tutorial_2_simple_optimization.ipynb

{
 "cells": [
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "#%%\n",
    "\n",
    "import quantstats        as qs\n",
    "import yfinance          as yf\n",
    "import pandas            as pd\n",
    "import numpy             as np\n",
    "import matplotlib.pyplot as plt\n",
    "\n",
    "pd.options.mode.copy_on_write = True"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [
    {
     "name": "stderr",
     "output_type": "stream",
     "text": [
      "[*********************100%%**********************]  1 of 1 completed\n"
     ]
    },
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     "data": {
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       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>Open</th>\n",
       "      <th>High</th>\n",
       "      <th>Low</th>\n",
       "      <th>Close</th>\n",
       "      <th>Adj Close</th>\n",
       "      <th>Volume</th>\n",
       "      <th>Dividends</th>\n",
       "      <th>Stock Splits</th>\n",
       "      <th>Capital Gains</th>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Date</th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>1993-01-29</th>\n",
       "      <td>43.9688</td>\n",
       "      <td>43.9688</td>\n",
       "      <td>43.7500</td>\n",
       "      <td>43.9375</td>\n",
       "      <td>24.7637</td>\n",
       "      <td>1003200</td>\n",
       "      <td>0.0</td>\n",
       "      <td>0.0</td>\n",
       "      <td>0.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>1993-02-01</th>\n",
       "      <td>43.9688</td>\n",
       "      <td>44.2500</td>\n",
       "      <td>43.9688</td>\n",
       "      <td>44.2500</td>\n",
       "      <td>24.9399</td>\n",
       "      <td>480500</td>\n",
       "      <td>0.0</td>\n",
       "      <td>0.0</td>\n",
       "      <td>0.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>1993-02-02</th>\n",
       "      <td>44.2188</td>\n",
       "      <td>44.3750</td>\n",
       "      <td>44.1250</td>\n",
       "      <td>44.3438</td>\n",
       "      <td>24.9927</td>\n",
       "      <td>201300</td>\n",
       "      <td>0.0</td>\n",
       "      <td>0.0</td>\n",
       "      <td>0.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>1993-02-03</th>\n",
       "      <td>44.4062</td>\n",
       "      <td>44.8438</td>\n",
       "      <td>44.3750</td>\n",
       "      <td>44.8125</td>\n",
       "      <td>25.2569</td>\n",
       "      <td>529400</td>\n",
       "      <td>0.0</td>\n",
       "      <td>0.0</td>\n",
       "      <td>0.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>1993-02-04</th>\n",
       "      <td>44.9688</td>\n",
       "      <td>45.0938</td>\n",
       "      <td>44.4688</td>\n",
       "      <td>45.0000</td>\n",
       "      <td>25.3626</td>\n",
       "      <td>531500</td>\n",
       "      <td>0.0</td>\n",
       "      <td>0.0</td>\n",
       "      <td>0.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>...</th>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2024-04-04</th>\n",
       "      <td>523.5200</td>\n",
       "      <td>523.8700</td>\n",
       "      <td>512.7600</td>\n",
       "      <td>513.0700</td>\n",
       "      <td>513.0700</td>\n",
       "      <td>96858100</td>\n",
       "      <td>0.0</td>\n",
       "      <td>0.0</td>\n",
       "      <td>0.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2024-04-05</th>\n",
       "      <td>514.4600</td>\n",
       "      <td>520.4400</td>\n",
       "      <td>514.0100</td>\n",
       "      <td>518.4300</td>\n",
       "      <td>518.4300</td>\n",
       "      <td>74482100</td>\n",
       "      <td>0.0</td>\n",
       "      <td>0.0</td>\n",
       "      <td>0.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2024-04-08</th>\n",
       "      <td>519.1500</td>\n",
       "      <td>520.1800</td>\n",
       "      <td>517.8900</td>\n",
       "      <td>518.7200</td>\n",
       "      <td>518.7200</td>\n",
       "      <td>48401800</td>\n",
       "      <td>0.0</td>\n",
       "      <td>0.0</td>\n",
       "      <td>0.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2024-04-09</th>\n",
       "      <td>520.5000</td>\n",
       "      <td>520.7500</td>\n",
       "      <td>514.3500</td>\n",
       "      <td>519.3200</td>\n",
       "      <td>519.3200</td>\n",
       "      <td>68124400</td>\n",
       "      <td>0.0</td>\n",
       "      <td>0.0</td>\n",
       "      <td>0.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2024-04-10</th>\n",
       "      <td>513.4800</td>\n",
       "      <td>516.1600</td>\n",
       "      <td>512.0900</td>\n",
       "      <td>514.1200</td>\n",
       "      <td>514.1200</td>\n",
       "      <td>82543700</td>\n",
       "      <td>0.0</td>\n",
       "      <td>0.0</td>\n",
       "      <td>0.0</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "<p>7855 rows × 9 columns</p>\n",
       "</div>"
      ],
      "text/plain": [
       "                Open      High       Low     Close  Adj Close    Volume  \\\n",
       "Date                                                                      \n",
       "1993-01-29   43.9688   43.9688   43.7500   43.9375    24.7637   1003200   \n",
       "1993-02-01   43.9688   44.2500   43.9688   44.2500    24.9399    480500   \n",
       "1993-02-02   44.2188   44.3750   44.1250   44.3438    24.9927    201300   \n",
       "1993-02-03   44.4062   44.8438   44.3750   44.8125    25.2569    529400   \n",
       "1993-02-04   44.9688   45.0938   44.4688   45.0000    25.3626    531500   \n",
       "...              ...       ...       ...       ...        ...       ...   \n",
       "2024-04-04  523.5200  523.8700  512.7600  513.0700   513.0700  96858100   \n",
       "2024-04-05  514.4600  520.4400  514.0100  518.4300   518.4300  74482100   \n",
       "2024-04-08  519.1500  520.1800  517.8900  518.7200   518.7200  48401800   \n",
       "2024-04-09  520.5000  520.7500  514.3500  519.3200   519.3200  68124400   \n",
       "2024-04-10  513.4800  516.1600  512.0900  514.1200   514.1200  82543700   \n",
       "\n",
       "            Dividends  Stock Splits  Capital Gains  \n",
       "Date                                                \n",
       "1993-01-29        0.0           0.0            0.0  \n",
       "1993-02-01        0.0           0.0            0.0  \n",
       "1993-02-02        0.0           0.0            0.0  \n",
       "1993-02-03        0.0           0.0            0.0  \n",
       "1993-02-04        0.0           0.0            0.0  \n",
       "...               ...           ...            ...  \n",
       "2024-04-04        0.0           0.0            0.0  \n",
       "2024-04-05        0.0           0.0            0.0  \n",
       "2024-04-08        0.0           0.0            0.0  \n",
       "2024-04-09        0.0           0.0            0.0  \n",
       "2024-04-10        0.0           0.0            0.0  \n",
       "\n",
       "[7855 rows x 9 columns]"
      ]
     },
     "execution_count": 2,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "#%%\n",
    "\n",
    "df_ = yf.download(\"SPY\", start=\"1992-01-01\", interval=\"1d\", actions=True)\n",
    "\n",
    "df_['Open'     ] = df_['Open'     ].round(4)\n",
    "df_['High'     ] = df_['High'     ].round(4)\n",
    "df_['Low'      ] = df_['Low'      ].round(4)\n",
    "df_['Close'    ] = df_['Close'    ].round(4)\n",
    "df_['Adj Close'] = df_['Adj Close'].round(4)\n",
    "\n",
    "df_"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "<class 'pandas.core.frame.DataFrame'>\n",
      "DatetimeIndex: 7855 entries, 1993-01-29 to 2024-04-10\n",
      "Data columns (total 9 columns):\n",
      " #   Column         Non-Null Count  Dtype  \n",
      "---  ------         --------------  -----  \n",
      " 0   Open           7855 non-null   float64\n",
      " 1   High           7855 non-null   float64\n",
      " 2   Low            7855 non-null   float64\n",
      " 3   Close          7855 non-null   float64\n",
      " 4   Adj Close      7855 non-null   float64\n",
      " 5   Volume         7855 non-null   int64  \n",
      " 6   Dividends      7855 non-null   float64\n",
      " 7   Stock Splits   7855 non-null   float64\n",
      " 8   Capital Gains  7855 non-null   float64\n",
      "dtypes: float64(8), int64(1)\n",
      "memory usage: 613.7 KB\n"
     ]
    }
   ],
   "source": [
    "#%%\n",
    "\n",
    "df_.info()"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [
    {
     "data": {
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       "      <th>Open</th>\n",
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       "      <th>Low</th>\n",
       "      <th>Close</th>\n",
       "      <th>Adj Close</th>\n",
       "      <th>Volume</th>\n",
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       "      <th>Date</th>\n",
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       "  <tbody>\n",
       "    <tr>\n",
       "      <th>1993-03-19</th>\n",
       "      <td>45.2812</td>\n",
       "      <td>45.2812</td>\n",
       "      <td>45.0312</td>\n",
       "      <td>45.0312</td>\n",
       "      <td>25.5001</td>\n",
       "      <td>66900</td>\n",
       "      <td>0.213</td>\n",
       "      <td>0.0</td>\n",
       "      <td>0.0</td>\n",
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       "    <tr>\n",
       "      <th>1993-06-18</th>\n",
       "      <td>44.8438</td>\n",
       "      <td>44.8438</td>\n",
       "      <td>44.5000</td>\n",
       "      <td>44.5000</td>\n",
       "      <td>25.3778</td>\n",
       "      <td>58500</td>\n",
       "      <td>0.318</td>\n",
       "      <td>0.0</td>\n",
       "      <td>0.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>1993-09-17</th>\n",
       "      <td>45.8750</td>\n",
       "      <td>45.9062</td>\n",
       "      <td>45.7500</td>\n",
       "      <td>45.8125</td>\n",
       "      <td>26.2891</td>\n",
       "      <td>200900</td>\n",
       "      <td>0.286</td>\n",
       "      <td>0.0</td>\n",
       "      <td>0.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>1993-12-17</th>\n",
       "      <td>46.4062</td>\n",
       "      <td>46.5938</td>\n",
       "      <td>46.3750</td>\n",
       "      <td>46.5625</td>\n",
       "      <td>26.9024</td>\n",
       "      <td>104700</td>\n",
       "      <td>0.317</td>\n",
       "      <td>0.0</td>\n",
       "      <td>0.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>1994-03-18</th>\n",
       "      <td>46.7500</td>\n",
       "      <td>47.0312</td>\n",
       "      <td>46.7188</td>\n",
       "      <td>46.9688</td>\n",
       "      <td>27.2937</td>\n",
       "      <td>365500</td>\n",
       "      <td>0.271</td>\n",
       "      <td>0.0</td>\n",
       "      <td>0.0</td>\n",
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       "    <tr>\n",
       "      <th>...</th>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2023-03-17</th>\n",
       "      <td>393.2200</td>\n",
       "      <td>394.4000</td>\n",
       "      <td>388.5500</td>\n",
       "      <td>389.9900</td>\n",
       "      <td>384.4231</td>\n",
       "      <td>140553400</td>\n",
       "      <td>1.506</td>\n",
       "      <td>0.0</td>\n",
       "      <td>0.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2023-06-16</th>\n",
       "      <td>443.0200</td>\n",
       "      <td>443.6100</td>\n",
       "      <td>438.9700</td>\n",
       "      <td>439.4600</td>\n",
       "      <td>434.7961</td>\n",
       "      <td>114121300</td>\n",
       "      <td>1.638</td>\n",
       "      <td>0.0</td>\n",
       "      <td>0.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2023-09-15</th>\n",
       "      <td>447.1400</td>\n",
       "      <td>447.4800</td>\n",
       "      <td>442.9200</td>\n",
       "      <td>443.3700</td>\n",
       "      <td>440.2119</td>\n",
       "      <td>111761400</td>\n",
       "      <td>1.583</td>\n",
       "      <td>0.0</td>\n",
       "      <td>0.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2023-12-15</th>\n",
       "      <td>469.4900</td>\n",
       "      <td>470.7000</td>\n",
       "      <td>467.4300</td>\n",
       "      <td>469.3300</td>\n",
       "      <td>467.8763</td>\n",
       "      <td>141319300</td>\n",
       "      <td>1.906</td>\n",
       "      <td>0.0</td>\n",
       "      <td>0.0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2024-03-15</th>\n",
       "      <td>510.2100</td>\n",
       "      <td>511.7000</td>\n",
       "      <td>508.1200</td>\n",
       "      <td>509.8300</td>\n",
       "      <td>509.8300</td>\n",
       "      <td>107585800</td>\n",
       "      <td>1.595</td>\n",
       "      <td>0.0</td>\n",
       "      <td>0.0</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "<p>126 rows × 9 columns</p>\n",
       "</div>"
      ],
      "text/plain": [
       "                Open      High       Low     Close  Adj Close     Volume  \\\n",
       "Date                                                                       \n",
       "1993-03-19   45.2812   45.2812   45.0312   45.0312    25.5001      66900   \n",
       "1993-06-18   44.8438   44.8438   44.5000   44.5000    25.3778      58500   \n",
       "1993-09-17   45.8750   45.9062   45.7500   45.8125    26.2891     200900   \n",
       "1993-12-17   46.4062   46.5938   46.3750   46.5625    26.9024     104700   \n",
       "1994-03-18   46.7500   47.0312   46.7188   46.9688    27.2937     365500   \n",
       "...              ...       ...       ...       ...        ...        ...   \n",
       "2023-03-17  393.2200  394.4000  388.5500  389.9900   384.4231  140553400   \n",
       "2023-06-16  443.0200  443.6100  438.9700  439.4600   434.7961  114121300   \n",
       "2023-09-15  447.1400  447.4800  442.9200  443.3700   440.2119  111761400   \n",
       "2023-12-15  469.4900  470.7000  467.4300  469.3300   467.8763  141319300   \n",
       "2024-03-15  510.2100  511.7000  508.1200  509.8300   509.8300  107585800   \n",
       "\n",
       "            Dividends  Stock Splits  Capital Gains  \n",
       "Date                                                \n",
       "1993-03-19      0.213           0.0            0.0  \n",
       "1993-06-18      0.318           0.0            0.0  \n",
       "1993-09-17      0.286           0.0            0.0  \n",
       "1993-12-17      0.317           0.0            0.0  \n",
       "1994-03-18      0.271           0.0            0.0  \n",
       "...               ...           ...            ...  \n",
       "2023-03-17      1.506           0.0            0.0  \n",
       "2023-06-16      1.638           0.0            0.0  \n",
       "2023-09-15      1.583           0.0            0.0  \n",
       "2023-12-15      1.906           0.0            0.0  \n",
       "2024-03-15      1.595           0.0            0.0  \n",
       "\n",
       "[126 rows x 9 columns]"
      ]
     },
     "execution_count": 4,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "#%%\n",
    "\n",
    "df_[df_['Dividends']>0]"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [
    {
     "data": {
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       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>Open</th>\n",
       "      <th>High</th>\n",
       "      <th>Low</th>\n",
       "      <th>Close</th>\n",
       "      <th>Adj Close</th>\n",
       "      <th>Volume</th>\n",
       "      <th>Dividends</th>\n",
       "      <th>Stock Splits</th>\n",
       "      <th>Capital Gains</th>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Date</th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "Empty DataFrame\n",
       "Columns: [Open, High, Low, Close, Adj Close, Volume, Dividends, Stock Splits, Capital Gains]\n",
       "Index: []"
      ]
     },
     "execution_count": 5,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "#%%\n",
    "\n",
    "df_[df_['Stock Splits']>0]"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [
    {
     "name": "stderr",
     "output_type": "stream",
     "text": [
      "<ipython-input-6-720fff6565e0>:7: FutureWarning: DataFrame.fillna with 'method' is deprecated and will raise in a future version. Use obj.ffill() or obj.bfill() instead.\n",
      "  df_.fillna(method='ffill', inplace=True)\n"
     ]
    }
   ],
   "source": [
    "#%%\n",
    "\n",
    "df_['FillPrice'] = df_['Open' ].shift(-1)\n",
    "df_['Date'     ] = df_.index\n",
    "df_['DateIn'   ] = df_['Date' ].shift(-1)\n",
    "df_['DateOut'  ] = df_['Date' ].shift(-1)\n",
    "\n",
    "df_.fillna(method='ffill', inplace=True)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "#%%\n",
    "\n",
    "# Strategy backtester\n",
    "\n",
    "def backtest(df_, test_number, ma_fast, ma_slow):\n",
    "    print(f\"Testing {test_number}, MA_FAST : {ma_fast}, MA_SLOW : {ma_slow}\")\n",
    "    df = df_.copy()\n",
    "\n",
    "    df['EntrySetup'] = 0\n",
    "    df['ExitRule'  ] = 0\n",
    "\n",
    "    df['MaFast'] = df['Close'].rolling(ma_fast).mean()\n",
    "    df['MaSlow'] = df['Close'].rolling(ma_slow).mean()\n",
    "\n",
    "    df.dropna(inplace=True)\n",
    "\n",
    "    df.loc[((df['MaFast']>df['MaSlow']) & (df['MaFast'].shift(1)<=df['MaSlow'].shift(1))), 'EntrySetup'] = 1\n",
    "    df.loc[((df['MaFast']<df['MaSlow']) & (df['MaFast'].shift(1)>=df['MaSlow'].shift(1))), 'ExitRule'  ] = 1\n",
    "\n",
    "    df.loc[df.index[ 0], 'EntrySetup'] = 1\n",
    "    df.loc[df.index[-1], 'ExitRule'  ] = 1\n",
    "\n",
    "\n",
    "\n",
    "    # Position tracking\n",
    "    date_in          = None\n",
    "    entry_fill_price = 0\n",
    "    date_out         = None\n",
    "    exit_fill_price  = 0\n",
    "    position_history = []\n",
    "\n",
    "    for index, row in df.iterrows():\n",
    "        # EntrySetup\n",
    "        if row['EntrySetup'] == 1:\n",
    "            date_in          = row['DateIn'   ]\n",
    "            entry_fill_price = row['FillPrice']\n",
    "        # ExitRuel\n",
    "        if row['ExitRule'  ] == 1:\n",
    "            date_out        = row['DateOut'  ]\n",
    "            exit_fill_price = row['FillPrice']\n",
    "            pct_change      = (exit_fill_price - entry_fill_price)/entry_fill_price\n",
    "            bars            = len(df[date_in:date_out])-1\n",
    "            position_history.append((\n",
    "                date_in, \n",
    "                date_out, \n",
    "                entry_fill_price, \n",
    "                exit_fill_price, \n",
    "                pct_change,\n",
    "                bars\n",
    "                ))\n",
    "\n",
    "    position_df = pd.DataFrame(position_history, columns=['DateIn', 'DateOut', 'PriceIn', 'PriceOut', 'Return', 'Bars'])\n",
    "    position_df = position_df.set_index(pd.DatetimeIndex(position_df['DateIn']))\n",
    "\n",
    "\n",
    "    initial_capital = 10000.0\n",
    "\n",
    "    df['Return'] = df['Close'].pct_change()\n",
    "\n",
    "    df['StratReturn'] = 0.0\n",
    "    for index, row in position_df.iterrows():\n",
    "        sub_df = df[row['DateIn']:row['DateOut']][\"Return\"]\n",
    "        df.loc[sub_df.index, 'StratReturn'] = sub_df\n",
    "\n",
    "    df['GrowthFactor'] = (1 + df['StratReturn']).cumprod()\n",
    "    df['DollarEquity'] = initial_capital*df['GrowthFactor']\n",
    "\n",
    "\n",
    "    return {\n",
    "        'final_capital'    : round(df.iloc[-1]['DollarEquity'], 2),\n",
    "        'sharpe_ratio'     : round(qs.stats.sharpe(df['StratReturn']), 4),\n",
    "        'maximum_drawdown' : round(qs.stats.max_drawdown(df['StratReturn']) * -100.0, 2),\n",
    "        'win_rate'         : round(qs.stats.win_rate(df['StratReturn']), 4),\n",
    "        'sortino_ratio'    : round(qs.stats.sortino(df['StratReturn']), 4),\n",
    "        'cagr'             : round(qs.stats.cagr(df['StratReturn']), 4),\n",
    "        'profit_factor'    : round(qs.stats.profit_factor(df['StratReturn']), 4),\n",
    "        'prob_sr'          : round(qs.stats.probabilistic_sharpe_ratio(df['StratReturn']), 4),\n",
    "    }"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "Testing 1, MA_FAST : 10, MA_SLOW : 100\n",
      "Testing 2, MA_FAST : 10, MA_SLOW : 150\n",
      "Testing 3, MA_FAST : 10, MA_SLOW : 200\n",
      "Testing 4, MA_FAST : 10, MA_SLOW : 250\n",
      "Testing 5, MA_FAST : 10, MA_SLOW : 300\n",
      "Testing 6, MA_FAST : 20, MA_SLOW : 100\n",
      "Testing 7, MA_FAST : 20, MA_SLOW : 150\n",
      "Testing 8, MA_FAST : 20, MA_SLOW : 200\n",
      "Testing 9, MA_FAST : 20, MA_SLOW : 250\n",
      "Testing 10, MA_FAST : 20, MA_SLOW : 300\n",
      "Testing 11, MA_FAST : 30, MA_SLOW : 100\n",
      "Testing 12, MA_FAST : 30, MA_SLOW : 150\n",
      "Testing 13, MA_FAST : 30, MA_SLOW : 200\n",
      "Testing 14, MA_FAST : 30, MA_SLOW : 250\n",
      "Testing 15, MA_FAST : 30, MA_SLOW : 300\n",
      "Testing 16, MA_FAST : 40, MA_SLOW : 100\n",
      "Testing 17, MA_FAST : 40, MA_SLOW : 150\n",
      "Testing 18, MA_FAST : 40, MA_SLOW : 200\n",
      "Testing 19, MA_FAST : 40, MA_SLOW : 250\n",
      "Testing 20, MA_FAST : 40, MA_SLOW : 300\n",
      "Testing 21, MA_FAST : 50, MA_SLOW : 100\n",
      "Testing 22, MA_FAST : 50, MA_SLOW : 150\n",
      "Testing 23, MA_FAST : 50, MA_SLOW : 200\n",
      "Testing 24, MA_FAST : 50, MA_SLOW : 250\n",
      "Testing 25, MA_FAST : 50, MA_SLOW : 300\n",
      "Testing 26, MA_FAST : 60, MA_SLOW : 100\n",
      "Testing 27, MA_FAST : 60, MA_SLOW : 150\n",
      "Testing 28, MA_FAST : 60, MA_SLOW : 200\n",
      "Testing 29, MA_FAST : 60, MA_SLOW : 250\n",
      "Testing 30, MA_FAST : 60, MA_SLOW : 300\n",
      "Testing 31, MA_FAST : 70, MA_SLOW : 100\n",
      "Testing 32, MA_FAST : 70, MA_SLOW : 150\n",
      "Testing 33, MA_FAST : 70, MA_SLOW : 200\n",
      "Testing 34, MA_FAST : 70, MA_SLOW : 250\n",
      "Testing 35, MA_FAST : 70, MA_SLOW : 300\n",
      "Testing 36, MA_FAST : 80, MA_SLOW : 100\n",
      "Testing 37, MA_FAST : 80, MA_SLOW : 150\n",
      "Testing 38, MA_FAST : 80, MA_SLOW : 200\n",
      "Testing 39, MA_FAST : 80, MA_SLOW : 250\n",
      "Testing 40, MA_FAST : 80, MA_SLOW : 300\n"
     ]
    }
   ],
   "source": [
    "#%%\n",
    "\n",
    "# Parameter Optimization\n",
    "\n",
    "counter       = 0\n",
    "backtest_list = []\n",
    "\n",
    "for ma_fast in range(10, 90, 10):\n",
    "    for ma_slow in range(100, 350, 50):\n",
    "        counter += 1\n",
    "        result   = backtest(df_=df_, test_number=counter, ma_fast=ma_fast, ma_slow=ma_slow)\n",
    "        backtest_list.append((\n",
    "            counter,\n",
    "            result['final_capital'   ],\n",
    "            result['sharpe_ratio'    ],\n",
    "            result['maximum_drawdown'],\n",
    "            result['win_rate'        ],\n",
    "            result['sortino_ratio'   ],\n",
    "            result['cagr'            ], \n",
    "            result['profit_factor'   ],\n",
    "            result['prob_sr'         ],\n",
    "            ma_fast,\n",
    "            ma_slow\n",
    "        ))\n",
    "\n",
    "backtests_df = pd.DataFrame(backtest_list,\n",
    "                            columns=[\n",
    "                                'test_number',\n",
    "                                'Final Capital',\n",
    "                                'Sharpe Ratio',\n",
    "                                'Maximum Drawdown',\n",
    "                                'Win Rate',\n",
    "                                'Sortino Ratio',\n",
    "                                'Compounded Annual Growth Rate',\n",
    "                                'Profit Factor',\n",
    "                                'Probabilistic Sharpe Ratio',\n",
    "                                'Fast MA',\n",
    "                                'Slow MA'\n",
    "                            ])\n",
    "\n",
    "backtests_df.set_index('test_number', inplace=True)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<style scoped>\n",
       "    .dataframe tbody tr th:only-of-type {\n",
       "        vertical-align: middle;\n",
       "    }\n",
       "\n",
       "    .dataframe tbody tr th {\n",
       "        vertical-align: top;\n",
       "    }\n",
       "\n",
       "    .dataframe thead th {\n",
       "        text-align: right;\n",
       "    }\n",
       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>Final Capital</th>\n",
       "      <th>Sharpe Ratio</th>\n",
       "      <th>Maximum Drawdown</th>\n",
       "      <th>Win Rate</th>\n",
       "      <th>Sortino Ratio</th>\n",
       "      <th>Compounded Annual Growth Rate</th>\n",
       "      <th>Profit Factor</th>\n",
       "      <th>Probabilistic Sharpe Ratio</th>\n",
       "      <th>Fast MA</th>\n",
       "      <th>Slow MA</th>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>test_number</th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>1</th>\n",
       "      <td>68896.37</td>\n",
       "      <td>0.5859</td>\n",
       "      <td>35.73</td>\n",
       "      <td>0.5433</td>\n",
       "      <td>0.8181</td>\n",
       "      <td>0.0442</td>\n",
       "      <td>1.1294</td>\n",
       "      <td>0.9994</td>\n",
       "      <td>10</td>\n",
       "      <td>100</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2</th>\n",
       "      <td>67834.91</td>\n",
       "      <td>0.5775</td>\n",
       "      <td>28.18</td>\n",
       "      <td>0.5424</td>\n",
       "      <td>0.8033</td>\n",
       "      <td>0.0441</td>\n",
       "      <td>1.1264</td>\n",
       "      <td>0.9992</td>\n",
       "      <td>10</td>\n",
       "      <td>150</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>3</th>\n",
       "      <td>93869.35</td>\n",
       "      <td>0.6563</td>\n",
       "      <td>19.03</td>\n",
       "      <td>0.5451</td>\n",
       "      <td>0.9110</td>\n",
       "      <td>0.0521</td>\n",
       "      <td>1.1450</td>\n",
       "      <td>0.9998</td>\n",
       "      <td>10</td>\n",
       "      <td>200</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>4</th>\n",
       "      <td>86939.47</td>\n",
       "      <td>0.6273</td>\n",
       "      <td>20.49</td>\n",
       "      <td>0.5448</td>\n",
       "      <td>0.8684</td>\n",
       "      <td>0.0506</td>\n",
       "      <td>1.1371</td>\n",
       "      <td>0.9997</td>\n",
       "      <td>10</td>\n",
       "      <td>250</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>5</th>\n",
       "      <td>85041.54</td>\n",
       "      <td>0.6070</td>\n",
       "      <td>27.70</td>\n",
       "      <td>0.5433</td>\n",
       "      <td>0.8379</td>\n",
       "      <td>0.0504</td>\n",
       "      <td>1.1325</td>\n",
       "      <td>0.9995</td>\n",
       "      <td>10</td>\n",
       "      <td>300</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>6</th>\n",
       "      <td>47251.30</td>\n",
       "      <td>0.4730</td>\n",
       "      <td>40.02</td>\n",
       "      <td>0.5403</td>\n",
       "      <td>0.6520</td>\n",
       "      <td>0.0354</td>\n",
       "      <td>1.1040</td>\n",
       "      <td>0.9953</td>\n",
       "      <td>20</td>\n",
       "      <td>100</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>7</th>\n",
       "      <td>67222.23</td>\n",
       "      <td>0.5586</td>\n",
       "      <td>30.01</td>\n",
       "      <td>0.5432</td>\n",
       "      <td>0.7740</td>\n",
       "      <td>0.0439</td>\n",
       "      <td>1.1240</td>\n",
       "      <td>0.9989</td>\n",
       "      <td>20</td>\n",
       "      <td>150</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>8</th>\n",
       "      <td>98473.05</td>\n",
       "      <td>0.6445</td>\n",
       "      <td>30.11</td>\n",
       "      <td>0.5474</td>\n",
       "      <td>0.8865</td>\n",
       "      <td>0.0533</td>\n",
       "      <td>1.1462</td>\n",
       "      <td>0.9997</td>\n",
       "      <td>20</td>\n",
       "      <td>200</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>9</th>\n",
       "      <td>86499.41</td>\n",
       "      <td>0.6044</td>\n",
       "      <td>30.63</td>\n",
       "      <td>0.5449</td>\n",
       "      <td>0.8345</td>\n",
       "      <td>0.0505</td>\n",
       "      <td>1.1357</td>\n",
       "      <td>0.9994</td>\n",
       "      <td>20</td>\n",
       "      <td>250</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>10</th>\n",
       "      <td>103422.31</td>\n",
       "      <td>0.6400</td>\n",
       "      <td>33.35</td>\n",
       "      <td>0.5456</td>\n",
       "      <td>0.8845</td>\n",
       "      <td>0.0552</td>\n",
       "      <td>1.1428</td>\n",
       "      <td>0.9997</td>\n",
       "      <td>20</td>\n",
       "      <td>300</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>11</th>\n",
       "      <td>35991.72</td>\n",
       "      <td>0.3907</td>\n",
       "      <td>43.10</td>\n",
       "      <td>0.5408</td>\n",
       "      <td>0.5317</td>\n",
       "      <td>0.0291</td>\n",
       "      <td>1.0865</td>\n",
       "      <td>0.9839</td>\n",
       "      <td>30</td>\n",
       "      <td>100</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>12</th>\n",
       "      <td>58150.16</td>\n",
       "      <td>0.5093</td>\n",
       "      <td>31.59</td>\n",
       "      <td>0.5438</td>\n",
       "      <td>0.6975</td>\n",
       "      <td>0.0405</td>\n",
       "      <td>1.1136</td>\n",
       "      <td>0.9972</td>\n",
       "      <td>30</td>\n",
       "      <td>150</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>13</th>\n",
       "      <td>92499.42</td>\n",
       "      <td>0.6201</td>\n",
       "      <td>34.92</td>\n",
       "      <td>0.5469</td>\n",
       "      <td>0.8567</td>\n",
       "      <td>0.0518</td>\n",
       "      <td>1.1407</td>\n",
       "      <td>0.9996</td>\n",
       "      <td>30</td>\n",
       "      <td>200</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>14</th>\n",
       "      <td>78211.60</td>\n",
       "      <td>0.5744</td>\n",
       "      <td>36.82</td>\n",
       "      <td>0.5471</td>\n",
       "      <td>0.7903</td>\n",
       "      <td>0.0481</td>\n",
       "      <td>1.1288</td>\n",
       "      <td>0.9990</td>\n",
       "      <td>30</td>\n",
       "      <td>250</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>15</th>\n",
       "      <td>108873.80</td>\n",
       "      <td>0.6431</td>\n",
       "      <td>34.10</td>\n",
       "      <td>0.5463</td>\n",
       "      <td>0.8945</td>\n",
       "      <td>0.0564</td>\n",
       "      <td>1.1445</td>\n",
       "      <td>0.9997</td>\n",
       "      <td>30</td>\n",
       "      <td>300</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>16</th>\n",
       "      <td>50938.20</td>\n",
       "      <td>0.4719</td>\n",
       "      <td>31.93</td>\n",
       "      <td>0.5418</td>\n",
       "      <td>0.6478</td>\n",
       "      <td>0.0371</td>\n",
       "      <td>1.1060</td>\n",
       "      <td>0.9951</td>\n",
       "      <td>40</td>\n",
       "      <td>100</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>17</th>\n",
       "      <td>77189.84</td>\n",
       "      <td>0.5763</td>\n",
       "      <td>34.10</td>\n",
       "      <td>0.5457</td>\n",
       "      <td>0.7955</td>\n",
       "      <td>0.0471</td>\n",
       "      <td>1.1297</td>\n",
       "      <td>0.9991</td>\n",
       "      <td>40</td>\n",
       "      <td>150</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>18</th>\n",
       "      <td>93707.88</td>\n",
       "      <td>0.6180</td>\n",
       "      <td>34.10</td>\n",
       "      <td>0.5468</td>\n",
       "      <td>0.8594</td>\n",
       "      <td>0.0521</td>\n",
       "      <td>1.1409</td>\n",
       "      <td>0.9996</td>\n",
       "      <td>40</td>\n",
       "      <td>200</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>19</th>\n",
       "      <td>115943.63</td>\n",
       "      <td>0.6625</td>\n",
       "      <td>34.10</td>\n",
       "      <td>0.5492</td>\n",
       "      <td>0.9260</td>\n",
       "      <td>0.0576</td>\n",
       "      <td>1.1510</td>\n",
       "      <td>0.9998</td>\n",
       "      <td>40</td>\n",
       "      <td>250</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>20</th>\n",
       "      <td>107624.63</td>\n",
       "      <td>0.6381</td>\n",
       "      <td>34.10</td>\n",
       "      <td>0.5462</td>\n",
       "      <td>0.8908</td>\n",
       "      <td>0.0561</td>\n",
       "      <td>1.1434</td>\n",
       "      <td>0.9997</td>\n",
       "      <td>40</td>\n",
       "      <td>300</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>21</th>\n",
       "      <td>61200.17</td>\n",
       "      <td>0.5143</td>\n",
       "      <td>34.92</td>\n",
       "      <td>0.5436</td>\n",
       "      <td>0.7094</td>\n",
       "      <td>0.0414</td>\n",
       "      <td>1.1164</td>\n",
       "      <td>0.9975</td>\n",
       "      <td>50</td>\n",
       "      <td>100</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>22</th>\n",
       "      <td>86880.07</td>\n",
       "      <td>0.5979</td>\n",
       "      <td>34.10</td>\n",
       "      <td>0.5443</td>\n",
       "      <td>0.8355</td>\n",
       "      <td>0.0499</td>\n",
       "      <td>1.1360</td>\n",
       "      <td>0.9994</td>\n",
       "      <td>50</td>\n",
       "      <td>150</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>23</th>\n",
       "      <td>114716.74</td>\n",
       "      <td>0.6609</td>\n",
       "      <td>34.10</td>\n",
       "      <td>0.5475</td>\n",
       "      <td>0.9252</td>\n",
       "      <td>0.0569</td>\n",
       "      <td>1.1516</td>\n",
       "      <td>0.9998</td>\n",
       "      <td>50</td>\n",
       "      <td>200</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>24</th>\n",
       "      <td>104917.83</td>\n",
       "      <td>0.6359</td>\n",
       "      <td>34.10</td>\n",
       "      <td>0.5477</td>\n",
       "      <td>0.8876</td>\n",
       "      <td>0.0552</td>\n",
       "      <td>1.1447</td>\n",
       "      <td>0.9997</td>\n",
       "      <td>50</td>\n",
       "      <td>250</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>25</th>\n",
       "      <td>117371.07</td>\n",
       "      <td>0.6548</td>\n",
       "      <td>34.10</td>\n",
       "      <td>0.5460</td>\n",
       "      <td>0.9193</td>\n",
       "      <td>0.0582</td>\n",
       "      <td>1.1484</td>\n",
       "      <td>0.9998</td>\n",
       "      <td>50</td>\n",
       "      <td>300</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>26</th>\n",
       "      <td>60275.91</td>\n",
       "      <td>0.5115</td>\n",
       "      <td>34.10</td>\n",
       "      <td>0.5412</td>\n",
       "      <td>0.7107</td>\n",
       "      <td>0.0411</td>\n",
       "      <td>1.1167</td>\n",
       "      <td>0.9975</td>\n",
       "      <td>60</td>\n",
       "      <td>100</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>27</th>\n",
       "      <td>78828.06</td>\n",
       "      <td>0.5720</td>\n",
       "      <td>34.10</td>\n",
       "      <td>0.5431</td>\n",
       "      <td>0.7968</td>\n",
       "      <td>0.0476</td>\n",
       "      <td>1.1301</td>\n",
       "      <td>0.9991</td>\n",
       "      <td>60</td>\n",
       "      <td>150</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>28</th>\n",
       "      <td>107921.70</td>\n",
       "      <td>0.6409</td>\n",
       "      <td>34.10</td>\n",
       "      <td>0.5466</td>\n",
       "      <td>0.8969</td>\n",
       "      <td>0.0554</td>\n",
       "      <td>1.1473</td>\n",
       "      <td>0.9998</td>\n",
       "      <td>60</td>\n",
       "      <td>200</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>29</th>\n",
       "      <td>117877.66</td>\n",
       "      <td>0.6605</td>\n",
       "      <td>34.10</td>\n",
       "      <td>0.5477</td>\n",
       "      <td>0.9281</td>\n",
       "      <td>0.0580</td>\n",
       "      <td>1.1514</td>\n",
       "      <td>0.9998</td>\n",
       "      <td>60</td>\n",
       "      <td>250</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>30</th>\n",
       "      <td>87411.44</td>\n",
       "      <td>0.5824</td>\n",
       "      <td>37.87</td>\n",
       "      <td>0.5446</td>\n",
       "      <td>0.8142</td>\n",
       "      <td>0.0511</td>\n",
       "      <td>1.1312</td>\n",
       "      <td>0.9992</td>\n",
       "      <td>60</td>\n",
       "      <td>300</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>31</th>\n",
       "      <td>56585.51</td>\n",
       "      <td>0.4902</td>\n",
       "      <td>34.10</td>\n",
       "      <td>0.5404</td>\n",
       "      <td>0.6793</td>\n",
       "      <td>0.0396</td>\n",
       "      <td>1.1130</td>\n",
       "      <td>0.9964</td>\n",
       "      <td>70</td>\n",
       "      <td>100</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>32</th>\n",
       "      <td>77453.30</td>\n",
       "      <td>0.5641</td>\n",
       "      <td>34.10</td>\n",
       "      <td>0.5427</td>\n",
       "      <td>0.7873</td>\n",
       "      <td>0.0472</td>\n",
       "      <td>1.1297</td>\n",
       "      <td>0.9990</td>\n",
       "      <td>70</td>\n",
       "      <td>150</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>33</th>\n",
       "      <td>109220.04</td>\n",
       "      <td>0.6405</td>\n",
       "      <td>38.64</td>\n",
       "      <td>0.5462</td>\n",
       "      <td>0.8994</td>\n",
       "      <td>0.0557</td>\n",
       "      <td>1.1476</td>\n",
       "      <td>0.9998</td>\n",
       "      <td>70</td>\n",
       "      <td>200</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>34</th>\n",
       "      <td>100473.89</td>\n",
       "      <td>0.6175</td>\n",
       "      <td>35.57</td>\n",
       "      <td>0.5459</td>\n",
       "      <td>0.8680</td>\n",
       "      <td>0.0541</td>\n",
       "      <td>1.1408</td>\n",
       "      <td>0.9996</td>\n",
       "      <td>70</td>\n",
       "      <td>250</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>35</th>\n",
       "      <td>97186.08</td>\n",
       "      <td>0.6052</td>\n",
       "      <td>34.52</td>\n",
       "      <td>0.5450</td>\n",
       "      <td>0.8483</td>\n",
       "      <td>0.0537</td>\n",
       "      <td>1.1369</td>\n",
       "      <td>0.9995</td>\n",
       "      <td>70</td>\n",
       "      <td>300</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>36</th>\n",
       "      <td>49814.89</td>\n",
       "      <td>0.4580</td>\n",
       "      <td>34.10</td>\n",
       "      <td>0.5407</td>\n",
       "      <td>0.6337</td>\n",
       "      <td>0.0366</td>\n",
       "      <td>1.1051</td>\n",
       "      <td>0.9940</td>\n",
       "      <td>80</td>\n",
       "      <td>100</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>37</th>\n",
       "      <td>79590.08</td>\n",
       "      <td>0.5688</td>\n",
       "      <td>37.20</td>\n",
       "      <td>0.5419</td>\n",
       "      <td>0.7964</td>\n",
       "      <td>0.0479</td>\n",
       "      <td>1.1317</td>\n",
       "      <td>0.9991</td>\n",
       "      <td>80</td>\n",
       "      <td>150</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>38</th>\n",
       "      <td>102098.02</td>\n",
       "      <td>0.6211</td>\n",
       "      <td>35.38</td>\n",
       "      <td>0.5447</td>\n",
       "      <td>0.8734</td>\n",
       "      <td>0.0541</td>\n",
       "      <td>1.1428</td>\n",
       "      <td>0.9996</td>\n",
       "      <td>80</td>\n",
       "      <td>200</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>39</th>\n",
       "      <td>95181.80</td>\n",
       "      <td>0.6007</td>\n",
       "      <td>35.35</td>\n",
       "      <td>0.5450</td>\n",
       "      <td>0.8426</td>\n",
       "      <td>0.0528</td>\n",
       "      <td>1.1363</td>\n",
       "      <td>0.9994</td>\n",
       "      <td>80</td>\n",
       "      <td>250</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>40</th>\n",
       "      <td>105811.39</td>\n",
       "      <td>0.6224</td>\n",
       "      <td>34.10</td>\n",
       "      <td>0.5458</td>\n",
       "      <td>0.8737</td>\n",
       "      <td>0.0557</td>\n",
       "      <td>1.1411</td>\n",
       "      <td>0.9996</td>\n",
       "      <td>80</td>\n",
       "      <td>300</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "             Final Capital  Sharpe Ratio  Maximum Drawdown  Win Rate  \\\n",
       "test_number                                                            \n",
       "1                 68896.37        0.5859             35.73    0.5433   \n",
       "2                 67834.91        0.5775             28.18    0.5424   \n",
       "3                 93869.35        0.6563             19.03    0.5451   \n",
       "4                 86939.47        0.6273             20.49    0.5448   \n",
       "5                 85041.54        0.6070             27.70    0.5433   \n",
       "6                 47251.30        0.4730             40.02    0.5403   \n",
       "7                 67222.23        0.5586             30.01    0.5432   \n",
       "8                 98473.05        0.6445             30.11    0.5474   \n",
       "9                 86499.41        0.6044             30.63    0.5449   \n",
       "10               103422.31        0.6400             33.35    0.5456   \n",
       "11                35991.72        0.3907             43.10    0.5408   \n",
       "12                58150.16        0.5093             31.59    0.5438   \n",
       "13                92499.42        0.6201             34.92    0.5469   \n",
       "14                78211.60        0.5744             36.82    0.5471   \n",
       "15               108873.80        0.6431             34.10    0.5463   \n",
       "16                50938.20        0.4719             31.93    0.5418   \n",
       "17                77189.84        0.5763             34.10    0.5457   \n",
       "18                93707.88        0.6180             34.10    0.5468   \n",
       "19               115943.63        0.6625             34.10    0.5492   \n",
       "20               107624.63        0.6381             34.10    0.5462   \n",
       "21                61200.17        0.5143             34.92    0.5436   \n",
       "22                86880.07        0.5979             34.10    0.5443   \n",
       "23               114716.74        0.6609             34.10    0.5475   \n",
       "24               104917.83        0.6359             34.10    0.5477   \n",
       "25               117371.07        0.6548             34.10    0.5460   \n",
       "26                60275.91        0.5115             34.10    0.5412   \n",
       "27                78828.06        0.5720             34.10    0.5431   \n",
       "28               107921.70        0.6409             34.10    0.5466   \n",
       "29               117877.66        0.6605             34.10    0.5477   \n",
       "30                87411.44        0.5824             37.87    0.5446   \n",
       "31                56585.51        0.4902             34.10    0.5404   \n",
       "32                77453.30        0.5641             34.10    0.5427   \n",
       "33               109220.04        0.6405             38.64    0.5462   \n",
       "34               100473.89        0.6175             35.57    0.5459   \n",
       "35                97186.08        0.6052             34.52    0.5450   \n",
       "36                49814.89        0.4580             34.10    0.5407   \n",
       "37                79590.08        0.5688             37.20    0.5419   \n",
       "38               102098.02        0.6211             35.38    0.5447   \n",
       "39                95181.80        0.6007             35.35    0.5450   \n",
       "40               105811.39        0.6224             34.10    0.5458   \n",
       "\n",
       "             Sortino Ratio  Compounded Annual Growth Rate  Profit Factor  \\\n",
       "test_number                                                                \n",
       "1                   0.8181                         0.0442         1.1294   \n",
       "2                   0.8033                         0.0441         1.1264   \n",
       "3                   0.9110                         0.0521         1.1450   \n",
       "4                   0.8684                         0.0506         1.1371   \n",
       "5                   0.8379                         0.0504         1.1325   \n",
       "6                   0.6520                         0.0354         1.1040   \n",
       "7                   0.7740                         0.0439         1.1240   \n",
       "8                   0.8865                         0.0533         1.1462   \n",
       "9                   0.8345                         0.0505         1.1357   \n",
       "10                  0.8845                         0.0552         1.1428   \n",
       "11                  0.5317                         0.0291         1.0865   \n",
       "12                  0.6975                         0.0405         1.1136   \n",
       "13                  0.8567                         0.0518         1.1407   \n",
       "14                  0.7903                         0.0481         1.1288   \n",
       "15                  0.8945                         0.0564         1.1445   \n",
       "16                  0.6478                         0.0371         1.1060   \n",
       "17                  0.7955                         0.0471         1.1297   \n",
       "18                  0.8594                         0.0521         1.1409   \n",
       "19                  0.9260                         0.0576         1.1510   \n",
       "20                  0.8908                         0.0561         1.1434   \n",
       "21                  0.7094                         0.0414         1.1164   \n",
       "22                  0.8355                         0.0499         1.1360   \n",
       "23                  0.9252                         0.0569         1.1516   \n",
       "24                  0.8876                         0.0552         1.1447   \n",
       "25                  0.9193                         0.0582         1.1484   \n",
       "26                  0.7107                         0.0411         1.1167   \n",
       "27                  0.7968                         0.0476         1.1301   \n",
       "28                  0.8969                         0.0554         1.1473   \n",
       "29                  0.9281                         0.0580         1.1514   \n",
       "30                  0.8142                         0.0511         1.1312   \n",
       "31                  0.6793                         0.0396         1.1130   \n",
       "32                  0.7873                         0.0472         1.1297   \n",
       "33                  0.8994                         0.0557         1.1476   \n",
       "34                  0.8680                         0.0541         1.1408   \n",
       "35                  0.8483                         0.0537         1.1369   \n",
       "36                  0.6337                         0.0366         1.1051   \n",
       "37                  0.7964                         0.0479         1.1317   \n",
       "38                  0.8734                         0.0541         1.1428   \n",
       "39                  0.8426                         0.0528         1.1363   \n",
       "40                  0.8737                         0.0557         1.1411   \n",
       "\n",
       "             Probabilistic Sharpe Ratio  Fast MA  Slow MA  \n",
       "test_number                                                \n",
       "1                                0.9994       10      100  \n",
       "2                                0.9992       10      150  \n",
       "3                                0.9998       10      200  \n",
       "4                                0.9997       10      250  \n",
       "5                                0.9995       10      300  \n",
       "6                                0.9953       20      100  \n",
       "7                                0.9989       20      150  \n",
       "8                                0.9997       20      200  \n",
       "9                                0.9994       20      250  \n",
       "10                               0.9997       20      300  \n",
       "11                               0.9839       30      100  \n",
       "12                               0.9972       30      150  \n",
       "13                               0.9996       30      200  \n",
       "14                               0.9990       30      250  \n",
       "15                               0.9997       30      300  \n",
       "16                               0.9951       40      100  \n",
       "17                               0.9991       40      150  \n",
       "18                               0.9996       40      200  \n",
       "19                               0.9998       40      250  \n",
       "20                               0.9997       40      300  \n",
       "21                               0.9975       50      100  \n",
       "22                               0.9994       50      150  \n",
       "23                               0.9998       50      200  \n",
       "24                               0.9997       50      250  \n",
       "25                               0.9998       50      300  \n",
       "26                               0.9975       60      100  \n",
       "27                               0.9991       60      150  \n",
       "28                               0.9998       60      200  \n",
       "29                               0.9998       60      250  \n",
       "30                               0.9992       60      300  \n",
       "31                               0.9964       70      100  \n",
       "32                               0.9990       70      150  \n",
       "33                               0.9998       70      200  \n",
       "34                               0.9996       70      250  \n",
       "35                               0.9995       70      300  \n",
       "36                               0.9940       80      100  \n",
       "37                               0.9991       80      150  \n",
       "38                               0.9996       80      200  \n",
       "39                               0.9994       80      250  \n",
       "40                               0.9996       80      300  "
      ]
     },
     "execution_count": 23,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "#%%\n",
    "\n",
    "backtests_df"
   ]
  }
 ],
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