Quant Trading System

A lightweight quantitative trading and backtesting system built for local report generation. Docker-based setup with production-grade features for analyzing crypto, stocks, and other financial instruments.

🚀 Quick Start

Docker Setup (Only Way)

# Clone repository
git clone <repository-url>
cd quant-system

# Build and run
docker-compose up --build

# Run crypto backtest
docker-compose run --rm quant python -m src.cli.unified_cli portfolio backtest \
  --symbols BTCUSDT ETHUSDT SOLUSDT \
  --strategy BuyAndHold \
  --start-date 2023-01-01 \
  --end-date 2024-12-31

# Interactive shell
docker-compose run --rm quant bash

📊 Features

Core Capabilities

• Multi-Asset Support: Crypto, stocks, forex via multiple data sources
• Backtesting Engine: Performance analysis with comprehensive metrics
• Portfolio Analysis: Risk metrics, drawdown analysis, return attribution
• Data Integration: Yahoo Finance, Bybit, Alpha Vantage with fallback support
• Report Generation: Automated export to local /exports folder

Data Sources

• Primary: Yahoo Finance, Bybit (crypto)
• Fallback: Alpha Vantage, Twelve Data, Polygon.io, Tiingo

🏗️ Architecture

quant-system/
├── src/                     # Core source code
│   ├── core/               # Trading logic & backtesting
│   ├── cli/                # Command-line interface
│   └── utils/              # Utilities & data management
├── config/portfolios/      # Portfolio configurations (220+ crypto symbols)
├── exports/               # Generated reports (Docker mounted)
├── cache/                 # Data cache (Docker mounted)
└── logs/                  # System logs (Docker mounted)

📈 Usage

Backtest Commands

# Crypto portfolio backtest
docker-compose run --rm quant python -m src.cli.unified_cli portfolio backtest \
  --symbols BTCUSDT ETHUSDT \
  --strategy BuyAndHold \
  --start-date 2023-01-01 \
  --end-date 2024-12-31

# Pre-configured crypto portfolio (220+ symbols)
docker-compose run --rm quant python -m src.cli.unified_cli portfolio test-all \
  --portfolio config/portfolios/crypto.json \
  --metric sortino_ratio \
  --period max

Data Management

# Cache statistics
docker-compose run --rm quant python -m src.cli.unified_cli cache stats

# Clear cache
docker-compose run --rm quant python -m src.cli.unified_cli cache clear

🔧 Configuration

Environment Variables (.env)

# PostgreSQL Database (primary storage)
DATABASE_URL=postgresql://quantuser:quantpass@localhost:5432/quant_system

# Optional API keys for enhanced data access
ALPHA_VANTAGE_API_KEY=your_key
TWELVE_DATA_API_KEY=your_key
POLYGON_API_KEY=your_key
TIINGO_API_KEY=your_key
FINNHUB_API_KEY=your_key

Portfolio Example (config/portfolios/)

{
  "name": "Crypto Portfolio",
  "symbols": ["BTCUSDT", "ETHUSDT", "SOLUSDT"],
  "initial_capital": 10000,
  "commission": 0.001,
  "data_sources": {
    "primary": ["bybit", "yahoo_finance"],
    "fallback": ["alpha_vantage"]
  }
}

📊 Performance Metrics

Primary Metric: Sortino Ratio (default)

Why Sortino over Sharpe:

• Sortino only penalizes downside volatility (what investors actually care about)
• Sharpe penalizes all volatility, including upside moves (which aren't really "risk")
• Hedge funds prefer Sortino because upside volatility is desirable

Metric Hierarchy for Quantitative Analysis:

1. Sortino Ratio (primary) - Downside risk-adjusted returns
2. Calmar Ratio (secondary) - Annual return / Max drawdown
3. Sharpe Ratio (tertiary) - Traditional risk-adjusted returns
4. Profit Factor (supplementary) - Gross profit/loss ratio

Additional Analysis:

• Drawdown Analysis: Maximum drawdown, recovery periods
• Volatility: Standard deviation, downside deviation
• Efficiency: Win rate, risk-reward ratios

🧪 Testing

# Run tests in Docker
docker-compose run --rm quant pytest

📁 Output & Storage

PostgreSQL Database (Primary Storage):

• Market data with optimized indexes for Sortino analysis
• Backtest results with comprehensive performance metrics
• Portfolio configurations with Sortino-first optimization

Local Files:

• /exports - Generated reports and analysis
• /cache - Temporary files and quick access data
• /logs - System logs

🔒 Security

• Environment variable-based API key management
• Docker containerization for isolation
• No external database dependencies for basic usage

📄 License

MIT License - See LICENSE file for details.

---

⚠️ Disclaimer: Educational purposes only. Not financial advice. Trade responsibly.