app.py

import streamlit as st
import yfinance as yf
import pandas as pd
import numpy as np
import matplotlib.pyplot as plt
from datetime import timedelta

st.title("Extended MACD-RSI Combo Strategy for SPY")
st.markdown("""
This app demonstrates an extended MACD-RSI based trading strategy on SPY with the following features:
- **Multiple Simultaneous Positions:** Each buy signal creates a new position.
- **Dynamic Trailing Stop:** Each open position is updated with a trailing stop.
- **Configurable Parameters:** Adjust strategy parameters via the sidebar.
- **Buy Rule:**  
  Buy a fraction of available cash when:
  - The MACD line crosses above its signal line.
  - RSI is below 50.
  - No buy has been executed in the last few days.
- **Sell Rule:**  
  For each position:
  - **Partial Sell:** Sell a fraction of the position when the price reaches a target multiple of the entry price and RSI is above 50.
  - **Trailing Stop Exit:** If the price falls below the position’s dynamic trailing stop, sell the entire position.
""")

st.sidebar.header("Strategy Parameters")
buy_fraction = st.sidebar.slider("Buy Fraction (of available cash)", 0.05, 0.50, 0.15, 0.05)
sell_fraction = st.sidebar.slider("Partial Sell Fraction", 0.10, 0.90, 0.40, 0.05)
target_multiplier = st.sidebar.slider("Target Multiplier", 1.01, 1.20, 1.08, 0.01)
trailing_stop_pct = st.sidebar.slider("Trailing Stop (%)", 0.01, 0.20, 0.08, 0.01)
min_days_between_buys = st.sidebar.number_input("Minimum Days Between Buys", min_value=1, max_value=10, value=2)

@st.cache_data
def load_data(ticker, period="1y"):
    data = yf.download(ticker, period=period)
    data.dropna(inplace=True)
    return data

data_load_state = st.text("Loading SPY data...")
data = load_data("SPY", period="1y")
data_load_state.text("Loading SPY data...done!")

# --- Manual Calculation of Technical Indicators ---

# Calculate MACD manually
data['EMA12'] = data['Close'].ewm(span=12, adjust=False).mean()
data['EMA26'] = data['Close'].ewm(span=26, adjust=False).mean()
data['MACD'] = data['EMA12'] - data['EMA26']
data['MACD_signal'] = data['MACD'].ewm(span=9, adjust=False).mean()

# Calculate RSI manually
delta = data['Close'].diff()
gain = delta.where(delta > 0, 0)
loss = -delta.where(delta < 0, 0)
avg_gain = gain.rolling(window=14).mean()
avg_loss = loss.rolling(window=14).mean()
rs = avg_gain / avg_loss
data['RSI'] = 100 - (100 / (1 + rs))

# Initialize signal flags for plotting
data['Buy'] = False
data['Sell'] = False

# Backtesting parameters
initial_capital = 100000
cash = initial_capital
equity_curve = []
last_buy_date = None
open_positions = []
completed_trades = []

# Backtesting simulation loop
for i in range(1, len(data)):
    today = data.index[i]
    price = data['Close'].iloc[i]
    rsi_today = data['RSI'].iloc[i]
    
    # Check for buy signal
    macd_today = data['MACD'].iloc[i]
    signal_today = data['MACD_signal'].iloc[i]
    macd_yesterday = data['MACD'].iloc[i-1]
    signal_yesterday = data['MACD_signal'].iloc[i-1]
    
    buy_condition = (macd_yesterday < signal_yesterday) and (macd_today > signal_today) and (rsi_today < 50)
    
    if buy_condition and (last_buy_date is None or (today - last_buy_date).days >= min_days_between_buys):
        allocation = cash * buy_fraction
        if allocation > 0:
            shares_bought = allocation / price
            cash -= allocation
            last_buy_date = today
            open_positions.append({
                "entry_date": today,
                "entry_price": price,
                "allocated": allocation,
                "shares": shares_bought,
                "highest": price,
                "trailing_stop": price * (1 - trailing_stop_pct)
            })
            data.at[today, 'Buy'] = True

    # Update positions and check sell conditions
    positions_to_remove = []
    for idx, pos in enumerate(open_positions):
        if price > pos["highest"]:
            pos["highest"] = price
            pos["trailing_stop"] = pos["highest"] * (1 - trailing_stop_pct)
        
        # Partial sell condition
        if price >= pos["entry_price"] * target_multiplier and rsi_today > 50:
            shares_to_sell = pos["shares"] * sell_fraction
            cash += shares_to_sell * price
            pos["shares"] -= shares_to_sell
            pos["allocated"] -= shares_to_sell * pos["entry_price"]
            data.at[today, 'Sell'] = True
            if pos["shares"] < 0.001:
                completed_trades.append({
                    "entry_date": pos["entry_date"],
                    "exit_date": today,
                    "entry_price": pos["entry_price"],
                    "exit_price": price,
                    "allocated": pos["allocated"]
                })
                positions_to_remove.append(idx)
            continue
        
        # Trailing stop exit
        if price < pos["trailing_stop"]:
            cash += pos["shares"] * price
            completed_trades.append({
                "entry_date": pos["entry_date"],
                "exit_date": today,
                "entry_price": pos["entry_price"],
                "exit_price": price,
                "allocated": pos["allocated"]
            })
            positions_to_remove.append(idx)
    
    for idx in reversed(positions_to_remove):
        del open_positions[idx]
    
    # Update equity curve
    position_value = sum(pos["shares"] * price for pos in open_positions)
    equity_curve.append(cash + position_value)

# Build performance DataFrame
performance = pd.DataFrame({
    'Date': data.index[1:len(equity_curve)+1],
    'Equity': equity_curve
}).set_index('Date')

# Plot results
st.subheader("Equity Curve")
fig, ax = plt.subplots(figsize=(10, 4))
ax.plot(performance.index, performance['Equity'], label="Total Equity")
ax.set_xlabel("Date")
ax.set_ylabel("Equity ($)")
ax.legend()
st.pyplot(fig)

st.subheader("SPY Price with Buy/Sell Signals")
fig2, ax2 = plt.subplots(figsize=(10, 4))
ax2.plot(data.index, data['Close'], label="SPY Close Price", color='black')
ax2.scatter(data.index[data['Buy']], data['Close'][data['Buy']], marker="^", color="green", label="Buy Signal", s=100)
ax2.scatter(data.index[data['Sell']], data['Close'][data['Sell']], marker="v", color="red", label="Sell Signal", s=100)
ax2.set_xlabel("Date")
ax2.set_ylabel("Price ($)")
ax2.legend()
st.pyplot(fig2)

# Display performance metrics
final_equity = equity_curve[-1]
return_pct = ((final_equity - initial_capital) / initial_capital) * 100
st.subheader("Strategy Performance Metrics")
st.write(f"**Initial Capital:** ${initial_capital:,.2f}")
st.write(f"**Final Equity:** ${final_equity:,.2f}")
st.write(f"**Return:** {return_pct:.2f}%")

st.markdown("""
*This extended demo is for educational purposes only and does not constitute financial advice. Always test your strategies extensively before trading with real money.*
""")