feat: make backtest work end-to-end with Alpaca bars, ticker selection, all 9 strategies
- Change BacktestRequest from strategy_weights dict to strategies list to match frontend - Add tickers field so users can select which stocks to backtest - Fetch historical bars from Alpaca StockHistoricalDataClient instead of empty data loader - Register all 9 strategies (momentum, mean_reversion, news_driven, value, macd_crossover, bollinger_breakout, vwap, liquidity, ma_stack) filtered by user selection - Fix response format: use frontend field names (max_drawdown, total_trades, win_rate as 0-1 decimal), include equity_curve and run_id in response - Add ticker selector with checkboxes and custom ticker input to dashboard - Add alpaca-py to api dependency group in pyproject.toml
This commit is contained in:
Viktor Barzin
parent
82d30bde80
commit
a2c08743ac
3 changed files with 236 additions and 31 deletions
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@ -4,11 +4,14 @@ import client from '../api/client';
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import { EquityCurve } from '../components/EquityCurve';
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import { MetricsRow } from '../components/MetricsRow';
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const DEFAULT_TICKERS = ['AAPL', 'TSLA', 'NVDA', 'MSFT', 'GOOGL'];
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interface BacktestConfig {
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start_date: string;
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end_date: string;
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initial_capital: number;
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strategies: string[];
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tickers: string[];
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}
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interface BacktestResult {
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@ -37,6 +40,8 @@ export default function Backtest() {
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const [endDate, setEndDate] = useState('2026-01-01');
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const [initialCapital, setInitialCapital] = useState(100000);
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const [selectedStrategies, setSelectedStrategies] = useState<string[]>([]);
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const [selectedTickers, setSelectedTickers] = useState<string[]>([...DEFAULT_TICKERS]);
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const [customTicker, setCustomTicker] = useState('');
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const [currentRunId, setCurrentRunId] = useState<string | null>(null);
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const { data: strategyOptions } = useQuery<StrategyOption[]>({
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@ -74,12 +79,13 @@ export default function Backtest() {
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});
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const handleSubmit = () => {
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if (!startDate || !endDate || selectedStrategies.length === 0) return;
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if (!startDate || !endDate || selectedStrategies.length === 0 || selectedTickers.length === 0) return;
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runMutation.mutate({
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start_date: startDate,
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end_date: endDate,
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initial_capital: initialCapital,
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strategies: selectedStrategies,
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tickers: selectedTickers,
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});
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};
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@ -89,6 +95,20 @@ export default function Backtest() {
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);
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};
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const toggleTicker = (ticker: string) => {
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setSelectedTickers((prev) =>
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prev.includes(ticker) ? prev.filter((t) => t !== ticker) : [...prev, ticker]
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);
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};
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const addCustomTicker = () => {
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const ticker = customTicker.trim().toUpperCase();
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if (ticker && !selectedTickers.includes(ticker)) {
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setSelectedTickers((prev) => [...prev, ticker]);
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}
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setCustomTicker('');
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};
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const metricsDisplay = result?.metrics
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? [
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{
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@ -132,7 +152,7 @@ export default function Backtest() {
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<h3 className="text-lg font-semibold text-white mb-4">
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Configuration
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</h3>
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<div className="grid grid-cols-1 md:grid-cols-2 lg:grid-cols-4 gap-4 mb-6">
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<div className="grid grid-cols-1 md:grid-cols-2 lg:grid-cols-3 gap-4 mb-6">
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<div>
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<label className="block text-xs text-slate-400 mb-1">
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Start Date
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@ -168,6 +188,9 @@ export default function Backtest() {
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className="w-full px-3 py-2 bg-slate-700 border border-slate-600 rounded-lg text-white text-sm focus:outline-none focus:ring-1 focus:ring-blue-500"
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/>
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</div>
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</div>
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<div className="grid grid-cols-1 md:grid-cols-2 gap-4 mb-6">
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<div>
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<label className="block text-xs text-slate-400 mb-1">
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Strategies
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@ -191,6 +214,61 @@ export default function Backtest() {
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)}
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</div>
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</div>
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<div>
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<label className="block text-xs text-slate-400 mb-1">
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Tickers
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</label>
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<div className="space-y-2 mt-1">
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{DEFAULT_TICKERS.map((ticker) => (
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<label
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key={ticker}
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className="flex items-center gap-2 cursor-pointer"
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>
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<input
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type="checkbox"
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checked={selectedTickers.includes(ticker)}
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onChange={() => toggleTicker(ticker)}
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className="w-4 h-4 rounded border-slate-600 bg-slate-700 text-blue-600 focus:ring-blue-500"
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/>
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<span className="text-sm text-slate-300">{ticker}</span>
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</label>
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))}
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{selectedTickers
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.filter((t) => !DEFAULT_TICKERS.includes(t))
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.map((ticker) => (
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<label
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key={ticker}
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className="flex items-center gap-2 cursor-pointer"
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>
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<input
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type="checkbox"
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checked
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onChange={() => toggleTicker(ticker)}
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className="w-4 h-4 rounded border-slate-600 bg-slate-700 text-blue-600 focus:ring-blue-500"
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/>
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<span className="text-sm text-slate-300">{ticker}</span>
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</label>
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))}
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<div className="flex items-center gap-2 mt-2">
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<input
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type="text"
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value={customTicker}
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onChange={(e) => setCustomTicker(e.target.value)}
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onKeyDown={(e) => e.key === 'Enter' && addCustomTicker()}
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placeholder="Add ticker..."
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className="w-28 px-2 py-1 bg-slate-700 border border-slate-600 rounded text-white text-sm focus:outline-none focus:ring-1 focus:ring-blue-500"
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/>
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<button
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type="button"
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onClick={addCustomTicker}
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className="px-2 py-1 bg-slate-600 hover:bg-slate-500 text-white text-sm rounded transition-colors"
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>
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+
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</button>
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</div>
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</div>
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</div>
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</div>
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<button
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@ -198,6 +276,7 @@ export default function Backtest() {
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disabled={
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runMutation.isPending ||
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selectedStrategies.length === 0 ||
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selectedTickers.length === 0 ||
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!startDate ||
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!endDate
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}
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@ -15,7 +15,7 @@ dependencies = [
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]
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[project.optional-dependencies]
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api = ["fastapi>=0.110", "uvicorn[standard]>=0.27", "websockets>=12.0", "webauthn>=2.0", "pyjwt[crypto]>=2.8"]
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api = ["fastapi>=0.110", "uvicorn[standard]>=0.27", "websockets>=12.0", "webauthn>=2.0", "pyjwt[crypto]>=2.8", "alpaca-py>=0.21"]
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news = ["feedparser>=6.0", "praw>=7.7", "asyncpraw>=7.7", "httpx>=0.27"]
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sentiment = ["transformers>=4.38", "torch>=2.2", "ollama>=0.1"]
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trading = ["alpaca-py>=0.21", "pytz>=2024.1", "yfinance>=0.2", "httpx>=0.27"]
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@ -20,6 +20,39 @@ router = APIRouter(prefix="/api/backtest", tags=["backtest"])
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# Store references to background tasks to prevent garbage collection
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_background_tasks: set[asyncio.Task] = set()
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# All available strategy classes keyed by name
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_STRATEGY_REGISTRY: dict[str, type] | None = None
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def _get_strategy_registry() -> dict[str, type]:
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"""Lazy-load strategy classes to avoid import-time side effects."""
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global _STRATEGY_REGISTRY
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if _STRATEGY_REGISTRY is None:
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from shared.strategies import (
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MomentumStrategy,
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MeanReversionStrategy,
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NewsDrivenStrategy,
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ValueStrategy,
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MACDCrossoverStrategy,
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BollingerBreakoutStrategy,
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VWAPStrategy,
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LiquidityStrategy,
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MAStackStrategy,
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)
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_STRATEGY_REGISTRY = {
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"momentum": MomentumStrategy,
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"mean_reversion": MeanReversionStrategy,
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"news_driven": NewsDrivenStrategy,
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"value": ValueStrategy,
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"macd_crossover": MACDCrossoverStrategy,
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"bollinger_breakout": BollingerBreakoutStrategy,
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"vwap": VWAPStrategy,
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"liquidity": LiquidityStrategy,
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"ma_stack": MAStackStrategy,
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}
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return _STRATEGY_REGISTRY
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class BacktestRequest(BaseModel):
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"""Request body for starting a new backtest."""
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@ -29,7 +62,8 @@ class BacktestRequest(BaseModel):
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initial_capital: float = Field(default=100_000.0, gt=0)
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commission_per_trade: float = Field(default=0.0, ge=0)
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slippage_pct: float = Field(default=0.001, ge=0)
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strategy_weights: dict[str, float] = Field(default_factory=dict)
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strategies: list[str] = Field(default_factory=list)
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tickers: list[str] = Field(default_factory=lambda: ["AAPL", "TSLA", "NVDA", "MSFT", "GOOGL"])
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max_position_pct: float = Field(default=0.05, gt=0, le=1.0)
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signal_threshold: float = Field(default=0.3, ge=0, le=1.0)
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@ -47,12 +81,14 @@ async def run_backtest(
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"""
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run_id = str(uuid.uuid4())
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redis = request.app.state.redis
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config = request.app.state.config
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# Store initial status
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await redis.setex(
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f"backtest:{run_id}",
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86400, # 24h TTL
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json.dumps({
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"run_id": run_id,
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"status": "running",
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"config": body.model_dump(mode="json"),
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"started_at": datetime.now(tz=timezone.utc).isoformat(),
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@ -60,7 +96,7 @@ async def run_backtest(
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)
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# Launch background task (stored in set to prevent GC)
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task = asyncio.create_task(_run_backtest_task(run_id, body, redis))
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task = asyncio.create_task(_run_backtest_task(run_id, body, redis, config))
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_background_tasks.add(task)
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task.add_done_callback(_background_tasks.discard)
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@ -71,14 +107,57 @@ async def _run_backtest_task(
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run_id: str,
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config: BacktestRequest,
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redis,
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app_config,
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) -> None:
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"""Execute the backtest in the background and store results in Redis."""
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try:
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from backtester.config import BacktestConfig
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from backtester.data_loader import BacktestDataLoader
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from backtester.engine import BacktestEngine
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from shared.strategies.momentum import MomentumStrategy
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from shared.strategies.mean_reversion import MeanReversionStrategy
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from shared.strategies.news_driven import NewsDrivenStrategy
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# ---- Fetch historical bars from Alpaca ----
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bars = await _fetch_alpaca_bars(
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tickers=config.tickers,
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start=config.start_date,
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end=config.end_date,
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api_key=app_config.alpaca_api_key,
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secret_key=app_config.alpaca_secret_key,
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)
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if not bars:
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await redis.setex(
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f"backtest:{run_id}",
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86400,
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json.dumps({
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"run_id": run_id,
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"status": "failed",
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"error": "No historical bar data returned from Alpaca. Check tickers and date range.",
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}),
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)
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return
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data_loader = BacktestDataLoader(bars=bars)
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# ---- Build strategy list ----
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registry = _get_strategy_registry()
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strategy_names = config.strategies or list(registry.keys())
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strategies = [
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registry[name]()
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for name in strategy_names
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if name in registry
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]
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if not strategies:
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await redis.setex(
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f"backtest:{run_id}",
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86400,
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json.dumps({
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"run_id": run_id,
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"status": "failed",
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"error": f"No valid strategies selected. Available: {list(registry.keys())}",
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}),
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)
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return
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bt_config = BacktestConfig(
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start_date=config.start_date,
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@ -86,44 +165,35 @@ async def _run_backtest_task(
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initial_capital=config.initial_capital,
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commission_per_trade=config.commission_per_trade,
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slippage_pct=config.slippage_pct,
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strategy_weights=config.strategy_weights,
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strategy_weights={}, # equal weights
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max_position_pct=config.max_position_pct,
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signal_threshold=config.signal_threshold,
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)
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strategies = [
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MomentumStrategy(),
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MeanReversionStrategy(),
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NewsDrivenStrategy(),
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]
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engine = BacktestEngine(config=bt_config, strategies=strategies)
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# Use an empty data loader for now; a full implementation
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# would load historical bars from TimescaleDB.
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from backtester.data_loader import BacktestDataLoader
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data_loader = BacktestDataLoader(bars=[], sentiments=[])
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result = await engine.run(data_loader)
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# ---- Build response matching frontend expectations ----
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equity_curve = [
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{"timestamp": ts.isoformat(), "value": eq}
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for ts, eq in result.equity_curve
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]
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await redis.setex(
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f"backtest:{run_id}",
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86400,
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json.dumps({
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"run_id": run_id,
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"status": "completed",
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"config": config.model_dump(mode="json"),
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"result": {
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"equity_curve": equity_curve,
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"metrics": {
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"total_return": result.total_return,
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"annualized_return": result.annualized_return,
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"sharpe_ratio": result.sharpe_ratio,
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"sortino_ratio": result.sortino_ratio,
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"max_drawdown_pct": result.max_drawdown_pct,
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"max_drawdown_duration_days": result.max_drawdown_duration_days,
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"win_rate": result.win_rate,
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"avg_win_loss_ratio": result.avg_win_loss_ratio,
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"trade_count": result.trade_count,
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"avg_hold_duration_seconds": result.avg_hold_duration.total_seconds(),
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"max_drawdown": result.max_drawdown_pct,
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"win_rate": result.win_rate / 100.0,
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"total_trades": result.trade_count,
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"avg_hold_duration": str(result.avg_hold_duration),
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},
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"completed_at": datetime.now(tz=timezone.utc).isoformat(),
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}),
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@ -134,12 +204,68 @@ async def _run_backtest_task(
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f"backtest:{run_id}",
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86400,
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json.dumps({
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"run_id": run_id,
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"status": "failed",
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"error": str(exc),
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}),
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)
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async def _fetch_alpaca_bars(
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tickers: list[str],
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start: datetime,
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end: datetime,
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api_key: str,
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secret_key: str,
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) -> list[dict]:
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"""Fetch historical bars from Alpaca's market data API.
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Runs the synchronous Alpaca SDK call in a thread executor to avoid
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blocking the event loop.
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"""
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if not api_key or not secret_key:
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raise ValueError("Alpaca API credentials not configured (TRADING_ALPACA_API_KEY / TRADING_ALPACA_SECRET_KEY)")
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def _fetch() -> list[dict]:
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from alpaca.data.historical import StockHistoricalDataClient
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from alpaca.data.requests import StockBarsRequest
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from alpaca.data.timeframe import TimeFrame
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client = StockHistoricalDataClient(api_key, secret_key)
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# Ensure timezone-aware datetimes
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start_dt = start if start.tzinfo else start.replace(tzinfo=timezone.utc)
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end_dt = end if end.tzinfo else end.replace(tzinfo=timezone.utc)
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req = StockBarsRequest(
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symbol_or_symbols=tickers,
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timeframe=TimeFrame.Day,
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start=start_dt,
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end=end_dt,
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)
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bars_response = client.get_stock_bars(req)
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all_bars: list[dict] = []
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for ticker in tickers:
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ticker_bars = bars_response.get(ticker, []) if bars_response else []
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for bar in ticker_bars:
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all_bars.append({
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"timestamp": bar.timestamp,
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"ticker": ticker,
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"open": float(bar.open),
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"high": float(bar.high),
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"low": float(bar.low),
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"close": float(bar.close),
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"volume": int(bar.volume),
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})
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return all_bars
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loop = asyncio.get_running_loop()
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return await loop.run_in_executor(None, _fetch)
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@router.get("/{run_id}")
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async def get_backtest(
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run_id: str,
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