feat: add return dictionary to backtest results

dev-abuke · Jun 26, 2024 · 571f235 · 571f235
1 parent f3505ee
commit 571f235
Showing 1 changed file with 33 additions and 35 deletions.
diff --git a/scripts/backtesting/main.py b/scripts/backtesting/main.py
@@ -1,24 +1,21 @@
 import yfinance as yf
 import backtrader as bt
 import os, sys
-# Assuming this script is two levels deep in the project directory
+
 project_root = os.path.abspath(os.path.join(os.path.dirname(__file__), '../../'))
 if project_root not in sys.path:
     sys.path.append(project_root)
 
-print("The project root is: ", os.getcwd())
-
-from scripts.backtesting.analyzers.metrics_analyzer import MetricsAnalyzer
-import scripts.backtesting.strategies as strategies
 from scripts.backtesting.util.user_input import get_user_input
+from scripts.backtesting.analyzers.metrics_analyzer import MetricsAnalyzer
 
 def run_backtest(config):
-    initial_cash = 500
+    initial_cash = config['initial_cash']
     start_date = config['start_date']
     end_date = config['end_date']
-    ticker = config['stock_symbol']
-    indicator = config['indicator_symbol']
-    print("The config is: ",ticker, start_date, end_date, indicator)
+    ticker = config['ticker']
+    indicator = config['indicator']
+
     # Fetch historical data
     try:
         data = yf.download(ticker, start=start_date, end=end_date)
@@ -34,27 +31,27 @@ def run_backtest(config):
 
     # Add strategy based on selected indicator
     if indicator == 'SMA':
-        from strategies.sma_strategy import SMAStrategy
+        from scripts.backtesting.strategies.sma_strategy import SMAStrategy
         cerebro.addstrategy(SMAStrategy)
     elif indicator == 'LSTM':
-        from strategies.lstm_strategy import LSTMStrategy
+        from scripts.backtesting.strategies.lstm_strategy import LSTMStrategy
         cerebro.addstrategy(LSTMStrategy)
     elif indicator == 'MACD':
-        from strategies.macd_strategy import MACDStrategy
+        from scripts.backtesting.strategies.macd_strategy import MACDStrategy
         cerebro.addstrategy(MACDStrategy)
     elif indicator == 'RSI':
-        from strategies.rsi_strategy import RSIStrategy
+        from scripts.backtesting.strategies.rsi_strategy import RSIStrategy
         cerebro.addstrategy(RSIStrategy)
-    elif indicator == 'BB':
-        from strategies.bollinger_bands_strategy import BollingerBandsStrategy
+    elif indicator == 'Bollinger Bands':
+        from scripts.backtesting.strategies.bollinger_bands_strategy import BollingerBandsStrategy
         cerebro.addstrategy(BollingerBandsStrategy)
     else:
         print("Invalid indicator selected.")
-        yield "Invalid indicator selected."
+        return
 
     # Add analyzers
-    cerebro.addanalyzer(bt.analyzers.SharpeRatio, riskfreerate=0.0, annualized=True)
-    cerebro.addanalyzer(MetricsAnalyzer)
+    cerebro.addanalyzer(bt.analyzers.SharpeRatio, riskfreerate=0.0, _name='sharperatio')
+    cerebro.addanalyzer(MetricsAnalyzer, _name='MetricsAnalyzer')
 
     # Run backtest
     results = cerebro.run()
@@ -63,7 +60,7 @@ def run_backtest(config):
     # Print results
     print(f"Initial Cash: {initial_cash}")
     print(f"Final Value: {cerebro.broker.getvalue()}")
-    print(f"Sharpe Ratio: {strat.analyzers.sharperatio.get_analysis()}")
+    print(f"Sharpe Ratio: {strat.analyzers.sharperatio.get_analysis()['sharperatio']}")
 
     metrics_analyzer = strat.analyzers.getbyname('MetricsAnalyzer')
     metrics = metrics_analyzer.get_analysis()
@@ -72,22 +69,23 @@ def run_backtest(config):
     print(f"Winning Trades: {metrics['winning_trades']}")
     print(f"Losing Trades: {metrics['losing_trades']}")
 
-    # return {
-    #     'initial_cash': initial_cash,
-    #     'final_value': cerebro.broker.getvalue(),
-    #     'sharpe_ratio': strat.analyzers.sharperatio.get_analysis(),
-    #     'return': metrics['return'],
-    #     'total_trades': metrics['trades'],
-    #     'winning_trades': metrics['winning_trades'],
-    #     'losing_trades': metrics['losing_trades']
-    # }
+    return {
+        'initial_cash': initial_cash,
+        'final_value': cerebro.broker.getvalue(),
+        'sharpe_ratio': strat.analyzers.sharperatio.get_analysis()['sharperatio'],
+        'percentage_return': metrics['return'],
+        'total_trades': metrics['trades'],
+        'winning_trades': metrics['winning_trades'],
+        'losing_trades': metrics['losing_trades']
+    }
 
 if __name__ == "__main__":
-    # config = {
-    #     'start_date': '2020-01-01',
-    #     'end_date': '2021-01-01',
-    #     'stock_symbol': 'NVDA',
-    #     'indicator_symbol': 'SMA'
-    # }
-    config = get_user_input()
+    # initial_cash, start_date, end_date, ticker, indicator = get_user_input()
+    config = {
+        'initial_cash': 500,
+        'start_date': "2024-02-01",
+        'end_date': "2024-06-11",
+        'ticker': "NVDA",
+        'indicator': "SMA"
+    }
     run_backtest(config)