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