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