mirror of
https://github.com/manifoldbt/manifoldbt.git
synced 2026-08-24 22:48:05 +00:00
64 lines
2.0 KiB
Python
64 lines
2.0 KiB
Python
"""Yahoo Finance -- stocks, ETFs, indices, FX and futures, free on all tiers.
|
|
|
|
Demonstrates:
|
|
- mbt.ingest(provider="yahoo") -- no API key, no license required
|
|
- Backtesting daily equity bars, exactly like a crypto connector
|
|
- Dividend-adjusted prices (same convention as yfinance's auto_adjust=True)
|
|
|
|
Yahoo imposes its own history limits: 1m bars go back 30 days, 1h about two
|
|
years, daily bars back to the listing date. Tickers follow Yahoo's own
|
|
notation: AAPL, SPY, ^GSPC (index), EURUSD=X (FX), ES=F (future),
|
|
BTC-USD (crypto), AIR.PA (Euronext).
|
|
|
|
Pass `dataset="raw"` to keep unadjusted quotes.
|
|
|
|
Data: self-contained (network) — ingested on each run from a free connector
|
|
|
|
Usage:
|
|
python examples/22_yahoo_equities.py
|
|
"""
|
|
import os
|
|
import tempfile
|
|
|
|
import manifoldbt as mbt
|
|
from manifoldbt.indicators import close, ema
|
|
from manifoldbt.helpers import time_range, Interval
|
|
|
|
# -- 1. Pull daily bars from Yahoo (free, all tiers) --------------------------
|
|
tmp = tempfile.mkdtemp()
|
|
store = mbt.ingest(
|
|
provider="yahoo",
|
|
symbol="AAPL",
|
|
symbol_id=1,
|
|
start="2020-01-01T00:00:00Z",
|
|
end="2024-01-01T00:00:00Z",
|
|
interval="1d",
|
|
asset_class="equity",
|
|
data_root=os.path.join(tmp, "data"),
|
|
metadata_db=os.path.join(tmp, "meta.sqlite"),
|
|
)
|
|
print("Ingested:", store.list_symbols())
|
|
|
|
# -- 2. Backtest on it like any other data ------------------------------------
|
|
strategy = (
|
|
mbt.Strategy.create("ema_cross")
|
|
.signal("fast", ema(close, 20))
|
|
.signal("slow", ema(close, 50))
|
|
.size(mbt.when(ema(close, 20) > ema(close, 50), 1.0, 0.0))
|
|
.describe("EMA(20/50) crossover on daily AAPL bars from Yahoo Finance")
|
|
)
|
|
|
|
start, end = time_range("2020-01-01", "2024-01-01")
|
|
config = mbt.BacktestConfig(
|
|
universe=[1],
|
|
time_range_start=start,
|
|
time_range_end=end,
|
|
bar_interval=Interval.days(1),
|
|
initial_capital=10_000,
|
|
warmup_bars=60,
|
|
)
|
|
|
|
if __name__ == "__main__":
|
|
result = mbt.run(strategy, config, store)
|
|
print(result.summary())
|