree import DecisionTreeClassifier
import pickle

model = DecisionTreeClassifier()
X = np.array([[1,1],[0,0]])
Y = np.array([1,0])
model.fit(X, Y)

with open("my_ml_model.pkl", "wb") as f:
    pickle.dump(model, f)

A basic machine learning strategy is shown below:

from moonshot import MoonshotML

class DemoMLStrategy(MoonshotML):

    CODE = "demo-ml"
    DB = "demo-stk-1d"
    MODEL = "my_ml_model.pkl"

    def prices_to_features(self, prices):
        closes = prices.loc["Close"]
        # create a dict of DataFrame features
        features = {}
        features["returns_1d"]= closes.pct_change()
        features["returns_2d"] = (closes - closes.shift(2)) / closes.shift(2)
        # targets is used by QuantRocket for training model, can be None if using
        # an already trained model
        targets = closes.pct_change().shift(-1)
        return features, targets

    def predictions_to_signals(self, predictions, prices):
        signals = predictions > 0
        return signals.astype(int)

See the QuantRocket docs for a fuller discussion.

FAQ

Can I use Moonshot without QuantRocket?

Moonshot depends on QuantRocket for querying historical data in backtesting and for live trading. In the future we hope to add support for running Moonshot on a CSV of data to allow backtesting outside of QuantRocket.

See also

Moonchart is a companion library for creating performance tear sheets from a Moonshot backtest.

License

Moonshot is distributed under the Apache 2.0 License. See the LICENSE file in the release for details.



Alternative Project Comparisons
Related Awesome Lists
Top Programming Languages
Top Projects

Get A Weekly Email With Trending Projects For These Topics
No Spam. Unsubscribe easily at any time.
Python (836,862
Learning (75,817
Pandas (6,833
Trading (5,827
Scikit Learn (2,435
Algorithmic Trading (691
Backtesting (544
Quantitative Finance (411
Backtest (372
Trading Platform (270
Interactive Brokers (80