fix: backtesting features updated to resemble backend

dev-abuke · Jun 26, 2024 · ff05cf6 · ff05cf6
1 parent 7a60f98
commit ff05cf6
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Showing 3 changed files with 277 additions and 44 deletions.
diff --git a/notebooks/backtesting.ipynb b/notebooks/backtesting.ipynb
@@ -681,6 +681,151 @@
     "metrics = run_backtest({\"indicator_name\": \"SMA\", \"period\": 20}, df)\n",
     "print(metrics)"
    ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": 1,
+   "metadata": {},
+   "outputs": [
+    {
+     "name": "stdout",
+     "output_type": "stream",
+     "text": [
+      "c:\\Users\\user\\Downloads\\ten_academy\\week9\\Scalable_Backtesting_Infrastructure_for_Crypto_Trading\\notebooks\n"
+     ]
+    }
+   ],
+   "source": [
+    "import os\n",
+    "\n",
+    "print(os.getcwd())\n",
+    "os.chdir('..')"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": 5,
+   "metadata": {},
+   "outputs": [
+    {
+     "name": "stdout",
+     "output_type": "stream",
+     "text": [
+      "The project root is:  c:\\Users\\user\\Downloads\\ten_academy\\week9\\Scalable_Backtesting_Infrastructure_for_Crypto_Trading\n"
+     ]
+    }
+   ],
+   "source": [
+    "import yfinance as yf\n",
+    "import backtrader as bt\n",
+    "import os, sys\n",
+    "# from util.user_input import get_user_input\n",
+    "# Assuming this script is two levels deep in the project directory\n",
+    "# project_root = os.path.abspath(os.path.join(os.path.dirname(__file__), '../../'))\n",
+    "# if project_root not in sys.path:\n",
+    "    # sys.path.append(project_root)\n",
+    "\n",
+    "print(\"The project root is: \", os.getcwd())\n",
+    "\n",
+    "from scripts.backtesting.analyzers.metrics_analyzer import MetricsAnalyzer\n",
+    "import scripts.backtesting.strategies as strategies\n",
+    "\n",
+    "def run_backtest(config):\n",
+    "    initial_cash = 500\n",
+    "    start_date = config['start_date']\n",
+    "    end_date = config['end_date']\n",
+    "    ticker = config['stock_symbol']\n",
+    "    indicator = config['indicator_symbol']\n",
+    "\n",
+    "    # Fetch historical data\n",
+    "    try:\n",
+    "        data = yf.download(ticker, start=start_date, end=end_date)\n",
+    "        data_feed = bt.feeds.PandasData(dataname=data)\n",
+    "    except Exception as e:\n",
+    "        print(f\"Error fetching data: {e}\")\n",
+    "        return\n",
+    "\n",
+    "    # Initialize Cerebro engine\n",
+    "    cerebro = bt.Cerebro()\n",
+    "    cerebro.adddata(data_feed)\n",
+    "    cerebro.broker.setcash(initial_cash)\n",
+    "\n",
+    "    # Add strategy based on selected indicator\n",
+    "    if indicator == 'SMA':\n",
+    "        from strategies.sma_strategy import SMAStrategy\n",
+    "        cerebro.addstrategy(SMAStrategy)\n",
+    "    elif indicator == 'LSTM':\n",
+    "        from strategies.lstm_strategy import LSTMStrategy\n",
+    "        cerebro.addstrategy(LSTMStrategy)\n",
+    "    elif indicator == 'MACD':\n",
+    "        from strategies.macd_strategy import MACDStrategy\n",
+    "        cerebro.addstrategy(MACDStrategy)\n",
+    "    elif indicator == 'RSI':\n",
+    "        from strategies.rsi_strategy import RSIStrategy\n",
+    "        cerebro.addstrategy(RSIStrategy)\n",
+    "    elif indicator == 'BB':\n",
+    "        from strategies.bollinger_bands_strategy import BollingerBandsStrategy\n",
+    "        cerebro.addstrategy(BollingerBandsStrategy)\n",
+    "    else:\n",
+    "        print(\"Invalid indicator selected.\")\n",
+    "        yield \"Invalid indicator selected.\"\n",
+    "\n",
+    "    # Add analyzers\n",
+    "    cerebro.addanalyzer(bt.analyzers.SharpeRatio, riskfreerate=0.0, annualized=True)\n",
+    "    cerebro.addanalyzer(MetricsAnalyzer)\n",
+    "\n",
+    "    # Run backtest\n",
+    "    results = cerebro.run()\n",
+    "    strat = results[0]\n",
+    "\n",
+    "    # Print results\n",
+    "    print(f\"Initial Cash: {initial_cash}\")\n",
+    "    print(f\"Final Value: {cerebro.broker.getvalue()}\")\n",
+    "    print(f\"Sharpe Ratio: {strat.analyzers.sharperatio.get_analysis()}\")\n",
+    "\n",
+    "    metrics_analyzer = strat.analyzers.getbyname('MetricsAnalyzer')\n",
+    "    metrics = metrics_analyzer.get_analysis()\n",
+    "    print(f\"Return: {metrics['return']}\")\n",
+    "    print(f\"Total Trades: {metrics['trades']}\")\n",
+    "    print(f\"Winning Trades: {metrics['winning_trades']}\")\n",
+    "    print(f\"Losing Trades: {metrics['losing_trades']}\")\n",
+    "\n",
+    "    return {\n",
+    "        'initial_cash': initial_cash,\n",
+    "        'final_value': cerebro.broker.getvalue(),\n",
+    "        'sharpe_ratio': strat.analyzers.sharperatio.get_analysis(),\n",
+    "        'return': metrics['return'],\n",
+    "        'total_trades': metrics['trades'],\n",
+    "        'winning_trades': metrics['winning_trades'],\n",
+    "        'losing_trades': metrics['losing_trades']\n",
+    "    }"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": 7,
+   "metadata": {},
+   "outputs": [
+    {
+     "data": {
+      "text/plain": [
+       "<generator object run_backtest at 0x0000020846C944A0>"
+      ]
+     },
+     "execution_count": 7,
+     "metadata": {},
+     "output_type": "execute_result"
+    }
+   ],
+   "source": [
+    "config = {\n",
+    "    'start_date': '2020-01-01',\n",
+    "    'end_date': '2021-01-01',\n",
+    "    'stock_symbol': 'NVDA',\n",
+    "    'indicator_symbol': 'SMA'\n",
+    "}\n",
+    "run_backtest(config)"
+   ]
   }
  ],
  "metadata": {
@@ -699,7 +844,7 @@
    "name": "python",
    "nbconvert_exporter": "python",
    "pygments_lexer": "ipython3",
-   "version": "3.8.10"
+   "version": "3.10.0"
   }
  },
  "nbformat": 4,