Contango - Devlog #7

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Research

Research has been rough. I haven’t found any real edge with a
calmar ratio above 1.0, nor a sharpe ratio that is statistically meaningful to suggest a somewhat profitable strategy.

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Cartesian Parameterized Grid Search

This system was absolutely effective in what it did; however, I’ve concluded that using brute-force to generate strategies does not yield any
genuine edge. The system was powerful, but honestly hard to use; hence, I came to the decision of deleting it as it did not have much use other than
brute-forcing trading strategies.

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Rule-based Strategies

Rule-based strategies, again, allow for strategies to be created with minimal and highly declarative code. The API has improved significantly
with less unnecessary generics and more docstrings. It will be the intended system for backtesting strategies rather than using static strategies. They will both coexist, however; the static strategies will be intended to be used for live trading if implemented in the future.

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Graphs

The graph system was relatively ad-hoc, hard to use, and hardcoded; therefore, I have restructured it to take a more composable approach to
allow for the user to create & add graphs. The default graphs have not disappeared; however, they can be overridden. New graphs can be subclassed and the user can register & create custom graphs if desirable.

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Future

• Finish the graphing system.
• Fix all of the demo strategies for the new structure.
• Create new unit tests for the codebase.
• Publish to PyPI and commit to github.

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I’m beginning to wrap up the project to get it to a publishable state.