From 83be8e14f12cc7e660f36ae05293a80f34ab8e97 Mon Sep 17 00:00:00 2001 From: abyt101 Date: Wed, 26 Jun 2024 18:37:17 +0000 Subject: [PATCH] Integrated recommendation strategy --- app/models/backtest.py | 3 +- app/routes/backtest.py | 3 +- app/services/backtest_service.py | 29 +- frontend/package-lock.json | 563 +++++++++++++++++++++++++++ frontend/package.json | 5 + frontend/src/BacktestResultModal.js | 114 ++++-- frontend/src/BacktestResultsTable.js | 63 +-- 7 files changed, 700 insertions(+), 80 deletions(-) diff --git a/app/models/backtest.py b/app/models/backtest.py index 7ca994d..cd0c5f7 100644 --- a/app/models/backtest.py +++ b/app/models/backtest.py @@ -8,7 +8,7 @@ class Backtest(db.Model): start_date = db.Column(db.Date) end_date = db.Column(db.Date) inital_cash = db.Column(db.Integer) - fee = db.Column(db.Integer) + fee = db.Column(db.Float) # status = db.Column(db.String(50)) created_at = db.Column(db.DateTime, default=db.func.current_timestamp()) @@ -36,6 +36,7 @@ class Result(db.Model): losing_trades = db.Column(db.Integer) max_drawdown = db.Column(db.Numeric(10, 2)) sharpe_ratio = db.Column(db.Numeric(10, 2)) + is_best = db.Column(db.Boolean, default=False, nullable=True) class Metric(db.Model): __tablename__ = 'metrics' diff --git a/app/routes/backtest.py b/app/routes/backtest.py index d4ac9a1..15457c7 100644 --- a/app/routes/backtest.py +++ b/app/routes/backtest.py @@ -80,7 +80,8 @@ def get_backtest_results(backtest_id): 'winning_trades': result.winning_trades, 'losing_trades': result.losing_trades, 'max_drawdown': float(result.max_drawdown), - 'sharpe_ratio': float(result.sharpe_ratio) + 'sharpe_ratio': float(result.sharpe_ratio), + 'is_best': result.is_best }) return jsonify({'results': result_list}), 200 diff --git a/app/services/backtest_service.py b/app/services/backtest_service.py index c219455..abe2cca 100644 --- a/app/services/backtest_service.py +++ b/app/services/backtest_service.py @@ -41,19 +41,16 @@ def run_and_evaluate_backtest(backtest_id, symbol, initial_cash, fee, start_date ] results = [] + result_objects = [] for strategy in strategies: - print(strategy, symbol, initial_cash, fee, start_date, end_date) result = run_backtest(strategy, symbol, initial_cash, fee, start_date, end_date) result['backtest_id'] = backtest_id - if(strategy == RsiBollingerBandsStrategy): - result['strategy'] = 'RsiBollingerBandsStrategy' - elif (strategy == MacdStrategy): - result['strategy'] = 'MacdStrategy' - elif(strategy == StochasticOscillatorStrategy): - result['strategy'] = 'StochasticOscillatorStrategy' + result['strategy'] = strategy.__name__ + result_obj = Result(**result) db.session.add(result_obj) + result_objects.append(result_obj) metrics = { "total_return": result['total_return'], @@ -65,11 +62,11 @@ def run_and_evaluate_backtest(backtest_id, symbol, initial_cash, fee, start_date } mlflow_service.log_metrics(run_name=f"Backtest_{backtest_id}", metrics=metrics) - # Uncomment to publish results to Kafka - # kafka_service.produce('backtest_results', { - # "backtest_id": backtest_id, - # "metrics": metrics - # }) + # publish results to Kafka + kafka_service.produce('backtest_results', { + "backtest_id": backtest_id, + "metrics": metrics + }) db.session.commit() results.append(result) @@ -84,10 +81,14 @@ def run_and_evaluate_backtest(backtest_id, symbol, initial_cash, fee, start_date scores = [score_backtest(result, min_return, max_return, min_sharpe, max_sharpe, min_drawdown, max_drawdown) for result in results] best_strategy_index = scores.index(max(scores)) - best_strategy = strategies[best_strategy_index] + for idx, result_obj in enumerate(result_objects): + result_obj.is_best = (idx == best_strategy_index) + + db.session.commit() + print("Best Strategy:") - print(best_strategy.__name__) + print(strategies[best_strategy_index].__name__) print("Score:") print(scores[best_strategy_index]) print("Metrics:") diff --git a/frontend/package-lock.json 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"https://registry.npmjs.org/@nicolo-ribaudo/eslint-scope-5-internals/-/eslint-scope-5-internals-5.1.1-v1.tgz", @@ -3566,6 +4048,16 @@ } } }, + "node_modules/@popperjs/core": { + "version": "2.11.8", + "resolved": "https://registry.npmjs.org/@popperjs/core/-/core-2.11.8.tgz", + "integrity": "sha512-P1st0aksCrn9sGZhp8GMYwBnQsbvAWsZAX44oXNNvLHGqAOcoVxmjZiohstwQ7SqKnbR47akdNi+uleWD8+g6A==", + "license": "MIT", + "funding": { + "type": "opencollective", + "url": "https://opencollective.com/popperjs" + } + }, "node_modules/@rollup/plugin-babel": { "version": "5.3.1", "resolved": "https://registry.npmjs.org/@rollup/plugin-babel/-/plugin-babel-5.3.1.tgz", @@ -4781,6 +5273,15 @@ "@types/react": "*" } }, + "node_modules/@types/react-transition-group": { + "version": "4.4.10", + "resolved": "https://registry.npmjs.org/@types/react-transition-group/-/react-transition-group-4.4.10.tgz", + "integrity": "sha512-hT/+s0VQs2ojCX823m60m5f0sL5idt9SO6Tj6Dg+rdphGPIeJbJ6CxvBYkgkGKrYeDjvIpKTR38UzmtHJOGW3Q==", 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"resolved": "https://registry.npmjs.org/hoopy/-/hoopy-0.1.4.tgz", @@ -16286,6 +16818,15 @@ "integrity": "sha512-/6UZ2qgEyH2aqzYZgQPxEnz33NJ2gNsnHA2o5+o4wW9bLM/JYQitNP9xPhsXwC08hMMovfGe/8retsdDsczPRg==", "license": "MIT" }, + "node_modules/react-icons": { + "version": "5.2.1", + "resolved": "https://registry.npmjs.org/react-icons/-/react-icons-5.2.1.tgz", + "integrity": "sha512-zdbW5GstTzXaVKvGSyTaBalt7HSfuK5ovrzlpyiWHAFXndXTdd/1hdDHI4xBM1Mn7YriT6aqESucFl9kEXzrdw==", + "license": "MIT", + "peerDependencies": { + "react": "*" + } + }, "node_modules/react-is": { "version": "17.0.2", "resolved": "https://registry.npmjs.org/react-is/-/react-is-17.0.2.tgz", @@ -16387,6 +16928,22 @@ "react-dom": ">=18" } }, + "node_modules/react-transition-group": { + "version": "4.4.5", + "resolved": "https://registry.npmjs.org/react-transition-group/-/react-transition-group-4.4.5.tgz", + "integrity": "sha512-pZcd1MCJoiKiBR2NRxeCRg13uCXbydPnmB4EOeRrY7480qNWO8IIgQG6zlDkm6uRMsURXPuKq0GWtiM59a5Q6g==", + "license": "BSD-3-Clause", + "dependencies": { + "@babel/runtime": "^7.5.5", + "dom-helpers": "^5.0.1", + "loose-envify": "^1.4.0", + "prop-types": "^15.6.2" + }, + "peerDependencies": { + "react": ">=16.6.0", + "react-dom": ">=16.6.0" + } + }, "node_modules/read-cache": { "version": "1.0.0", "resolved": "https://registry.npmjs.org/read-cache/-/read-cache-1.0.0.tgz", @@ -17873,6 +18430,12 @@ "postcss": "^8.2.15" } }, + "node_modules/stylis": { + "version": "4.2.0", + "resolved": "https://registry.npmjs.org/stylis/-/stylis-4.2.0.tgz", + "integrity": "sha512-Orov6g6BB1sDfYgzWfTHDOxamtX1bE/zo104Dh9e6fqJ3PooipYyfJ0pUmrZO2wAvO8YbEyeFrkV91XTsGMSrw==", + "license": "MIT" + }, "node_modules/sucrase": { "version": "3.35.0", "resolved": "https://registry.npmjs.org/sucrase/-/sucrase-3.35.0.tgz", diff --git a/frontend/package.json b/frontend/package.json index b46682a..0380667 100644 --- a/frontend/package.json +++ b/frontend/package.json @@ -3,12 +3,17 @@ "version": "0.1.0", "private": true, "dependencies": { + "@emotion/react": "^11.11.4", + "@emotion/styled": "^11.11.5", + "@mui/icons-material": "^5.15.20", + "@mui/material": "^5.15.20", "@testing-library/jest-dom": "^5.17.0", "@testing-library/react": "^13.4.0", "@testing-library/user-event": "^13.5.0", "axios": "^1.7.2", "react": "^18.3.1", "react-dom": "^18.3.1", + "react-icons": "^5.2.1", "react-scripts": "5.0.1", "react-toastify": "^10.0.5", "web-vitals": "^2.1.4" diff --git a/frontend/src/BacktestResultModal.js b/frontend/src/BacktestResultModal.js index 761583a..50c3888 100644 --- a/frontend/src/BacktestResultModal.js +++ b/frontend/src/BacktestResultModal.js @@ -1,5 +1,8 @@ import React, { useState, useEffect } from 'react'; +import { FaCheckCircle, FaTimesCircle } from 'react-icons/fa'; import axios from 'axios'; +import { Modal, Box, Typography, IconButton, Table, TableBody, TableCell, TableContainer, TableHead, TableRow, Paper } from '@mui/material'; +import { Close as CloseIcon } from '@mui/icons-material'; const API_BASE_URL = 'http://localhost:5000'; @@ -24,43 +27,80 @@ const BacktestResultModal = ({ backtest, onClose, token }) => { }, [backtest.id, token]); return ( -
-
-

{backtest.name} Details

- - - - - - - - - - - - - - - {results.map((result) => ( - - - - - - - - - - ))} - -
StrategyTotal ReturnNumber of TradesWinning TradesLosing TradesMax DrawdownSharpe Ratio
{result.strategy}{result.total_return}{result.number_of_trades}{result.winning_trades}{result.losing_trades}{result.max_drawdown}{result.sharpe_ratio}
-
-
+ + + + {backtest.name} Details + theme.palette.grey[500], + }} + > + + + + + + + + Strategy + Total Return + Number of Trades + Winning Trades + Losing Trades + Max Drawdown + Sharpe Ratio + Is Best + + + + {results.map((result) => ( + + {result.strategy} + {result.total_return} + {result.number_of_trades} + {result.winning_trades} + {result.losing_trades} + {result.max_drawdown} + {result.sharpe_ratio} + + {result.is_best ? ( + + + Best + + ) : ( + + + Not the Best + + )} + + + ))} + +
+ + + ); }; diff --git a/frontend/src/BacktestResultsTable.js b/frontend/src/BacktestResultsTable.js index 3d9144c..4ae0b18 100644 --- a/frontend/src/BacktestResultsTable.js +++ b/frontend/src/BacktestResultsTable.js @@ -1,5 +1,6 @@ import React, { useState, useEffect } from 'react'; import axios from 'axios'; +import { Table, TableBody, TableCell, TableContainer, TableHead, TableRow, Paper, Typography, Box } from '@mui/material'; import BacktestResultModal from './BacktestResultModal'; const API_BASE_URL = 'http://localhost:5000'; @@ -34,36 +35,44 @@ const BacktestResultsTable = ({ token }) => { }; return ( -
-

Backtest Results

- - - - - - - - - - - - - {backtests.map((backtest) => ( - handleRowClick(backtest)} className="cursor-pointer"> - - - - - - - - ))} - -
NameSymbolStart DateEnd DateInitial CashFee
{backtest.name}{backtest.symbol}{backtest.start_date}{backtest.end_date}{backtest.inital_cash}{backtest.fee}
+ + + Backtest Results + + + + + + Name + Symbol + Start Date + End Date + Initial Cash + Fee + + + + {backtests.map((backtest) => ( + handleRowClick(backtest)} + sx={{ cursor: 'pointer', '&:hover': { backgroundColor: '#f5f5f5' } }} + > + {backtest.name} + {backtest.symbol} + {backtest.start_date} + {backtest.end_date} + {backtest.inital_cash} + {backtest.fee} + + ))} + +
+ {selectedBacktest && ( )} -
+ ); };