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abbass2 / pyqstrat

A fast, extensible, transparent python library for backtesting quantitative strategies.
BSD 3-Clause "New" or "Revised" License
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How to Create Contract Groups Iteratively? #24

Closed BlackArbsCEO closed 2 years ago

BlackArbsCEO commented 2 years ago

For example if you want to backtest a portfolio of 20 stocks how do you create the contract groups without hardcoding each one as you did in your example for the pair trading strategy?

ko_prices['timestamp'] = pd.to_datetime(ko_prices.date)
pep_prices['timestamp'] = pd.to_datetime(pep_prices.date)

timestamps = ko_prices.timestamp.values

ko_contract_group = pq.ContractGroup.create('KO')
pep_contract_group = pq.ContractGroup.create('PEP')
BlackArbsCEO commented 2 years ago

I might have an idea

abbass2 commented 2 years ago

A contract group is for grouping PNL, for example,grouping options with different strikes and maturities. If you want to track PNL for each stock separately, then you would create a contract group for each. In this case, I would just do it in a loop.

cgs = {} for name in [ 'AAPL', 'IBM', 'MSFT']: cgs[name] = pq.ContractGroup.create(name)

On Thu, Jan 13, 2022 at 1:14 PM Brian @.***> wrote:

I might have an idea

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