Backtesting

Technical analysis library

Backtesting in qi uses the qi-ta library, which is a thin q wrapper around the widely used ta-lib. Functions like bbands and atr are drawn from here.

QSharpe

For backtesting, qi has its own Domain Specific Language (DSL) called qsharpe. Below is a sample qsharpe (.qs) file:

/ strategies/mr1/logic.qs

params:
  bb_n, bb_sd, atr_n, atr_mult

indicators:
  bb  = bbands(close, bb_n, bb_sd, bb_sd, 0)
  vol = atr(atr_n)
  is_oversold = close < bb.lower
  vol_filter  = vol > sma(vol, 50) 

enter:
  is_oversold
  vol_filter

exits:
  stop_loss:
    price: entry_price - (vol * atr_mult)
  
  take_profit:
    price: bb.mid

  stale_exit:
    bars_since_entry > 30
    upnl_r <= 0.5

Parameters

Paramaters are stored in .params files, and have the same structure as .conf files, e.g.

asset=SPY
interval=15
warmup=200
bb_n=20
bb_sd=2.0
atr_n=14
atr_mult=3.0

Folder structure

In any given qi project, qi expects strategies to be stored in a strategies folder, under which are folders named after each strategy:

strategies/mr1/
 			  |- logic.qs
 			  |- v1.params
 			  |- v2.params

Running a strategy

To run a strategy do: q qi.q -strat mr1 -params v1 The -params argument is not required if there is only one .params file.

Shared logic

The folder strategies/common is reserved for functionality that can be used by all strategies. Under common, there can be two folders:

lib - for .qs files with common logic
params - common parameters

Example using shared logic

If we imagine that we have created the following shared folder:

strategies/common/params/
 			  			|- defaults.params
 			  			|- passive.params
 			  			|- aggressive.params

We can then create the following:

strategies/mr2/
 			  |- logic.qs

and run q qi.q -strat mr2 which will use defaults.params from common, or we can do: q qi.q -strat mr2 -params passive Note: in this second case, defaults will still be used, but will be overriden by passive. If we now create a local params file so that we have:

strategies/mr2/
 			  |- logic.qs
 			  |- custom.qs

and we now do q qi.q -strat mr2 The order of params files being loaded is:

common/params/defaults.params
mr2/custom.qs

Getting Started

Using qi

Reference

Backtesting

Technical analysis library

QSharpe

Parameters

Folder structure

Running a strategy

Shared logic

Example using shared logic

​Technical analysis library

​QSharpe

​Parameters

​Folder structure

​Running a strategy

​Shared logic

​Example using shared logic

Technical analysis library

QSharpe

Parameters

Folder structure

Running a strategy

Shared logic

Example using shared logic