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fix: prevent look-ahead bias in backtesting data fetchers 

Closes #203

Data fetch functions were using today's date as the end bound instead of
the simulation's curr_date, allowing future data to leak into backtests.

Changes:
- stockstats_utils.py: replace pd.Timestamp.today() with curr_date + 1 day
- y_finance.py _get_stock_stats_bulk: same fix for yfinance OHLCV download
- y_finance.py get_balance_sheet/get_cashflow/get_income_statement: filter
  out fiscal periods whose column timestamp exceeds curr_date
- alpha_vantage_fundamentals.py get_balance_sheet/get_cashflow/get_income_statement:
  filter annualReports and quarterlyReports by fiscalDateEnding <= curr_date
- yfinance_news.py get_global_news_yfinance: skip articles with pub_date
  after curr_date

Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
This commit is contained in:
Claude Lab 2026-03-28 19:38:46 +01:00
parent 589b351f2a
commit abd13c0153
4 changed files with 69 additions and 21 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

33
tradingagents/dataflows/alpha_vantage_fundamentals.py
View File

@ -26,7 +26,7 @@ def get_balance_sheet(ticker: str, freq: str = "quarterly", curr_date: str = Non
Args:
ticker (str): Ticker symbol of the company
freq (str): Reporting frequency: annual/quarterly (default quarterly) - not used for Alpha Vantage
curr_date (str): Current date you are trading at, yyyy-mm-dd (not used for Alpha Vantage)
curr_date (str): Current date you are trading at, yyyy-mm-dd
Returns:
str: Balance sheet data with normalized fields
@ -35,7 +35,14 @@ def get_balance_sheet(ticker: str, freq: str = "quarterly", curr_date: str = Non
"symbol": ticker,
}
return _make_api_request("BALANCE_SHEET", params)
result = _make_api_request("BALANCE_SHEET", params)
# Filter out reports whose fiscalDateEnding is after curr_date to prevent look-ahead bias.
if curr_date and isinstance(result, dict):
for key in ("annualReports", "quarterlyReports"):
if key in result:
result[key] = [r for r in result[key]
if r.get("fiscalDateEnding", "") <= curr_date]
return result
def get_cashflow(ticker: str, freq: str = "quarterly", curr_date: str = None) -> str:
@ -45,7 +52,7 @@ def get_cashflow(ticker: str, freq: str = "quarterly", curr_date: str = None) ->
Args:
ticker (str): Ticker symbol of the company
freq (str): Reporting frequency: annual/quarterly (default quarterly) - not used for Alpha Vantage
curr_date (str): Current date you are trading at, yyyy-mm-dd (not used for Alpha Vantage)
curr_date (str): Current date you are trading at, yyyy-mm-dd
Returns:
str: Cash flow statement data with normalized fields
@ -54,7 +61,14 @@ def get_cashflow(ticker: str, freq: str = "quarterly", curr_date: str = None) ->
"symbol": ticker,
}
return _make_api_request("CASH_FLOW", params)
result = _make_api_request("CASH_FLOW", params)
# Filter out reports whose fiscalDateEnding is after curr_date to prevent look-ahead bias.
if curr_date and isinstance(result, dict):
for key in ("annualReports", "quarterlyReports"):
if key in result:
result[key] = [r for r in result[key]
if r.get("fiscalDateEnding", "") <= curr_date]
return result
def get_income_statement(ticker: str, freq: str = "quarterly", curr_date: str = None) -> str:
@ -64,7 +78,7 @@ def get_income_statement(ticker: str, freq: str = "quarterly", curr_date: str =
Args:
ticker (str): Ticker symbol of the company
freq (str): Reporting frequency: annual/quarterly (default quarterly) - not used for Alpha Vantage
curr_date (str): Current date you are trading at, yyyy-mm-dd (not used for Alpha Vantage)
curr_date (str): Current date you are trading at, yyyy-mm-dd
Returns:
str: Income statement data with normalized fields
@ -73,5 +87,12 @@ def get_income_statement(ticker: str, freq: str = "quarterly", curr_date: str =
"symbol": ticker,
}
return _make_api_request("INCOME_STATEMENT", params)
result = _make_api_request("INCOME_STATEMENT", params)
# Filter out reports whose fiscalDateEnding is after curr_date to prevent look-ahead bias.
if curr_date and isinstance(result, dict):
for key in ("annualReports", "quarterlyReports"):
if key in result:
result[key] = [r for r in result[key]
if r.get("fiscalDateEnding", "") <= curr_date]
return result

7
tradingagents/dataflows/stockstats_utils.py
View File

@ -57,11 +57,12 @@ class StockstatsUtils:
):
config = get_config()
today_date = pd.Timestamp.today()
curr_date_dt = pd.to_datetime(curr_date)
end_date = today_date
start_date = today_date - pd.DateOffset(years=15)
# Cap end_date to curr_date to prevent look-ahead bias in backtesting.
# Using curr_date + 1 day so yfinance includes the simulation date itself.
end_date = curr_date_dt + pd.DateOffset(days=1)
start_date = curr_date_dt - pd.DateOffset(years=15)
start_date_str = start_date.strftime("%Y-%m-%d")
end_date_str = end_date.strftime("%Y-%m-%d")

45
tradingagents/dataflows/y_finance.py
View File

@ -216,11 +216,11 @@ def _get_stock_stats_bulk(
raise Exception("Stockstats fail: Yahoo Finance data not fetched yet!")
else:
# Online data fetching with caching
today_date = pd.Timestamp.today()
curr_date_dt = pd.to_datetime(curr_date)
end_date = today_date
start_date = today_date - pd.DateOffset(years=15)
# Cap end_date to curr_date to prevent look-ahead bias in backtesting.
end_date = curr_date_dt + pd.DateOffset(days=1)
start_date = curr_date_dt - pd.DateOffset(years=15)
start_date_str = start_date.strftime("%Y-%m-%d")
end_date_str = end_date.strftime("%Y-%m-%d")
@ -353,7 +353,7 @@ def get_fundamentals(
def get_balance_sheet(
ticker: Annotated[str, "ticker symbol of the company"],
freq: Annotated[str, "frequency of data: 'annual' or 'quarterly'"] = "quarterly",
curr_date: Annotated[str, "current date (not used for yfinance)"] = None
curr_date: Annotated[str, "current date in YYYY-MM-DD format for look-ahead bias prevention"] = None
):
"""Get balance sheet data from yfinance."""
try:
@ -363,9 +363,16 @@ def get_balance_sheet(
data = yf_retry(lambda: ticker_obj.quarterly_balance_sheet)
else:
data = yf_retry(lambda: ticker_obj.balance_sheet)
# Filter out fiscal periods after curr_date to prevent look-ahead bias.
if curr_date and not data.empty:
cutoff = pd.Timestamp(curr_date)
data = data.loc[:, [c for c in data.columns if pd.Timestamp(c) <= cutoff]]
if data.empty:
return f"No balance sheet data found for symbol '{ticker}'"
return f"No balance sheet data found for symbol '{ticker}'" + (
f" on or before {curr_date}" if curr_date else ""
)
# Convert to CSV string for consistency with other functions
csv_string = data.to_csv()
@ -383,7 +390,7 @@ def get_balance_sheet(
def get_cashflow(
ticker: Annotated[str, "ticker symbol of the company"],
freq: Annotated[str, "frequency of data: 'annual' or 'quarterly'"] = "quarterly",
curr_date: Annotated[str, "current date (not used for yfinance)"] = None
curr_date: Annotated[str, "current date in YYYY-MM-DD format for look-ahead bias prevention"] = None
):
"""Get cash flow data from yfinance."""
try:
@ -393,9 +400,16 @@ def get_cashflow(
data = yf_retry(lambda: ticker_obj.quarterly_cashflow)
else:
data = yf_retry(lambda: ticker_obj.cashflow)
# Filter out fiscal periods after curr_date to prevent look-ahead bias.
if curr_date and not data.empty:
cutoff = pd.Timestamp(curr_date)
data = data.loc[:, [c for c in data.columns if pd.Timestamp(c) <= cutoff]]
if data.empty:
return f"No cash flow data found for symbol '{ticker}'"
return f"No cash flow data found for symbol '{ticker}'" + (
f" on or before {curr_date}" if curr_date else ""
)
# Convert to CSV string for consistency with other functions
csv_string = data.to_csv()
@ -413,7 +427,7 @@ def get_cashflow(
def get_income_statement(
ticker: Annotated[str, "ticker symbol of the company"],
freq: Annotated[str, "frequency of data: 'annual' or 'quarterly'"] = "quarterly",
curr_date: Annotated[str, "current date (not used for yfinance)"] = None
curr_date: Annotated[str, "current date in YYYY-MM-DD format for look-ahead bias prevention"] = None
):
"""Get income statement data from yfinance."""
try:
@ -423,9 +437,16 @@ def get_income_statement(
data = yf_retry(lambda: ticker_obj.quarterly_income_stmt)
else:
data = yf_retry(lambda: ticker_obj.income_stmt)
# Filter out fiscal periods after curr_date to prevent look-ahead bias.
if curr_date and not data.empty:
cutoff = pd.Timestamp(curr_date)
data = data.loc[:, [c for c in data.columns if pd.Timestamp(c) <= cutoff]]
if data.empty:
return f"No income statement data found for symbol '{ticker}'"
return f"No income statement data found for symbol '{ticker}'" + (
f" on or before {curr_date}" if curr_date else ""
)
# Convert to CSV string for consistency with other functions
csv_string = data.to_csv()

5
tradingagents/dataflows/yfinance_news.py
View File

@ -167,6 +167,11 @@ def get_global_news_yfinance(
# Handle both flat and nested structures
if "content" in article:
data = _extract_article_data(article)
# Skip articles published after curr_date (look-ahead guard)
if data["pub_date"]:
pub_naive = data["pub_date"].replace(tzinfo=None)
if pub_naive > curr_dt + relativedelta(days=1):
continue
title = data["title"]
publisher = data["publisher"]
link = data["link"]