Update app.py

app.py

@@ -22,27 +22,37 @@ def identify_signals(data):
     data['Sell Signal'] = (data['Close'] < data['Low Short'].shift(1))
     return data
 
+# Calculate returns and metrics for backtesting
+def backtest_signals(data):
+    data['Position'] = 0
+    data['Position'] = data['Buy Signal'].replace(True, 1).cumsum()
+    data['Position'] = data['Position'] - data['Sell Signal'].replace(True, 1).cumsum()
+    data['Position'] = data['Position'].clip(lower=0, upper=1)
+
+    data['Market Returns'] = data['Close'].pct_change()
+    data['Strategy Returns'] = data['Market Returns'] * data['Position'].shift(1)
+
+    data['Cumulative Market Returns'] = (1 + data['Market Returns']).cumprod() - 1
+    data['Cumulative Strategy Returns'] = (1 + data['Strategy Returns']).cumprod() - 1
+    
+    return data, data['Cumulative Market Returns'].iloc[-1], data['Cumulative Strategy Returns'].iloc[-1]
+
 # Plotting function using Plotly for interactive charts
 def plot_data(data):
     fig = go.Figure()
-    # Add traces for Close price, High, and Low bands
     fig.add_trace(go.Scatter(x=data.index, y=data['Close'], name='Close Price', line=dict(color='blue')))
     fig.add_trace(go.Scatter(x=data.index, y=data['High Short'], name='High Short', line=dict(dash='dot')))
     fig.add_trace(go.Scatter(x=data.index, y=data['Low Short'], name='Low Short', line=dict(dash='dot')))
-
-    # Add buy and sell signal markers
     buys = data[data['Buy Signal']]
     sells = data[data['Sell Signal']]
     fig.add_trace(go.Scatter(x=buys.index, y=buys['Close'], mode='markers', name='Buy Signal', marker_symbol='triangle-up', marker_color='green', marker_size=10))
     fig.add_trace(go.Scatter(x=sells.index, y=sells['Close'], mode='markers', name='Sell Signal', marker_symbol='triangle-down', marker_color='red', marker_size=10))
-
-    # Update layout for better visualization
     fig.update_layout(title='Stock Price and Trading Signals', xaxis_title='Date', yaxis_title='Price', template='plotly_dark')
     return fig
 
 # Main application function
 def main():
-    st.title("Enhanced Turtle Trading Strategy Visualization")
+    st.title("Enhanced Turtle Trading Strategy with Backtesting")
 
     # Sidebar for user inputs
     with st.sidebar:
@@ -57,8 +67,12 @@ def main():
         if not data.empty:
             data = calculate_indicators(data, window_short, window_long)
             data = identify_signals(data)
+            data, market_return, strategy_return = backtest_signals(data)
             fig = plot_data(data)
             st.plotly_chart(fig, use_container_width=True)
+            st.subheader("Backtesting Results")
+            st.write(f"Market Return: {market_return * 100:.2f}%")
+            st.write(f"Strategy Return: {strategy_return * 100:.2f}%")
         else:
             st.error("No data found for the selected ticker and date range.")