momentum_backtest_losing_money.ipynb

{
 "cells": [
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "%pip install pandas==0.24.1 --user\n",
    "%pip install tensorboardX --user\n",
    "%pip install bs4 --user\n",
    "%pip install -U auquan_toolbox --user"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {
    "colab_type": "text",
    "id": "WsNIiolz3r9C"
   },
   "source": [
    "### This notebook shows how Auquan Toolbox can be used to trade on momentum and mean reversion\n",
    "\n",
    "Documentation on how to use the toolbox can be found [here](https://github.com/Auquan/auquan-toolbox-python#3-backtesting). "
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {
    "colab": {
     "base_uri": "https://localhost:8080/",
     "height": 381
    },
    "colab_type": "code",
    "id": "IjSoh14b3r9G",
    "outputId": "e8afb1bc-8564-47ff-a067-f5970d7fa3d3"
   },
   "outputs": [],
   "source": [
    "from backtester.trading_system_parameters import TradingSystemParameters\n",
    "from backtester.features.feature import Feature\n",
    "from backtester.dataSource.yahoo_data_source import YahooStockDataSource\n",
    "from backtester.timeRule.custom_time_rule import CustomTimeRule\n",
    "from backtester.executionSystem.simple_execution_system import SimpleExecutionSystem\n",
    "from backtester.orderPlacer.backtesting_order_placer import BacktestingOrderPlacer\n",
    "from backtester.trading_system import TradingSystem\n",
    "from backtester.constants import *\n",
    "\n",
    "import pandas as pd\n",
    "import numpy as np\n",
    "import matplotlib.pyplot as plt\n",
    "import datetime\n",
    "from datetime import timedelta"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {
    "colab_type": "text",
    "id": "yaqazil43r9P"
   },
   "source": [
    "### This is the static part of an experiment\n",
    "\n",
    "It is similar to writing a data loader and trainer for a deep learning project. Once written for a particular experiment we hardly need to change it."
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {
    "colab": {},
    "colab_type": "code",
    "id": "YBS5-alV3r9S"
   },
   "outputs": [],
   "source": [
    "class MyTradingParams(TradingSystemParameters):\n",
    "\n",
    "    def __init__(self, tradingFunctions):\n",
    "        self.__tradingFunctions = tradingFunctions\n",
    "        super(MyTradingParams, self).__init__()\n",
    "        self.__dataSetId = 'equity_data'\n",
    "        self.__instrumentIds = self.__tradingFunctions.getSymbolsToTrade()\n",
    "        self.__startDate = '2015/01/02'\n",
    "        self.__endDate = '2017/08/31'\n",
    "\n",
    "    def getDataParser(self):\n",
    "        '''\n",
    "        Returns an instance of class DataParser. Source of data for instruments\n",
    "        '''\n",
    "        instrumentIds = self.__tradingFunctions.getSymbolsToTrade()\n",
    "        return YahooStockDataSource(\n",
    "            cachedFolderName = 'historicalData/',\n",
    "            dataSetId = self.__dataSetId,\n",
    "            instrumentIds = instrumentIds,\n",
    "            startDateStr = self.__startDate,\n",
    "            endDateStr = self.__endDate,\n",
    "        )\n",
    "        \n",
    "    def getTimeRuleForUpdates(self):\n",
    "        return CustomTimeRule(\n",
    "            startDate = self.__startDate, \n",
    "            endDate = self.__endDate, \n",
    "            frequency = 'D', \n",
    "            sample = '30'\n",
    "        )\n",
    "\n",
    "    def getFrequencyOfFeatureUpdates(self):\n",
    "        return timedelta(days = 1)\n",
    "\n",
    "    def getStartingCapital(self):\n",
    "        if len(self.__tradingFunctions.getSymbolsToTrade()) > 0:\n",
    "            return 1000*len(self.__tradingFunctions.getSymbolsToTrade())\n",
    "        else:\n",
    "            return 30000\n",
    "\n",
    "    def getCustomFeatures(self):\n",
    "        '''\n",
    "        This is a way to use any custom features you might have made.\n",
    "        Returns a dictionary where:\n",
    "        \n",
    "        key: featureId to access this feature (Make sure this doesnt conflict with any of the pre defined feature Ids)\n",
    "        value: Your custom Class which computes this feature. The class should be an instance of Feature\n",
    "        \n",
    "        Eg. if your custom class is MyCustomFeature, and you want to access this via featureId='my_custom_feature',\n",
    "        you will import that class, and return this function as {'my_custom_feature': MyCustomFeature}\n",
    "        '''\n",
    "        return {\n",
    "            'my_custom_feature': MyCustomFeature,\n",
    "            'prediction': TrainingPredictionFeature,\n",
    "            'zero_fees': FeesCalculator,\n",
    "            'benchmark_PnL': BuyHoldPnL,\n",
    "            'score': ScoreFeature\n",
    "        }\n",
    "\n",
    "    def getInstrumentFeatureConfigDicts(self):\n",
    "        '''\n",
    "        Returns an array of instrument feature config dictionaries instrument feature config Dictionary has the \n",
    "        following keys:\n",
    "        \n",
    "        featureId: a string representing the type of feature you want to use\n",
    "        featureKey: a string representing the key you will use to access the value of this feature\n",
    "        params: A dictionary with which contains other optional params if needed by the feature\n",
    "        '''\n",
    "\n",
    "        predictionDict = {\n",
    "            'featureKey': 'prediction',\n",
    "            'featureId': 'prediction',\n",
    "            'params': {}\n",
    "        }\n",
    "        feesConfigDict = {\n",
    "            'featureKey': 'fees',\n",
    "            'featureId': 'zero_fees',\n",
    "            'params': {}\n",
    "        }\n",
    "        profitlossConfigDict = {\n",
    "            'featureKey': 'pnl',\n",
    "            'featureId': 'pnl',\n",
    "            'params': {\n",
    "                'price': self.getPriceFeatureKey(),\n",
    "                'fees': 'fees'\n",
    "            }\n",
    "        }\n",
    "        capitalConfigDict = {\n",
    "            'featureKey': 'capital',\n",
    "            'featureId': 'capital',\n",
    "            'params': {\n",
    "                'price': 'adjClose',\n",
    "                'fees': 'fees',\n",
    "                'capitalReqPercent': 0.95\n",
    "            }\n",
    "        }\n",
    "        benchmarkDict = {\n",
    "            'featureKey': 'benchmark',\n",
    "            'featureId': 'benchmark_PnL',\n",
    "            'params': {'pnlKey': 'pnl'}\n",
    "        }\n",
    "        scoreDict = {\n",
    "            'featureKey': 'score',\n",
    "            'featureId': 'score',\n",
    "            'params': {\n",
    "                'featureName1': 'pnl',\n",
    "                'featureName2':'benchmark'\n",
    "            }\n",
    "        }\n",
    "\n",
    "        stockFeatureConfigs = self.__tradingFunctions.getInstrumentFeatureConfigDicts()\n",
    "\n",
    "        return {\n",
    "            INSTRUMENT_TYPE_STOCK: stockFeatureConfigs + [\n",
    "                predictionDict,\n",
    "                feesConfigDict,\n",
    "                profitlossConfigDict,\n",
    "                capitalConfigDict,\n",
    "                benchmarkDict, \n",
    "                scoreDict\n",
    "            ]\n",
    "        }\n",
    "\n",
    "    def getMarketFeatureConfigDicts(self):\n",
    "        '''\n",
    "        Returns an array of market feature config dictionaries having the following keys:\n",
    "        \n",
    "        featureId: a string representing the type of feature you want to use\n",
    "        featureKey: a string representing the key you will use to access the value of this feature\n",
    "        params: A dictionary with which contains other optional params if needed by the feature\n",
    "        '''\n",
    "        scoreDict = {\n",
    "            'featureKey': 'score',\n",
    "            'featureId': 'score_ll',\n",
    "            'params': {\n",
    "                'featureName': self.getPriceFeatureKey(),\n",
    "                'instrument_score_feature': 'score'\n",
    "            }\n",
    "        }\n",
    "        \n",
    "        return [scoreDict]\n",
    "\n",
    "    def getPrediction(self, time, updateNum, instrumentManager):\n",
    "        predictions = pd.Series(index = self.__instrumentIds)\n",
    "        predictions = self.__tradingFunctions.getPrediction(time, updateNum, instrumentManager, predictions)\n",
    "        \n",
    "        return predictions\n",
    "\n",
    "    def getExecutionSystem(self):\n",
    "        '''\n",
    "        Returns the type of execution system we want to use. Its an implementation of the class ExecutionSystem\n",
    "        It converts prediction to intended positions for different instruments.\n",
    "        '''\n",
    "        \n",
    "        return SimpleExecutionSystem(\n",
    "            enter_threshold = 0.7,\n",
    "            exit_threshold = 0.55,\n",
    "            longLimit = 1,\n",
    "            shortLimit = 1,\n",
    "            capitalUsageLimit = 0.10*self.getStartingCapital(),\n",
    "            enterlotSize = 1, \n",
    "            exitlotSize = 1,\n",
    "            limitType = 'L', \n",
    "            price = 'adjClose'\n",
    "        )\n",
    "\n",
    "    def getOrderPlacer(self):\n",
    "        '''\n",
    "        Returns the type of order placer we want to use. It's an implementation of the class OrderPlacer.\n",
    "        It helps place an order, and also read confirmations of orders being placed.\n",
    "        For Backtesting, you can just use the BacktestingOrderPlacer, which places the order which you want, and \n",
    "        automatically confirms it too.\n",
    "        '''\n",
    "        \n",
    "        return BacktestingOrderPlacer()\n",
    "\n",
    "    def getLookbackSize(self):\n",
    "        '''\n",
    "        Returns the amount of lookback data you want for your calculations. The historical market features and instrument features are only\n",
    "        stored upto this amount.\n",
    "        This number is the number of times we have updated our features.\n",
    "        '''\n",
    "        \n",
    "        return 120\n",
    "\n",
    "    def getPriceFeatureKey(self):\n",
    "        '''\n",
    "        The name of column containing the instrument price\n",
    "        '''\n",
    "        \n",
    "        return 'adjClose'\n",
    "\n",
    "    def getInstrumentsIds(self):\n",
    "        '''\n",
    "        Get all instrument ids\n",
    "        '''\n",
    "        \n",
    "        return self.__instrumentIds"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {
    "colab_type": "text",
    "id": "Hkb02Y1i3r9b"
   },
   "source": [
    "### Let's define some of our own features"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {
    "colab": {},
    "colab_type": "code",
    "id": "8EmCAvit3r9e"
   },
   "outputs": [],
   "source": [
    "class TrainingPredictionFeature(Feature):\n",
    "    \n",
    "    @classmethod\n",
    "    def computeForInstrument(cls, updateNum, time, featureParams, featureKey, instrumentManager):\n",
    "        tf = MyTradingFunctions()\n",
    "        t = MyTradingParams(tf)\n",
    "        \n",
    "        return t.getPrediction(time, updateNum, instrumentManager)\n",
    "\n",
    "class FeesCalculator(Feature):\n",
    "    @classmethod\n",
    "    def computeForInstrument(cls, updateNum, time, featureParams, featureKey, instrumentManager):\n",
    "        \n",
    "        return pd.Series(0, index = instrumentManager.getAllInstrumentsByInstrumentId())\n",
    "\n",
    "class BuyHoldPnL(Feature):\n",
    "    \n",
    "    @classmethod\n",
    "    def computeForInstrument(cls, updateNum, time, featureParams, featureKey, instrumentManager):\n",
    "        instrumentLookbackData = instrumentManager.getLookbackInstrumentFeatures()\n",
    "\n",
    "        priceData = instrumentLookbackData.getFeatureDf('adjClose')\n",
    "         \n",
    "        if len(priceData) < 2:\n",
    "            return pd.Series(0, index = instrumentManager.getAllInstrumentsByInstrumentId())\n",
    "        else:\n",
    "            bhpnl = instrumentLookbackData.getFeatureDf(featureKey).iloc[-1]\n",
    "            bhpnl += priceData.iloc[-1] - priceData.iloc[-2]\n",
    "\n",
    "        return bhpnl\n",
    "\n",
    "class ScoreFeature(Feature):\n",
    "    \n",
    "    @classmethod\n",
    "    def computeForInstrument(cls, updateNum, time, featureParams, featureKey, instrumentManager):\n",
    "        instrumentLookbackData = instrumentManager.getLookbackInstrumentFeatures()\n",
    "        if len(instrumentLookbackData.getFeatureDf(featureParams['featureName1'])) > 0:\n",
    "            feature1 = instrumentLookbackData.getFeatureDf(featureParams['featureName1']).iloc[-1]\n",
    "            feature2 = instrumentLookbackData.getFeatureDf(featureParams['featureName2']).iloc[-1]\n",
    "            \n",
    "            for instrumentId in feature1.index:\n",
    "                pnls = instrumentLookbackData.getFeatureDf('pnl')[instrumentId]\n",
    "                positions = instrumentLookbackData.getFeatureDf('position')[instrumentId]\n",
    "                \n",
    "                print(instrumentId)\n",
    "                print('pnl: %.2f'%pnls[-1])\n",
    "                if len(positions) > 2 and np.abs(positions[-1] - positions[-2]) > 0:\n",
    "                    print('Position changed to: %.2f'%positions[-1])\n",
    "            \n",
    "            toRtn = (feature1 - feature2) / feature2.abs()\n",
    "            toRtn[toRtn.isnull()] = 0\n",
    "            toRtn[toRtn == np.Inf] = 0\n",
    "        else:\n",
    "            toRtn=0\n",
    "\n",
    "        return toRtn"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {
    "colab_type": "text",
    "id": "_YeUN2jV3r9m"
   },
   "source": [
    "### This is the part where the magic takes place, all the logic for prediction and carrying out trades goes here"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {
    "colab": {},
    "colab_type": "code",
    "id": "TmmI1xdA3r9o"
   },
   "outputs": [],
   "source": [
    "class MyTradingFunctions():\n",
    "\n",
    "    def __init__(self):\n",
    "        self.count = 0\n",
    "        self.params = {}\n",
    "\n",
    "    def getSymbolsToTrade(self):\n",
    "        '''\n",
    "        Specify the stock names that you want to trade.\n",
    "        '''\n",
    "        \n",
    "        return ['AAPL']\n",
    "\n",
    "    def getInstrumentFeatureConfigDicts(self):\n",
    "        '''\n",
    "        Specify all Features you want to use by creating config dictionaries.\n",
    "        Create one dictionary per feature and return them in an array.\n",
    "\n",
    "        Feature config Dictionary have the following keys:\n",
    "\n",
    "        featureId: a str for the type of feature you want to use\n",
    "        featureKey: {optional} a str for the key you will use to call this feature\n",
    "                    If not present, will just use featureId\n",
    "        params: {optional} A dictionary with which contains other optional params if needed by the feature\n",
    "\n",
    "        msDict = {\n",
    "            'featureKey': 'ms_5',\n",
    "            'featureId': 'moving_sum',\n",
    "            'params': {\n",
    "                'period': 5,\n",
    "                'featureName': 'basis'\n",
    "            }\n",
    "        }\n",
    "\n",
    "        return [msDict]\n",
    "\n",
    "        You can now use this feature by in getPRediction() calling it's featureKey, 'ms_5'\n",
    "        '''\n",
    "\n",
    "        ma1Dict = {\n",
    "            'featureKey': 'ma_90',\n",
    "            'featureId': 'moving_average',\n",
    "            'params': {\n",
    "                'period': 90,\n",
    "                'featureName': 'adjClose'\n",
    "            }\n",
    "        }\n",
    "        mom30Dict = {\n",
    "            'featureKey': 'mom_30',\n",
    "            'featureId': 'momentum',\n",
    "            'params': {\n",
    "                'period': 30,\n",
    "                'featureName': 'adjClose'\n",
    "            }\n",
    "        }\n",
    "        mom10Dict = {\n",
    "            'featureKey': 'mom_10',\n",
    "            'featureId': 'momentum',\n",
    "            'params': {\n",
    "                'period': 10,\n",
    "                'featureName': 'adjClose'\n",
    "            }\n",
    "        }\n",
    "        \n",
    "        return [ma1Dict, mom10Dict, mom30Dict]\n",
    "\n",
    "    def getPrediction(self, time, updateNum, instrumentManager, predictions):\n",
    "        '''\n",
    "        Combine all the features to create the desired predictions for each stock.\n",
    "        'predictions' is Pandas Series with stock as index and predictions as values\n",
    "        We first call the holder for all the instrument features for all stocks as\n",
    "            lookbackInstrumentFeatures = instrumentManager.getLookbackInstrumentFeatures()\n",
    "        Then call the dataframe for a feature using its feature_key as\n",
    "            ms5Data = lookbackInstrumentFeatures.getFeatureDf('ms_5')\n",
    "        This returns a dataFrame for that feature for ALL stocks for all times upto lookback time\n",
    "        Now you can call just the last data point for ALL stocks as\n",
    "            ms5 = ms5Data.iloc[-1]\n",
    "        You can call last datapoint for one stock 'ABC' as\n",
    "            value_for_abs = ms5['ABC']\n",
    "\n",
    "        Output of the prediction function is used by the toolbox to make further trading decisions and evaluate your score.\n",
    "        '''\n",
    "\n",
    "        # self.updateCount() - uncomment if you want a counter\n",
    "\n",
    "        # holder for all the instrument features for all instruments\n",
    "        lookbackInstrumentFeatures = instrumentManager.getLookbackInstrumentFeatures()\n",
    "\n",
    "        #############################################################################################\n",
    "        ### TODO : FILL THIS FUNCTION TO RETURN A BUY (1) or SELL (0) prediction for each stock  ###\n",
    "        ### USE TEMPLATE BELOW AS EXAMPLE\n",
    "        ###\n",
    "        ### HINT: Use the Hurst Exponent \n",
    "        ### http://analytics-magazine.org/the-hurst-exponent-predictability-of-time-series/\n",
    "        #############################################################################################\n",
    "        \n",
    "        # Here's an example implementation of the hurst exponent\n",
    "        def hurst_f(input_ts, lags_to_test=20):  \n",
    "            # interpretation of return value\n",
    "            # hurst < 0.5 - input_ts is mean reverting\n",
    "            # hurst = 0.5 - input_ts is effectively random/geometric brownian motion\n",
    "            # hurst > 0.5 - input_ts is trending\n",
    "            tau = []\n",
    "            lagvec = []  \n",
    "            #  Step through the different lags  \n",
    "            for lag in range(2, lags_to_test):  \n",
    "                #  produce price difference with lag  \n",
    "                pp = np.subtract(input_ts[lag:], input_ts[:-lag])  \n",
    "                #  Write the different lags into a vector  \n",
    "                lagvec.append(lag)  \n",
    "                #  Calculate the variance of the differnce vector  \n",
    "                tau.append(np.sqrt(np.std(pp)))  \n",
    "            #  linear fit to double-log graph (gives power)  \n",
    "            m = np.polyfit(np.log10(lagvec), np.log10(tau), 1)  \n",
    "            # calculate hurst  \n",
    "            hurst = m[0]*2\n",
    "\n",
    "            return hurst \n",
    "\n",
    "        # dataframe for a historical instrument feature (ma_90 in this case). The index is the timestamps\n",
    "        # of upto lookback data points. The columns of this dataframe are the stock symbols/instrumentIds.\n",
    "        mom30Data = lookbackInstrumentFeatures.getFeatureDf('mom_30')\n",
    "        ma90Data = lookbackInstrumentFeatures.getFeatureDf('ma_90')\n",
    "\n",
    "        if len(ma90Data.index) > 20:\n",
    "            mom30 = mom30Data.iloc[-1]\n",
    "            # Go long if momentum is positive\n",
    "            predictions[mom30 > 0] = 1\n",
    "            # Go short if momentum is negative\n",
    "            predictions[mom30 <= 0] = 0          \n",
    "        else:\n",
    "            # If no sufficient data then don't take any positions\n",
    "            predictions.values[:] = 0.5\n",
    "        return predictions\n",
    "\n",
    "    def updateCount(self):\n",
    "        self.count = self.count + 1"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {
    "colab_type": "text",
    "id": "Gp_ajtSC3r9t"
   },
   "source": [
    "#### Here's another example of a custom feature"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {
    "colab": {},
    "colab_type": "code",
    "id": "weJEUniK3r9v"
   },
   "outputs": [],
   "source": [
    "class MyCustomFeature(Feature):\n",
    "    ''''\n",
    "    Custom Feature to implement for instrument. This function would return the value of the feature you want to implement.\n",
    "    1. create a new class MyCustomFeatureClassName for the feature and implement your logic in the function computeForInstrument() -\n",
    "\n",
    "    2. modify function getCustomFeatures() to return a dictionary with Id for this class\n",
    "        (follow formats like {'my_custom_feature_identifier': MyCustomFeatureClassName}.\n",
    "        Make sure 'my_custom_feature_identifier' doesnt conflict with any of the pre defined feature Ids\n",
    "\n",
    "        def getCustomFeatures(self):\n",
    "            return {'my_custom_feature_identifier': MyCustomFeatureClassName}\n",
    "\n",
    "    3. create a dict for this feature in getInstrumentFeatureConfigDicts() above. Dict format is:\n",
    "            customFeatureDict = {'featureKey': 'my_custom_feature_key',\n",
    "                                'featureId': 'my_custom_feature_identifier',\n",
    "                                'params': {'param1': 'value1'}}\n",
    "    You can now use this feature by calling it's featureKey, 'my_custom_feature_key' in getPrediction()\n",
    "    '''\n",
    "    \n",
    "    @classmethod\n",
    "    def computeForInstrument(cls, updateNum, time, featureParams, featureKey, instrumentManager):\n",
    "        # Custom parameter which can be used as input to computation of this feature\n",
    "        param1Value = featureParams['param1']\n",
    "\n",
    "        # A holder for the all the instrument features\n",
    "        lookbackInstrumentFeatures = instrumentManager.getLookbackInstrumentFeatures()\n",
    "\n",
    "        # dataframe for a historical instrument feature (basis in this case). The index is the timestamps\n",
    "        # atmost upto lookback data points. The columns of this dataframe are the stocks/instrumentIds.\n",
    "        lookbackInstrumentValue = lookbackInstrumentFeatures.getFeatureDf('adjClose')\n",
    "\n",
    "        # The last row of the previous dataframe gives the last calculated value for that feature (basis in this case)\n",
    "        # This returns a series with stocks/instrumentIds as the index.\n",
    "        currentValue = lookbackInstrumentValue.iloc[-1]\n",
    "\n",
    "        if param1Value == 'value1':\n",
    "            return currentValue * 0.1\n",
    "        else:\n",
    "            return currentValue * 0.5"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {
    "colab_type": "text",
    "id": "FAoigNUv3r93"
   },
   "source": [
    "### Time to run the backtester!"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {
    "colab": {},
    "colab_type": "code",
    "id": "LMW8EmrC3r95",
    "scrolled": true
   },
   "outputs": [],
   "source": [
    "tf = MyTradingFunctions()\n",
    "tsParams = MyTradingParams(tf)\n",
    "tradingSystem = TradingSystem(tsParams)\n",
    "results = tradingSystem.startTrading()"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {
    "colab_type": "text",
    "id": "yCjIlVz-3r99"
   },
   "source": [
    "Results for each timestamp are stored as csv file inside the folder `./runLogs`, we also create logs using tensorboardX inside `./tb_logs` so have a look at that as well using `tensorboard --logdir=tb_logs`"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {
    "colab": {},
    "colab_type": "code",
    "id": "l9gAWcy13r9-"
   },
   "outputs": [],
   "source": [
    "results"
   ]
  }
 ],
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