Strategy Expansion 03 - Method-specific strategy variants

Executed tutorial notebook. This page is generated from examples/notebooks/quant_trading/03_detime_method_specific_strategy_variants.ipynb and includes markdown cells, code cells, stdout, tables, and captured figures from the committed notebook.

Tutorial Navigation

Track Tutorial notebook
Roadmap Tutorial 00 - Roadmap
Strategy Lab 01 Trend-Following Lab
Tutorial Sequence 01 Real Market Data and Feature Factory
Tutorial Sequence 02 Decomposition-aware MA and MACD
Strategy Lab 02 Oscillation-Reversion Lab
Strategy Expansion 03 Method-Specific Variants
Tutorial Sequence 03 Residual Mean Reversion
Strategy Expansion 04 Component Pair Trading
Tutorial Sequence 04 Donchian Breakout
Tutorial Sequence 05 Pair-Spread Stat-Arb
Tutorial Sequence 06 Cross-Sectional Rotation
Native SSA Replay 07 Native SSA High-Return / Low-Drawdown

Executed Notebook

This notebook shows the core tutorial point: different decomposition methods and windows create different strategies because they produce different trend, cycle, and residual components. The trading rule is held mostly fixed; the decomposition front-end changes the signal.

Strategy map

The notebook runs five decomposition-based strategy families:

  • trend following from decomposed trend;
  • oscillation reversion from residual z-score;
  • residual Bollinger bands around trend + cycle fair value;
  • MACD computed on the decomposed trend;
  • dual-EMA crossover computed on the decomposed trend.

Each method/period/window combination is treated as one strategy variant.

In [1]
import matplotlib.pyplot as plt

from quant_trading.data import load_sample_goog_ohlcv
from quant_trading.strategy_lab import execution_price_panel
from quant_trading.strategy_method_variants import (
    DecompositionVariantSpec,
    collect_orders_and_trades,
    run_method_variant_grid,
)
In [2]
ohlcv = load_sample_goog_ohlcv(trim_start='2014-01-01')
symbol = 'GOOG'
close = ohlcv['Close'].rename(symbol).to_frame()
volume = ohlcv['Volume'].rename(symbol).to_frame()
execution_prices = execution_price_panel(ohlcv, field='Open', next_bar=True)
execution_prices.columns = [symbol]

close.tail()
text/html
GOOG
Date
2017-12-26 1056.739990
2017-12-27 1049.369995
2017-12-28 1048.140015
2017-12-29 1046.400024
2018-01-02 1065.000000

Build a compact method grid

The grid below is intentionally small for a notebook. A full research run can add periods 63/126/252, shorter steps, and optional Wavelet/EMD/VMD variants. The default grid avoids very short periods so the extracted components read as market structure rather than one-month noise.

In [3]
specs = [
    DecompositionVariantSpec('STL', period=126, train_window=504, step=21, z_window=63, role='fixed_period_half_year_cycle'),
    DecompositionVariantSpec('SSA', period=126, train_window=504, step=21, z_window=63, role='subspace_half_year_cycle'),
    DecompositionVariantSpec('STD', period=126, train_window=504, step=21, z_window=63, role='dispersion_half_year_cycle'),
]

stats, results, spec_table, coverage, failed = run_method_variant_grid(
    close,
    volume,
    specs=specs,
    execution_prices=execution_prices,
    allow_short_trend=False,
    allow_short_reversion=True,
)

stats.head(20)
text/html
strategy strategy_family decomposition_variant total_return cagr sharpe max_drawdown calmar volatility hit_rate ... periods_per_year execution_model spec_method spec_period spec_train_window spec_step spec_z_window spec_label spec_role spec_name
0 detime_SSA_p126_tw504_s21_trend_macd trend_macd SSA_p126_tw504_s21 0.365531 0.080999 1.525011 -0.052530 1.541967 0.051964 0.088294 ... 252.0 signal_on_bar_t_fill_next_bar_open_or_proxy SSA 126 504 21 63 None subspace_half_year_cycle SSA_p126_tw504_s21
1 detime_SSA_p126_tw504_s21_trend_crossover trend_crossover SSA_p126_tw504_s21 0.347427 0.077398 0.978572 -0.084043 0.920942 0.079416 0.152778 ... 252.0 signal_on_bar_t_fill_next_bar_open_or_proxy SSA 126 504 21 63 None subspace_half_year_cycle SSA_p126_tw504_s21
2 detime_SSA_p126_tw504_s21_residual_bollinger residual_bollinger SSA_p126_tw504_s21 0.120124 0.028766 0.542894 -0.071692 0.401241 0.055008 0.053571 ... 252.0 signal_on_bar_t_fill_next_bar_open_or_proxy SSA 126 504 21 63 None subspace_half_year_cycle SSA_p126_tw504_s21
3 detime_STL_p126_tw504_s21_hybrid_regime hybrid_regime STL_p126_tw504_s21 0.051462 0.012624 0.537848 -0.025492 0.495222 0.023848 0.009921 ... 252.0 signal_on_bar_t_fill_next_bar_open_or_proxy STL 126 504 21 63 None fixed_period_half_year_cycle STL_p126_tw504_s21
4 detime_STL_p126_tw504_s21_oscillation_reversion oscillation_reversion STL_p126_tw504_s21 0.051462 0.012624 0.537848 -0.025492 0.495222 0.023848 0.009921 ... 252.0 signal_on_bar_t_fill_next_bar_open_or_proxy STL 126 504 21 63 None fixed_period_half_year_cycle STL_p126_tw504_s21
5 detime_STL_p126_tw504_s21_trend_crossover trend_crossover STL_p126_tw504_s21 0.173953 0.040909 0.419117 -0.133557 0.306303 0.110303 0.193452 ... 252.0 signal_on_bar_t_fill_next_bar_open_or_proxy STL 126 504 21 63 None fixed_period_half_year_cycle STL_p126_tw504_s21
6 detime_SSA_p126_tw504_s21_oscillation_reversion oscillation_reversion SSA_p126_tw504_s21 0.020514 0.005090 0.415414 -0.017531 0.290325 0.012406 0.008929 ... 252.0 signal_on_bar_t_fill_next_bar_open_or_proxy SSA 126 504 21 63 None subspace_half_year_cycle SSA_p126_tw504_s21
7 detime_SSA_p126_tw504_s21_hybrid_regime hybrid_regime SSA_p126_tw504_s21 0.020514 0.005090 0.415414 -0.017531 0.290325 0.012406 0.008929 ... 252.0 signal_on_bar_t_fill_next_bar_open_or_proxy SSA 126 504 21 63 None subspace_half_year_cycle SSA_p126_tw504_s21
8 detime_STL_p126_tw504_s21_trend_macd trend_macd STL_p126_tw504_s21 0.056238 0.013772 0.228508 -0.152319 0.090418 0.071101 0.062500 ... 252.0 signal_on_bar_t_fill_next_bar_open_or_proxy STL 126 504 21 63 None fixed_period_half_year_cycle STL_p126_tw504_s21
9 detime_STL_p126_tw504_s21_residual_bollinger residual_bollinger STL_p126_tw504_s21 0.019034 0.004725 0.137965 -0.065186 0.072482 0.039841 0.015873 ... 252.0 signal_on_bar_t_fill_next_bar_open_or_proxy STL 126 504 21 63 None fixed_period_half_year_cycle STL_p126_tw504_s21
10 detime_STD_p126_tw504_s21_hybrid_regime hybrid_regime STD_p126_tw504_s21 0.000000 0.000000 0.000000 0.000000 NaN 0.000000 0.000000 ... 252.0 signal_on_bar_t_fill_next_bar_open_or_proxy STD 126 504 21 63 None dispersion_half_year_cycle STD_p126_tw504_s21
11 detime_STD_p126_tw504_s21_trend_macd trend_macd STD_p126_tw504_s21 0.000000 0.000000 0.000000 0.000000 NaN 0.000000 0.000000 ... 252.0 signal_on_bar_t_fill_next_bar_open_or_proxy STD 126 504 21 63 None dispersion_half_year_cycle STD_p126_tw504_s21
12 detime_STD_p126_tw504_s21_residual_bollinger residual_bollinger STD_p126_tw504_s21 0.000000 0.000000 0.000000 0.000000 NaN 0.000000 0.000000 ... 252.0 signal_on_bar_t_fill_next_bar_open_or_proxy STD 126 504 21 63 None dispersion_half_year_cycle STD_p126_tw504_s21
13 detime_STL_p126_tw504_s21_trend_following trend_following STL_p126_tw504_s21 0.000000 0.000000 0.000000 0.000000 NaN 0.000000 0.000000 ... 252.0 signal_on_bar_t_fill_next_bar_open_or_proxy STL 126 504 21 63 None fixed_period_half_year_cycle STL_p126_tw504_s21
14 detime_STD_p126_tw504_s21_oscillation_reversion oscillation_reversion STD_p126_tw504_s21 0.000000 0.000000 0.000000 0.000000 NaN 0.000000 0.000000 ... 252.0 signal_on_bar_t_fill_next_bar_open_or_proxy STD 126 504 21 63 None dispersion_half_year_cycle STD_p126_tw504_s21
15 detime_STD_p126_tw504_s21_trend_following trend_following STD_p126_tw504_s21 0.000000 0.000000 0.000000 0.000000 NaN 0.000000 0.000000 ... 252.0 signal_on_bar_t_fill_next_bar_open_or_proxy STD 126 504 21 63 None dispersion_half_year_cycle STD_p126_tw504_s21
16 detime_SSA_p126_tw504_s21_trend_following trend_following SSA_p126_tw504_s21 0.000000 0.000000 0.000000 0.000000 NaN 0.000000 0.000000 ... 252.0 signal_on_bar_t_fill_next_bar_open_or_proxy SSA 126 504 21 63 None subspace_half_year_cycle SSA_p126_tw504_s21
17 detime_STD_p126_tw504_s21_trend_crossover trend_crossover STD_p126_tw504_s21 0.000000 0.000000 0.000000 0.000000 NaN 0.000000 0.000000 ... 252.0 signal_on_bar_t_fill_next_bar_open_or_proxy STD 126 504 21 63 None dispersion_half_year_cycle STD_p126_tw504_s21

18 rows × 29 columns

In [4]
plot_stats = stats.sort_values("sharpe", ascending=True).tail(10).copy()
labels = plot_stats["strategy"].astype(str).str.replace("detime_", "", regex=False)
fig, ax = plt.subplots(figsize=(10, 4.5))
ax.barh(labels, plot_stats["sharpe"])
ax.axvline(0, color="black", linewidth=0.8)
ax.set_xlabel("Sharpe ratio")
ax.set_title("Method-variant Sharpe comparison on real GOOG sample")
ax.grid(True, axis="x", alpha=0.25)
plt.tight_layout()
plt.show()
image/png
Notebook output cell 7
In [5]
orders, trades = collect_orders_and_trades(results)
print('orders:', len(orders))
print('round-trip trades:', len(trades))
trades.head()
stdout
orders: 67
round-trip trades: 32
text/html
strategy asset side entry_signal_date entry_fill_date exit_signal_date exit_fill_date entry_price exit_price bars_held entry_weight directional_return approx_weighted_return_after_cost
0 detime_STL_p126_tw504_s21_oscillation_reversion GOOG short 2017-06-02 2017-06-05 2017-07-03 2017-07-05 976.549988 901.760010 21 -0.677286 0.076586 0.051396
1 detime_STL_p126_tw504_s21_hybrid_regime GOOG short 2017-06-02 2017-06-05 2017-07-03 2017-07-05 976.549988 901.760010 21 -0.677286 0.076586 0.051396
2 detime_STL_p126_tw504_s21_residual_bollinger GOOG short 2017-05-03 2017-05-04 2017-07-03 2017-07-05 926.070007 901.760010 42 -1.000000 0.026251 0.025551
3 detime_STL_p126_tw504_s21_trend_macd GOOG long 2016-02-02 2016-02-03 2016-02-23 2016-02-24 770.219971 688.919983 14 1.000000 -0.105554 -0.106254
4 detime_STL_p126_tw504_s21_trend_macd GOOG long 2016-04-04 2016-04-05 2016-04-22 2016-04-25 738.000000 716.099976 14 1.000000 -0.029675 -0.030375
In [6]
coverage.groupby(['method', 'variant', 'feature'])['coverage'].max().reset_index().head(20)
text/html
method variant feature coverage
0 SSA SSA_p126_tw504_s21 component_stability 0.500992
1 SSA SSA_p126_tw504_s21 cycle 0.500992
2 SSA SSA_p126_tw504_s21 cycle_amplitude 0.500992
3 SSA SSA_p126_tw504_s21 cycle_position 0.500992
4 SSA SSA_p126_tw504_s21 cycle_slope 0.500992
5 SSA SSA_p126_tw504_s21 cycle_turn_up 0.500992
6 SSA SSA_p126_tw504_s21 cycle_z 0.500992
7 SSA SSA_p126_tw504_s21 reconstruction_error 0.500992
8 SSA SSA_p126_tw504_s21 residual 0.500992
9 SSA SSA_p126_tw504_s21 residual_abs_z 0.500992
10 SSA SSA_p126_tw504_s21 residual_vol 0.500992
11 SSA SSA_p126_tw504_s21 residual_z 0.500992
12 SSA SSA_p126_tw504_s21 selected_period 0.500992
13 SSA SSA_p126_tw504_s21 trend 0.500992
14 SSA SSA_p126_tw504_s21 trend_acceleration 0.500992
15 SSA SSA_p126_tw504_s21 trend_gap 0.500992
16 SSA SSA_p126_tw504_s21 trend_slope 0.500992
17 SSA SSA_p126_tw504_s21 trend_strength 0.500992
18 SSA SSA_p126_tw504_s21 volume_component_stability 0.500992
19 SSA SSA_p126_tw504_s21 volume_cycle 0.500992

Parameter interpretation

  • period is the assumed cycle length. It plays a similar role to an indicator window.
  • train_window controls how much recent history the decomposition sees. Short windows adapt quickly; long windows produce smoother components.
  • step controls how often the decomposition is recomputed in walk-forward mode. Smaller steps are more responsive and more expensive.
  • z_window controls residual normalization and residual-band sensitivity.