Air-Sea Fluxes With a Focus on Heat and Momentum
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Quant Buffet native backtest IDEEdit and run Quant Buffet Python for Air-Sea Fluxes With a Focus on Heat and Momentum in the browser. Results update live with equity, drawdown, and metrics charts. Allowed: backtest.data, backtest.engine, backtest.metrics, numpy, pandas. Define ASSETS and make_on_day(prices). Shortcut: Ctrl+Enter. API docs →
Quant Buffet syntax cheat sheet (copy / insert)
Paste these fragments into the editor. The sandbox rejects QuantConnect, os, and network libraries.
from __future__ import annotations
import numpy as np
import pandas as pd
from backtest.data import load_daily_prices
from backtest.engine import EngineConfig, PortfolioEngine
from backtest.metrics import compute_metricsASSETS = ["SPY", "QQQ", "TLT", "GLD", "BIL"]def make_on_day(prices: pd.DataFrame):
cols = [c for c in ASSETS if c in prices.columns]
sma = prices[cols].rolling(200, min_periods=200).mean()
state = {"last": None}
def on_day(engine: PortfolioEngine, dt: pd.Timestamp) -> None:
if sma.loc[dt].isna().all():
return
key = (dt.year, dt.month)
if state["last"] == key:
return
state["last"] = key
long = [
s for s in cols
if pd.notna(prices.at[dt, s]) and pd.notna(sma.at[dt, s])
and prices.at[dt, s] > sma.at[dt, s]
]
weights = {} if not long else {s: 1.0 / len(long) for s in long}
engine.set_target_weights(dt, weights)
ready = sma.dropna(how="all").index.min() if sma.notna().any().any() else None
return on_day, readyengine.set_target_weights(dt, {"SPY": 0.60, "BIL": 0.40})Live backtest performance
Accent = strategy · dashed grey = buy-and-hold benchmark
Export to your platform
Transform Quant Buffet lab code (ASSETS + make_on_day / PortfolioEngine) into native classes for a third-party IDE — then copy and paste.
# Generated from Quant Buffet → QuantConnect LEAN
# Strategy: Air-Sea Fluxes With a Focus on Heat and Momentum
# Detected pattern: Absolute momentum
# Source uses Quant Buffet lab APIs (ASSETS + make_on_day / PortfolioEngine).
# Review fees, data, and risk before live trading — educational export only.
from AlgorithmImports import *
class QuantBuffetExport(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2010, 1, 1)
self.SetCash(100000)
tickers = ["SPY", "TLT", "GLD", "BIL"]
self.symbols = []
for t in tickers:
if "-" in t: # crypto proxy e.g. BTC-USD
self.symbols.append(self.AddCrypto(t.replace("-USD", ""), Resolution.Daily).Symbol)
else:
self.symbols.append(self.AddEquity(t, Resolution.Daily).Symbol)
self.Schedule.On(
self.DateRules.MonthStart(self.symbols[0]),
self.TimeRules.AfterMarketOpen(self.symbols[0], 30),
self.Rebalance,
)
# Logic: Long assets with positive 252-day return; equal-weight; monthly.
def Rebalance(self):
# Pattern: abs_momentum — Long assets with positive 252-day return; equal-weight; monthly.
# Default: equal-weight. Port your make_on_day weights here via SetHoldings.
w = 1.0 / len(self.symbols) if self.symbols else 0.0
for symbol in self.symbols:
self.SetHoldings(symbol, w)
Exported code uses the platform’s native classes and libraries. Install dependencies in your third-party IDE, then run. Validate before live trading.
Academic paper
Air-Sea Fluxes With a Focus on Heat and Momentum
Meghan F. Cronin; Chelle Gentemann; James B. Edson; Iwao Ueki; Mark A. Bourassa; Shannon Brown; Carol Anne Clayson; C. W. Fairall
Florida State University; University of California San Diego; Institute of Oceanology. PP Shirshov Russian Academy of Sciences; University of Miami
Teaser
Hold assets with positive trailing return; equal-weight the winners. Universe: SPY, BIL. Parameters: lookback=252; rebalance=monthly. Rebalanced on the engine's template schedule with 5 bps commission and 2 bps slippage. Because the paper's primary signal (ML, sentiment, or proprietary data) is not available in our public ETF engine, this draft uses a liquid ETF rule that preserves the paper's economic theme rather than a bit-exact replication.
Strategy in a nutshell
Turbulent and radiative exchanges of heat between the ocean and atmosphere (hereafter heat fluxes), ocean surface wind stress, and state variables used to estimate them, are Essential Ocean Variables (EOVs) and Essential Climate Variables (ECVs) influencing weather and climate. This paper describes an observational strategy for producing 3-hourly, 25-km (and an aspirational goal of hourly at 10-km) heat flux and wind stress fields over the global, ice-free ocean with breakthrough 1-day random uncertainty of 15 W m-2 and a bias of less than 5 W m-2. At present this accuracy target is met only at OceanSITES reference station moorings and research vessels (RVs) that follow best practices. To meet these targets globally, in the next decade, satellite-based observations must be optimized for bo
Economic rationale
Positive time-series momentum indicates a favorable trend state; holding only assets with positive trailing returns tilts toward that premium. Related evidence from “Air-Sea Fluxes With a Focus on Heat and Momentum”: Turbulent and radiative exchanges of heat between the ocean and atmosphere (hereafter heat fluxes), ocean surface wind stress, and state variables used to estimate them, are Essential Ocean Variables (EOVs) and Essential Climate Variables (ECVs) influencing weather and climate. This paper describes an observational strategy for producing 3-hourly, 25-km (and an aspirational goal of hourly at 10-km) heat flux and wind stress fields over the global, ice-free ocean with breakthrough 1-day random un