Moonshot Futures download_history_file() w/ Moonshot

Technical Help
#1

Preface, if there is a better way to solve 1 & 2 in a Moonshot backtest, I'm not tied to either attempt below.

I need 2 pieces within Moonshot Futures:

  1. Rolls are stitched together (which download_history_file does nicely).
  2. The index is DatetimeIndex, not a tz-aware index that download_history_file gives.

Doing the below I get a resultant df:

def prices_to_signals(self, prices):
    
    from quantrocket.history import download_history_file
    download_history_file("es-1hr", 
                          filepath_or_buffer="es-1hr.csv", 
                          fields=["Close"],
                          cont_fut="concat")
    
    df_es = pd.read_csv('es-1hr.csv')
    df_es["Date"] = pd.to_datetime(df_es['Date'], 
                           infer_datetime_format=True, 
                           utc=True).dt.strftime('%Y-%m-%d %H:%M:%S')
    
    # redefine prices
    prices = df_es[["Date", "Close"]]
    prices.index = prices["Date"]
    prices.index = pd.to_datetime(prices.index)
    closes = prices.drop(["Date"], axis=1)

image

This effectively solves 1 & 2 but requires quite a bit of manipulation to download a csv file then re-upload. And it requires all future prices dataframes to need it, as in positions_to_gross_returns. Then the backtest functionality throws errors.

Alternatively, if using the prices df directly you can satisfy the DatetimeIndex requirement but not the stitching (without manually coding which is what cont_fut='concat' is useful for).

from quantrocket import get_prices
prices = get_prices("es-1hr", fields=["Close"], start_date='2020-01-01', end_date='2020-12-24')
prices = prices.loc["Close"]
prices = prices.reset_index(level=[0,1])
prices[["Date", "Time"]] = prices[["Date", "Time"]].astype(str)
prices.index = pd.to_datetime(prices['Date'] + " " + prices['Time'])
prices = prices.drop(["Date", "Time"], axis=1)

image
image1682×396 18.1 KB

#2

Check out the CONT_FUT parameter on Moonshot:

https://www.quantrocket.com/docs/api/#moonshot.Moonshot

Pass cont_fut="concat" to prices_to_signals?
#3

CONT_FUT='concat' did the trick.
For anyone else, I had to make a few adjustments to have a specific DateTimeindex rather than a MultiIndex:

class MyClassName(Moonshot):

    CODE = "my-strategy"
    DB = "es-1hr"
    FIELDS=["Close"]
    CONT_FUT='concat'

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

        closes['Date&Time'] = pd.to_datetime(closes['Date'].astype(str) + '/' + closes['Time'].astype(str))
        closes = closes.set_index('Date&Time').drop(['Date','Time'], axis=1)

closes.tail()
image

1 Like