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from lumibot.brokers import Alpaca
from lumibot.backtesting import YahooDataBacktesting
from lumibot.strategies.strategy import Strategy
from lumibot.traders import Trader
from datetime import datetime
from alpaca_trade_api import REST
from timedelta import Timedelta
from finbert_utils import estimate_sentiment
API_KEY = "Your_API"
API_SECRET = "Your_Secret"
BASE_URL = "Your_Url"
ALPACA_CREDS = {
"API_KEY": API_KEY,
"API_SECRET": API_SECRET,
"PAPER": True
}
class MLTrader(Strategy):
def initialize(self, symbol:str="SPY", cash_at_risk:float=.5):
self.symbol = symbol
self.sleeptime = "24H"
self.last_trade = None
self.cash_at_risk = cash_at_risk
self.api = REST(base_url=BASE_URL, key_id=API_KEY, secret_key=API_SECRET)
def position_sizing(self):
cash = self.get_cash()
last_price = self.get_last_price(self.symbol)
quantity = round(cash * self.cash_at_risk / last_price)
return cash, last_price, quantity
def get_dates(self):
today = self.get_datetime()
three_days_prior = today - Timedelta(days=3)
return today.strftime('%Y-%m-%d'), three_days_prior.strftime('%Y-%m-%d')
def get_sentiment(self):
today, three_days_prior = self.get_dates()
news = self.api.get_news(symbol=self.symbol,
start=three_days_prior,
end=today)
news = [ev.__dict__["_raw"]["headline"] for ev in news]
probability, sentiment = estimate_sentiment(news)
return probability, sentiment
def on_trading_iteration(self):
cash, last_price, quantity = self.position_sizing()
probability, sentiment = self.get_sentiment()
if cash > last_price:
if sentiment == "positive" and probability > .999:
if self.last_trade == "sell":
self.sell_all()
order = self.create_order(
self.symbol,
10,
"buy",
type="bracket",
take_profit_price=last_price*1.20,
stop_loss_price=last_price*.95
)
self.submit_order(order)
self.last_trade = "buy"
elif sentiment == "negative" and probability > .999:
if self.last_trade == "buy":
self.sell_all()
order = self.create_order(
self.symbol,
10,
"sell",
type="bracket",
take_profit_price=last_price*.8,
stop_loss_price=last_price*1.05
)
self.submit_order(order)
self.last_trade = "sell"
start_date = datetime(2023,12,15)
end_date = datetime(2024,6,20)
broker = Alpaca(ALPACA_CREDS)
strategy = MLTrader(name='mlstrat', broker=broker,
parameters={"symbol":"SPY",
"cash_at_risk":.5})
strategy.backtest(
YahooDataBacktesting,
start_date,
end_date,
parameters={"symbol":"SPY", "cash_at_risk":.5}
)
# To Deploy
# trader = Trader()
# trader.add_strategy(strategy)
# trader.run_all() |