TradingAgents/backtest

import backtrader as bt
import pandas as pd
import yfinance as yf
import json
import os
import shutil
from datetime import datetime, timedelta
from tradingagents.graph.trading_graph import TradingAgentsGraph
from tradingagents.default_config import DEFAULT_CONFIG
from dotenv import load_dotenv

# Load environment variables
load_dotenv()

class TradingAgentsStrategy(bt.Strategy):
    """Strategy that uses TradingAgents for decision making"""
    
    def __init__(self, trading_agent, ticker, backtest_config):
        self.trading_agent = trading_agent
        self.ticker = ticker
        self.backtest_config = backtest_config
        self.decisions = {}
        self.trade_count = 0
        self.data_checks = {}
    
    def next(self):
        # Get current date
        current_date = self.datas[0].datetime.date(0)
        date_str = current_date.strftime("%Y-%m-%d")
        
        # Verify data range to avoid look-ahead bias
        self.verify_data_range(date_str)
        
        # Get decision from TradingAgents
        if date_str not in self.decisions:
            print(f"Processing date: {date_str}")
            try:
                _, decision = self.trading_agent.propagate(self.ticker, date_str)
                self.decisions[date_str] = decision
                print(f"Decision: {decision}")
            except Exception as e:
                print(f"Error getting decision for {date_str}: {e}")
                self.decisions[date_str] = "HOLD"
        
        decision = self.decisions[date_str]
        
        # Execute trade based on decision
        if decision == "BUY" and not self.position:
            # Buy with 100% of available cash
            size = int(self.broker.getcash() / self.data.close[0])
            if size > 0:
                self.buy(size=size)
                self.trade_count += 1
                print(f"BUY {self.ticker} on {date_str} at ${self.data.close[0]:.2f}")
        
        elif decision == "SELL" and self.position:
            # Sell all positions
            self.sell(size=self.position.size)
            self.trade_count += 1
            print(f"SELL {self.ticker} on {date_str} at ${self.data.close[0]:.2f}")
    
    def verify_data_range(self, date_str):
        """Verify that data range is correct to avoid look-ahead bias"""
        current_date = datetime.strptime(date_str, "%Y-%m-%d")
        
        # Check if we already verified this date
        if date_str in self.data_checks:
            return
        
        # Verify data feed doesn't contain future data
        data_end_date = self.datas[0].datetime.date(-1)
        if data_end_date > current_date:
            print(f"⚠️  Warning: Data feed contains future data beyond {date_str}")
        
        self.data_checks[date_str] = True

def clean_cache():
    """Clean cache to avoid look-ahead bias"""
    print("\n=== Cleaning cache to avoid look-ahead bias ===")
    
    # Clean yfinance cache
    yfinance_cache = "yfinance_cache"
    if os.path.exists(yfinance_cache):
        shutil.rmtree(yfinance_cache)
        print(f"✓ Cleaned yfinance cache: {yfinance_cache}")
    
    # Clean dataflows cache
    dataflows_cache = "dataflows/data_cache"
    if os.path.exists(dataflows_cache):
        shutil.rmtree(dataflows_cache)
        print(f"✓ Cleaned dataflows cache: {dataflows_cache}")
    
    # Clean backtest results (optional)
    # backtest_results = "backtest_results"
    # if os.path.exists(backtest_results):
    #     shutil.rmtree(backtest_results)
    #     print(f"✓ Cleaned backtest results: {backtest_results}")

def run_backtest(ticker, start_date, end_date, initial_cash=100000, clean_cache_flag=True):
    """Run backtest for a given ticker and date range"""
    
    # Clean cache to avoid look-ahead bias
    if clean_cache_flag:
        clean_cache()
    
    # Create Cerebro engine
    cerebro = bt.Cerebro()
    
    # Set initial cash
    cerebro.broker.setcash(initial_cash)
    
    # Add strategy
    config = DEFAULT_CONFIG.copy()
    config["llm_provider"] = "openrouter"
    config["deep_think_llm"] = "deepseek/deepseek-chat"
    config["quick_think_llm"] = "openai/gpt-4o-mini"
    config["max_debate_rounds"] = 2
    
    # Verify date range
    start_dt = datetime.strptime(start_date, "%Y-%m-%d")
    end_dt = datetime.strptime(end_date, "%Y-%m-%d")
    
    if start_dt >= end_dt:
        raise ValueError("Start date must be before end date")
    
    if end_dt > datetime.now():
        raise ValueError("End date cannot be in the future")
    
    trading_agent = TradingAgentsGraph(debug=False, config=config)
    
    backtest_config = {
        "ticker": ticker,
        "start_date": start_date,
        "end_date": end_date,
        "initial_cash": initial_cash,
        "clean_cache": clean_cache_flag
    }
    
    cerebro.addstrategy(TradingAgentsStrategy, trading_agent=trading_agent, ticker=ticker, backtest_config=backtest_config)
    
    # Get historical data from yfinance
    print("\n=== Fetching historical data ===")
    data = yf.download(ticker, start=start_date, end=end_date)
    
    # Verify data quality
    if data.empty:
        raise ValueError(f"No data found for {ticker} between {start_date} and {end_date}")
    
    print(f"✓ Data fetched: {len(data)} trading days")
    print(f"✓ Date range: {data.index.min().date()} to {data.index.max().date()}")
    
    # Convert to backtrader data feed
    data_feed = bt.feeds.PandasData(
        dataname=data,
        datetime=0,
        high=1,
        low=2,
        open=3,
        close=4,
        volume=5,
        openinterest=-1
    )
    
    # Add data feed to cerebro
    cerebro.adddata(data_feed, name=ticker)
    
    # Add analyzers
    cerebro.addanalyzer(bt.analyzers.SharpeRatio, _name='sharpe')
    cerebro.addanalyzer(bt.analyzers.DrawDown, _name='drawdown')
    cerebro.addanalyzer(bt.analyzers.TradeAnalyzer, _name='trades')
    cerebro.addanalyzer(bt.analyzers.AnnualReturn, _name='annual')
    cerebro.addanalyzer(bt.analyzers.Returns, _name='returns')
    cerebro.addanalyzer(bt.analyzers.PositionsValue, _name='positions')
    
    # Run backtest
    print(f"\n=== Starting Backtest for {ticker} ===")
    print(f"Date range: {start_date} to {end_date}")
    print(f"Initial cash: ${initial_cash:.2f}")
    print(f"LLM Provider: {config['llm_provider']}")
    print(f"Models: Deep={config['deep_think_llm']}, Quick={config['quick_think_llm']}")
    
    results = cerebro.run()
    
    # Get results
    strategy = results[0]
    final_value = cerebro.broker.getvalue()
    total_return = ((final_value - initial_cash) / initial_cash) * 100
    
    # Get analyzer results
    sharpe = strategy.analyzers.sharpe.get_analysis()
    drawdown = strategy.analyzers.drawdown.get_analysis()
    trades = strategy.analyzers.trades.get_analysis()
    annual = strategy.analyzers.annual.get_analysis()
    returns = strategy.analyzers.returns.get_analysis()
    
    # Calculate additional metrics
    total_trades = trades.get('total', {}).get('total', 0)
    won_trades = trades.get('won', {}).get('total', 0)
    win_rate = won_trades / max(total_trades, 1) * 100
    
    # Print results
    print(f"\n=== Backtest Results ===")
    print(f"Final portfolio value: ${final_value:.2f}")
    print(f"Total return: {total_return:.2f}%")
    print(f"Daily return: {returns.get('rnorm', 0) * 100:.4f}%")
    print(f"Sharpe Ratio: {sharpe.get('sharperatio', 'N/A'):.2f}")
    print(f"Max Drawdown: {drawdown.get('max', {}).get('drawdown', 'N/A'):.2f}%")
    print(f"Total trades: {total_trades}")
    print(f"Win rate: {win_rate:.2f}%")
    print(f"Average trade duration: {trades.get('len', {}).get('average', 'N/A'):.1f} days")
    
    # Save results
    save_results(ticker, start_date, end_date, {
        "initial_cash": initial_cash,
        "final_value": final_value,
        "total_return": total_return,
        "daily_return": returns.get('rnorm', 0),
        "sharpe_ratio": sharpe.get('sharperatio', None),
        "max_drawdown": drawdown.get('max', {}).get('drawdown', None),
        "total_trades": total_trades,
        "won_trades": won_trades,
        "win_rate": win_rate,
        "average_trade_duration": trades.get('len', {}).get('average', None),
        "decisions": strategy.decisions,
        "config": backtest_config
    })
    
    # Plot results
    print("\n=== Generating backtest chart ===")
    cerebro.plot(style='candlestick')

def save_results(ticker, start_date, end_date, results):
    """Save backtest results to file"""
    results_dir = f"backtest_results/{ticker}/"
    os.makedirs(results_dir, exist_ok=True)
    
    filename = f"backtest_{start_date}_{end_date}.json"
    filepath = os.path.join(results_dir, filename)
    
    with open(filepath, "w", encoding="utf-8") as f:
        json.dump(results, f, indent=4, default=str)
    
    print(f"Results saved to: {filepath}")

def run_multiple_backtests(ticker_list, start_date, end_date, initial_cash=100000):
    """Run backtests for multiple tickers"""
    all_results = {}
    
    for ticker in ticker_list:
        print(f"\n{'='*60}")
        print(f"Running backtest for {ticker}")
        print(f"{'='*60}")
        
        try:
            # Run backtest without cleaning cache for subsequent tickers
            clean_cache_flag = (ticker == ticker_list[0])
            run_backtest(ticker, start_date, end_date, initial_cash, clean_cache_flag)
        except Exception as e:
            print(f"Error running backtest for {ticker}: {e}")
            all_results[ticker] = {"error": str(e)}
    
    return all_results

if __name__ == "__main__":
    # Define parameters
    ticker = "NVDA"
    start_date = "2024-01-01"
    end_date = "2024-03-29"
    initial_cash = 100000
    
    # Run backtest
    run_backtest(ticker, start_date, end_date, initial_cash)
    
    # Example: Run multiple backtests
    # tickers = ["NVDA", "AAPL", "MSFT"]
    # run_multiple_backtests(tickers, start_date, end_date, initial_cash)