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Stephen Gachoka
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initiat backtest
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‎.gitignore

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tradingbot/

‎README.md

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# Trading Bot
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# TraderBot
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Build a trader bot which looks at sentiment of live news events and trades appropriately.
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## Screenshots 📺
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<img src="./screenshots/Screenshot_chart.png" alt=""/>
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<img src="./screenshots/Screenshot_teardown.png" alt=""/>
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## Startup 🚀
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1. Create a virtual environment `conda create -n trader python=3.10`
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2. Activate it `conda activate trader`
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3. Install initial deps `pip install lumibot timedelta alpaca-trade-api==3.1.1`
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4. Install transformers and friends `pip install torch torchvision torchaudio transformers`
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5. Update the `API_KEY` and `API_SECRET` with values from your Alpaca account
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6. Run the bot `python tradingbot.py`
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<p>N.B. Torch installation instructions will vary depending on your operating system and hardware. See here for more:
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<a href="pytorch.org/">PyTorch Installation Instructions</a></p>
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## Other References 🔗
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<p>-<a href="github.com/Lumiwealth/lumibot)">Lumibot</a>:trading bot library, makes lifecycle stuff easier .</p>

‎finbert_utils.py

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from transformers import AutoTokenizer, AutoModelForSequenceClassification
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import torch
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from typing import Tuple
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device = "cuda:0" if torch.cuda.is_available() else "cpu"
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import os
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os.environ["TOKENIZERS_PARALLELISM"] = "false"
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tokenizer = AutoTokenizer.from_pretrained("ProsusAI/finbert")
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model = AutoModelForSequenceClassification.from_pretrained("ProsusAI/finbert").to(device)
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labels = ["positive", "negative", "neutral"]
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def estimate_sentiment(news):
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if news:
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tokens = tokenizer(news, return_tensors="pt", padding=True).to(device)
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result = model(tokens["input_ids"], attention_mask=tokens["attention_mask"])[
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"logits"
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]
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result = torch.nn.functional.softmax(torch.sum(result, 0), dim=-1)
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probability = result[torch.argmax(result)]
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sentiment = labels[torch.argmax(result)]
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return probability, sentiment
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else:
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return 0, labels[-1]
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if __name__ == "__main__":
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tensor, sentiment = estimate_sentiment(['markets responded negatively to the news!','traders were displeased!'])
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print(tensor, sentiment)
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print(torch.cuda.is_available())

‎logs/MLTrader_2024-06-08_15-32-30_logs.csv

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2024-06-08 15:32:30,977: root: INFO: MLTrader : Executing the initialize lifecycle method
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2024-06-08 15:32:33,170: root: INFO: Current backtesting datetime 2023-12-15 08:30:00-05:00
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2024-06-08 15:32:33,173: root: INFO: MLTrader : Executing the before_market_opens lifecycle method
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2024-06-08 15:32:33,174: root: INFO: Current backtesting datetime 2023-12-15 09:30:00-05:00
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2024-06-08 15:32:33,175: root: INFO: MLTrader : Executing the before_starting_trading lifecycle method
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2024-06-08 15:32:33,178: root: INFO: MLTrader : Executing the on_trading_iteration lifecycle method at 2024-06-08 15:32:33
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2024-06-08 15:32:33,179: root: INFO: New market order of | 10 SPY buy | with status unprocessed was submitted.
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2024-06-08 15:32:33,186: root: INFO: MLTrader : Trading iteration ended at 2024-06-08 15:32:33
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2024-06-08 15:32:33,186: root: INFO: Getting historical prices for SPY, 1 bars,
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2024-06-08 15:32:33,186: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
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2024-06-08 15:32:35,300: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
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2024-06-08 15:32:35,302: root: INFO: Filled Transaction: buy 10 of SPY at 469.48999023 USD per share
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2024-06-08 15:32:35,302: root: INFO: market order of | 10 SPY buy | with status new was filled
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2024-06-08 15:32:35,309: root: INFO: MLTrader : Sleeping for 86400 seconds
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2024-06-08 15:32:35,312: root: INFO: Current backtesting datetime 2023-12-15 16:00:00-05:00
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2024-06-08 15:32:35,312: root: INFO: Current backtesting datetime 2023-12-16 09:30:00-05:00
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2024-06-08 15:32:35,315: root: INFO: MLTrader : The market is not currently open, skipping this trading iteration
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2024-06-08 15:32:35,317: root: INFO: Current backtesting datetime 2023-12-16 09:29:00-05:00
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2024-06-08 15:32:35,321: root: INFO: Current backtesting datetime 2023-12-16 09:29:00-05:00
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2024-06-08 15:32:35,321: root: INFO: MLTrader : Executing the after_market_closes lifecycle method
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2024-06-08 15:32:35,326: root: INFO: Current backtesting datetime 2023-12-18 08:30:00-05:00
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2024-06-08 15:32:35,326: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
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2024-06-08 15:32:35,328: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
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2024-06-08 15:32:35,329: root: INFO: MLTrader : Executing the before_market_opens lifecycle method
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2024-06-08 15:32:35,330: root: INFO: Current backtesting datetime 2023-12-18 09:30:00-05:00
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2024-06-08 15:32:35,331: root: INFO: MLTrader : Executing the before_starting_trading lifecycle method
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2024-06-08 15:32:35,342: root: INFO: MLTrader : Executing the on_trading_iteration lifecycle method at 2024-06-08 15:32:35
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2024-06-08 15:32:35,342: root: INFO: MLTrader : Trading iteration ended at 2024-06-08 15:32:35
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2024-06-08 15:32:35,346: root: INFO: MLTrader : Sleeping for 86400 seconds
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2024-06-08 15:32:35,348: root: INFO: Current backtesting datetime 2023-12-18 16:00:00-05:00
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2024-06-08 15:32:35,348: root: INFO: Current backtesting datetime 2023-12-19 09:30:00-05:00
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2024-06-08 15:32:35,358: root: INFO: MLTrader : Executing the on_trading_iteration lifecycle method at 2024-06-08 15:32:35
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2024-06-08 15:32:35,358: root: INFO: MLTrader : Trading iteration ended at 2024-06-08 15:32:35
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2024-06-08 15:32:35,363: root: INFO: MLTrader : Sleeping for 86400 seconds
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2024-06-08 15:32:35,364: root: INFO: Current backtesting datetime 2023-12-19 16:00:00-05:00
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2024-06-08 15:32:35,365: root: INFO: Current backtesting datetime 2023-12-20 09:30:00-05:00
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2024-06-08 15:32:35,370: root: INFO: MLTrader : Executing the on_trading_iteration lifecycle method at 2024-06-08 15:32:35
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2024-06-08 15:32:35,372: root: INFO: MLTrader : Trading iteration ended at 2024-06-08 15:32:35
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2024-06-08 15:32:35,378: root: INFO: MLTrader : Sleeping for 86400 seconds
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2024-06-08 15:32:35,380: root: INFO: Current backtesting datetime 2023-12-20 16:00:00-05:00
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2024-06-08 15:32:35,380: root: INFO: Current backtesting datetime 2023-12-21 09:30:00-05:00
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2024-06-08 15:32:35,382: root: INFO: MLTrader : Executing the on_trading_iteration lifecycle method at 2024-06-08 15:32:35
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2024-06-08 15:32:35,382: root: INFO: MLTrader : Trading iteration ended at 2024-06-08 15:32:35
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2024-06-08 15:32:35,387: root: INFO: MLTrader : Sleeping for 86400 seconds
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2024-06-08 15:32:35,394: root: INFO: Current backtesting datetime 2023-12-21 16:00:00-05:00
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2024-06-08 15:32:35,395: root: INFO: Current backtesting datetime 2023-12-22 09:30:00-05:00
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2024-06-08 15:32:35,398: root: INFO: MLTrader : Executing the on_trading_iteration lifecycle method at 2024-06-08 15:32:35
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2024-06-08 15:32:35,399: root: INFO: MLTrader : Trading iteration ended at 2024-06-08 15:32:35
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2024-06-08 15:32:35,410: root: INFO: MLTrader : Sleeping for 86400 seconds
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2024-06-08 15:32:35,413: root: INFO: Current backtesting datetime 2023-12-22 16:00:00-05:00
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2024-06-08 15:32:35,413: root: INFO: Current backtesting datetime 2023-12-23 09:30:00-05:00
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2024-06-08 15:32:35,426: root: INFO: MLTrader : The market is not currently open, skipping this trading iteration
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2024-06-08 15:32:35,431: root: INFO: Current backtesting datetime 2023-12-23 09:29:00-05:00
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2024-06-08 15:32:35,440: root: INFO: Current backtesting datetime 2023-12-23 09:29:00-05:00
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2024-06-08 15:32:35,441: root: INFO: MLTrader : Executing the after_market_closes lifecycle method
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2024-06-08 15:32:35,445: root: INFO: Current backtesting datetime 2023-12-26 08:30:00-05:00
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2024-06-08 15:32:35,445: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
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2024-06-08 15:32:35,447: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
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2024-06-08 15:32:35,450: root: INFO: MLTrader : Executing the before_market_opens lifecycle method
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2024-06-08 15:32:35,459: root: INFO: Current backtesting datetime 2023-12-26 09:30:00-05:00
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2024-06-08 15:32:35,460: root: INFO: MLTrader : Executing the before_starting_trading lifecycle method
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2024-06-08 15:32:35,467: root: INFO: MLTrader : Executing the on_trading_iteration lifecycle method at 2024-06-08 15:32:35
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2024-06-08 15:32:35,467: root: INFO: MLTrader : Trading iteration ended at 2024-06-08 15:32:35
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2024-06-08 15:32:35,476: root: INFO: MLTrader : Sleeping for 86400 seconds
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2024-06-08 15:32:35,478: root: INFO: Current backtesting datetime 2023-12-26 16:00:00-05:00
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2024-06-08 15:32:35,479: root: INFO: Current backtesting datetime 2023-12-27 09:30:00-05:00
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2024-06-08 15:32:35,481: root: INFO: MLTrader : Executing the on_trading_iteration lifecycle method at 2024-06-08 15:32:35
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2024-06-08 15:32:35,481: root: INFO: MLTrader : Trading iteration ended at 2024-06-08 15:32:35
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2024-06-08 15:32:35,483: root: INFO: MLTrader : Sleeping for 86400 seconds
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2024-06-08 15:32:35,490: root: INFO: Current backtesting datetime 2023-12-27 16:00:00-05:00
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2024-06-08 15:32:35,491: root: INFO: Current backtesting datetime 2023-12-28 09:30:00-05:00
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2024-06-08 15:32:35,494: root: INFO: MLTrader : Executing the on_trading_iteration lifecycle method at 2024-06-08 15:32:35
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2024-06-08 15:32:35,494: root: INFO: MLTrader : Trading iteration ended at 2024-06-08 15:32:35
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2024-06-08 15:32:35,496: root: INFO: MLTrader : Sleeping for 86400 seconds
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2024-06-08 15:32:35,500: root: INFO: Current backtesting datetime 2023-12-28 16:00:00-05:00
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2024-06-08 15:32:35,500: root: INFO: Current backtesting datetime 2023-12-29 09:30:00-05:00
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2024-06-08 15:32:35,510: root: INFO: MLTrader : Executing the on_trading_iteration lifecycle method at 2024-06-08 15:32:35
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2024-06-08 15:32:35,510: root: INFO: MLTrader : Trading iteration ended at 2024-06-08 15:32:35
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2024-06-08 15:32:35,513: root: INFO: MLTrader : Sleeping for 86400 seconds
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2024-06-08 15:32:35,516: root: INFO: Current backtesting datetime 2023-12-29 16:00:00-05:00
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2024-06-08 15:32:35,519: root: INFO: Current backtesting datetime 2023-12-30 09:30:00-05:00
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2024-06-08 15:32:35,529: root: INFO: MLTrader : The market is not currently open, skipping this trading iteration
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2024-06-08 15:32:35,533: root: INFO: Current backtesting datetime 2023-12-30 09:29:00-05:00
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2024-06-08 15:32:35,543: root: INFO: Current backtesting datetime 2023-12-30 09:29:00-05:00
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2024-06-08 15:32:35,544: root: INFO: MLTrader : Executing the after_market_closes lifecycle method
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2024-06-08 15:32:35,548: root: INFO: Current backtesting datetime 2024-01-02 08:30:00-05:00
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2024-06-08 15:32:35,549: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
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2024-06-08 15:32:35,551: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
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2024-06-08 15:32:35,562: root: INFO: MLTrader : Executing the before_market_opens lifecycle method
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2024-06-08 15:32:35,564: root: INFO: Current backtesting datetime 2024-01-02 09:30:00-05:00
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2024-06-08 15:32:35,564: root: INFO: MLTrader : Executing the before_starting_trading lifecycle method
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2024-06-08 15:32:35,572: root: INFO: Current backtesting datetime 2024-01-02 15:59:00-05:00
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2024-06-08 15:32:35,576: root: INFO: MLTrader : Executing the before_market_closes lifecycle method
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2024-06-08 15:32:35,579: root: INFO: Current backtesting datetime 2024-01-02 16:00:00-05:00
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2024-06-08 15:32:35,579: root: INFO: MLTrader : Executing the after_market_closes lifecycle method
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2024-06-08 15:32:35,579: root: INFO: MLTrader : Executing the on_strategy_end lifecycle method
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2024-06-08 15:32:36,814: root: INFO: Backtesting finished
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2024-06-08 15:32:45,594: backtest_stats: INFO: Backtest took 0:00:14.616819 for a speed of 0.000

‎logs/MLTrader_2024-06-08_15-32-30_stats.csv

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datetime,portfolio_value,cash,return
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2023-12-15 09:30:00-05:00,100000.0,100000.0,
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2023-12-16 09:30:00-05:00,100000.0,95305.10009765625,0.0
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2023-12-18 09:30:00-05:00,100033.96020751953,95324.16009765625,0.00033960207519534436
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2023-12-19 09:30:00-05:00,100049.46008544922,95324.16009765625,0.00015494615925959465
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2023-12-20 09:30:00-05:00,100063.76001220703,95324.16009765625,0.00014292857498277023
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2023-12-21 09:30:00-05:00,100037.4599633789,95324.16009765625,-0.000262832905988275
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2023-12-22 09:30:00-05:00,100062.75995117187,95324.16009765625,0.0002529051397568427
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2023-12-23 09:30:00-05:00,100062.75995117187,95324.16009765625,0.0
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2023-12-26 09:30:00-05:00,100064.86017089844,95324.16009765625,2.09890245641553e-05
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2023-12-27 09:30:00-05:00,100078.56012207031,95324.16009765625,0.00013691071119747988
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2023-12-28 09:30:00-05:00,100092.96014648437,95324.16009765625,0.00014388720617586337
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2023-12-29 09:30:00-05:00,100089.06,95324.16009765625,-3.8965242697086566e-05
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2023-12-30 09:30:00-05:00,100089.06,95324.16009765625,0.0

‎logs/MLTrader_2024-06-08_15-32-36_settings.json

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{"name": "MLTrader", "backtesting_start": {"py/object": "datetime.datetime", "__reduce__": [{"py/type": "datetime.datetime"}, ["B+cMDwAAAAAAAA==", {"py/reduce": [{"py/function": "pytz._p"}, {"py/tuple": ["America/New_York", -18000, 0, "EST"]}]}]]}, "backtesting_end": {"py/object": "datetime.datetime", "__reduce__": [{"py/type": "datetime.datetime"}, ["B+cMHhc7AAAAAA==", {"py/id": 2}]]}, "budget": 100000, "risk_free_rate": {"py/reduce": [{"py/function": "numpy.core.multiarray.scalar"}, {"py/tuple": [{"py/reduce": [{"py/type": "numpy.dtype"}, {"py/tuple": ["f8", false, true]}, {"py/tuple": [3, "<", null, null, null, -1, -1, 0]}]}, {"py/b64": "7FG4Ho3Rqj8="}]}]}, "minutes_before_closing": 1, "minutes_before_opening": 60, "sleeptime": "24H", "auto_adjust": false, "quote_asset": {"py/object": "lumibot.entities.asset.Asset", "symbol": "USD", "asset_type": "forex", "strike": 0.0, "multiplier": 1, "precision": null, "expiration": null}, "benchmark_asset": "SPY", "starting_positions": null, "parameters": {"pandas_data": null, "symbol": "SPY"}}

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