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67 lines
1.9 KiB
Python
67 lines
1.9 KiB
Python
"""Mean Reversion -- EMA crossover long/short.
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Demonstrates:
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- EMA crossover signal
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- Long and short positions
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- Continuous sizing (signal * 0.25)
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Usage:
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python examples/02_mean_reversion.py
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"""
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import os
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import time
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import manifoldbt as mbt
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from manifoldbt.indicators import close, ema
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from manifoldbt.helpers import time_range, Slippage, Interval
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# -- Indicators ---------------------------------------------------------------
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fast = ema(close, 12)
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slow = ema(close, 26)
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# -- Strategy -----------------------------------------------------------------
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signal = mbt.when(fast > slow, 1.0, -1.0)
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strategy = (
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mbt.Strategy.create("ema_crossover")
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.signal("fast", fast)
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.signal("slow", slow)
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.size(signal * 0.25)
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.describe("EMA 12/26 crossover")
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)
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# -- Config -------------------------------------------------------------------
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start, end = time_range("2021-01-01", "2026-01-01")
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config = mbt.BacktestConfig(
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universe={"binance": ["BTC-USDT:perp"]},
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time_range_start=start,
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time_range_end=end,
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bar_interval=Interval.hours(12),
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initial_capital=10_000,
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execution=mbt.ExecutionConfig(
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allow_short=True,
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max_position_pct=0.5,
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),
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fees=mbt.FeeConfig.binance_perps(),
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slippage=Slippage.fixed_bps(2),
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warmup_bars=30,
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)
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# -- Run ----------------------------------------------------------------------
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if __name__ == "__main__":
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root = os.path.join(os.path.dirname(__file__), "..")
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data_root = os.path.abspath(os.path.join(root, "data"))
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store = mbt.DataStore(
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data_root=data_root,
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metadata_db=os.path.abspath(os.path.join(root, "metadata", "metadata.sqlite")),
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arrow_dir=os.path.join(data_root, "mega"),
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)
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t0 = time.perf_counter()
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result = mbt.run(strategy, config, store)
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elapsed = time.perf_counter() - t0
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print(result.summary())
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print(f"\nElapsed: {elapsed:.3f}s")
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mbt.plot.summary(result)
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