VectorBT로 비트코인 RSI 평균 회귀 전략 백테스트

# Single Asset Backtest with VectorBT


# Single Asset Backtest with VectorBT

**Docker image**: `ml4t`

This notebook introduces **VectorBT**, a vectorized backtesting library that enables
fast simulation of trading strategies. We start with a simple single-asset RSI mean-reversion
strategy on Bitcoin before moving to multi-asset portfolio strategies. Every performance result
is an in-sample teaching output, not a holdout estimate or deployable strategy claim.

**Learning Objectives:**

1. Understand VectorBT's core API and portfolio simulation
2. Implement entry/exit signals from technical indicators
3. Analyze performance metrics and visualizations
4. Compare strategy vs buy-and-hold benchmark

**Book Reference:** Chapter 16, Section 16.3 - vectorized and event-driven engines.

**Prerequisites:** Ch16 NB 01 (backtesting first principles).

**Strategy:** RSI Mean Reversion on BTC

- **Long Entry**: RSI below the configured lower threshold
- **Exit**: RSI above the configured upper threshold
- **Rebalancing**: Daily
- **Transaction Costs**: Fee plus slippage on each fill

## Setup

```python
"""Single-asset RSI mean-reversion strategy using vectorized backtesting."""

import plotly.graph_objects as go
import polars as pl
import vectorbt as vbt
from IPython.display import Markdown, display
from ml4t.diagnostic.evaluation import PortfolioAnalysis
from plotly.subplots import make_subplots

from data import load_crypto_perps
from utils.style import COLORS, ml4t_diverging, show_plotly_with_alt
```

```python
# Production defaults - Papermill injects overrides for CI
START_DATE = "2020-01-01"
END_DATE = "2024-01-01"
INITIAL_CASH = 100_000
RSI_WINDOW = 14
RSI_LOWER = 30
RSI_UPPER = 70
SIZE_FRACTION = 0.95
FEES = 0.001
SLIPPAGE = 0.0005
```

```python
display(
    Markdown(
        f"The configured rule uses a **{RSI_WINDOW}-day RSI**, enters below **{RSI_LOWER}**, "
        f"exits above **{RSI_UPPER}**, and allocates **{SIZE_FRACTION:.0%}** of available capital. "
        f"Each fill pays a **{FEES:.2%} fee** plus **{SLIPPAGE:.2%} slippage**."
    )
)
```

## 1. Data Acquisition

Load BTC/USDT daily bars from the local crypto perpetuals dataset and
convert to pandas Series indexed by timestamp at the VectorBT boundary. The UTC-day aggregation
is a calendar convention for a continuously traded market, not an exchange session close.

```python
_crypto = load_crypto_perps(
    symbols=["BTCUSDT"],
    start_date=START_DATE,
    end_date=END_DATE,
)
btc_df = (
    _crypto.filter(
        (pl.col("symbol") == "BTCUSDT")
        & (pl.col("timestamp") >= pl.lit(START_DATE).str.to_datetime().dt.replace_time_zone("UTC"))
        & (pl.col("timestamp") < pl.lit(END_DATE).str.to_datetime().dt.replace_time_zone("UTC"))
    )
    .sort("timestamp")
    .with_columns(pl.col("timestamp").dt.replace_time_zone(None))
    .group_by_dynamic("timestamp", every="1d", group_by="symbol")
    .agg(
        pl.col("open").first(),
        pl.col("high").max(),
        pl.col("low").min(),
        pl.col("close").last(),
        pl.col("volume").sum(),
    )
    .sort(["symbol", "timestamp"])
)
```

Canonical keys must remain unique through aggregation. Positive, internally consistent OHLC bars
protect the backtest from malformed price records before the VectorBT boundary.

```python
assert btc_df.n_unique(["symbol", "timestamp"]) == len(btc_df)
assert btc_df["symbol"].unique().to_list() == ["BTCUSDT"]
price_columns = ["open", "high", "low", "close"]
assert btc_df.select(pl.col(price_columns).is_not_null().all()).row(0) == (True,) * 4
assert btc_df.select((pl.col(price_columns) > 0).all()).row(0) == (True,) * 4
assert btc_df.select((pl.col("high") >= pl.max_horizontal("open", "close", "low")).all()).item()
assert btc_df.select((pl.col("low") <= pl.min_horizontal("open", "close", "high")).all()).item()
assert len(btc_df) > RSI_WINDOW

# Convert at the library boundary; subsequent pandas objects come from VectorBT.
btc_pd = btc_df.to_pandas()
btc_pd.set_index("timestamp", inplace=True)
close = btc_pd["close"]
execution_price = btc_pd["open"]

print(f"Loaded {len(btc_df):,} daily bars for BTCUSDT from the crypto perpetuals dataset")
print(f"Date range: {btc_df['timestamp'].min()} to {btc_df['timestamp'].max()}")
```

```python
close.head(10)
```

## 2. RSI Indicator Calculation

VectorBT provides optimized indicator calculations. The RSI indicator
can be computed for multiple parameter values simultaneously.

```python
rsi = vbt.RSI.run(close, window=RSI_WINDOW)
```

```python
rsi_series = rsi.rsi
```

```python
fig = make_subplots(
    rows=2,
    cols=1,
    shared_xaxes=True,
    vertical_spacing=0.05,
    row_heights=[0.7, 0.3],
    subplot_titles=["BTC/USDT Price", f"RSI ({RSI_WINDOW})"],
)

fig.add_trace(
    go.Scatter(x=close.index, y=close, name="BTC", line=dict(color=COLORS["blue"])),
    row=1,
    col=1,
)

fig.add_trace(
    go.Scatter(x=rsi_series.index, y=rsi_series, name="RSI", line=dict(color=COLORS["amber"])),
    row=2,
    col=1,
)

fig.add_hline(y=RSI_LOWER, line_dash="dash", line_color=COLORS["positive"], row=2, col=1)
fig.add_hline(y=RSI_UPPER, line_dash="dash", line_color=COLORS["negative"], row=2, col=1)

fig.update_layout(
    height=600,
    title=(
        "BTC/USDT close and its RSI, with the entry and exit thresholds marked"
        "<br><sup>Daily BTCUSDT; trailing close-based indicator</sup>"
    ),
    showlegend=True,
    xaxis2_title="Date",
    yaxis_title="Price (USDT)",
    yaxis2_title="RSI",
)
show_plotly_with_alt(
    fig,
    (
        "Two stacked panels on a shared date axis. The upper panel is the BTC/USDT daily "
        f"close in USDT. The lower panel is the {RSI_WINDOW}-period RSI computed from those "
        "same closes, in amber, with dashed horizontal lines at the entry and exit "
        "thresholds. Stacked on one date axis so the indicator and the thresholds that act on "
        "it can be read against the price history they are derived from."
    ),
)
```

## 3. Generate Trading Signals

RSI Mean Reversion Logic:

- **Enter Long**: the prior close's RSI is below the lower threshold
- **Exit Long**: the prior close's RSI is above the upper threshold

RSI is observed only after the daily close. Shifting both conditions by one row makes the order
eligible at the next UTC day's open and prevents a same-close look-ahead fill.

```python
entry_condition = rsi_series < RSI_LOWER
exit_condition = rsi_series > RSI_UPPER
entries = entry_condition.shift(1, fill_value=False)
exits = exit_condition.shift(1, fill_value=False)
```

```python
entry_days = int(entries.sum())
exit_days = int(exits.sum())
display(
    Markdown(
        f"The conditions mark **{entry_days} entry-eligible days** and "
        f"**{exit_days} exit-eligible days**. Repeated signals while a position is already "
        "open do not create additional trades."
    )
)
```

## 4. Run Backtest with VectorBT

VectorBT's `Portfolio.from_signals()` is the core backtesting function.
It simulates a portfolio based on entry/exit signals.

```python
portfolio = vbt.Portfolio.from_signals(
    close=close,
    entries=entries,
    exits=exits,
    price=execution_price,
    open=execution_price,
    size=SIZE_FRACTION,
    size_type="percent",
    init_cash=INITIAL_CASH,
    fees=FEES,
    slippage=SLIPPAGE,
    freq="1D",
)
```

**Portfolio performance summary** (VectorBT's built-in strategy statistics):

The matched-cost benchmark is constructed below. This view suppresses VectorBT's implicit
frictionless close-to-close benchmark so the notebook does not mix execution assumptions.

```python
strategy_stats = portfolio.stats()
strategy_stats.drop(labels=["Benchmark Return [%]"], errors="ignore")
```



```python
baseline_return = float(portfolio.total_return())
baseline_sharpe = float(portfolio.sharpe_ratio())
display(
    Markdown(
        f"The configured RSI rule returns **{baseline_return:.2%}** with a "
        f"**{baseline_sharpe:.2f} Sharpe ratio** in this sample. This descriptive output shows "
        "what the rule did, but does not identify a persistent mean-reversion premium or estimate "
        "out-of-sample performance."
    )
)
```

## 5. Analyze Trade Statistics

VectorBT records each trade lifecycle, including any position still open at the sample end. The
table exposes entry and exit prices so the execution convention remains auditable.

```python
trades = portfolio.trades.records_readable
display(Markdown(f"The simulation contains **{len(trades)} trade records**."))
```

**Trade statistics** (per-trade entry/exit, P&L, holding period summary):

```python
portfolio.trades.stats()
```

**Sample individual trades** with entry/exit timing and realized P&L:

```python
display_cols = [
    "Entry Timestamp",
    "Exit Timestamp",
    "Size",
    "Entry Price",
    "Exit Price",
    "PnL",
    "Return",
]
available_cols = [c for c in display_cols if c in trades.columns]
trades[available_cols].head(10)
```

## 6. Performance Visualization

Portfolio value reveals when the rule is invested and when capital is idle. The underwater curve
measures each close relative to the running peak, with zero fixed at the top of the chart.

```python
portfolio_value = portfolio.value()
fig = go.Figure(
    go.Scatter(
        x=portfolio_value.index,
        y=portfolio_value,
        name="Portfolio value",
        line=dict(color=COLORS["blue"]),
    )
)
fig.update_layout(
    title=(
        "Portfolio value under the RSI rule"
        "<br><sup>Net of configured fees and slippage; full sample, in-sample</sup>"
    ),
    xaxis_title="Date",
    yaxis_title="Portfolio Value (USDT)",
    height=450,
    hovermode="x unified",
)
show_plotly_with_alt(
    fig,
    (
        "Line chart of the RSI rule's portfolio value in USDT over the sample, starting from "
        "the configured initial cash. The rule is in the market only between an entry and its "
        "exit, so the series is flat wherever it holds no position and moves only on the "
        "sessions it is invested. Drawn to show the shape of a rule that trades "
        "intermittently rather than holding continuously."
    ),
)
```

```python
portfolio_drawdown = portfolio.drawdown() * 100
drawdown_floor = min(float(portfolio_drawdown.min()) * 1.05, -1.0)
fig_dd = go.Figure(
    go.Scatter(
        x=portfolio_drawdown.index,
        y=portfolio_drawdown,
        name="Drawdown",
        line=dict(color=COLORS["negative"]),
        fill="tozeroy",
        fillcolor=COLORS["silver_muted"],
    )
)
fig_dd.update_layout(
    title=(
        "Drawdown of the RSI portfolio from its running peak"
        "<br><sup>Close-to-close peak-to-trough drawdown; net, in-sample</sup>"
    ),
    xaxis_title="Date",
    yaxis_title="Drawdown (%)",
    yaxis_range=[drawdown_floor, 0],
    height=400,
    hovermode="x unified",
)
show_plotly_with_alt(
    fig_dd,
    (
        "Filled drawdown chart of the RSI portfolio measured from its own running peak, zero "
        "at the top and losses below, in percent. Each point is the distance from the highest "
        "portfolio value reached up to that date, so the series returns to zero only on a new "
        "high. Drawn beside the equity curve above because the same path answers a different "
        "question when it is measured against its own maximum."
    ),
)
```

## 7. Compare to Buy-and-Hold Benchmark

Buy-and-hold is a simple exposure benchmark. Both paths deploy the same fraction of capital and
use the same next-open price, fee, and slippage assumptions. The benchmark remains open at the
sample end, so it does not pay a terminal exit cost.

```python
bh_portfolio = vbt.Portfolio.from_holding(
    close=close,
    price=execution_price,
    open=execution_price,
    size=SIZE_FRACTION,
    size_type="percent",
    init_cash=INITIAL_CASH,
    fees=FEES,
    slippage=SLIPPAGE,
    freq="1D",
)
```

```python
comparison = pl.DataFrame(
    {
        "metric": [
            "Total Return (%)",
            "Sharpe Ratio",
            "Max Drawdown (%)",
            "Total Trades",
            "Sortino Ratio",
            "Calmar Ratio",
        ],
        "RSI Strategy": [
            float(portfolio.total_return() * 100),
            float(portfolio.sharpe_ratio()),
            float(portfolio.max_drawdown() * 100),
            float(portfolio.trades.count()),
            float(portfolio.sortino_ratio()),
            float(portfolio.calmar_ratio()),
        ],
        "Buy & Hold": [
            float(bh_portfolio.total_return() * 100),
            float(bh_portfolio.sharpe_ratio()),
            float(bh_portfolio.max_drawdown() * 100),
            float(bh_portfolio.trades.count()),
            float(bh_portfolio.sortino_ratio()),
            float(bh_portfolio.calmar_ratio()),
        ],
    }
)
```

**Strategy vs buy-and-hold comparison** (daily data; risk ratios use daily annualization):

```python
comparison.with_columns(pl.col(["RSI Strategy", "Buy & Hold"]).round(3))
```



```python
benchmark_return = float(bh_portfolio.total_return())
benchmark_sharpe = float(bh_portfolio.sharpe_ratio())
strategy_drawdown = float(portfolio.max_drawdown())
benchmark_drawdown = float(bh_portfolio.max_drawdown())
return_leader = "Buy-and-hold" if benchmark_return > baseline_return else "The RSI strategy"
display(
    Markdown(
        f"**{return_leader}** leads total return in this sample: "
        f"**{benchmark_return:.2%}** for buy-and-hold versus **{baseline_return:.2%}** for RSI. "
        f"Their Sharpe ratios are **{benchmark_sharpe:.2f}** and **{baseline_sharpe:.2f}**; maximum "
        f"drawdowns are **{benchmark_drawdown:.2%}** and **{strategy_drawdown:.2%}**, respectively. "
        "This is an in-sample exposure comparison, not evidence that either rule will dominate "
        "out of sample."
    )
)
```

```python
fig = go.Figure()

strategy_cum = portfolio.cumulative_returns() * 100
bh_cum = bh_portfolio.cumulative_returns() * 100

fig.add_trace(
    go.Scatter(
        x=strategy_cum.index,
        y=strategy_cum,
        name="RSI Strategy",
        line=dict(color=COLORS["blue"]),
    )
)

fig.add_trace(
    go.Scatter(
        x=bh_cum.index,
        y=bh_cum,
        name="Buy & Hold",
        line=dict(color=COLORS["neutral"], dash="dash"),
    )
)

fig.update_layout(
    title=(
        "Cumulative return, RSI rule against buy-and-hold"
        "<br><sup>Matched capital allocation and costs; full sample, in-sample</sup>"
    ),
    xaxis_title="Date",
    yaxis_title="Cumulative Return (%)",
    height=500,
    legend=dict(yanchor="top", y=0.99, xanchor="left", x=0.01),
    hovermode="x unified",
)
fig.add_hline(y=0, line_dash="dash", line_color=COLORS["neutral"], line_width=1)
show_plotly_with_alt(
    fig,
    (
        "Cumulative return in percent for the RSI rule in solid navy and buy-and-hold in "
        "dashed grey, on one linear axis. Both are run on the same bars, from the same "
        "capital, and net of the same fees and slippage, so the only difference between them "
        "is when each is in the market. Drawn on a shared axis, which is what makes the two "
        "directly comparable and also what compresses the smaller of them."
    ),
)
```

## 8. Parameter Sensitivity

VectorBT makes parameter sweeps inexpensive. This section measures in-sample sensitivity; it does
not treat its highest-Sharpe row as a deployment choice, because no holdout is used.

```python
rsi_windows = [7, 14, 21]
lower_thresholds = [20, 25, 30, 35]
upper_thresholds = [65, 70, 75, 80]
```

```python
results = []

for window in rsi_windows:
    rsi_vals = vbt.RSI.run(close, window=window).rsi

    for lower in lower_thresholds:
        for upper in upper_thresholds:
            if lower >= upper:
                continue

            entries = (rsi_vals < lower).shift(1, fill_value=False)
            exits = (rsi_vals > upper).shift(1, fill_value=False)

            pf = vbt.Portfolio.from_signals(
                close=close,
                entries=entries,
                exits=exits,
                price=execution_price,
                open=execution_price,
                size=SIZE_FRACTION,
                size_type="percent",
                init_cash=INITIAL_CASH,
                fees=FEES,
                slippage=SLIPPAGE,
                freq="1D",
            )

            results.append(
                {
                    "window": window,
                    "lower": lower,
                    "upper": upper,
                    "total_return": pf.total_return() * 100,
                    "sharpe": pf.sharpe_ratio(),
                    "max_dd": pf.max_drawdown() * 100,
                    "trades": pf.trades.count(),
                }
            )
```

```python
results_df = pl.DataFrame(results)
ranked_results = results_df.filter(pl.col("sharpe").is_finite()).sort("sharpe", descending=True)
assert len(ranked_results) > 0
```

**Highest-Sharpe RSI parameter combinations** (in-sample sweep):

```python
ranked_results.head(10)
```

```python
window_results = results_df.filter(pl.col("window") == RSI_WINDOW)
heatmap_z = [
    [
        window_results.filter((pl.col("lower") == lower) & (pl.col("upper") == upper))[
            "sharpe"
        ].item()
        for lower in lower_thresholds
    ]
    for upper in upper_thresholds
]
best_parameters = ranked_results.row(0, named=True)
window_best = (
    window_results.filter(pl.col("sharpe").is_finite())
    .sort("sharpe", descending=True)
    .row(0, named=True)
)
```

The heatmap holds the RSI window fixed and exposes the threshold surface. Centering the diverging
scale at zero distinguishes positive from negative in-sample Sharpe ratios without implying that
the highest cell is a validated choice.

```python
fig = go.Figure(
    data=go.Heatmap(
        x=lower_thresholds,
        y=upper_thresholds,
        z=heatmap_z,
        colorscale=ml4t_diverging(),
        zmid=0,
        colorbar=dict(title="Sharpe Ratio"),
    )
)

fig.update_layout(
    title=(
        f"In-sample Sharpe by threshold pair, RSI window {RSI_WINDOW}"
        "<br><sup>Full-sample sensitivity, net of costs; no holdout ranking</sup>"
    ),
    xaxis_title="Lower Threshold",
    yaxis_title="Upper Threshold",
    height=500,
)
show_plotly_with_alt(
    fig,
    (
        "Heatmap of in-sample Sharpe ratio over the RSI threshold grid, lower threshold on "
        "the horizontal axis and upper threshold on the vertical, one cell per pair, on a "
        f"diverging colour scale centred at zero. The RSI window is held at {RSI_WINDOW} "
        "throughout, so the surface varies in the two thresholds alone. Every cell is scored "
        "on the whole sample with no holdout, which is what makes this a sensitivity surface "
        "rather than a selection procedure."
    ),
)
```



```python
lower_column = window_results.filter(pl.col("lower") == window_best["lower"])["sharpe"]

display(
    Markdown(
        f"The highest-Sharpe grid row reaches **{best_parameters['sharpe']:.2f}** in sample, versus "
        f"**{baseline_sharpe:.2f}** for the configured baseline. That gap measures full-sample "
        "selection, not forecast improvement: every candidate was ranked after observing the same "
        "return path. NB 12 introduces the Deflated Sharpe Ratio for this multiple-testing problem."
        f"\n\nInside the window-{RSI_WINDOW} surface the peak sits at "
        f"{window_best['lower']}/{window_best['upper']} with a Sharpe of "
        f"{window_best['sharpe']:.2f}, but the whole lower-threshold-{window_best['lower']} column "
        f"spans only {float(lower_column.min()):.2f} to {float(lower_column.max()):.2f} across the "
        "four upper thresholds. The lower threshold is what moves this surface; reading the single "
        "best cell as a choice of upper threshold reads noise."
    )
)
```

## 9. Evaluate with ml4t-diagnostic

`PortfolioAnalysis` recomputes portfolio statistics from the return series. Agreement on total
return and maximum drawdown provides a cross-library accounting check; the remaining rows extend
the report with distribution and benchmark-relative diagnostics.

```python
strategy_returns = portfolio.returns().values
benchmark_returns = bh_portfolio.returns().values

analysis = PortfolioAnalysis(
    returns=strategy_returns,
    benchmark=benchmark_returns,
    dates=portfolio.returns().index,
    periods_per_year=365,  # Crypto trades 365 days
)

metrics = analysis.compute_summary_stats()
assert abs(metrics.total_return - baseline_return) < 1e-10
assert abs(metrics.max_drawdown - strategy_drawdown) < 1e-10
```

**Selected ml4t-diagnostic portfolio statistics:**

```python
percentage_metrics = [
    "total_return",
    "annual_return",
    "annual_volatility",
    "max_drawdown",
    "var_95",
    "cvar_95",
    "win_rate",
    "avg_win",
    "avg_loss",
    "alpha",
]
metrics_table = (
    metrics.to_dataframe()
    .unpivot(variable_name="metric", value_name="value")
    .filter(~pl.col("metric").is_in(["up_capture", "down_capture"]))
    .with_columns(
        pl.when(pl.col("metric").is_in(percentage_metrics))
        .then((pl.col("value") * 100).round(2))
        .otherwise(pl.col("value").round(3))
        .alias("value"),
        pl.when(pl.col("metric").is_in(percentage_metrics))
        .then(pl.lit("%"))
        .otherwise(pl.lit("unitless"))
        .alias("unit"),
    )
)
metrics_table
```

## See Also

**ml4t-backtest Implementation**: See [`04_single_asset_ml4t_backtest`](04_single_asset_ml4t_backtest.ipynb) for the same
strategy implemented with ml4t-backtest's event-driven engine. The main difference
is not capability - VectorBT also supports stops, fills, and risk rules - but
representation: ml4t-backtest expresses strategy logic as a Python class with
explicit state, which mirrors how live trading code is typically structured.

## Key Takeaways

1. **VectorBT API**: `Portfolio.from_signals()` is the core function for signal-based backtests

2. **Signal timing**: Close-derived conditions are shifted to the next UTC-day open

3. **Parameter sensitivity**: Vectorized operations enable fast parameter sweeps, but ranking
   candidates on one sample does not establish out-of-sample improvement

4. **Transaction costs**: Strategy and benchmark use the same fee and slippage convention

5. **Benchmarking**: A same-budget buy-and-hold path separates timing from passive exposure

## Next Steps

- **06_framework_parity**: Compare vectorized and event-driven implementations
- **08_signal_method_comparison**: Compare signal conversion methods
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