Your Name
2 months ago
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f34010f204
commit
47a359ec34
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"""
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Advanced Financial Backtesting System
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-----------------------------------
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A comprehensive system for backtesting trading strategies using the Swarms framework,
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real-time data from Yahoo Finance, and AI-driven decision making.
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Features:
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- Type-safe implementation with comprehensive type hints
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- Detailed logging with Loguru
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- Real-time data fetching from Yahoo Finance
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- Advanced technical analysis
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- Performance metrics and visualization
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- AI-driven trading decisions using Swarms framework
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"""
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import os
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from datetime import datetime
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from typing import Dict, List, TypedDict
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from dataclasses import dataclass
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import pandas as pd
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import numpy as np
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import yfinance as yf
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from swarms import Agent
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from swarm_models import OpenAIChat
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from dotenv import load_dotenv
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from loguru import logger
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# Configure logging
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logger.add(
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"backtester_{time}.log",
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rotation="500 MB",
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retention="10 days",
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level="INFO",
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format="{time:YYYY-MM-DD HH:mm:ss} | {level} | {message}",
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)
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# Type definitions
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class TradeAction(TypedDict):
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date: datetime
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action: str
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symbol: str
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quantity: float
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price: float
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cash: float
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commission: float
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class PortfolioMetrics(TypedDict):
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total_return: float
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total_trades: int
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total_commission: float
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final_cash: float
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sharpe_ratio: float
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max_drawdown: float
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@dataclass
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class TechnicalIndicators:
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sma_20: float
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sma_50: float
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rsi: float
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macd: float
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signal_line: float
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volume: int
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class FinancialData:
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"""
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Handles financial data operations using Yahoo Finance API
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Attributes:
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cache (Dict): Cache for storing downloaded data
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"""
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def __init__(self) -> None:
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self.cache: Dict[str, pd.DataFrame] = {}
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@logger.catch
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def get_historical_prices(
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self, symbol: str, start_date: str, end_date: str
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) -> pd.DataFrame:
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"""
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Fetches historical price data from Yahoo Finance
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Args:
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symbol: Stock symbol
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start_date: Start date in YYYY-MM-DD format
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end_date: End date in YYYY-MM-DD format
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Returns:
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DataFrame containing historical price data
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"""
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logger.info(
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f"Fetching data for {symbol} from {start_date} to {end_date}"
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)
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if symbol not in self.cache:
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try:
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ticker = yf.Ticker(symbol)
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df = ticker.history(start=start_date, end=end_date)
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df["symbol"] = symbol
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df.index.name = "date"
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df.reset_index(inplace=True)
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self.cache[symbol] = df
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logger.success(
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f"Successfully downloaded data for {symbol}"
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)
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except Exception as e:
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logger.error(
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f"Error fetching data for {symbol}: {str(e)}"
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)
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raise
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return self.cache[symbol]
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@logger.catch
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def get_technical_indicators(
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self, df: pd.DataFrame
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) -> pd.DataFrame:
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"""
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Calculates technical indicators for analysis
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Args:
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df: DataFrame with price data
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Returns:
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DataFrame with added technical indicators
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"""
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logger.info("Calculating technical indicators")
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df = df.copy()
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try:
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# Calculate moving averages
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df["SMA_20"] = df["Close"].rolling(window=20).mean()
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df["SMA_50"] = df["Close"].rolling(window=50).mean()
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# Calculate RSI
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delta = df["Close"].diff()
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gain = (
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(delta.where(delta > 0, 0)).rolling(window=14).mean()
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)
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loss = (
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(-delta.where(delta < 0, 0)).rolling(window=14).mean()
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)
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rs = gain / loss
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df["RSI"] = 100 - (100 / (1 + rs))
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# Calculate MACD
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exp1 = df["Close"].ewm(span=12, adjust=False).mean()
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exp2 = df["Close"].ewm(span=26, adjust=False).mean()
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df["MACD"] = exp1 - exp2
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df["Signal_Line"] = (
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df["MACD"].ewm(span=9, adjust=False).mean()
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)
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logger.success(
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"Successfully calculated technical indicators"
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)
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return df
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except Exception as e:
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logger.error(
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f"Error calculating technical indicators: {str(e)}"
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)
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raise
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class Portfolio:
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"""
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Manages portfolio positions and tracks performance
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Attributes:
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initial_cash: Starting capital
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cash: Current cash balance
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positions: Current stock positions
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history: Trade history
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trade_count: Number of trades executed
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"""
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def __init__(self, initial_cash: float = 100000.0) -> None:
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self.initial_cash = initial_cash
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self.cash = initial_cash
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self.positions: Dict[str, float] = {}
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self.history: List[TradeAction] = []
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self.trade_count = 0
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logger.info(
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f"Initialized portfolio with ${initial_cash:,.2f}"
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)
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@logger.catch
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def execute_trade(
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self,
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symbol: str,
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action: str,
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price: float,
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quantity: float,
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date: datetime,
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) -> None:
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"""
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Executes a trade and updates portfolio state
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Args:
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symbol: Stock symbol
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action: 'BUY' or 'SELL'
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price: Trade price
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quantity: Number of shares
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date: Trade date
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"""
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commission = 1.0 # $1 per trade commission
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try:
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if action == "BUY":
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cost = (price * quantity) + commission
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if cost <= self.cash:
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self.cash -= cost
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self.positions[symbol] = (
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self.positions.get(symbol, 0) + quantity
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)
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self.trade_count += 1
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logger.info(
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f"Bought {quantity} shares of {symbol} at ${price:.2f}"
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)
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elif action == "SELL":
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if (
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symbol in self.positions
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and self.positions[symbol] >= quantity
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):
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self.cash += (price * quantity) - commission
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self.positions[symbol] -= quantity
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if self.positions[symbol] == 0:
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del self.positions[symbol]
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self.trade_count += 1
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logger.info(
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f"Sold {quantity} shares of {symbol} at ${price:.2f}"
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)
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self.history.append(
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{
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"date": date,
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"action": action,
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"symbol": symbol,
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"quantity": quantity,
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"price": price,
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"cash": self.cash,
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"commission": commission,
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}
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)
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except Exception as e:
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logger.error(f"Error executing trade: {str(e)}")
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raise
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def get_metrics(self) -> PortfolioMetrics:
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"""
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Calculates portfolio performance metrics
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Returns:
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Dictionary containing performance metrics
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"""
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try:
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df = pd.DataFrame(self.history)
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if len(df) == 0:
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return {
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"total_return": 0.0,
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"total_trades": 0,
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"total_commission": 0.0,
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"final_cash": self.initial_cash,
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"sharpe_ratio": 0.0,
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"max_drawdown": 0.0,
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}
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portfolio_values = df["cash"].values
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returns = (
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np.diff(portfolio_values) / portfolio_values[:-1]
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)
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sharpe_ratio = (
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np.sqrt(252) * np.mean(returns) / np.std(returns)
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if len(returns) > 0
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else 0
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)
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max_drawdown = np.min(
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np.minimum.accumulate(portfolio_values)
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/ np.maximum.accumulate(portfolio_values)
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- 1
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)
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metrics: PortfolioMetrics = {
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"total_return": (
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(self.cash - self.initial_cash)
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/ self.initial_cash
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)
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* 100,
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"total_trades": self.trade_count,
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"total_commission": self.trade_count * 1.0,
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"final_cash": self.cash,
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"sharpe_ratio": float(sharpe_ratio),
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"max_drawdown": float(max_drawdown * 100),
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}
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logger.info("Successfully calculated portfolio metrics")
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return metrics
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except Exception as e:
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logger.error(
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f"Error calculating portfolio metrics: {str(e)}"
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)
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raise
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class FinancialAgent:
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"""
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AI Agent for making trading decisions using the Swarms framework
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Attributes:
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model: OpenAI chat model instance
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agent: Swarms agent instance
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"""
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def __init__(self, api_key: str) -> None:
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logger.info("Initializing Financial Agent")
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self.model = OpenAIChat(
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openai_api_key=api_key,
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model_name="gpt-4-0125-preview",
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temperature=0.1,
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)
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self.agent = Agent(
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agent_name="Financial-Trading-Agent",
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system_prompt="""You are an AI trading agent. Analyze the provided price data and technical indicators to make trading decisions.
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Output only one of these decisions: BUY, SELL, or HOLD. Consider the following in your analysis:
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1. Trend direction using moving averages (SMA_20 and SMA_50)
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2. RSI for overbought/oversold conditions (>70 overbought, <30 oversold)
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3. MACD crossovers and momentum
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4. Recent price action and volume
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Provide your decision in a single word: BUY, SELL, or HOLD.""",
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llm=self.model,
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max_loops=1,
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autosave=True,
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dashboard=False,
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verbose=True,
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)
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@logger.catch
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def make_decision(self, price_data: pd.DataFrame) -> str:
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"""
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Makes trading decision based on price data and technical indicators
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Args:
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price_data: DataFrame containing price and indicator data
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Returns:
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Trading decision: 'BUY', 'SELL', or 'HOLD'
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"""
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try:
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latest_data = price_data.tail(1).to_dict("records")[0]
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prompt = f"""
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Current Market Data:
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Price: ${latest_data['Close']:.2f}
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SMA_20: ${latest_data['SMA_20']:.2f}
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SMA_50: ${latest_data['SMA_50']:.2f}
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RSI: {latest_data['RSI']:.2f}
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MACD: {latest_data['MACD']:.2f}
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Signal Line: {latest_data['Signal_Line']:.2f}
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Volume: {latest_data['Volume']}
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Based on this data, what is your trading decision?
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"""
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decision = self.agent.run(prompt)
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decision = decision.strip().upper()
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if decision not in ["BUY", "SELL", "HOLD"]:
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logger.warning(
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f"Invalid decision '{decision}', defaulting to HOLD"
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)
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decision = "HOLD"
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logger.info(f"Agent decision: {decision}")
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return decision
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except Exception as e:
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logger.error(f"Error making trading decision: {str(e)}")
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raise
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class Backtester:
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"""
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Runs trading strategy backtests and analyzes performance
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Attributes:
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agent: Trading agent instance
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portfolio: Portfolio instance
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results: List of backtest results
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"""
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def __init__(
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self, agent: FinancialAgent, portfolio: Portfolio
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) -> None:
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self.agent = agent
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self.portfolio = portfolio
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self.results: List[Dict] = []
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logger.info("Initialized Backtester")
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@logger.catch
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def run_backtest(
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self, price_data: pd.DataFrame, trade_size: float = 100
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) -> None:
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"""
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Runs backtest simulation
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Args:
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price_data: Historical price data
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trade_size: Number of shares per trade
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"""
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logger.info("Starting backtest")
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try:
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df = FinancialData().get_technical_indicators(price_data)
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df = df.dropna()
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for i in range(len(df)):
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current_data = df.iloc[i]
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current_price = current_data["Close"]
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current_date = current_data["date"]
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decision = self.agent.make_decision(
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df.iloc[max(0, i - 10) : i + 1]
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)
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if decision == "BUY":
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self.portfolio.execute_trade(
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symbol=current_data["symbol"],
|
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||||||
action="BUY",
|
|
||||||
price=current_price,
|
|
||||||
quantity=trade_size,
|
|
||||||
date=current_date,
|
|
||||||
)
|
|
||||||
elif decision == "SELL":
|
|
||||||
self.portfolio.execute_trade(
|
|
||||||
symbol=current_data["symbol"],
|
|
||||||
action="SELL",
|
|
||||||
price=current_price,
|
|
||||||
quantity=trade_size,
|
|
||||||
date=current_date,
|
|
||||||
)
|
|
||||||
|
|
||||||
portfolio_value = self.portfolio.get_metrics()[
|
|
||||||
"final_cash"
|
|
||||||
]
|
|
||||||
|
|
||||||
self.results.append(
|
|
||||||
{
|
|
||||||
"date": current_date,
|
|
||||||
"price": current_price,
|
|
||||||
"decision": decision,
|
|
||||||
"portfolio_value": portfolio_value,
|
|
||||||
"SMA_20": current_data["SMA_20"],
|
|
||||||
"SMA_50": current_data["SMA_50"],
|
|
||||||
"RSI": current_data["RSI"],
|
|
||||||
"MACD": current_data["MACD"],
|
|
||||||
}
|
|
||||||
)
|
|
||||||
|
|
||||||
logger.success("Backtest completed successfully")
|
|
||||||
|
|
||||||
except Exception as e:
|
|
||||||
logger.error(f"Error during backtest: {str(e)}")
|
|
||||||
raise
|
|
||||||
|
|
||||||
def get_results(self) -> pd.DataFrame:
|
|
||||||
"""
|
|
||||||
Returns backtest results as DataFrame
|
|
||||||
"""
|
|
||||||
return pd.DataFrame(self.results)
|
|
||||||
|
|
||||||
|
|
||||||
def main() -> None:
|
|
||||||
"""
|
|
||||||
Main function to run the backtesting system
|
|
||||||
"""
|
|
||||||
try:
|
|
||||||
# Load environment variables
|
|
||||||
load_dotenv()
|
|
||||||
api_key = os.getenv("OPENAI_API_KEY")
|
|
||||||
if not api_key:
|
|
||||||
raise ValueError(
|
|
||||||
"OpenAI API key not found in environment variables"
|
|
||||||
)
|
|
||||||
|
|
||||||
# Initialize components
|
|
||||||
data_provider = FinancialData()
|
|
||||||
agent = FinancialAgent(api_key)
|
|
||||||
portfolio = Portfolio(initial_cash=100000.0)
|
|
||||||
backtester = Backtester(agent, portfolio)
|
|
||||||
|
|
||||||
# Get historical data
|
|
||||||
symbol = "AAPL"
|
|
||||||
start_date = "2023-01-01"
|
|
||||||
end_date = "2023-12-31"
|
|
||||||
|
|
||||||
logger.info(
|
|
||||||
f"Starting backtest for {symbol} from {start_date} to {end_date}"
|
|
||||||
)
|
|
||||||
|
|
||||||
price_data = data_provider.get_historical_prices(
|
|
||||||
symbol, start_date, end_date
|
|
||||||
)
|
|
||||||
backtester.run_backtest(price_data)
|
|
||||||
|
|
||||||
# Get and display results
|
|
||||||
results = backtester.get_results()
|
|
||||||
metrics = portfolio.get_metrics()
|
|
||||||
|
|
||||||
logger.info("Backtest Results:")
|
|
||||||
logger.info(f"Initial Portfolio Value: ${100000:.2f}")
|
|
||||||
logger.info(
|
|
||||||
f"Final Portfolio Value: ${metrics['final_cash']:.2f}"
|
|
||||||
)
|
|
||||||
logger.info(f"Total Return: {metrics['total_return']:.2f}%")
|
|
||||||
logger.info(f"Total Trades: {metrics['total_trades']}")
|
|
||||||
logger.info(
|
|
||||||
f"Total Commission: ${metrics['total_commission']:.2f}"
|
|
||||||
)
|
|
||||||
logger.info(f"Sharpe Ratio: {metrics['sharpe_ratio']:.2f}")
|
|
||||||
logger.info(f"Max Drawdown: {metrics['max_drawdown']:.2f}%")
|
|
||||||
|
|
||||||
except Exception as e:
|
|
||||||
logger.error(f"Error in main function: {str(e)}")
|
|
||||||
raise
|
|
||||||
|
|
||||||
|
|
||||||
if __name__ == "__main__":
|
|
||||||
main()
|
|
||||||
Loading…
Reference in new issue