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Trading-Bot_with_ALPACA

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  1. 2023-12-15_2024-6-20/Screenshot 2024-06-30 223105.png +0 -0
  2. 2023-12-15_2024-6-20/Tearsheet (generated by QuantStats).pdf +0 -0
  3. 2024-06-30_21-07-34/Screenshot 2024-06-30 222548.png +0 -0
  4. 2024-06-30_21-07-34/Screenshot 2024-06-30 222824.png +0 -0
  5. 2024-06-30_21-07-34/Screenshot 2024-06-30 222838.png +0 -0
  6. 2024-06-30_21-07-34/Screenshot 2024-06-30 222858.png +0 -0
  7. 2024-06-30_21-07-34/Tearsheet (generated by QuantStats).pdf +0 -0
  8. 2024-06-30_21-07-34/Tearsheet-2.pdf +0 -0
  9. 2024-06-30_21-07-34/Tearsheet-3.pdf +0 -0
  10. 2024-06-30_21-07-34/Tearsheet-4.pdf +0 -0
  11. __pycache__/finbert_utils.cpython-310.pyc +0 -0
  12. finbert_utils.py +29 -0
  13. logs/MLTrader_2024-06-30_21-07-29_logs.csv +98 -0
  14. logs/MLTrader_2024-06-30_21-07-29_stats.csv +14 -0
  15. logs/MLTrader_2024-06-30_21-07-34_settings.json +1 -0
  16. logs/MLTrader_2024-06-30_21-07-34_tearsheet.html +0 -0
  17. logs/MLTrader_2024-06-30_21-07-34_trades.csv +3 -0
  18. logs/MLTrader_2024-06-30_21-07-34_trades.html +0 -0
  19. logs/MLTrader_2024-06-30_21-18-56_logs.csv +276 -0
  20. logs/MLTrader_2024-06-30_21-18-56_stats.csv +14 -0
  21. logs/MLTrader_2024-06-30_21-18-59_settings.json +1 -0
  22. logs/MLTrader_2024-06-30_21-18-59_tearsheet.html +0 -0
  23. logs/MLTrader_2024-06-30_21-18-59_trades.csv +3 -0
  24. logs/MLTrader_2024-06-30_21-18-59_trades.html +0 -0
  25. logs/MLTrader_2024-06-30_21-48-04_logs.csv +276 -0
  26. logs/MLTrader_2024-06-30_21-48-04_stats.csv +14 -0
  27. logs/MLTrader_2024-06-30_21-48-09_settings.json +1 -0
  28. logs/MLTrader_2024-06-30_21-48-09_tearsheet.html +0 -0
  29. logs/MLTrader_2024-06-30_21-48-09_trades.csv +3 -0
  30. logs/MLTrader_2024-06-30_21-48-09_trades.html +0 -0
  31. logs/MLTrader_2024-06-30_22-02-42_logs.csv +276 -0
  32. logs/MLTrader_2024-06-30_22-02-42_stats.csv +14 -0
  33. logs/MLTrader_2024-06-30_22-02-48_settings.json +1 -0
  34. logs/MLTrader_2024-06-30_22-02-48_tearsheet.html +0 -0
  35. logs/MLTrader_2024-06-30_22-02-48_trades.csv +3 -0
  36. logs/MLTrader_2024-06-30_22-02-48_trades.html +0 -0
  37. logs/MLTrader_2024-06-30_22-13-35_logs.csv +78 -0
  38. logs/MLTrader_2024-06-30_22-13-35_stats.csv +7 -0
  39. logs/MLTrader_2024-06-30_22-13-45_settings.json +1 -0
  40. logs/MLTrader_2024-06-30_22-16-50_logs.csv +0 -0
  41. logs/MLTrader_2024-06-30_22-16-50_stats.csv +156 -0
  42. logs/MLTrader_2024-06-30_22-19-03_settings.json +1 -0
  43. logs/MLTrader_2024-06-30_22-19-03_tearsheet.html +0 -0
  44. logs/MLTrader_2024-06-30_22-19-03_trades.csv +29 -0
  45. logs/MLTrader_2024-06-30_22-19-03_trades.html +0 -0
  46. tradingbot.py +99 -0
2023-12-15_2024-6-20/Screenshot 2024-06-30 223105.png ADDED
2023-12-15_2024-6-20/Tearsheet (generated by QuantStats).pdf ADDED
Binary file (356 kB). View file
 
2024-06-30_21-07-34/Screenshot 2024-06-30 222548.png ADDED
2024-06-30_21-07-34/Screenshot 2024-06-30 222824.png ADDED
2024-06-30_21-07-34/Screenshot 2024-06-30 222838.png ADDED
2024-06-30_21-07-34/Screenshot 2024-06-30 222858.png ADDED
2024-06-30_21-07-34/Tearsheet (generated by QuantStats).pdf ADDED
Binary file (339 kB). View file
 
2024-06-30_21-07-34/Tearsheet-2.pdf ADDED
Binary file (339 kB). View file
 
2024-06-30_21-07-34/Tearsheet-3.pdf ADDED
Binary file (339 kB). View file
 
2024-06-30_21-07-34/Tearsheet-4.pdf ADDED
Binary file (339 kB). View file
 
__pycache__/finbert_utils.cpython-310.pyc ADDED
Binary file (1.08 kB). View file
 
finbert_utils.py ADDED
@@ -0,0 +1,29 @@
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
1
+
2
+ from transformers import AutoTokenizer, AutoModelForSequenceClassification
3
+ import torch
4
+ from typing import Tuple
5
+ device = "cuda:0" if torch.cuda.is_available() else "cpu"
6
+
7
+ tokenizer = AutoTokenizer.from_pretrained("ProsusAI/finbert")
8
+ model = AutoModelForSequenceClassification.from_pretrained("ProsusAI/finbert").to(device)
9
+ labels = ["positive", "negative", "neutral"]
10
+
11
+ def estimate_sentiment(news):
12
+ if news:
13
+ tokens = tokenizer(news, return_tensors="pt", padding=True).to(device)
14
+
15
+ result = model(tokens["input_ids"], attention_mask=tokens["attention_mask"])[
16
+ "logits"
17
+ ]
18
+ result = torch.nn.functional.softmax(torch.sum(result, 0), dim=-1)
19
+ probability = result[torch.argmax(result)]
20
+ sentiment = labels[torch.argmax(result)]
21
+ return probability, sentiment
22
+ else:
23
+ return 0, labels[-1]
24
+
25
+
26
+ if __name__ == "__main__":
27
+ tensor, sentiment = estimate_sentiment(['markets responded negatively to the news!','traders were displeased!'])
28
+ print(tensor, sentiment)
29
+ print(torch.cuda.is_available())
logs/MLTrader_2024-06-30_21-07-29_logs.csv ADDED
@@ -0,0 +1,98 @@
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
1
+ 2024-06-30 21:07:29,741: root: INFO: MLTrader : Executing the initialize lifecycle method
2
+ 2024-06-30 21:07:32,353: root: INFO: Current backtesting datetime 2023-12-15 08:30:00-05:00
3
+ 2024-06-30 21:07:32,354: root: INFO: MLTrader : Executing the before_market_opens lifecycle method
4
+ 2024-06-30 21:07:32,356: root: INFO: Current backtesting datetime 2023-12-15 09:30:00-05:00
5
+ 2024-06-30 21:07:32,356: root: INFO: MLTrader : Executing the before_starting_trading lifecycle method
6
+ 2024-06-30 21:07:32,358: root: INFO: MLTrader : Executing the on_trading_iteration lifecycle method at 2024-06-30 21:07:32
7
+ 2024-06-30 21:07:32,358: root: INFO: New market order of | 10 SPY buy | with status unprocessed was submitted.
8
+ 2024-06-30 21:07:32,364: root: INFO: MLTrader : Trading iteration ended at 2024-06-30 21:07:32
9
+ 2024-06-30 21:07:32,364: root: INFO: Getting historical prices for SPY, 1 bars,
10
+ 2024-06-30 21:07:32,364: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
11
+ 2024-06-30 21:07:33,893: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
12
+ 2024-06-30 21:07:33,894: root: INFO: Filled Transaction: buy 10 of SPY at 469.48999023 USD per share
13
+ 2024-06-30 21:07:33,894: root: INFO: market order of | 10 SPY buy | with status new was filled
14
+ 2024-06-30 21:07:33,900: root: INFO: MLTrader : Sleeping for 86400 seconds
15
+ 2024-06-30 21:07:33,901: root: INFO: Current backtesting datetime 2023-12-15 16:00:00-05:00
16
+ 2024-06-30 21:07:33,902: root: INFO: Current backtesting datetime 2023-12-16 09:30:00-05:00
17
+ 2024-06-30 21:07:33,904: root: INFO: MLTrader : The market is not currently open, skipping this trading iteration
18
+ 2024-06-30 21:07:33,907: root: INFO: Current backtesting datetime 2023-12-16 09:29:00-05:00
19
+ 2024-06-30 21:07:33,909: root: INFO: Current backtesting datetime 2023-12-16 09:29:00-05:00
20
+ 2024-06-30 21:07:33,909: root: INFO: MLTrader : Executing the after_market_closes lifecycle method
21
+ 2024-06-30 21:07:33,910: root: INFO: Current backtesting datetime 2023-12-18 08:30:00-05:00
22
+ 2024-06-30 21:07:33,912: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
23
+ 2024-06-30 21:07:33,913: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
24
+ 2024-06-30 21:07:33,914: root: INFO: MLTrader : Executing the before_market_opens lifecycle method
25
+ 2024-06-30 21:07:33,916: root: INFO: Current backtesting datetime 2023-12-18 09:30:00-05:00
26
+ 2024-06-30 21:07:33,916: root: INFO: MLTrader : Executing the before_starting_trading lifecycle method
27
+ 2024-06-30 21:07:33,919: root: INFO: MLTrader : Executing the on_trading_iteration lifecycle method at 2024-06-30 21:07:33
28
+ 2024-06-30 21:07:33,919: root: INFO: MLTrader : Trading iteration ended at 2024-06-30 21:07:33
29
+ 2024-06-30 21:07:33,921: root: INFO: MLTrader : Sleeping for 86400 seconds
30
+ 2024-06-30 21:07:33,923: root: INFO: Current backtesting datetime 2023-12-18 16:00:00-05:00
31
+ 2024-06-30 21:07:33,923: root: INFO: Current backtesting datetime 2023-12-19 09:30:00-05:00
32
+ 2024-06-30 21:07:33,925: root: INFO: MLTrader : Executing the on_trading_iteration lifecycle method at 2024-06-30 21:07:33
33
+ 2024-06-30 21:07:33,926: root: INFO: MLTrader : Trading iteration ended at 2024-06-30 21:07:33
34
+ 2024-06-30 21:07:33,927: root: INFO: MLTrader : Sleeping for 86400 seconds
35
+ 2024-06-30 21:07:33,928: root: INFO: Current backtesting datetime 2023-12-19 16:00:00-05:00
36
+ 2024-06-30 21:07:33,929: root: INFO: Current backtesting datetime 2023-12-20 09:30:00-05:00
37
+ 2024-06-30 21:07:33,931: root: INFO: MLTrader : Executing the on_trading_iteration lifecycle method at 2024-06-30 21:07:33
38
+ 2024-06-30 21:07:33,931: root: INFO: MLTrader : Trading iteration ended at 2024-06-30 21:07:33
39
+ 2024-06-30 21:07:33,932: root: INFO: MLTrader : Sleeping for 86400 seconds
40
+ 2024-06-30 21:07:33,934: root: INFO: Current backtesting datetime 2023-12-20 16:00:00-05:00
41
+ 2024-06-30 21:07:33,934: root: INFO: Current backtesting datetime 2023-12-21 09:30:00-05:00
42
+ 2024-06-30 21:07:33,937: root: INFO: MLTrader : Executing the on_trading_iteration lifecycle method at 2024-06-30 21:07:33
43
+ 2024-06-30 21:07:33,937: root: INFO: MLTrader : Trading iteration ended at 2024-06-30 21:07:33
44
+ 2024-06-30 21:07:33,939: root: INFO: MLTrader : Sleeping for 86400 seconds
45
+ 2024-06-30 21:07:33,941: root: INFO: Current backtesting datetime 2023-12-21 16:00:00-05:00
46
+ 2024-06-30 21:07:33,941: root: INFO: Current backtesting datetime 2023-12-22 09:30:00-05:00
47
+ 2024-06-30 21:07:33,944: root: INFO: MLTrader : Executing the on_trading_iteration lifecycle method at 2024-06-30 21:07:33
48
+ 2024-06-30 21:07:33,944: root: INFO: MLTrader : Trading iteration ended at 2024-06-30 21:07:33
49
+ 2024-06-30 21:07:33,946: root: INFO: MLTrader : Sleeping for 86400 seconds
50
+ 2024-06-30 21:07:33,948: root: INFO: Current backtesting datetime 2023-12-22 16:00:00-05:00
51
+ 2024-06-30 21:07:33,948: root: INFO: Current backtesting datetime 2023-12-23 09:30:00-05:00
52
+ 2024-06-30 21:07:33,950: root: INFO: MLTrader : The market is not currently open, skipping this trading iteration
53
+ 2024-06-30 21:07:33,953: root: INFO: Current backtesting datetime 2023-12-23 09:29:00-05:00
54
+ 2024-06-30 21:07:33,956: root: INFO: Current backtesting datetime 2023-12-23 09:29:00-05:00
55
+ 2024-06-30 21:07:33,956: root: INFO: MLTrader : Executing the after_market_closes lifecycle method
56
+ 2024-06-30 21:07:33,957: root: INFO: Current backtesting datetime 2023-12-26 08:30:00-05:00
57
+ 2024-06-30 21:07:33,959: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
58
+ 2024-06-30 21:07:33,961: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
59
+ 2024-06-30 21:07:33,962: root: INFO: MLTrader : Executing the before_market_opens lifecycle method
60
+ 2024-06-30 21:07:33,964: root: INFO: Current backtesting datetime 2023-12-26 09:30:00-05:00
61
+ 2024-06-30 21:07:33,964: root: INFO: MLTrader : Executing the before_starting_trading lifecycle method
62
+ 2024-06-30 21:07:33,968: root: INFO: MLTrader : Executing the on_trading_iteration lifecycle method at 2024-06-30 21:07:33
63
+ 2024-06-30 21:07:33,968: root: INFO: MLTrader : Trading iteration ended at 2024-06-30 21:07:33
64
+ 2024-06-30 21:07:33,971: root: INFO: MLTrader : Sleeping for 86400 seconds
65
+ 2024-06-30 21:07:33,973: root: INFO: Current backtesting datetime 2023-12-26 16:00:00-05:00
66
+ 2024-06-30 21:07:33,974: root: INFO: Current backtesting datetime 2023-12-27 09:30:00-05:00
67
+ 2024-06-30 21:07:33,977: root: INFO: MLTrader : Executing the on_trading_iteration lifecycle method at 2024-06-30 21:07:33
68
+ 2024-06-30 21:07:33,977: root: INFO: MLTrader : Trading iteration ended at 2024-06-30 21:07:33
69
+ 2024-06-30 21:07:33,979: root: INFO: MLTrader : Sleeping for 86400 seconds
70
+ 2024-06-30 21:07:33,981: root: INFO: Current backtesting datetime 2023-12-27 16:00:00-05:00
71
+ 2024-06-30 21:07:33,982: root: INFO: Current backtesting datetime 2023-12-28 09:30:00-05:00
72
+ 2024-06-30 21:07:33,984: root: INFO: MLTrader : Executing the on_trading_iteration lifecycle method at 2024-06-30 21:07:33
73
+ 2024-06-30 21:07:33,984: root: INFO: MLTrader : Trading iteration ended at 2024-06-30 21:07:33
74
+ 2024-06-30 21:07:33,986: root: INFO: MLTrader : Sleeping for 86400 seconds
75
+ 2024-06-30 21:07:33,988: root: INFO: Current backtesting datetime 2023-12-28 16:00:00-05:00
76
+ 2024-06-30 21:07:33,988: root: INFO: Current backtesting datetime 2023-12-29 09:30:00-05:00
77
+ 2024-06-30 21:07:33,992: root: INFO: MLTrader : Executing the on_trading_iteration lifecycle method at 2024-06-30 21:07:33
78
+ 2024-06-30 21:07:33,992: root: INFO: MLTrader : Trading iteration ended at 2024-06-30 21:07:33
79
+ 2024-06-30 21:07:33,993: root: INFO: MLTrader : Sleeping for 86400 seconds
80
+ 2024-06-30 21:07:33,995: root: INFO: Current backtesting datetime 2023-12-29 16:00:00-05:00
81
+ 2024-06-30 21:07:33,996: root: INFO: Current backtesting datetime 2023-12-30 09:30:00-05:00
82
+ 2024-06-30 21:07:33,998: root: INFO: MLTrader : The market is not currently open, skipping this trading iteration
83
+ 2024-06-30 21:07:34,001: root: INFO: Current backtesting datetime 2023-12-30 09:29:00-05:00
84
+ 2024-06-30 21:07:34,005: root: INFO: Current backtesting datetime 2023-12-30 09:29:00-05:00
85
+ 2024-06-30 21:07:34,005: root: INFO: MLTrader : Executing the after_market_closes lifecycle method
86
+ 2024-06-30 21:07:34,008: root: INFO: Current backtesting datetime 2024-01-02 08:30:00-05:00
87
+ 2024-06-30 21:07:34,009: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
88
+ 2024-06-30 21:07:34,010: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
89
+ 2024-06-30 21:07:34,012: root: INFO: MLTrader : Executing the before_market_opens lifecycle method
90
+ 2024-06-30 21:07:34,014: root: INFO: Current backtesting datetime 2024-01-02 09:30:00-05:00
91
+ 2024-06-30 21:07:34,014: root: INFO: MLTrader : Executing the before_starting_trading lifecycle method
92
+ 2024-06-30 21:07:34,017: root: INFO: Current backtesting datetime 2024-01-02 15:59:00-05:00
93
+ 2024-06-30 21:07:34,018: root: INFO: MLTrader : Executing the before_market_closes lifecycle method
94
+ 2024-06-30 21:07:34,019: root: INFO: Current backtesting datetime 2024-01-02 16:00:00-05:00
95
+ 2024-06-30 21:07:34,019: root: INFO: MLTrader : Executing the after_market_closes lifecycle method
96
+ 2024-06-30 21:07:34,020: root: INFO: MLTrader : Executing the on_strategy_end lifecycle method
97
+ 2024-06-30 21:07:34,548: root: INFO: Backtesting finished
98
+ 2024-06-30 21:07:43,113: backtest_stats: INFO: Backtest took 0:00:13.376289 for a speed of 0.000
logs/MLTrader_2024-06-30_21-07-29_stats.csv ADDED
@@ -0,0 +1,14 @@
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
1
+ datetime,portfolio_value,cash,return
2
+ 2023-12-15 09:30:00-05:00,100000.0,100000.0,
3
+ 2023-12-16 09:30:00-05:00,100000.0,95305.10009765625,0.0
4
+ 2023-12-18 09:30:00-05:00,100033.96020751953,95324.16009765625,0.00033960207519534436
5
+ 2023-12-19 09:30:00-05:00,100049.46008544922,95324.16009765625,0.00015494615925959465
6
+ 2023-12-20 09:30:00-05:00,100063.76001220703,95324.16009765625,0.00014292857498277023
7
+ 2023-12-21 09:30:00-05:00,100037.4599633789,95324.16009765625,-0.000262832905988275
8
+ 2023-12-22 09:30:00-05:00,100062.75995117187,95324.16009765625,0.0002529051397568427
9
+ 2023-12-23 09:30:00-05:00,100062.75995117187,95324.16009765625,0.0
10
+ 2023-12-26 09:30:00-05:00,100064.86017089844,95324.16009765625,2.09890245641553e-05
11
+ 2023-12-27 09:30:00-05:00,100078.56012207031,95324.16009765625,0.00013691071119747988
12
+ 2023-12-28 09:30:00-05:00,100092.96014648437,95324.16009765625,0.00014388720617586337
13
+ 2023-12-29 09:30:00-05:00,100089.06,95324.16009765625,-3.8965242697086566e-05
14
+ 2023-12-30 09:30:00-05:00,100089.06,95324.16009765625,0.0
logs/MLTrader_2024-06-30_21-07-34_settings.json ADDED
@@ -0,0 +1 @@
 
 
1
+ {"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": 0, "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"}}
logs/MLTrader_2024-06-30_21-07-34_tearsheet.html ADDED
The diff for this file is too large to render. See raw diff
 
logs/MLTrader_2024-06-30_21-07-34_trades.csv ADDED
@@ -0,0 +1,3 @@
 
 
 
 
1
+ time,strategy,symbol,side,type,status,multiplier,time_in_force,asset.strike,asset.multiplier,asset.asset_type,price,filled_quantity,trade_cost
2
+ 2023-12-15 09:30:00-05:00,MLTrader,SPY,buy,market,new,1,gtc,0.0,1,stock,,,
3
+ 2023-12-15 09:30:00-05:00,MLTrader,SPY,buy,market,fill,1,gtc,0.0,1,stock,469.489990234375,10,0.0
logs/MLTrader_2024-06-30_21-07-34_trades.html ADDED
The diff for this file is too large to render. See raw diff
 
logs/MLTrader_2024-06-30_21-18-56_logs.csv ADDED
@@ -0,0 +1,276 @@
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
1
+ 2024-06-30 21:18:56,764: root: INFO: MLTrader : Executing the initialize lifecycle method
2
+ 2024-06-30 21:18:59,035: root: INFO: Current backtesting datetime 2023-12-15 08:30:00-05:00
3
+ 2024-06-30 21:18:59,035: root: INFO: MLTrader : Executing the before_market_opens lifecycle method
4
+ 2024-06-30 21:18:59,044: root: INFO: Current backtesting datetime 2023-12-15 09:30:00-05:00
5
+ 2024-06-30 21:18:59,044: root: INFO: MLTrader : Executing the before_starting_trading lifecycle method
6
+ 2024-06-30 21:18:59,046: root: INFO: MLTrader : Executing the on_trading_iteration lifecycle method at 2024-06-30 21:18:59
7
+ 2024-06-30 21:18:59,046: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
8
+ 2024-06-30 21:18:59,076: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
9
+ 2024-06-30 21:18:59,079: root: INFO: New market order of | 10 SPY buy | at price $563.3879882812499 of class bracket with status unprocessed was submitted.
10
+ 2024-06-30 21:18:59,083: root: INFO: MLTrader : Trading iteration ended at 2024-06-30 21:18:59
11
+ 2024-06-30 21:18:59,083: root: INFO: Getting historical prices for SPY, 1 bars,
12
+ 2024-06-30 21:18:59,083: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
13
+ 2024-06-30 21:18:59,083: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
14
+ 2024-06-30 21:18:59,083: root: INFO: market order of | 10 SPY buy | at price $563.3879882812499 of class bracket with status new was sent to broker backtesting
15
+ 2024-06-30 21:18:59,083: root: INFO: market order of | 10 SPY buy | at price $563.3879882812499 of class bracket with status new was sent to broker backtesting
16
+ 2024-06-30 21:18:59,083: root: INFO: Filled Transaction: buy 10 of SPY at 469.48999023 USD per share
17
+ 2024-06-30 21:18:59,083: root: INFO: market order of | 10 SPY buy | at price $563.3879882812499 of class bracket with status new was filled
18
+ 2024-06-30 21:18:59,094: root: INFO: MLTrader : Sleeping for 86400 seconds
19
+ 2024-06-30 21:18:59,096: root: INFO: Current backtesting datetime 2023-12-15 16:00:00-05:00
20
+ 2024-06-30 21:18:59,096: root: INFO: Current backtesting datetime 2023-12-16 09:30:00-05:00
21
+ 2024-06-30 21:18:59,100: root: INFO: MLTrader : The market is not currently open, skipping this trading iteration
22
+ 2024-06-30 21:18:59,100: root: INFO: Getting historical prices for SPY, 1 bars,
23
+ 2024-06-30 21:18:59,100: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
24
+ 2024-06-30 21:18:59,100: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
25
+ 2024-06-30 21:18:59,100: root: INFO: Getting historical prices for SPY, 1 bars,
26
+ 2024-06-30 21:18:59,100: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
27
+ 2024-06-30 21:18:59,100: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
28
+ 2024-06-30 21:18:59,100: root: INFO: Getting historical prices for SPY, 1 bars,
29
+ 2024-06-30 21:18:59,100: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
30
+ 2024-06-30 21:18:59,100: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
31
+ 2024-06-30 21:18:59,100: root: INFO: Getting historical prices for SPY, 1 bars,
32
+ 2024-06-30 21:18:59,100: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
33
+ 2024-06-30 21:18:59,100: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
34
+ 2024-06-30 21:18:59,108: root: INFO: Current backtesting datetime 2023-12-16 09:29:00-05:00
35
+ 2024-06-30 21:18:59,108: root: INFO: Getting historical prices for SPY, 1 bars,
36
+ 2024-06-30 21:18:59,109: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
37
+ 2024-06-30 21:18:59,109: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
38
+ 2024-06-30 21:18:59,109: root: INFO: Getting historical prices for SPY, 1 bars,
39
+ 2024-06-30 21:18:59,109: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
40
+ 2024-06-30 21:18:59,109: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
41
+ 2024-06-30 21:18:59,109: root: INFO: Current backtesting datetime 2023-12-16 09:29:00-05:00
42
+ 2024-06-30 21:18:59,109: root: INFO: MLTrader : Executing the after_market_closes lifecycle method
43
+ 2024-06-30 21:18:59,109: root: INFO: Getting historical prices for SPY, 1 bars,
44
+ 2024-06-30 21:18:59,109: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
45
+ 2024-06-30 21:18:59,109: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
46
+ 2024-06-30 21:18:59,109: root: INFO: Getting historical prices for SPY, 1 bars,
47
+ 2024-06-30 21:18:59,109: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
48
+ 2024-06-30 21:18:59,116: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
49
+ 2024-06-30 21:18:59,118: root: INFO: Current backtesting datetime 2023-12-18 08:30:00-05:00
50
+ 2024-06-30 21:18:59,118: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
51
+ 2024-06-30 21:18:59,118: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
52
+ 2024-06-30 21:18:59,118: root: INFO: MLTrader : Executing the before_market_opens lifecycle method
53
+ 2024-06-30 21:18:59,118: root: INFO: Getting historical prices for SPY, 1 bars,
54
+ 2024-06-30 21:18:59,118: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
55
+ 2024-06-30 21:18:59,118: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
56
+ 2024-06-30 21:18:59,118: root: INFO: Getting historical prices for SPY, 1 bars,
57
+ 2024-06-30 21:18:59,118: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
58
+ 2024-06-30 21:18:59,125: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
59
+ 2024-06-30 21:18:59,125: root: INFO: Current backtesting datetime 2023-12-18 09:30:00-05:00
60
+ 2024-06-30 21:18:59,125: root: INFO: MLTrader : Executing the before_starting_trading lifecycle method
61
+ 2024-06-30 21:18:59,125: root: INFO: MLTrader : Executing the on_trading_iteration lifecycle method at 2024-06-30 21:18:59
62
+ 2024-06-30 21:18:59,125: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
63
+ 2024-06-30 21:18:59,125: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
64
+ 2024-06-30 21:18:59,125: root: INFO: MLTrader : Trading iteration ended at 2024-06-30 21:18:59
65
+ 2024-06-30 21:18:59,125: root: INFO: Getting historical prices for SPY, 1 bars,
66
+ 2024-06-30 21:18:59,125: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
67
+ 2024-06-30 21:18:59,133: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
68
+ 2024-06-30 21:18:59,135: root: INFO: Getting historical prices for SPY, 1 bars,
69
+ 2024-06-30 21:18:59,135: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
70
+ 2024-06-30 21:18:59,136: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
71
+ 2024-06-30 21:18:59,136: root: INFO: MLTrader : Sleeping for 86400 seconds
72
+ 2024-06-30 21:18:59,138: root: INFO: Current backtesting datetime 2023-12-18 16:00:00-05:00
73
+ 2024-06-30 21:18:59,141: root: INFO: Current backtesting datetime 2023-12-19 09:30:00-05:00
74
+ 2024-06-30 21:18:59,141: root: INFO: MLTrader : Executing the on_trading_iteration lifecycle method at 2024-06-30 21:18:59
75
+ 2024-06-30 21:18:59,141: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
76
+ 2024-06-30 21:18:59,141: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
77
+ 2024-06-30 21:18:59,141: root: INFO: MLTrader : Trading iteration ended at 2024-06-30 21:18:59
78
+ 2024-06-30 21:18:59,141: root: INFO: Getting historical prices for SPY, 1 bars,
79
+ 2024-06-30 21:18:59,141: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
80
+ 2024-06-30 21:18:59,141: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
81
+ 2024-06-30 21:18:59,141: root: INFO: Getting historical prices for SPY, 1 bars,
82
+ 2024-06-30 21:18:59,147: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
83
+ 2024-06-30 21:18:59,148: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
84
+ 2024-06-30 21:18:59,149: root: INFO: MLTrader : Sleeping for 86400 seconds
85
+ 2024-06-30 21:18:59,152: root: INFO: Current backtesting datetime 2023-12-19 16:00:00-05:00
86
+ 2024-06-30 21:18:59,153: root: INFO: Current backtesting datetime 2023-12-20 09:30:00-05:00
87
+ 2024-06-30 21:18:59,153: root: INFO: MLTrader : Executing the on_trading_iteration lifecycle method at 2024-06-30 21:18:59
88
+ 2024-06-30 21:18:59,153: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
89
+ 2024-06-30 21:18:59,156: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
90
+ 2024-06-30 21:18:59,157: root: INFO: MLTrader : Trading iteration ended at 2024-06-30 21:18:59
91
+ 2024-06-30 21:18:59,157: root: INFO: Getting historical prices for SPY, 1 bars,
92
+ 2024-06-30 21:18:59,157: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
93
+ 2024-06-30 21:18:59,157: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
94
+ 2024-06-30 21:18:59,159: root: INFO: Getting historical prices for SPY, 1 bars,
95
+ 2024-06-30 21:18:59,159: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
96
+ 2024-06-30 21:18:59,159: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
97
+ 2024-06-30 21:18:59,159: root: INFO: MLTrader : Sleeping for 86400 seconds
98
+ 2024-06-30 21:18:59,159: root: INFO: Current backtesting datetime 2023-12-20 16:00:00-05:00
99
+ 2024-06-30 21:18:59,159: root: INFO: Current backtesting datetime 2023-12-21 09:30:00-05:00
100
+ 2024-06-30 21:18:59,167: root: INFO: MLTrader : Executing the on_trading_iteration lifecycle method at 2024-06-30 21:18:59
101
+ 2024-06-30 21:18:59,167: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
102
+ 2024-06-30 21:18:59,168: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
103
+ 2024-06-30 21:18:59,168: root: INFO: MLTrader : Trading iteration ended at 2024-06-30 21:18:59
104
+ 2024-06-30 21:18:59,168: root: INFO: Getting historical prices for SPY, 1 bars,
105
+ 2024-06-30 21:18:59,168: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
106
+ 2024-06-30 21:18:59,168: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
107
+ 2024-06-30 21:18:59,168: root: INFO: Getting historical prices for SPY, 1 bars,
108
+ 2024-06-30 21:18:59,168: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
109
+ 2024-06-30 21:18:59,168: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
110
+ 2024-06-30 21:18:59,174: root: INFO: MLTrader : Sleeping for 86400 seconds
111
+ 2024-06-30 21:18:59,175: root: INFO: Current backtesting datetime 2023-12-21 16:00:00-05:00
112
+ 2024-06-30 21:18:59,176: root: INFO: Current backtesting datetime 2023-12-22 09:30:00-05:00
113
+ 2024-06-30 21:18:59,176: root: INFO: MLTrader : Executing the on_trading_iteration lifecycle method at 2024-06-30 21:18:59
114
+ 2024-06-30 21:18:59,176: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
115
+ 2024-06-30 21:18:59,176: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
116
+ 2024-06-30 21:18:59,176: root: INFO: MLTrader : Trading iteration ended at 2024-06-30 21:18:59
117
+ 2024-06-30 21:18:59,176: root: INFO: Getting historical prices for SPY, 1 bars,
118
+ 2024-06-30 21:18:59,176: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
119
+ 2024-06-30 21:18:59,181: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
120
+ 2024-06-30 21:18:59,182: root: INFO: Getting historical prices for SPY, 1 bars,
121
+ 2024-06-30 21:18:59,182: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
122
+ 2024-06-30 21:18:59,182: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
123
+ 2024-06-30 21:18:59,182: root: INFO: MLTrader : Sleeping for 86400 seconds
124
+ 2024-06-30 21:18:59,182: root: INFO: Current backtesting datetime 2023-12-22 16:00:00-05:00
125
+ 2024-06-30 21:18:59,182: root: INFO: Current backtesting datetime 2023-12-23 09:30:00-05:00
126
+ 2024-06-30 21:18:59,190: root: INFO: MLTrader : The market is not currently open, skipping this trading iteration
127
+ 2024-06-30 21:18:59,190: root: INFO: Getting historical prices for SPY, 1 bars,
128
+ 2024-06-30 21:18:59,190: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
129
+ 2024-06-30 21:18:59,190: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
130
+ 2024-06-30 21:18:59,190: root: INFO: Getting historical prices for SPY, 1 bars,
131
+ 2024-06-30 21:18:59,190: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
132
+ 2024-06-30 21:18:59,190: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
133
+ 2024-06-30 21:18:59,190: root: INFO: Getting historical prices for SPY, 1 bars,
134
+ 2024-06-30 21:18:59,190: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
135
+ 2024-06-30 21:18:59,190: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
136
+ 2024-06-30 21:18:59,190: root: INFO: Getting historical prices for SPY, 1 bars,
137
+ 2024-06-30 21:18:59,190: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
138
+ 2024-06-30 21:18:59,190: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
139
+ 2024-06-30 21:18:59,200: root: INFO: Current backtesting datetime 2023-12-23 09:29:00-05:00
140
+ 2024-06-30 21:18:59,201: root: INFO: Getting historical prices for SPY, 1 bars,
141
+ 2024-06-30 21:18:59,201: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
142
+ 2024-06-30 21:18:59,202: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
143
+ 2024-06-30 21:18:59,203: root: INFO: Getting historical prices for SPY, 1 bars,
144
+ 2024-06-30 21:18:59,203: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
145
+ 2024-06-30 21:18:59,205: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
146
+ 2024-06-30 21:18:59,207: root: INFO: Current backtesting datetime 2023-12-23 09:29:00-05:00
147
+ 2024-06-30 21:18:59,207: root: INFO: MLTrader : Executing the after_market_closes lifecycle method
148
+ 2024-06-30 21:18:59,207: root: INFO: Getting historical prices for SPY, 1 bars,
149
+ 2024-06-30 21:18:59,207: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
150
+ 2024-06-30 21:18:59,207: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
151
+ 2024-06-30 21:18:59,207: root: INFO: Getting historical prices for SPY, 1 bars,
152
+ 2024-06-30 21:18:59,207: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
153
+ 2024-06-30 21:18:59,207: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
154
+ 2024-06-30 21:18:59,207: root: INFO: Current backtesting datetime 2023-12-26 08:30:00-05:00
155
+ 2024-06-30 21:18:59,214: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
156
+ 2024-06-30 21:18:59,215: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
157
+ 2024-06-30 21:18:59,216: root: INFO: MLTrader : Executing the before_market_opens lifecycle method
158
+ 2024-06-30 21:18:59,216: root: INFO: Getting historical prices for SPY, 1 bars,
159
+ 2024-06-30 21:18:59,216: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
160
+ 2024-06-30 21:18:59,216: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
161
+ 2024-06-30 21:18:59,216: root: INFO: Getting historical prices for SPY, 1 bars,
162
+ 2024-06-30 21:18:59,216: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
163
+ 2024-06-30 21:18:59,216: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
164
+ 2024-06-30 21:18:59,223: root: INFO: Current backtesting datetime 2023-12-26 09:30:00-05:00
165
+ 2024-06-30 21:18:59,223: root: INFO: MLTrader : Executing the before_starting_trading lifecycle method
166
+ 2024-06-30 21:18:59,223: root: INFO: MLTrader : Executing the on_trading_iteration lifecycle method at 2024-06-30 21:18:59
167
+ 2024-06-30 21:18:59,223: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
168
+ 2024-06-30 21:18:59,223: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
169
+ 2024-06-30 21:18:59,223: root: INFO: MLTrader : Trading iteration ended at 2024-06-30 21:18:59
170
+ 2024-06-30 21:18:59,223: root: INFO: Getting historical prices for SPY, 1 bars,
171
+ 2024-06-30 21:18:59,223: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
172
+ 2024-06-30 21:18:59,223: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
173
+ 2024-06-30 21:18:59,223: root: INFO: Getting historical prices for SPY, 1 bars,
174
+ 2024-06-30 21:18:59,223: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
175
+ 2024-06-30 21:18:59,232: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
176
+ 2024-06-30 21:18:59,233: root: INFO: MLTrader : Sleeping for 86400 seconds
177
+ 2024-06-30 21:18:59,233: root: INFO: Current backtesting datetime 2023-12-26 16:00:00-05:00
178
+ 2024-06-30 21:18:59,233: root: INFO: Current backtesting datetime 2023-12-27 09:30:00-05:00
179
+ 2024-06-30 21:18:59,233: root: INFO: MLTrader : Executing the on_trading_iteration lifecycle method at 2024-06-30 21:18:59
180
+ 2024-06-30 21:18:59,239: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
181
+ 2024-06-30 21:18:59,240: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
182
+ 2024-06-30 21:18:59,240: root: INFO: MLTrader : Trading iteration ended at 2024-06-30 21:18:59
183
+ 2024-06-30 21:18:59,240: root: INFO: Getting historical prices for SPY, 1 bars,
184
+ 2024-06-30 21:18:59,240: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
185
+ 2024-06-30 21:18:59,240: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
186
+ 2024-06-30 21:18:59,240: root: INFO: Getting historical prices for SPY, 1 bars,
187
+ 2024-06-30 21:18:59,240: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
188
+ 2024-06-30 21:18:59,240: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
189
+ 2024-06-30 21:18:59,240: root: INFO: MLTrader : Sleeping for 86400 seconds
190
+ 2024-06-30 21:18:59,240: root: INFO: Current backtesting datetime 2023-12-27 16:00:00-05:00
191
+ 2024-06-30 21:18:59,247: root: INFO: Current backtesting datetime 2023-12-28 09:30:00-05:00
192
+ 2024-06-30 21:18:59,249: root: INFO: MLTrader : Executing the on_trading_iteration lifecycle method at 2024-06-30 21:18:59
193
+ 2024-06-30 21:18:59,249: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
194
+ 2024-06-30 21:18:59,249: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
195
+ 2024-06-30 21:18:59,249: root: INFO: MLTrader : Trading iteration ended at 2024-06-30 21:18:59
196
+ 2024-06-30 21:18:59,249: root: INFO: Getting historical prices for SPY, 1 bars,
197
+ 2024-06-30 21:18:59,249: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
198
+ 2024-06-30 21:18:59,249: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
199
+ 2024-06-30 21:18:59,249: root: INFO: Getting historical prices for SPY, 1 bars,
200
+ 2024-06-30 21:18:59,249: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
201
+ 2024-06-30 21:18:59,249: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
202
+ 2024-06-30 21:18:59,256: root: INFO: MLTrader : Sleeping for 86400 seconds
203
+ 2024-06-30 21:18:59,257: root: INFO: Current backtesting datetime 2023-12-28 16:00:00-05:00
204
+ 2024-06-30 21:18:59,257: root: INFO: Current backtesting datetime 2023-12-29 09:30:00-05:00
205
+ 2024-06-30 21:18:59,257: root: INFO: MLTrader : Executing the on_trading_iteration lifecycle method at 2024-06-30 21:18:59
206
+ 2024-06-30 21:18:59,257: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
207
+ 2024-06-30 21:18:59,257: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
208
+ 2024-06-30 21:18:59,257: root: INFO: MLTrader : Trading iteration ended at 2024-06-30 21:18:59
209
+ 2024-06-30 21:18:59,257: root: INFO: Getting historical prices for SPY, 1 bars,
210
+ 2024-06-30 21:18:59,257: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
211
+ 2024-06-30 21:18:59,264: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
212
+ 2024-06-30 21:18:59,264: root: INFO: Getting historical prices for SPY, 1 bars,
213
+ 2024-06-30 21:18:59,264: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
214
+ 2024-06-30 21:18:59,264: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
215
+ 2024-06-30 21:18:59,264: root: INFO: MLTrader : Sleeping for 86400 seconds
216
+ 2024-06-30 21:18:59,264: root: INFO: Current backtesting datetime 2023-12-29 16:00:00-05:00
217
+ 2024-06-30 21:18:59,264: root: INFO: Current backtesting datetime 2023-12-30 09:30:00-05:00
218
+ 2024-06-30 21:18:59,272: root: INFO: MLTrader : The market is not currently open, skipping this trading iteration
219
+ 2024-06-30 21:18:59,272: root: INFO: Getting historical prices for SPY, 1 bars,
220
+ 2024-06-30 21:18:59,272: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
221
+ 2024-06-30 21:18:59,274: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
222
+ 2024-06-30 21:18:59,275: root: INFO: Getting historical prices for SPY, 1 bars,
223
+ 2024-06-30 21:18:59,275: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
224
+ 2024-06-30 21:18:59,276: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
225
+ 2024-06-30 21:18:59,276: root: INFO: Getting historical prices for SPY, 1 bars,
226
+ 2024-06-30 21:18:59,276: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
227
+ 2024-06-30 21:18:59,276: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
228
+ 2024-06-30 21:18:59,276: root: INFO: Getting historical prices for SPY, 1 bars,
229
+ 2024-06-30 21:18:59,276: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
230
+ 2024-06-30 21:18:59,276: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
231
+ 2024-06-30 21:18:59,282: root: INFO: Current backtesting datetime 2023-12-30 09:29:00-05:00
232
+ 2024-06-30 21:18:59,283: root: INFO: Getting historical prices for SPY, 1 bars,
233
+ 2024-06-30 21:18:59,283: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
234
+ 2024-06-30 21:18:59,283: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
235
+ 2024-06-30 21:18:59,283: root: INFO: Getting historical prices for SPY, 1 bars,
236
+ 2024-06-30 21:18:59,283: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
237
+ 2024-06-30 21:18:59,283: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
238
+ 2024-06-30 21:18:59,283: root: INFO: Current backtesting datetime 2023-12-30 09:29:00-05:00
239
+ 2024-06-30 21:18:59,283: root: INFO: MLTrader : Executing the after_market_closes lifecycle method
240
+ 2024-06-30 21:18:59,283: root: INFO: Getting historical prices for SPY, 1 bars,
241
+ 2024-06-30 21:18:59,283: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
242
+ 2024-06-30 21:18:59,289: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
243
+ 2024-06-30 21:18:59,289: root: INFO: Getting historical prices for SPY, 1 bars,
244
+ 2024-06-30 21:18:59,289: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
245
+ 2024-06-30 21:18:59,291: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
246
+ 2024-06-30 21:18:59,291: root: INFO: Current backtesting datetime 2024-01-02 08:30:00-05:00
247
+ 2024-06-30 21:18:59,291: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
248
+ 2024-06-30 21:18:59,291: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
249
+ 2024-06-30 21:18:59,298: root: INFO: MLTrader : Executing the before_market_opens lifecycle method
250
+ 2024-06-30 21:18:59,298: root: INFO: Getting historical prices for SPY, 1 bars,
251
+ 2024-06-30 21:18:59,298: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
252
+ 2024-06-30 21:18:59,299: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
253
+ 2024-06-30 21:18:59,299: root: INFO: Getting historical prices for SPY, 1 bars,
254
+ 2024-06-30 21:18:59,300: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
255
+ 2024-06-30 21:18:59,300: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
256
+ 2024-06-30 21:18:59,300: root: INFO: Current backtesting datetime 2024-01-02 09:30:00-05:00
257
+ 2024-06-30 21:18:59,300: root: INFO: MLTrader : Executing the before_starting_trading lifecycle method
258
+ 2024-06-30 21:18:59,305: root: INFO: Getting historical prices for SPY, 1 bars,
259
+ 2024-06-30 21:18:59,305: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
260
+ 2024-06-30 21:18:59,306: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
261
+ 2024-06-30 21:18:59,306: root: INFO: Getting historical prices for SPY, 1 bars,
262
+ 2024-06-30 21:18:59,306: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
263
+ 2024-06-30 21:18:59,306: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
264
+ 2024-06-30 21:18:59,306: root: INFO: Current backtesting datetime 2024-01-02 15:59:00-05:00
265
+ 2024-06-30 21:18:59,306: root: INFO: MLTrader : Executing the before_market_closes lifecycle method
266
+ 2024-06-30 21:18:59,306: root: INFO: Getting historical prices for SPY, 1 bars,
267
+ 2024-06-30 21:18:59,306: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
268
+ 2024-06-30 21:18:59,306: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
269
+ 2024-06-30 21:18:59,306: root: INFO: Getting historical prices for SPY, 1 bars,
270
+ 2024-06-30 21:18:59,306: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
271
+ 2024-06-30 21:18:59,313: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
272
+ 2024-06-30 21:18:59,315: root: INFO: Current backtesting datetime 2024-01-02 16:00:00-05:00
273
+ 2024-06-30 21:18:59,315: root: INFO: MLTrader : Executing the after_market_closes lifecycle method
274
+ 2024-06-30 21:18:59,315: root: INFO: MLTrader : Executing the on_strategy_end lifecycle method
275
+ 2024-06-30 21:18:59,712: root: INFO: Backtesting finished
276
+ 2024-06-30 21:19:06,891: backtest_stats: INFO: Backtest took 0:00:10.135333 for a speed of 0.000
logs/MLTrader_2024-06-30_21-18-56_stats.csv ADDED
@@ -0,0 +1,14 @@
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
1
+ datetime,portfolio_value,cash,return
2
+ 2023-12-15 09:30:00-05:00,100000.0,100000.0,
3
+ 2023-12-16 09:30:00-05:00,100000.0,95305.10009765625,0.0
4
+ 2023-12-18 09:30:00-05:00,100033.96020751953,95324.16009765625,0.00033960207519534436
5
+ 2023-12-19 09:30:00-05:00,100049.46008544922,95324.16009765625,0.00015494615925959465
6
+ 2023-12-20 09:30:00-05:00,100063.76001220703,95324.16009765625,0.00014292857498277023
7
+ 2023-12-21 09:30:00-05:00,100037.4599633789,95324.16009765625,-0.000262832905988275
8
+ 2023-12-22 09:30:00-05:00,100062.75995117187,95324.16009765625,0.0002529051397568427
9
+ 2023-12-23 09:30:00-05:00,100062.75995117187,95324.16009765625,0.0
10
+ 2023-12-26 09:30:00-05:00,100064.86017089844,95324.16009765625,2.09890245641553e-05
11
+ 2023-12-27 09:30:00-05:00,100078.56012207031,95324.16009765625,0.00013691071119747988
12
+ 2023-12-28 09:30:00-05:00,100092.96014648437,95324.16009765625,0.00014388720617586337
13
+ 2023-12-29 09:30:00-05:00,100089.06,95324.16009765625,-3.8965242697086566e-05
14
+ 2023-12-30 09:30:00-05:00,100089.06,95324.16009765625,0.0
logs/MLTrader_2024-06-30_21-18-59_settings.json ADDED
@@ -0,0 +1 @@
 
 
1
+ {"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": 0, "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", "cash_at_risk": 0.5}}
logs/MLTrader_2024-06-30_21-18-59_tearsheet.html ADDED
The diff for this file is too large to render. See raw diff
 
logs/MLTrader_2024-06-30_21-18-59_trades.csv ADDED
@@ -0,0 +1,3 @@
 
 
 
 
1
+ time,strategy,symbol,side,type,status,multiplier,time_in_force,asset.strike,asset.multiplier,asset.asset_type,price,filled_quantity,trade_cost
2
+ 2023-12-15 09:30:00-05:00,MLTrader,SPY,buy,market,new,1,gtc,0.0,1,stock,,,
3
+ 2023-12-15 09:30:00-05:00,MLTrader,SPY,buy,market,fill,1,gtc,0.0,1,stock,469.489990234375,10,0.0
logs/MLTrader_2024-06-30_21-18-59_trades.html ADDED
The diff for this file is too large to render. See raw diff
 
logs/MLTrader_2024-06-30_21-48-04_logs.csv ADDED
@@ -0,0 +1,276 @@
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
1
+ 2024-06-30 21:48:04,726: root: INFO: MLTrader : Executing the initialize lifecycle method
2
+ 2024-06-30 21:48:07,656: root: INFO: Current backtesting datetime 2023-12-15 08:30:00-05:00
3
+ 2024-06-30 21:48:07,658: root: INFO: MLTrader : Executing the before_market_opens lifecycle method
4
+ 2024-06-30 21:48:07,660: root: INFO: Current backtesting datetime 2023-12-15 09:30:00-05:00
5
+ 2024-06-30 21:48:07,660: root: INFO: MLTrader : Executing the before_starting_trading lifecycle method
6
+ 2024-06-30 21:48:07,662: root: INFO: MLTrader : Executing the on_trading_iteration lifecycle method at 2024-06-30 21:48:07
7
+ 2024-06-30 21:48:07,663: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
8
+ 2024-06-30 21:48:07,686: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
9
+ 2024-06-30 21:48:08,889: root: INFO: New market order of | 10 SPY buy | at price $563.3879882812499 of class bracket with status unprocessed was submitted.
10
+ 2024-06-30 21:48:08,896: root: INFO: MLTrader : Trading iteration ended at 2024-06-30 21:48:08
11
+ 2024-06-30 21:48:08,896: root: INFO: Getting historical prices for SPY, 1 bars,
12
+ 2024-06-30 21:48:08,896: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
13
+ 2024-06-30 21:48:08,897: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
14
+ 2024-06-30 21:48:08,898: root: INFO: market order of | 10 SPY buy | at price $563.3879882812499 of class bracket with status new was sent to broker backtesting
15
+ 2024-06-30 21:48:08,898: root: INFO: market order of | 10 SPY buy | at price $563.3879882812499 of class bracket with status new was sent to broker backtesting
16
+ 2024-06-30 21:48:08,898: root: INFO: Filled Transaction: buy 10 of SPY at 469.48999023 USD per share
17
+ 2024-06-30 21:48:08,898: root: INFO: market order of | 10 SPY buy | at price $563.3879882812499 of class bracket with status new was filled
18
+ 2024-06-30 21:48:08,908: root: INFO: MLTrader : Sleeping for 86400 seconds
19
+ 2024-06-30 21:48:08,909: root: INFO: Current backtesting datetime 2023-12-15 16:00:00-05:00
20
+ 2024-06-30 21:48:08,911: root: INFO: Current backtesting datetime 2023-12-16 09:30:00-05:00
21
+ 2024-06-30 21:48:08,915: root: INFO: MLTrader : The market is not currently open, skipping this trading iteration
22
+ 2024-06-30 21:48:08,915: root: INFO: Getting historical prices for SPY, 1 bars,
23
+ 2024-06-30 21:48:08,915: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
24
+ 2024-06-30 21:48:08,916: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
25
+ 2024-06-30 21:48:08,917: root: INFO: Getting historical prices for SPY, 1 bars,
26
+ 2024-06-30 21:48:08,917: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
27
+ 2024-06-30 21:48:08,918: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
28
+ 2024-06-30 21:48:08,920: root: INFO: Getting historical prices for SPY, 1 bars,
29
+ 2024-06-30 21:48:08,920: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
30
+ 2024-06-30 21:48:08,921: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
31
+ 2024-06-30 21:48:08,921: root: INFO: Getting historical prices for SPY, 1 bars,
32
+ 2024-06-30 21:48:08,922: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
33
+ 2024-06-30 21:48:08,924: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
34
+ 2024-06-30 21:48:08,927: root: INFO: Current backtesting datetime 2023-12-16 09:29:00-05:00
35
+ 2024-06-30 21:48:08,929: root: INFO: Getting historical prices for SPY, 1 bars,
36
+ 2024-06-30 21:48:08,929: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
37
+ 2024-06-30 21:48:08,930: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
38
+ 2024-06-30 21:48:08,932: root: INFO: Getting historical prices for SPY, 1 bars,
39
+ 2024-06-30 21:48:08,932: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
40
+ 2024-06-30 21:48:08,933: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
41
+ 2024-06-30 21:48:08,935: root: INFO: Current backtesting datetime 2023-12-16 09:29:00-05:00
42
+ 2024-06-30 21:48:08,935: root: INFO: MLTrader : Executing the after_market_closes lifecycle method
43
+ 2024-06-30 21:48:08,935: root: INFO: Getting historical prices for SPY, 1 bars,
44
+ 2024-06-30 21:48:08,935: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
45
+ 2024-06-30 21:48:08,936: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
46
+ 2024-06-30 21:48:08,937: root: INFO: Getting historical prices for SPY, 1 bars,
47
+ 2024-06-30 21:48:08,937: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
48
+ 2024-06-30 21:48:08,938: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
49
+ 2024-06-30 21:48:08,941: root: INFO: Current backtesting datetime 2023-12-18 08:30:00-05:00
50
+ 2024-06-30 21:48:08,942: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
51
+ 2024-06-30 21:48:08,944: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
52
+ 2024-06-30 21:48:08,946: root: INFO: MLTrader : Executing the before_market_opens lifecycle method
53
+ 2024-06-30 21:48:08,946: root: INFO: Getting historical prices for SPY, 1 bars,
54
+ 2024-06-30 21:48:08,946: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
55
+ 2024-06-30 21:48:08,948: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
56
+ 2024-06-30 21:48:08,948: root: INFO: Getting historical prices for SPY, 1 bars,
57
+ 2024-06-30 21:48:08,948: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
58
+ 2024-06-30 21:48:08,949: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
59
+ 2024-06-30 21:48:08,952: root: INFO: Current backtesting datetime 2023-12-18 09:30:00-05:00
60
+ 2024-06-30 21:48:08,952: root: INFO: MLTrader : Executing the before_starting_trading lifecycle method
61
+ 2024-06-30 21:48:08,955: root: INFO: MLTrader : Executing the on_trading_iteration lifecycle method at 2024-06-30 21:48:08
62
+ 2024-06-30 21:48:08,957: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
63
+ 2024-06-30 21:48:08,958: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
64
+ 2024-06-30 21:48:08,959: root: INFO: MLTrader : Trading iteration ended at 2024-06-30 21:48:08
65
+ 2024-06-30 21:48:08,959: root: INFO: Getting historical prices for SPY, 1 bars,
66
+ 2024-06-30 21:48:08,959: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
67
+ 2024-06-30 21:48:08,961: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
68
+ 2024-06-30 21:48:08,961: root: INFO: Getting historical prices for SPY, 1 bars,
69
+ 2024-06-30 21:48:08,961: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
70
+ 2024-06-30 21:48:08,962: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
71
+ 2024-06-30 21:48:08,965: root: INFO: MLTrader : Sleeping for 86400 seconds
72
+ 2024-06-30 21:48:08,966: root: INFO: Current backtesting datetime 2023-12-18 16:00:00-05:00
73
+ 2024-06-30 21:48:08,967: root: INFO: Current backtesting datetime 2023-12-19 09:30:00-05:00
74
+ 2024-06-30 21:48:08,969: root: INFO: MLTrader : Executing the on_trading_iteration lifecycle method at 2024-06-30 21:48:08
75
+ 2024-06-30 21:48:08,969: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
76
+ 2024-06-30 21:48:08,971: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
77
+ 2024-06-30 21:48:08,971: root: INFO: MLTrader : Trading iteration ended at 2024-06-30 21:48:08
78
+ 2024-06-30 21:48:08,971: root: INFO: Getting historical prices for SPY, 1 bars,
79
+ 2024-06-30 21:48:08,973: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
80
+ 2024-06-30 21:48:08,974: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
81
+ 2024-06-30 21:48:08,975: root: INFO: Getting historical prices for SPY, 1 bars,
82
+ 2024-06-30 21:48:08,975: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
83
+ 2024-06-30 21:48:08,976: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
84
+ 2024-06-30 21:48:08,977: root: INFO: MLTrader : Sleeping for 86400 seconds
85
+ 2024-06-30 21:48:08,979: root: INFO: Current backtesting datetime 2023-12-19 16:00:00-05:00
86
+ 2024-06-30 21:48:08,979: root: INFO: Current backtesting datetime 2023-12-20 09:30:00-05:00
87
+ 2024-06-30 21:48:08,985: root: INFO: MLTrader : Executing the on_trading_iteration lifecycle method at 2024-06-30 21:48:08
88
+ 2024-06-30 21:48:08,986: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
89
+ 2024-06-30 21:48:08,987: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
90
+ 2024-06-30 21:48:08,989: root: INFO: MLTrader : Trading iteration ended at 2024-06-30 21:48:08
91
+ 2024-06-30 21:48:08,989: root: INFO: Getting historical prices for SPY, 1 bars,
92
+ 2024-06-30 21:48:08,989: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
93
+ 2024-06-30 21:48:08,990: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
94
+ 2024-06-30 21:48:08,992: root: INFO: Getting historical prices for SPY, 1 bars,
95
+ 2024-06-30 21:48:08,992: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
96
+ 2024-06-30 21:48:08,993: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
97
+ 2024-06-30 21:48:08,994: root: INFO: MLTrader : Sleeping for 86400 seconds
98
+ 2024-06-30 21:48:08,997: root: INFO: Current backtesting datetime 2023-12-20 16:00:00-05:00
99
+ 2024-06-30 21:48:08,997: root: INFO: Current backtesting datetime 2023-12-21 09:30:00-05:00
100
+ 2024-06-30 21:48:09,000: root: INFO: MLTrader : Executing the on_trading_iteration lifecycle method at 2024-06-30 21:48:08
101
+ 2024-06-30 21:48:09,000: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
102
+ 2024-06-30 21:48:09,001: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
103
+ 2024-06-30 21:48:09,002: root: INFO: MLTrader : Trading iteration ended at 2024-06-30 21:48:09
104
+ 2024-06-30 21:48:09,002: root: INFO: Getting historical prices for SPY, 1 bars,
105
+ 2024-06-30 21:48:09,002: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
106
+ 2024-06-30 21:48:09,003: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
107
+ 2024-06-30 21:48:09,004: root: INFO: Getting historical prices for SPY, 1 bars,
108
+ 2024-06-30 21:48:09,004: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
109
+ 2024-06-30 21:48:09,005: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
110
+ 2024-06-30 21:48:09,008: root: INFO: MLTrader : Sleeping for 86400 seconds
111
+ 2024-06-30 21:48:09,010: root: INFO: Current backtesting datetime 2023-12-21 16:00:00-05:00
112
+ 2024-06-30 21:48:09,010: root: INFO: Current backtesting datetime 2023-12-22 09:30:00-05:00
113
+ 2024-06-30 21:48:09,015: root: INFO: MLTrader : Executing the on_trading_iteration lifecycle method at 2024-06-30 21:48:09
114
+ 2024-06-30 21:48:09,015: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
115
+ 2024-06-30 21:48:09,018: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
116
+ 2024-06-30 21:48:09,018: root: INFO: MLTrader : Trading iteration ended at 2024-06-30 21:48:09
117
+ 2024-06-30 21:48:09,018: root: INFO: Getting historical prices for SPY, 1 bars,
118
+ 2024-06-30 21:48:09,018: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
119
+ 2024-06-30 21:48:09,019: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
120
+ 2024-06-30 21:48:09,020: root: INFO: Getting historical prices for SPY, 1 bars,
121
+ 2024-06-30 21:48:09,020: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
122
+ 2024-06-30 21:48:09,021: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
123
+ 2024-06-30 21:48:09,024: root: INFO: MLTrader : Sleeping for 86400 seconds
124
+ 2024-06-30 21:48:09,026: root: INFO: Current backtesting datetime 2023-12-22 16:00:00-05:00
125
+ 2024-06-30 21:48:09,027: root: INFO: Current backtesting datetime 2023-12-23 09:30:00-05:00
126
+ 2024-06-30 21:48:09,029: root: INFO: MLTrader : The market is not currently open, skipping this trading iteration
127
+ 2024-06-30 21:48:09,029: root: INFO: Getting historical prices for SPY, 1 bars,
128
+ 2024-06-30 21:48:09,029: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
129
+ 2024-06-30 21:48:09,030: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
130
+ 2024-06-30 21:48:09,031: root: INFO: Getting historical prices for SPY, 1 bars,
131
+ 2024-06-30 21:48:09,031: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
132
+ 2024-06-30 21:48:09,033: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
133
+ 2024-06-30 21:48:09,035: root: INFO: Getting historical prices for SPY, 1 bars,
134
+ 2024-06-30 21:48:09,035: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
135
+ 2024-06-30 21:48:09,036: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
136
+ 2024-06-30 21:48:09,036: root: INFO: Getting historical prices for SPY, 1 bars,
137
+ 2024-06-30 21:48:09,037: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
138
+ 2024-06-30 21:48:09,037: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
139
+ 2024-06-30 21:48:09,040: root: INFO: Current backtesting datetime 2023-12-23 09:29:00-05:00
140
+ 2024-06-30 21:48:09,042: root: INFO: Getting historical prices for SPY, 1 bars,
141
+ 2024-06-30 21:48:09,042: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
142
+ 2024-06-30 21:48:09,043: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
143
+ 2024-06-30 21:48:09,043: root: INFO: Getting historical prices for SPY, 1 bars,
144
+ 2024-06-30 21:48:09,043: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
145
+ 2024-06-30 21:48:09,044: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
146
+ 2024-06-30 21:48:09,046: root: INFO: Current backtesting datetime 2023-12-23 09:29:00-05:00
147
+ 2024-06-30 21:48:09,047: root: INFO: MLTrader : Executing the after_market_closes lifecycle method
148
+ 2024-06-30 21:48:09,048: root: INFO: Getting historical prices for SPY, 1 bars,
149
+ 2024-06-30 21:48:09,048: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
150
+ 2024-06-30 21:48:09,050: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
151
+ 2024-06-30 21:48:09,050: root: INFO: Getting historical prices for SPY, 1 bars,
152
+ 2024-06-30 21:48:09,050: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
153
+ 2024-06-30 21:48:09,051: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
154
+ 2024-06-30 21:48:09,054: root: INFO: Current backtesting datetime 2023-12-26 08:30:00-05:00
155
+ 2024-06-30 21:48:09,055: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
156
+ 2024-06-30 21:48:09,057: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
157
+ 2024-06-30 21:48:09,059: root: INFO: MLTrader : Executing the before_market_opens lifecycle method
158
+ 2024-06-30 21:48:09,059: root: INFO: Getting historical prices for SPY, 1 bars,
159
+ 2024-06-30 21:48:09,059: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
160
+ 2024-06-30 21:48:09,060: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
161
+ 2024-06-30 21:48:09,060: root: INFO: Getting historical prices for SPY, 1 bars,
162
+ 2024-06-30 21:48:09,060: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
163
+ 2024-06-30 21:48:09,062: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
164
+ 2024-06-30 21:48:09,065: root: INFO: Current backtesting datetime 2023-12-26 09:30:00-05:00
165
+ 2024-06-30 21:48:09,065: root: INFO: MLTrader : Executing the before_starting_trading lifecycle method
166
+ 2024-06-30 21:48:09,069: root: INFO: MLTrader : Executing the on_trading_iteration lifecycle method at 2024-06-30 21:48:09
167
+ 2024-06-30 21:48:09,069: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
168
+ 2024-06-30 21:48:09,071: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
169
+ 2024-06-30 21:48:09,071: root: INFO: MLTrader : Trading iteration ended at 2024-06-30 21:48:09
170
+ 2024-06-30 21:48:09,071: root: INFO: Getting historical prices for SPY, 1 bars,
171
+ 2024-06-30 21:48:09,071: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
172
+ 2024-06-30 21:48:09,072: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
173
+ 2024-06-30 21:48:09,073: root: INFO: Getting historical prices for SPY, 1 bars,
174
+ 2024-06-30 21:48:09,073: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
175
+ 2024-06-30 21:48:09,074: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
176
+ 2024-06-30 21:48:09,075: root: INFO: MLTrader : Sleeping for 86400 seconds
177
+ 2024-06-30 21:48:09,077: root: INFO: Current backtesting datetime 2023-12-26 16:00:00-05:00
178
+ 2024-06-30 21:48:09,077: root: INFO: Current backtesting datetime 2023-12-27 09:30:00-05:00
179
+ 2024-06-30 21:48:09,081: root: INFO: MLTrader : Executing the on_trading_iteration lifecycle method at 2024-06-30 21:48:09
180
+ 2024-06-30 21:48:09,081: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
181
+ 2024-06-30 21:48:09,082: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
182
+ 2024-06-30 21:48:09,082: root: INFO: MLTrader : Trading iteration ended at 2024-06-30 21:48:09
183
+ 2024-06-30 21:48:09,082: root: INFO: Getting historical prices for SPY, 1 bars,
184
+ 2024-06-30 21:48:09,082: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
185
+ 2024-06-30 21:48:09,084: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
186
+ 2024-06-30 21:48:09,085: root: INFO: Getting historical prices for SPY, 1 bars,
187
+ 2024-06-30 21:48:09,085: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
188
+ 2024-06-30 21:48:09,086: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
189
+ 2024-06-30 21:48:09,088: root: INFO: MLTrader : Sleeping for 86400 seconds
190
+ 2024-06-30 21:48:09,089: root: INFO: Current backtesting datetime 2023-12-27 16:00:00-05:00
191
+ 2024-06-30 21:48:09,090: root: INFO: Current backtesting datetime 2023-12-28 09:30:00-05:00
192
+ 2024-06-30 21:48:09,094: root: INFO: MLTrader : Executing the on_trading_iteration lifecycle method at 2024-06-30 21:48:09
193
+ 2024-06-30 21:48:09,094: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
194
+ 2024-06-30 21:48:09,095: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
195
+ 2024-06-30 21:48:09,096: root: INFO: MLTrader : Trading iteration ended at 2024-06-30 21:48:09
196
+ 2024-06-30 21:48:09,096: root: INFO: Getting historical prices for SPY, 1 bars,
197
+ 2024-06-30 21:48:09,096: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
198
+ 2024-06-30 21:48:09,099: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
199
+ 2024-06-30 21:48:09,099: root: INFO: Getting historical prices for SPY, 1 bars,
200
+ 2024-06-30 21:48:09,099: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
201
+ 2024-06-30 21:48:09,100: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
202
+ 2024-06-30 21:48:09,102: root: INFO: MLTrader : Sleeping for 86400 seconds
203
+ 2024-06-30 21:48:09,109: root: INFO: Current backtesting datetime 2023-12-28 16:00:00-05:00
204
+ 2024-06-30 21:48:09,109: root: INFO: Current backtesting datetime 2023-12-29 09:30:00-05:00
205
+ 2024-06-30 21:48:09,111: root: INFO: MLTrader : Executing the on_trading_iteration lifecycle method at 2024-06-30 21:48:09
206
+ 2024-06-30 21:48:09,112: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
207
+ 2024-06-30 21:48:09,114: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
208
+ 2024-06-30 21:48:09,115: root: INFO: MLTrader : Trading iteration ended at 2024-06-30 21:48:09
209
+ 2024-06-30 21:48:09,115: root: INFO: Getting historical prices for SPY, 1 bars,
210
+ 2024-06-30 21:48:09,115: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
211
+ 2024-06-30 21:48:09,117: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
212
+ 2024-06-30 21:48:09,118: root: INFO: Getting historical prices for SPY, 1 bars,
213
+ 2024-06-30 21:48:09,118: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
214
+ 2024-06-30 21:48:09,119: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
215
+ 2024-06-30 21:48:09,121: root: INFO: MLTrader : Sleeping for 86400 seconds
216
+ 2024-06-30 21:48:09,124: root: INFO: Current backtesting datetime 2023-12-29 16:00:00-05:00
217
+ 2024-06-30 21:48:09,125: root: INFO: Current backtesting datetime 2023-12-30 09:30:00-05:00
218
+ 2024-06-30 21:48:09,127: root: INFO: MLTrader : The market is not currently open, skipping this trading iteration
219
+ 2024-06-30 21:48:09,127: root: INFO: Getting historical prices for SPY, 1 bars,
220
+ 2024-06-30 21:48:09,127: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
221
+ 2024-06-30 21:48:09,128: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
222
+ 2024-06-30 21:48:09,128: root: INFO: Getting historical prices for SPY, 1 bars,
223
+ 2024-06-30 21:48:09,128: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
224
+ 2024-06-30 21:48:09,129: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
225
+ 2024-06-30 21:48:09,132: root: INFO: Getting historical prices for SPY, 1 bars,
226
+ 2024-06-30 21:48:09,133: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
227
+ 2024-06-30 21:48:09,134: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
228
+ 2024-06-30 21:48:09,134: root: INFO: Getting historical prices for SPY, 1 bars,
229
+ 2024-06-30 21:48:09,134: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
230
+ 2024-06-30 21:48:09,135: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
231
+ 2024-06-30 21:48:09,137: root: INFO: Current backtesting datetime 2023-12-30 09:29:00-05:00
232
+ 2024-06-30 21:48:09,138: root: INFO: Getting historical prices for SPY, 1 bars,
233
+ 2024-06-30 21:48:09,138: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
234
+ 2024-06-30 21:48:09,140: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
235
+ 2024-06-30 21:48:09,140: root: INFO: Getting historical prices for SPY, 1 bars,
236
+ 2024-06-30 21:48:09,141: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
237
+ 2024-06-30 21:48:09,142: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
238
+ 2024-06-30 21:48:09,144: root: INFO: Current backtesting datetime 2023-12-30 09:29:00-05:00
239
+ 2024-06-30 21:48:09,144: root: INFO: MLTrader : Executing the after_market_closes lifecycle method
240
+ 2024-06-30 21:48:09,144: root: INFO: Getting historical prices for SPY, 1 bars,
241
+ 2024-06-30 21:48:09,144: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
242
+ 2024-06-30 21:48:09,145: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
243
+ 2024-06-30 21:48:09,145: root: INFO: Getting historical prices for SPY, 1 bars,
244
+ 2024-06-30 21:48:09,145: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
245
+ 2024-06-30 21:48:09,149: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
246
+ 2024-06-30 21:48:09,152: root: INFO: Current backtesting datetime 2024-01-02 08:30:00-05:00
247
+ 2024-06-30 21:48:09,153: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
248
+ 2024-06-30 21:48:09,154: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
249
+ 2024-06-30 21:48:09,156: root: INFO: MLTrader : Executing the before_market_opens lifecycle method
250
+ 2024-06-30 21:48:09,156: root: INFO: Getting historical prices for SPY, 1 bars,
251
+ 2024-06-30 21:48:09,157: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
252
+ 2024-06-30 21:48:09,159: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
253
+ 2024-06-30 21:48:09,159: root: INFO: Getting historical prices for SPY, 1 bars,
254
+ 2024-06-30 21:48:09,159: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
255
+ 2024-06-30 21:48:09,161: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
256
+ 2024-06-30 21:48:09,162: root: INFO: Current backtesting datetime 2024-01-02 09:30:00-05:00
257
+ 2024-06-30 21:48:09,163: root: INFO: MLTrader : Executing the before_starting_trading lifecycle method
258
+ 2024-06-30 21:48:09,165: root: INFO: Getting historical prices for SPY, 1 bars,
259
+ 2024-06-30 21:48:09,165: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
260
+ 2024-06-30 21:48:09,167: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
261
+ 2024-06-30 21:48:09,168: root: INFO: Getting historical prices for SPY, 1 bars,
262
+ 2024-06-30 21:48:09,168: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
263
+ 2024-06-30 21:48:09,169: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
264
+ 2024-06-30 21:48:09,170: root: INFO: Current backtesting datetime 2024-01-02 15:59:00-05:00
265
+ 2024-06-30 21:48:09,172: root: INFO: MLTrader : Executing the before_market_closes lifecycle method
266
+ 2024-06-30 21:48:09,172: root: INFO: Getting historical prices for SPY, 1 bars,
267
+ 2024-06-30 21:48:09,172: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
268
+ 2024-06-30 21:48:09,174: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
269
+ 2024-06-30 21:48:09,175: root: INFO: Getting historical prices for SPY, 1 bars,
270
+ 2024-06-30 21:48:09,175: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
271
+ 2024-06-30 21:48:09,176: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
272
+ 2024-06-30 21:48:09,178: root: INFO: Current backtesting datetime 2024-01-02 16:00:00-05:00
273
+ 2024-06-30 21:48:09,178: root: INFO: MLTrader : Executing the after_market_closes lifecycle method
274
+ 2024-06-30 21:48:09,178: root: INFO: MLTrader : Executing the on_strategy_end lifecycle method
275
+ 2024-06-30 21:48:09,626: root: INFO: Backtesting finished
276
+ 2024-06-30 21:48:17,604: backtest_stats: INFO: Backtest took 0:00:12.881778 for a speed of 0.000
logs/MLTrader_2024-06-30_21-48-04_stats.csv ADDED
@@ -0,0 +1,14 @@
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
1
+ datetime,portfolio_value,cash,return
2
+ 2023-12-15 09:30:00-05:00,100000.0,100000.0,
3
+ 2023-12-16 09:30:00-05:00,100000.0,95305.10009765625,0.0
4
+ 2023-12-18 09:30:00-05:00,100033.96020751953,95324.16009765625,0.00033960207519534436
5
+ 2023-12-19 09:30:00-05:00,100049.46008544922,95324.16009765625,0.00015494615925959465
6
+ 2023-12-20 09:30:00-05:00,100063.76001220703,95324.16009765625,0.00014292857498277023
7
+ 2023-12-21 09:30:00-05:00,100037.4599633789,95324.16009765625,-0.000262832905988275
8
+ 2023-12-22 09:30:00-05:00,100062.75995117187,95324.16009765625,0.0002529051397568427
9
+ 2023-12-23 09:30:00-05:00,100062.75995117187,95324.16009765625,0.0
10
+ 2023-12-26 09:30:00-05:00,100064.86017089844,95324.16009765625,2.09890245641553e-05
11
+ 2023-12-27 09:30:00-05:00,100078.56012207031,95324.16009765625,0.00013691071119747988
12
+ 2023-12-28 09:30:00-05:00,100092.96014648437,95324.16009765625,0.00014388720617586337
13
+ 2023-12-29 09:30:00-05:00,100089.06,95324.16009765625,-3.8965242697086566e-05
14
+ 2023-12-30 09:30:00-05:00,100089.06,95324.16009765625,0.0
logs/MLTrader_2024-06-30_21-48-09_settings.json ADDED
@@ -0,0 +1 @@
 
 
1
+ {"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": 0, "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", "cash_at_risk": 0.5}}
logs/MLTrader_2024-06-30_21-48-09_tearsheet.html ADDED
The diff for this file is too large to render. See raw diff
 
logs/MLTrader_2024-06-30_21-48-09_trades.csv ADDED
@@ -0,0 +1,3 @@
 
 
 
 
1
+ time,strategy,symbol,side,type,status,multiplier,time_in_force,asset.strike,asset.multiplier,asset.asset_type,price,filled_quantity,trade_cost
2
+ 2023-12-15 09:30:00-05:00,MLTrader,SPY,buy,market,new,1,gtc,0.0,1,stock,,,
3
+ 2023-12-15 09:30:00-05:00,MLTrader,SPY,buy,market,fill,1,gtc,0.0,1,stock,469.489990234375,10,0.0
logs/MLTrader_2024-06-30_21-48-09_trades.html ADDED
The diff for this file is too large to render. See raw diff
 
logs/MLTrader_2024-06-30_22-02-42_logs.csv ADDED
@@ -0,0 +1,276 @@
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
1
+ 2024-06-30 22:02:42,759: root: INFO: MLTrader : Executing the initialize lifecycle method
2
+ 2024-06-30 22:02:45,775: root: INFO: Current backtesting datetime 2023-12-15 08:30:00-05:00
3
+ 2024-06-30 22:02:45,777: root: INFO: MLTrader : Executing the before_market_opens lifecycle method
4
+ 2024-06-30 22:02:45,779: root: INFO: Current backtesting datetime 2023-12-15 09:30:00-05:00
5
+ 2024-06-30 22:02:45,779: root: INFO: MLTrader : Executing the before_starting_trading lifecycle method
6
+ 2024-06-30 22:02:45,782: root: INFO: MLTrader : Executing the on_trading_iteration lifecycle method at 2024-06-30 22:02:45
7
+ 2024-06-30 22:02:45,782: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
8
+ 2024-06-30 22:02:45,798: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
9
+ 2024-06-30 22:02:47,081: root: INFO: New market order of | 10 SPY buy | at price $563.3879882812499 of class bracket with status unprocessed was submitted.
10
+ 2024-06-30 22:02:47,088: root: INFO: MLTrader : Trading iteration ended at 2024-06-30 22:02:47
11
+ 2024-06-30 22:02:47,089: root: INFO: Getting historical prices for SPY, 1 bars,
12
+ 2024-06-30 22:02:47,089: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
13
+ 2024-06-30 22:02:47,091: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
14
+ 2024-06-30 22:02:47,091: root: INFO: market order of | 10 SPY buy | at price $563.3879882812499 of class bracket with status new was sent to broker backtesting
15
+ 2024-06-30 22:02:47,092: root: INFO: market order of | 10 SPY buy | at price $563.3879882812499 of class bracket with status new was sent to broker backtesting
16
+ 2024-06-30 22:02:47,092: root: INFO: Filled Transaction: buy 10 of SPY at 469.48999023 USD per share
17
+ 2024-06-30 22:02:47,092: root: INFO: market order of | 10 SPY buy | at price $563.3879882812499 of class bracket with status new was filled
18
+ 2024-06-30 22:02:47,099: root: INFO: MLTrader : Sleeping for 86400 seconds
19
+ 2024-06-30 22:02:47,103: root: INFO: Current backtesting datetime 2023-12-15 16:00:00-05:00
20
+ 2024-06-30 22:02:47,104: root: INFO: Current backtesting datetime 2023-12-16 09:30:00-05:00
21
+ 2024-06-30 22:02:47,108: root: INFO: MLTrader : The market is not currently open, skipping this trading iteration
22
+ 2024-06-30 22:02:47,108: root: INFO: Getting historical prices for SPY, 1 bars,
23
+ 2024-06-30 22:02:47,108: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
24
+ 2024-06-30 22:02:47,110: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
25
+ 2024-06-30 22:02:47,110: root: INFO: Getting historical prices for SPY, 1 bars,
26
+ 2024-06-30 22:02:47,110: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
27
+ 2024-06-30 22:02:47,112: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
28
+ 2024-06-30 22:02:47,114: root: INFO: Getting historical prices for SPY, 1 bars,
29
+ 2024-06-30 22:02:47,114: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
30
+ 2024-06-30 22:02:47,115: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
31
+ 2024-06-30 22:02:47,117: root: INFO: Getting historical prices for SPY, 1 bars,
32
+ 2024-06-30 22:02:47,117: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
33
+ 2024-06-30 22:02:47,118: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
34
+ 2024-06-30 22:02:47,120: root: INFO: Current backtesting datetime 2023-12-16 09:29:00-05:00
35
+ 2024-06-30 22:02:47,121: root: INFO: Getting historical prices for SPY, 1 bars,
36
+ 2024-06-30 22:02:47,122: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
37
+ 2024-06-30 22:02:47,123: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
38
+ 2024-06-30 22:02:47,123: root: INFO: Getting historical prices for SPY, 1 bars,
39
+ 2024-06-30 22:02:47,124: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
40
+ 2024-06-30 22:02:47,125: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
41
+ 2024-06-30 22:02:47,127: root: INFO: Current backtesting datetime 2023-12-16 09:29:00-05:00
42
+ 2024-06-30 22:02:47,128: root: INFO: MLTrader : Executing the after_market_closes lifecycle method
43
+ 2024-06-30 22:02:47,128: root: INFO: Getting historical prices for SPY, 1 bars,
44
+ 2024-06-30 22:02:47,128: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
45
+ 2024-06-30 22:02:47,133: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
46
+ 2024-06-30 22:02:47,133: root: INFO: Getting historical prices for SPY, 1 bars,
47
+ 2024-06-30 22:02:47,133: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
48
+ 2024-06-30 22:02:47,136: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
49
+ 2024-06-30 22:02:47,139: root: INFO: Current backtesting datetime 2023-12-18 08:30:00-05:00
50
+ 2024-06-30 22:02:47,141: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
51
+ 2024-06-30 22:02:47,143: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
52
+ 2024-06-30 22:02:47,144: root: INFO: MLTrader : Executing the before_market_opens lifecycle method
53
+ 2024-06-30 22:02:47,144: root: INFO: Getting historical prices for SPY, 1 bars,
54
+ 2024-06-30 22:02:47,144: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
55
+ 2024-06-30 22:02:47,145: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
56
+ 2024-06-30 22:02:47,146: root: INFO: Getting historical prices for SPY, 1 bars,
57
+ 2024-06-30 22:02:47,146: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
58
+ 2024-06-30 22:02:47,148: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
59
+ 2024-06-30 22:02:47,150: root: INFO: Current backtesting datetime 2023-12-18 09:30:00-05:00
60
+ 2024-06-30 22:02:47,150: root: INFO: MLTrader : Executing the before_starting_trading lifecycle method
61
+ 2024-06-30 22:02:47,154: root: INFO: MLTrader : Executing the on_trading_iteration lifecycle method at 2024-06-30 22:02:47
62
+ 2024-06-30 22:02:47,154: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
63
+ 2024-06-30 22:02:47,157: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
64
+ 2024-06-30 22:02:47,158: root: INFO: MLTrader : Trading iteration ended at 2024-06-30 22:02:47
65
+ 2024-06-30 22:02:47,158: root: INFO: Getting historical prices for SPY, 1 bars,
66
+ 2024-06-30 22:02:47,158: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
67
+ 2024-06-30 22:02:47,159: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
68
+ 2024-06-30 22:02:47,160: root: INFO: Getting historical prices for SPY, 1 bars,
69
+ 2024-06-30 22:02:47,160: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
70
+ 2024-06-30 22:02:47,161: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
71
+ 2024-06-30 22:02:47,164: root: INFO: MLTrader : Sleeping for 86400 seconds
72
+ 2024-06-30 22:02:47,165: root: INFO: Current backtesting datetime 2023-12-18 16:00:00-05:00
73
+ 2024-06-30 22:02:47,165: root: INFO: Current backtesting datetime 2023-12-19 09:30:00-05:00
74
+ 2024-06-30 22:02:47,168: root: INFO: MLTrader : Executing the on_trading_iteration lifecycle method at 2024-06-30 22:02:47
75
+ 2024-06-30 22:02:47,168: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
76
+ 2024-06-30 22:02:47,171: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
77
+ 2024-06-30 22:02:47,172: root: INFO: MLTrader : Trading iteration ended at 2024-06-30 22:02:47
78
+ 2024-06-30 22:02:47,172: root: INFO: Getting historical prices for SPY, 1 bars,
79
+ 2024-06-30 22:02:47,172: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
80
+ 2024-06-30 22:02:47,173: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
81
+ 2024-06-30 22:02:47,174: root: INFO: Getting historical prices for SPY, 1 bars,
82
+ 2024-06-30 22:02:47,174: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
83
+ 2024-06-30 22:02:47,175: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
84
+ 2024-06-30 22:02:47,177: root: INFO: MLTrader : Sleeping for 86400 seconds
85
+ 2024-06-30 22:02:47,180: root: INFO: Current backtesting datetime 2023-12-19 16:00:00-05:00
86
+ 2024-06-30 22:02:47,180: root: INFO: Current backtesting datetime 2023-12-20 09:30:00-05:00
87
+ 2024-06-30 22:02:47,183: root: INFO: MLTrader : Executing the on_trading_iteration lifecycle method at 2024-06-30 22:02:47
88
+ 2024-06-30 22:02:47,184: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
89
+ 2024-06-30 22:02:47,185: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
90
+ 2024-06-30 22:02:47,186: root: INFO: MLTrader : Trading iteration ended at 2024-06-30 22:02:47
91
+ 2024-06-30 22:02:47,186: root: INFO: Getting historical prices for SPY, 1 bars,
92
+ 2024-06-30 22:02:47,186: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
93
+ 2024-06-30 22:02:47,188: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
94
+ 2024-06-30 22:02:47,188: root: INFO: Getting historical prices for SPY, 1 bars,
95
+ 2024-06-30 22:02:47,188: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
96
+ 2024-06-30 22:02:47,189: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
97
+ 2024-06-30 22:02:47,191: root: INFO: MLTrader : Sleeping for 86400 seconds
98
+ 2024-06-30 22:02:47,194: root: INFO: Current backtesting datetime 2023-12-20 16:00:00-05:00
99
+ 2024-06-30 22:02:47,194: root: INFO: Current backtesting datetime 2023-12-21 09:30:00-05:00
100
+ 2024-06-30 22:02:47,197: root: INFO: MLTrader : Executing the on_trading_iteration lifecycle method at 2024-06-30 22:02:47
101
+ 2024-06-30 22:02:47,197: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
102
+ 2024-06-30 22:02:47,199: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
103
+ 2024-06-30 22:02:47,200: root: INFO: MLTrader : Trading iteration ended at 2024-06-30 22:02:47
104
+ 2024-06-30 22:02:47,200: root: INFO: Getting historical prices for SPY, 1 bars,
105
+ 2024-06-30 22:02:47,200: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
106
+ 2024-06-30 22:02:47,201: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
107
+ 2024-06-30 22:02:47,202: root: INFO: Getting historical prices for SPY, 1 bars,
108
+ 2024-06-30 22:02:47,202: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
109
+ 2024-06-30 22:02:47,203: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
110
+ 2024-06-30 22:02:47,205: root: INFO: MLTrader : Sleeping for 86400 seconds
111
+ 2024-06-30 22:02:47,207: root: INFO: Current backtesting datetime 2023-12-21 16:00:00-05:00
112
+ 2024-06-30 22:02:47,207: root: INFO: Current backtesting datetime 2023-12-22 09:30:00-05:00
113
+ 2024-06-30 22:02:47,211: root: INFO: MLTrader : Executing the on_trading_iteration lifecycle method at 2024-06-30 22:02:47
114
+ 2024-06-30 22:02:47,211: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
115
+ 2024-06-30 22:02:47,212: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
116
+ 2024-06-30 22:02:47,213: root: INFO: MLTrader : Trading iteration ended at 2024-06-30 22:02:47
117
+ 2024-06-30 22:02:47,213: root: INFO: Getting historical prices for SPY, 1 bars,
118
+ 2024-06-30 22:02:47,213: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
119
+ 2024-06-30 22:02:47,215: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
120
+ 2024-06-30 22:02:47,215: root: INFO: Getting historical prices for SPY, 1 bars,
121
+ 2024-06-30 22:02:47,215: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
122
+ 2024-06-30 22:02:47,217: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
123
+ 2024-06-30 22:02:47,219: root: INFO: MLTrader : Sleeping for 86400 seconds
124
+ 2024-06-30 22:02:47,220: root: INFO: Current backtesting datetime 2023-12-22 16:00:00-05:00
125
+ 2024-06-30 22:02:47,220: root: INFO: Current backtesting datetime 2023-12-23 09:30:00-05:00
126
+ 2024-06-30 22:02:47,222: root: INFO: MLTrader : The market is not currently open, skipping this trading iteration
127
+ 2024-06-30 22:02:47,222: root: INFO: Getting historical prices for SPY, 1 bars,
128
+ 2024-06-30 22:02:47,223: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
129
+ 2024-06-30 22:02:47,225: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
130
+ 2024-06-30 22:02:47,226: root: INFO: Getting historical prices for SPY, 1 bars,
131
+ 2024-06-30 22:02:47,226: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
132
+ 2024-06-30 22:02:47,227: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
133
+ 2024-06-30 22:02:47,229: root: INFO: Getting historical prices for SPY, 1 bars,
134
+ 2024-06-30 22:02:47,229: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
135
+ 2024-06-30 22:02:47,231: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
136
+ 2024-06-30 22:02:47,232: root: INFO: Getting historical prices for SPY, 1 bars,
137
+ 2024-06-30 22:02:47,232: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
138
+ 2024-06-30 22:02:47,234: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
139
+ 2024-06-30 22:02:47,236: root: INFO: Current backtesting datetime 2023-12-23 09:29:00-05:00
140
+ 2024-06-30 22:02:47,236: root: INFO: Getting historical prices for SPY, 1 bars,
141
+ 2024-06-30 22:02:47,236: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
142
+ 2024-06-30 22:02:47,237: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
143
+ 2024-06-30 22:02:47,237: root: INFO: Getting historical prices for SPY, 1 bars,
144
+ 2024-06-30 22:02:47,237: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
145
+ 2024-06-30 22:02:47,238: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
146
+ 2024-06-30 22:02:47,241: root: INFO: Current backtesting datetime 2023-12-23 09:29:00-05:00
147
+ 2024-06-30 22:02:47,242: root: INFO: MLTrader : Executing the after_market_closes lifecycle method
148
+ 2024-06-30 22:02:47,242: root: INFO: Getting historical prices for SPY, 1 bars,
149
+ 2024-06-30 22:02:47,242: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
150
+ 2024-06-30 22:02:47,244: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
151
+ 2024-06-30 22:02:47,244: root: INFO: Getting historical prices for SPY, 1 bars,
152
+ 2024-06-30 22:02:47,244: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
153
+ 2024-06-30 22:02:47,245: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
154
+ 2024-06-30 22:02:47,247: root: INFO: Current backtesting datetime 2023-12-26 08:30:00-05:00
155
+ 2024-06-30 22:02:47,248: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
156
+ 2024-06-30 22:02:47,250: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
157
+ 2024-06-30 22:02:47,253: root: INFO: MLTrader : Executing the before_market_opens lifecycle method
158
+ 2024-06-30 22:02:47,253: root: INFO: Getting historical prices for SPY, 1 bars,
159
+ 2024-06-30 22:02:47,253: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
160
+ 2024-06-30 22:02:47,254: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
161
+ 2024-06-30 22:02:47,255: root: INFO: Getting historical prices for SPY, 1 bars,
162
+ 2024-06-30 22:02:47,255: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
163
+ 2024-06-30 22:02:47,256: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
164
+ 2024-06-30 22:02:47,259: root: INFO: Current backtesting datetime 2023-12-26 09:30:00-05:00
165
+ 2024-06-30 22:02:47,259: root: INFO: MLTrader : Executing the before_starting_trading lifecycle method
166
+ 2024-06-30 22:02:47,263: root: INFO: MLTrader : Executing the on_trading_iteration lifecycle method at 2024-06-30 22:02:47
167
+ 2024-06-30 22:02:47,263: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
168
+ 2024-06-30 22:02:47,265: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
169
+ 2024-06-30 22:02:47,266: root: INFO: MLTrader : Trading iteration ended at 2024-06-30 22:02:47
170
+ 2024-06-30 22:02:47,266: root: INFO: Getting historical prices for SPY, 1 bars,
171
+ 2024-06-30 22:02:47,266: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
172
+ 2024-06-30 22:02:47,267: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
173
+ 2024-06-30 22:02:47,268: root: INFO: Getting historical prices for SPY, 1 bars,
174
+ 2024-06-30 22:02:47,268: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
175
+ 2024-06-30 22:02:47,270: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
176
+ 2024-06-30 22:02:47,271: root: INFO: MLTrader : Sleeping for 86400 seconds
177
+ 2024-06-30 22:02:47,273: root: INFO: Current backtesting datetime 2023-12-26 16:00:00-05:00
178
+ 2024-06-30 22:02:47,274: root: INFO: Current backtesting datetime 2023-12-27 09:30:00-05:00
179
+ 2024-06-30 22:02:47,278: root: INFO: MLTrader : Executing the on_trading_iteration lifecycle method at 2024-06-30 22:02:47
180
+ 2024-06-30 22:02:47,278: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
181
+ 2024-06-30 22:02:47,280: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
182
+ 2024-06-30 22:02:47,280: root: INFO: MLTrader : Trading iteration ended at 2024-06-30 22:02:47
183
+ 2024-06-30 22:02:47,281: root: INFO: Getting historical prices for SPY, 1 bars,
184
+ 2024-06-30 22:02:47,281: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
185
+ 2024-06-30 22:02:47,282: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
186
+ 2024-06-30 22:02:47,282: root: INFO: Getting historical prices for SPY, 1 bars,
187
+ 2024-06-30 22:02:47,282: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
188
+ 2024-06-30 22:02:47,284: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
189
+ 2024-06-30 22:02:47,287: root: INFO: MLTrader : Sleeping for 86400 seconds
190
+ 2024-06-30 22:02:47,288: root: INFO: Current backtesting datetime 2023-12-27 16:00:00-05:00
191
+ 2024-06-30 22:02:47,288: root: INFO: Current backtesting datetime 2023-12-28 09:30:00-05:00
192
+ 2024-06-30 22:02:47,290: root: INFO: MLTrader : Executing the on_trading_iteration lifecycle method at 2024-06-30 22:02:47
193
+ 2024-06-30 22:02:47,290: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
194
+ 2024-06-30 22:02:47,292: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
195
+ 2024-06-30 22:02:47,293: root: INFO: MLTrader : Trading iteration ended at 2024-06-30 22:02:47
196
+ 2024-06-30 22:02:47,293: root: INFO: Getting historical prices for SPY, 1 bars,
197
+ 2024-06-30 22:02:47,293: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
198
+ 2024-06-30 22:02:47,294: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
199
+ 2024-06-30 22:02:47,294: root: INFO: Getting historical prices for SPY, 1 bars,
200
+ 2024-06-30 22:02:47,294: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
201
+ 2024-06-30 22:02:47,295: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
202
+ 2024-06-30 22:02:47,297: root: INFO: MLTrader : Sleeping for 86400 seconds
203
+ 2024-06-30 22:02:47,298: root: INFO: Current backtesting datetime 2023-12-28 16:00:00-05:00
204
+ 2024-06-30 22:02:47,298: root: INFO: Current backtesting datetime 2023-12-29 09:30:00-05:00
205
+ 2024-06-30 22:02:47,301: root: INFO: MLTrader : Executing the on_trading_iteration lifecycle method at 2024-06-30 22:02:47
206
+ 2024-06-30 22:02:47,301: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
207
+ 2024-06-30 22:02:47,302: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
208
+ 2024-06-30 22:02:47,302: root: INFO: MLTrader : Trading iteration ended at 2024-06-30 22:02:47
209
+ 2024-06-30 22:02:47,302: root: INFO: Getting historical prices for SPY, 1 bars,
210
+ 2024-06-30 22:02:47,302: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
211
+ 2024-06-30 22:02:47,303: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
212
+ 2024-06-30 22:02:47,303: root: INFO: Getting historical prices for SPY, 1 bars,
213
+ 2024-06-30 22:02:47,303: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
214
+ 2024-06-30 22:02:47,305: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
215
+ 2024-06-30 22:02:47,307: root: INFO: MLTrader : Sleeping for 86400 seconds
216
+ 2024-06-30 22:02:47,309: root: INFO: Current backtesting datetime 2023-12-29 16:00:00-05:00
217
+ 2024-06-30 22:02:47,309: root: INFO: Current backtesting datetime 2023-12-30 09:30:00-05:00
218
+ 2024-06-30 22:02:47,312: root: INFO: MLTrader : The market is not currently open, skipping this trading iteration
219
+ 2024-06-30 22:02:47,312: root: INFO: Getting historical prices for SPY, 1 bars,
220
+ 2024-06-30 22:02:47,312: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
221
+ 2024-06-30 22:02:47,314: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
222
+ 2024-06-30 22:02:47,314: root: INFO: Getting historical prices for SPY, 1 bars,
223
+ 2024-06-30 22:02:47,314: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
224
+ 2024-06-30 22:02:47,316: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
225
+ 2024-06-30 22:02:47,318: root: INFO: Getting historical prices for SPY, 1 bars,
226
+ 2024-06-30 22:02:47,318: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
227
+ 2024-06-30 22:02:47,320: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
228
+ 2024-06-30 22:02:47,320: root: INFO: Getting historical prices for SPY, 1 bars,
229
+ 2024-06-30 22:02:47,320: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
230
+ 2024-06-30 22:02:47,321: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
231
+ 2024-06-30 22:02:47,323: root: INFO: Current backtesting datetime 2023-12-30 09:29:00-05:00
232
+ 2024-06-30 22:02:47,324: root: INFO: Getting historical prices for SPY, 1 bars,
233
+ 2024-06-30 22:02:47,324: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
234
+ 2024-06-30 22:02:47,326: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
235
+ 2024-06-30 22:02:47,327: root: INFO: Getting historical prices for SPY, 1 bars,
236
+ 2024-06-30 22:02:47,327: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
237
+ 2024-06-30 22:02:47,328: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
238
+ 2024-06-30 22:02:47,330: root: INFO: Current backtesting datetime 2023-12-30 09:29:00-05:00
239
+ 2024-06-30 22:02:47,330: root: INFO: MLTrader : Executing the after_market_closes lifecycle method
240
+ 2024-06-30 22:02:47,330: root: INFO: Getting historical prices for SPY, 1 bars,
241
+ 2024-06-30 22:02:47,330: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
242
+ 2024-06-30 22:02:47,331: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
243
+ 2024-06-30 22:02:47,331: root: INFO: Getting historical prices for SPY, 1 bars,
244
+ 2024-06-30 22:02:47,333: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
245
+ 2024-06-30 22:02:47,334: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
246
+ 2024-06-30 22:02:47,336: root: INFO: Current backtesting datetime 2024-01-02 08:30:00-05:00
247
+ 2024-06-30 22:02:47,337: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
248
+ 2024-06-30 22:02:47,339: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
249
+ 2024-06-30 22:02:47,340: root: INFO: MLTrader : Executing the before_market_opens lifecycle method
250
+ 2024-06-30 22:02:47,340: root: INFO: Getting historical prices for SPY, 1 bars,
251
+ 2024-06-30 22:02:47,340: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
252
+ 2024-06-30 22:02:47,341: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
253
+ 2024-06-30 22:02:47,343: root: INFO: Getting historical prices for SPY, 1 bars,
254
+ 2024-06-30 22:02:47,343: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
255
+ 2024-06-30 22:02:47,344: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
256
+ 2024-06-30 22:02:47,347: root: INFO: Current backtesting datetime 2024-01-02 09:30:00-05:00
257
+ 2024-06-30 22:02:47,347: root: INFO: MLTrader : Executing the before_starting_trading lifecycle method
258
+ 2024-06-30 22:02:47,348: root: INFO: Getting historical prices for SPY, 1 bars,
259
+ 2024-06-30 22:02:47,348: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
260
+ 2024-06-30 22:02:47,349: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
261
+ 2024-06-30 22:02:47,351: root: INFO: Getting historical prices for SPY, 1 bars,
262
+ 2024-06-30 22:02:47,351: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
263
+ 2024-06-30 22:02:47,352: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
264
+ 2024-06-30 22:02:47,354: root: INFO: Current backtesting datetime 2024-01-02 15:59:00-05:00
265
+ 2024-06-30 22:02:47,355: root: INFO: MLTrader : Executing the before_market_closes lifecycle method
266
+ 2024-06-30 22:02:47,355: root: INFO: Getting historical prices for SPY, 1 bars,
267
+ 2024-06-30 22:02:47,356: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
268
+ 2024-06-30 22:02:47,357: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
269
+ 2024-06-30 22:02:47,358: root: INFO: Getting historical prices for SPY, 1 bars,
270
+ 2024-06-30 22:02:47,359: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
271
+ 2024-06-30 22:02:47,360: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
272
+ 2024-06-30 22:02:47,363: root: INFO: Current backtesting datetime 2024-01-02 16:00:00-05:00
273
+ 2024-06-30 22:02:47,363: root: INFO: MLTrader : Executing the after_market_closes lifecycle method
274
+ 2024-06-30 22:02:47,363: root: INFO: MLTrader : Executing the on_strategy_end lifecycle method
275
+ 2024-06-30 22:02:48,084: root: INFO: Backtesting finished
276
+ 2024-06-30 22:02:54,822: backtest_stats: INFO: Backtest took 0:00:12.068444 for a speed of 0.000
logs/MLTrader_2024-06-30_22-02-42_stats.csv ADDED
@@ -0,0 +1,14 @@
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
1
+ datetime,portfolio_value,cash,return
2
+ 2023-12-15 09:30:00-05:00,100000.0,100000.0,
3
+ 2023-12-16 09:30:00-05:00,100000.0,95305.10009765625,0.0
4
+ 2023-12-18 09:30:00-05:00,100033.96020751953,95324.16009765625,0.00033960207519534436
5
+ 2023-12-19 09:30:00-05:00,100049.46008544922,95324.16009765625,0.00015494615925959465
6
+ 2023-12-20 09:30:00-05:00,100063.76001220703,95324.16009765625,0.00014292857498277023
7
+ 2023-12-21 09:30:00-05:00,100037.4599633789,95324.16009765625,-0.000262832905988275
8
+ 2023-12-22 09:30:00-05:00,100062.75995117187,95324.16009765625,0.0002529051397568427
9
+ 2023-12-23 09:30:00-05:00,100062.75995117187,95324.16009765625,0.0
10
+ 2023-12-26 09:30:00-05:00,100064.86017089844,95324.16009765625,2.09890245641553e-05
11
+ 2023-12-27 09:30:00-05:00,100078.56012207031,95324.16009765625,0.00013691071119747988
12
+ 2023-12-28 09:30:00-05:00,100092.96014648437,95324.16009765625,0.00014388720617586337
13
+ 2023-12-29 09:30:00-05:00,100089.06,95324.16009765625,-3.8965242697086566e-05
14
+ 2023-12-30 09:30:00-05:00,100089.06,95324.16009765625,0.0
logs/MLTrader_2024-06-30_22-02-48_settings.json ADDED
@@ -0,0 +1 @@
 
 
1
+ {"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": 0, "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", "cash_at_risk": 0.5}}
logs/MLTrader_2024-06-30_22-02-48_tearsheet.html ADDED
The diff for this file is too large to render. See raw diff
 
logs/MLTrader_2024-06-30_22-02-48_trades.csv ADDED
@@ -0,0 +1,3 @@
 
 
 
 
1
+ time,strategy,symbol,side,type,status,multiplier,time_in_force,asset.strike,asset.multiplier,asset.asset_type,price,filled_quantity,trade_cost
2
+ 2023-12-15 09:30:00-05:00,MLTrader,SPY,buy,market,new,1,gtc,0.0,1,stock,,,
3
+ 2023-12-15 09:30:00-05:00,MLTrader,SPY,buy,market,fill,1,gtc,0.0,1,stock,469.489990234375,10,0.0
logs/MLTrader_2024-06-30_22-02-48_trades.html ADDED
The diff for this file is too large to render. See raw diff
 
logs/MLTrader_2024-06-30_22-13-35_logs.csv ADDED
@@ -0,0 +1,78 @@
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
1
+ 2024-06-30 22:13:35,424: root: INFO: MLTrader : Executing the initialize lifecycle method
2
+ 2024-06-30 22:13:37,812: root: INFO: Current backtesting datetime 2023-12-15 08:30:00-05:00
3
+ 2024-06-30 22:13:37,814: root: INFO: MLTrader : Executing the before_market_opens lifecycle method
4
+ 2024-06-30 22:13:37,815: root: INFO: Current backtesting datetime 2023-12-15 09:30:00-05:00
5
+ 2024-06-30 22:13:37,815: root: INFO: MLTrader : Executing the before_starting_trading lifecycle method
6
+ 2024-06-30 22:13:37,818: root: INFO: MLTrader : Executing the on_trading_iteration lifecycle method at 2024-06-30 22:13:37
7
+ 2024-06-30 22:13:37,819: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
8
+ 2024-06-30 22:13:37,841: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
9
+ 2024-06-30 22:13:40,026: root: INFO: MLTrader : Trading iteration ended at 2024-06-30 22:13:40
10
+ 2024-06-30 22:13:40,034: root: INFO: MLTrader : Sleeping for 86400 seconds
11
+ 2024-06-30 22:13:40,034: root: INFO: Current backtesting datetime 2023-12-15 16:00:00-05:00
12
+ 2024-06-30 22:13:40,034: root: INFO: Current backtesting datetime 2023-12-16 09:30:00-05:00
13
+ 2024-06-30 22:13:40,039: root: INFO: MLTrader : The market is not currently open, skipping this trading iteration
14
+ 2024-06-30 22:13:40,042: root: INFO: Current backtesting datetime 2023-12-16 09:29:00-05:00
15
+ 2024-06-30 22:13:40,042: root: INFO: Current backtesting datetime 2023-12-16 09:29:00-05:00
16
+ 2024-06-30 22:13:40,045: root: INFO: MLTrader : Executing the after_market_closes lifecycle method
17
+ 2024-06-30 22:13:40,046: root: INFO: Current backtesting datetime 2023-12-18 08:30:00-05:00
18
+ 2024-06-30 22:13:40,048: root: INFO: MLTrader : Executing the before_market_opens lifecycle method
19
+ 2024-06-30 22:13:40,048: root: INFO: Current backtesting datetime 2023-12-18 09:30:00-05:00
20
+ 2024-06-30 22:13:40,048: root: INFO: MLTrader : Executing the before_starting_trading lifecycle method
21
+ 2024-06-30 22:13:40,051: root: INFO: MLTrader : Executing the on_trading_iteration lifecycle method at 2024-06-30 22:13:40
22
+ 2024-06-30 22:13:40,051: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
23
+ 2024-06-30 22:13:40,051: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
24
+ 2024-06-30 22:13:40,817: root: INFO: MLTrader : Trading iteration ended at 2024-06-30 22:13:40
25
+ 2024-06-30 22:13:40,821: root: INFO: MLTrader : Sleeping for 86400 seconds
26
+ 2024-06-30 22:13:40,823: root: INFO: Current backtesting datetime 2023-12-18 16:00:00-05:00
27
+ 2024-06-30 22:13:40,823: root: INFO: Current backtesting datetime 2023-12-19 09:30:00-05:00
28
+ 2024-06-30 22:13:40,823: root: INFO: MLTrader : Executing the on_trading_iteration lifecycle method at 2024-06-30 22:13:40
29
+ 2024-06-30 22:13:40,823: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
30
+ 2024-06-30 22:13:40,828: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
31
+ 2024-06-30 22:13:41,604: root: INFO: MLTrader : Trading iteration ended at 2024-06-30 22:13:41
32
+ 2024-06-30 22:13:41,607: root: INFO: MLTrader : Sleeping for 86400 seconds
33
+ 2024-06-30 22:13:41,609: root: INFO: Current backtesting datetime 2023-12-19 16:00:00-05:00
34
+ 2024-06-30 22:13:41,609: root: INFO: Current backtesting datetime 2023-12-20 09:30:00-05:00
35
+ 2024-06-30 22:13:41,611: root: INFO: MLTrader : Executing the on_trading_iteration lifecycle method at 2024-06-30 22:13:41
36
+ 2024-06-30 22:13:41,611: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
37
+ 2024-06-30 22:13:41,614: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
38
+ 2024-06-30 22:13:42,883: root: INFO: MLTrader : Trading iteration ended at 2024-06-30 22:13:42
39
+ 2024-06-30 22:13:42,886: root: INFO: MLTrader : Sleeping for 86400 seconds
40
+ 2024-06-30 22:13:42,888: root: INFO: Current backtesting datetime 2023-12-20 16:00:00-05:00
41
+ 2024-06-30 22:13:42,889: root: INFO: Current backtesting datetime 2023-12-21 09:30:00-05:00
42
+ 2024-06-30 22:13:42,890: root: INFO: MLTrader : Executing the on_trading_iteration lifecycle method at 2024-06-30 22:13:42
43
+ 2024-06-30 22:13:42,891: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
44
+ 2024-06-30 22:13:42,893: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
45
+ 2024-06-30 22:13:43,845: root: INFO: MLTrader : Trading iteration ended at 2024-06-30 22:13:43
46
+ 2024-06-30 22:13:43,845: root: INFO: MLTrader : Sleeping for 86400 seconds
47
+ 2024-06-30 22:13:43,845: root: INFO: Current backtesting datetime 2023-12-21 16:00:00-05:00
48
+ 2024-06-30 22:13:43,845: root: INFO: Current backtesting datetime 2023-12-22 09:30:00-05:00
49
+ 2024-06-30 22:13:43,853: root: INFO: MLTrader : Executing the on_trading_iteration lifecycle method at 2024-06-30 22:13:43
50
+ 2024-06-30 22:13:43,853: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
51
+ 2024-06-30 22:13:43,854: root: WARNING: quote is not implemented for YahooData, but USD was passed as the quote
52
+ 2024-06-30 22:13:44,904: root: ERROR: 'MLTrader' object has no attribute 'last_order'
53
+ 2024-06-30 22:13:44,904: root: ERROR: Traceback (most recent call last):
54
+ File "C:\Users\PRABHAKAR VENKAT\anaconda3\lib\site-packages\lumibot\strategies\strategy_executor.py", line 829, in run
55
+ self._run_trading_session()
56
+ File "C:\Users\PRABHAKAR VENKAT\anaconda3\lib\site-packages\lumibot\strategies\strategy_executor.py", line 780, in _run_trading_session
57
+ self._on_trading_iteration()
58
+ File "C:\Users\PRABHAKAR VENKAT\anaconda3\lib\site-packages\lumibot\strategies\strategy_executor.py", line 274, in func_output
59
+ result = func_input(self, *args, **kwargs)
60
+ File "C:\Users\PRABHAKAR VENKAT\anaconda3\lib\site-packages\lumibot\strategies\strategy_executor.py", line 298, in func_output
61
+ result = func_input(self, *args, **kwargs)
62
+ File "C:\Users\PRABHAKAR VENKAT\anaconda3\lib\site-packages\lumibot\strategies\strategy_executor.py", line 87, in func_output
63
+ return func_input(self, *args, **kwargs)
64
+ File "C:\Users\PRABHAKAR VENKAT\anaconda3\lib\site-packages\lumibot\strategies\strategy_executor.py", line 378, in _on_trading_iteration
65
+ on_trading_iteration()
66
+ File "C:\Users\PRABHAKAR VENKAT\anaconda3\lib\site-packages\lumibot\tools\decorators.py", line 62, in func_output
67
+ frame, result = call_function_get_frame(func_input, *args, **kwargs)
68
+ File "C:\Users\PRABHAKAR VENKAT\anaconda3\lib\site-packages\lumibot\tools\decorators.py", line 30, in call_function_get_frame
69
+ result = func(*args, **kwargs)
70
+ File "F:\lumibot\tradingbot.py", line 68, in on_trading_iteration
71
+ if self.last_order == "buy":
72
+ AttributeError: 'MLTrader' object has no attribute 'last_order'
73
+
74
+ 2024-06-30 22:13:44,912: root: INFO: MLTrader : Executing the on_bot_crash event method
75
+ 2024-06-30 22:13:45,316: root: INFO: Backtesting finished
76
+ 2024-06-30 22:13:45,329: root: INFO: There were no trades in this backtest.
77
+ 2024-06-30 22:13:45,527: root: ERROR: Not enough data to create a tearsheet, at least 2 days of data are required. Skipping
78
+ 2024-06-30 22:13:45,535: backtest_stats: INFO: Backtest took 0:00:10.118576 for a speed of 0.000
logs/MLTrader_2024-06-30_22-13-35_stats.csv ADDED
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+ datetime,portfolio_value,cash,return
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+ 2023-12-21 09:30:00-05:00,100000.0,100000.0,0.0
logs/MLTrader_2024-06-30_22-13-45_settings.json ADDED
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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": 0, "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", "cash_at_risk": 0.5}}
logs/MLTrader_2024-06-30_22-16-50_logs.csv ADDED
The diff for this file is too large to render. See raw diff
 
logs/MLTrader_2024-06-30_22-16-50_stats.csv ADDED
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+ 2024-06-19 09:30:00-04:00,99261.34436035156,93766.9443359375,0.00022975239291356253
logs/MLTrader_2024-06-30_22-19-03_settings.json ADDED
@@ -0,0 +1 @@
 
 
1
+ {"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+gGExc7AAAAAA==", {"py/reduce": [{"py/function": "pytz._p"}, {"py/tuple": ["America/New_York", -14400, 3600, "EDT"]}]}]]}, "budget": 100000, "risk_free_rate": 0, "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", "cash_at_risk": 0.5}}
logs/MLTrader_2024-06-30_22-19-03_tearsheet.html ADDED
The diff for this file is too large to render. See raw diff
 
logs/MLTrader_2024-06-30_22-19-03_trades.csv ADDED
@@ -0,0 +1,29 @@
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
1
+ time,strategy,symbol,side,type,status,multiplier,time_in_force,asset.strike,asset.multiplier,asset.asset_type,price,filled_quantity,trade_cost
2
+ 2023-12-22 09:30:00-05:00,MLTrader,SPY,sell,market,new,1,gtc,0.0,1,stock,,,
3
+ 2023-12-22 09:30:00-05:00,MLTrader,SPY,sell,market,fill,1,gtc,0.0,1,stock,473.8599853515625,10,0.0
4
+ 2024-01-08 09:30:00-05:00,MLTrader,SPY,sell,market,new,1,gtc,0.0,1,stock,,,
5
+ 2024-01-08 09:30:00-05:00,MLTrader,SPY,sell,market,fill,1,gtc,0.0,1,stock,468.42999267578125,10,0.0
6
+ 2024-01-17 09:30:00-05:00,MLTrader,SPY,sell,market,new,1,gtc,0.0,1,stock,,,
7
+ 2024-01-17 09:30:00-05:00,MLTrader,SPY,sell,market,fill,1,gtc,0.0,1,stock,471.82000732421875,10,0.0
8
+ 2024-02-02 09:30:00-05:00,MLTrader,SPY,buy,limit,canceled,1,day,0.0,1,stock,,,
9
+ 2024-02-02 09:30:00-05:00,MLTrader,SPY,buy,stop,fill,1,day,0.0,1,stock,491.85149230957035,10,0.0
10
+ 2024-02-02 09:30:00-05:00,MLTrader,SPY,buy,limit,canceled,1,day,0.0,1,stock,,,
11
+ 2024-02-02 09:30:00-05:00,MLTrader,SPY,buy,stop,fill,1,day,0.0,1,stock,495.4110076904297,10,0.0
12
+ 2024-02-07 09:30:00-05:00,MLTrader,SPY,buy,limit,canceled,1,day,0.0,1,stock,,,
13
+ 2024-02-07 09:30:00-05:00,MLTrader,SPY,buy,stop,fill,1,day,0.0,1,stock,497.55298461914066,10,0.0
14
+ 2024-02-12 09:30:00-05:00,MLTrader,SPY,buy,market,new,1,gtc,0.0,1,stock,,,
15
+ 2024-02-12 09:30:00-05:00,MLTrader,SPY,buy,market,fill,1,gtc,0.0,1,stock,501.1700134277344,10,0.0
16
+ 2024-03-04 09:30:00-05:00,MLTrader,SPY,buy,market,new,1,gtc,0.0,1,stock,,,
17
+ 2024-03-04 09:30:00-05:00,MLTrader,SPY,buy,market,fill,1,gtc,0.0,1,stock,512.030029296875,10,0.0
18
+ 2024-04-11 09:30:00-04:00,MLTrader,SPY,sell,limit,canceled,1,day,0.0,1,stock,,,
19
+ 2024-04-11 09:30:00-04:00,MLTrader,SPY,sell,stop,canceled,1,day,0.0,1,stock,,,
20
+ 2024-04-11 09:30:00-04:00,MLTrader,SPY,sell,stop,canceled,1,day,0.0,1,stock,,,
21
+ 2024-04-11 09:30:00-04:00,MLTrader,SPY,sell,limit,canceled,1,day,0.0,1,stock,,,
22
+ 2024-04-11 09:30:00-04:00,MLTrader,SPY,sell,market,new,1,day,0.0,1,stock,,,
23
+ 2024-04-11 09:30:00-04:00,MLTrader,SPY,sell,market,new,1,gtc,0.0,1,stock,,,
24
+ 2024-04-11 09:30:00-04:00,MLTrader,SPY,sell,market,fill,1,day,0.0,1,stock,514.3699951171875,20.0,0.0
25
+ 2024-04-11 09:30:00-04:00,MLTrader,SPY,sell,market,fill,1,gtc,0.0,1,stock,514.3699951171875,10,0.0
26
+ 2024-06-11 09:30:00-04:00,MLTrader,SPY,buy,limit,canceled,1,day,0.0,1,stock,,,
27
+ 2024-06-11 09:30:00-04:00,MLTrader,SPY,buy,stop,fill,1,day,0.0,1,stock,541.6300048828125,10,0.0
28
+ 2024-06-14 09:30:00-04:00,MLTrader,SPY,buy,market,new,1,gtc,0.0,1,stock,,,
29
+ 2024-06-14 09:30:00-04:00,MLTrader,SPY,buy,market,fill,1,gtc,0.0,1,stock,540.8800048828125,10,0.0
logs/MLTrader_2024-06-30_22-19-03_trades.html ADDED
The diff for this file is too large to render. See raw diff
 
tradingbot.py ADDED
@@ -0,0 +1,99 @@
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
1
+ from lumibot.brokers import Alpaca
2
+ from lumibot.backtesting import YahooDataBacktesting
3
+ from lumibot.strategies.strategy import Strategy
4
+ from lumibot.traders import Trader
5
+ from datetime import datetime
6
+ from alpaca_trade_api import REST
7
+ from timedelta import Timedelta
8
+ from finbert_utils import estimate_sentiment
9
+
10
+ API_KEY = "Your_API"
11
+ API_SECRET = "Your_Secret"
12
+ BASE_URL = "Your_Url"
13
+
14
+ ALPACA_CREDS = {
15
+ "API_KEY": API_KEY,
16
+ "API_SECRET": API_SECRET,
17
+ "PAPER": True
18
+ }
19
+
20
+ class MLTrader(Strategy):
21
+ def initialize(self, symbol:str="SPY", cash_at_risk:float=.5):
22
+ self.symbol = symbol
23
+ self.sleeptime = "24H"
24
+ self.last_trade = None
25
+ self.cash_at_risk = cash_at_risk
26
+ self.api = REST(base_url=BASE_URL, key_id=API_KEY, secret_key=API_SECRET)
27
+
28
+ def position_sizing(self):
29
+ cash = self.get_cash()
30
+ last_price = self.get_last_price(self.symbol)
31
+ quantity = round(cash * self.cash_at_risk / last_price)
32
+ return cash, last_price, quantity
33
+
34
+ def get_dates(self):
35
+ today = self.get_datetime()
36
+ three_days_prior = today - Timedelta(days=3)
37
+ return today.strftime('%Y-%m-%d'), three_days_prior.strftime('%Y-%m-%d')
38
+
39
+ def get_sentiment(self):
40
+ today, three_days_prior = self.get_dates()
41
+ news = self.api.get_news(symbol=self.symbol,
42
+ start=three_days_prior,
43
+ end=today)
44
+ news = [ev.__dict__["_raw"]["headline"] for ev in news]
45
+ probability, sentiment = estimate_sentiment(news)
46
+ return probability, sentiment
47
+
48
+ def on_trading_iteration(self):
49
+ cash, last_price, quantity = self.position_sizing()
50
+ probability, sentiment = self.get_sentiment()
51
+
52
+ if cash > last_price:
53
+ if sentiment == "positive" and probability > .999:
54
+ if self.last_trade == "sell":
55
+ self.sell_all()
56
+ order = self.create_order(
57
+ self.symbol,
58
+ 10,
59
+ "buy",
60
+ type="bracket",
61
+ take_profit_price=last_price*1.20,
62
+ stop_loss_price=last_price*.95
63
+ )
64
+ self.submit_order(order)
65
+ self.last_trade = "buy"
66
+
67
+ elif sentiment == "negative" and probability > .999:
68
+ if self.last_trade == "buy":
69
+ self.sell_all()
70
+ order = self.create_order(
71
+ self.symbol,
72
+ 10,
73
+ "sell",
74
+ type="bracket",
75
+ take_profit_price=last_price*.8,
76
+ stop_loss_price=last_price*1.05
77
+ )
78
+ self.submit_order(order)
79
+ self.last_trade = "sell"
80
+
81
+
82
+ start_date = datetime(2023,12,15)
83
+ end_date = datetime(2024,6,20)
84
+
85
+ broker = Alpaca(ALPACA_CREDS)
86
+ strategy = MLTrader(name='mlstrat', broker=broker,
87
+ parameters={"symbol":"SPY",
88
+ "cash_at_risk":.5})
89
+ strategy.backtest(
90
+ YahooDataBacktesting,
91
+ start_date,
92
+ end_date,
93
+ parameters={"symbol":"SPY", "cash_at_risk":.5}
94
+ )
95
+
96
+ # To Deploy
97
+ # trader = Trader()
98
+ # trader.add_strategy(strategy)
99
+ # trader.run_all()