2.17 - Backtest report generation added

- Backtest report improved
- Backtesting report engine bugfixed

src/classes/Changelog.py

@@ -7,7 +7,7 @@
 
 from classes.ColorText import colorText
 
-VERSION = "2.16"
+VERSION = "2.17"
 
 changelog = colorText.BOLD + '[ChangeLog]\n' + colorText.END + colorText.BLUE + '''
 [1.00 - Beta]
@@ -274,4 +274,7 @@
 [2.16]
 1. Nifty Prediction NaN values handled gracefully with forward filling if data is absent
 2. Ticker 0 > Search by Stock name - re-enabled in GUI
+
+[2.17]
+1. Backtest Report column added for backtest screening runs
 ''' + colorText.END

src/classes/Fetcher.py

@@ -51,6 +51,27 @@ def _getBacktestDate(self, backtest):
             return [start, end]
         except:
             return [None, None]
+
+    def _getDatesForBacktestReport(self, backtest):
+        dateDict = {}
+        try:
+            today = datetime.date.today()
+            dateDict['T+1d'] = backtest + datetime.timedelta(days=1) if backtest + datetime.timedelta(days=1) < today else None
+            dateDict['T+1wk'] = backtest + datetime.timedelta(weeks=1) if backtest + datetime.timedelta(weeks=1) < today else None
+            dateDict['T+1mo'] = backtest + datetime.timedelta(days=30) if backtest + datetime.timedelta(days=30) < today else None
+            dateDict['T+6mo'] = backtest + datetime.timedelta(days=180) if backtest + datetime.timedelta(days=180) < today else None
+            dateDict['T+1y'] = backtest + datetime.timedelta(days=365) if backtest + datetime.timedelta(days=365) < today else None
+            for key, val in dateDict.copy().items():
+                if val is not None:
+                    if val.weekday() == 5:  # 5 is Saturday, 6 is Sunday
+                        adjusted_date = val + datetime.timedelta(days=2)
+                        dateDict[key] = adjusted_date
+                    elif val.weekday() == 6: 
+                        adjusted_date = val + datetime.timedelta(days=1)
+                        dateDict[key] = adjusted_date
+        except:
+            pass
+        return dateDict
 
     def fetchCodes(self, tickerOption,proxyServer=None):
         listStockCodes = []
@@ -138,6 +159,7 @@ def fetchStockCodes(self, tickerOption, proxyServer=None):
 
     # Fetch stock price data from Yahoo finance
     def fetchStockData(self, stockCode, period, duration, proxyServer, screenResultsCounter, screenCounter, totalSymbols, backtestDate=None, printCounter=False, tickerOption=None):
+        dateDict = None
         with SuppressOutput(suppress_stdout=True, suppress_stderr=True):
             append_exchange = ".NS"
             if tickerOption == 15:
@@ -152,6 +174,25 @@ def fetchStockData(self, stockCode, period, duration, proxyServer, screenResults
                 start=self._getBacktestDate(backtest=backtestDate)[0],
                 end=self._getBacktestDate(backtest=backtestDate)[1]
             )
+            if backtestDate != datetime.date.today():
+                dateDict = self._getDatesForBacktestReport(backtest=backtestDate)
+                backtestData = yf.download(
+                    tickers=stockCode + append_exchange,
+                    interval='1d',
+                    proxy=proxyServer,
+                    progress=False,
+                    timeout=10,
+                    start=backtestDate - datetime.timedelta(days=1),
+                    end=backtestDate + datetime.timedelta(days=370)
+                )
+                for key, value in dateDict.copy().items():
+                    if value is not None:
+                        try:
+                            dateDict[key] = backtestData.loc[pd.Timestamp(value)]['Close']
+                        except KeyError:
+                            continue
+                dateDict['T+52wkH'] = backtestData['High'].max()
+                dateDict['T+52wkL'] = backtestData['Low'].min()
         if printCounter:
             sys.stdout.write("\r\033[K")
             try:
@@ -166,7 +207,7 @@ def fetchStockData(self, stockCode, period, duration, proxyServer, screenResults
                 return None
             print(colorText.BOLD + colorText.GREEN + "=> Done!" +
                   colorText.END, end='\r', flush=True)
-        return data
+        return data, dateDict
 
     # Get Daily Nifty 50 Index:
     def fetchLatestNiftyDaily(self, proxyServer=None):

src/classes/ParallelProcessing.py

@@ -80,7 +80,7 @@ def screenStocks(self, tickerOption, executeOption, reversalOption, maLength, da
 
             if (self.stockDict.get(stock) is None) or (configManager.cacheEnabled is False) or self.isTradingTime or downloadOnly:
                 try:
-                    data = fetcher.fetchStockData(stock,
+                    data, backtestReport = fetcher.fetchStockData(stock,
                                                 period,
                                                 configManager.duration,
                                                 self.proxyServer,
@@ -198,6 +198,13 @@ def screenStocks(self, tickerOption, executeOption, reversalOption, maLength, da
                 with SuppressOutput(suppress_stderr=True, suppress_stdout=True):
                     isLorentzian = screener.validateLorentzian(fullData, screeningDictionary, saveDictionary, lookFor = maLength)
 
+                try:
+                    backtestReport = Utility.tools.calculateBacktestReport(data=processedData, backtestDict=backtestReport)
+                    screeningDictionary.update(backtestReport)
+                    saveDictionary.update(backtestReport)
+                except:
+                    pass
+
                 with self.screenResultsCounter.get_lock():
                     if executeOption == 0:
                         self.screenResultsCounter.value += 1

src/classes/Utility.py

@@ -384,6 +384,20 @@ def isBacktesting(backtestDate):
             return False
         except:
             return False
+
+    def calculateBacktestReport(data, backtestDict:dict):
+        try:
+            recent = data.head(1)['Close'].iloc[0]
+            for key, val in backtestDict.items():
+                if val is not None:
+                    try:
+                        backtestDict[key] = str(round((backtestDict[key]-recent)/recent*100,1)) + "%"
+                    except TypeError:
+                        backtestDict[key] = None
+                        continue
+        except:
+            pass
+        return backtestDict
 
 def isDocker():
     if 'SCREENIPY_DOCKER' in os.environ:

src/release.md

@@ -7,7 +7,7 @@ Screeni-py is now on **YouTube** for additional help! - Thank You for your suppo
 
 ⚠️ **Executable files (.exe, .bin and .run) are now DEPRECATED! Please Switch to Docker**
 
-1. **Backtesting** Added for Screening Patterns to Develope and Test Strategies!
+1. **Backtesting Reports** Added for Screening Patterns to Develope and Test Strategies!
 2. **Position Size Calculator** tab added for Better and Quick Risk Management!
 3. **Lorentzian Classification** (by @jdehorty) added for enhanced accuracy for your trades - - Try `Option > 6 > 7` 🤯
 4. **Artificial Intelligence v3 for Nifty 50 Prediction** - Predict Next day Gap-up/down using Nifty, Gold and Crude prices! - Try `Select Index for Screening > N`

src/screenipy.py

@@ -478,7 +478,8 @@ def main(testing=False, testBuild=False, downloadOnly=False, execute_inputs:list
                 matchedSaveResults = pd.concat([matchedSaveResults, saveResults[saveResults['Stock'].str.contains(stk)]], ignore_index=True)
             screenResults, saveResults = matchedScreenResults, matchedSaveResults
 
-
+        screenResults.dropna(axis=1, how='all', inplace=True)
+        saveResults.dropna(axis=1, how='all', inplace=True)
         screenResults.sort_values(by=['Stock'], ascending=True, inplace=True)
         saveResults.sort_values(by=['Stock'], ascending=True, inplace=True)
         screenResults.set_index('Stock', inplace=True)

src/streamlit_app.py

@@ -44,7 +44,7 @@ def check_updates():
 
 def show_df_as_result_table():
   try:
-    df = pd.read_pickle('last_screened_unformatted_results.pkl')
+    df:pd.DataFrame = pd.read_pickle('last_screened_unformatted_results.pkl')
     ac, bc = st.columns([6,1])
     ac.markdown(f'#### 🔍 Found {len(df)} Results')
     bc.download_button(
@@ -100,7 +100,7 @@ def dummy_call():
           os.environ['SCREENIPY_REQ_ERROR'] = "TRUE"
 
     if Utility.tools.isBacktesting(backtestDate=backtestDate):
-      st.write(f'Running in :red[Backtesting Mode] for {str(backtestDate)} (Y-M-D)')
+      st.write(f'Running in :red[**Backtesting Mode**] for *T = {str(backtestDate)}* (Y-M-D) : [Backtesting data is subjected to availability as per the API limits]')
     t = Thread(target=dummy_call)
     t.start()
 
@@ -175,8 +175,8 @@ def get_extra_inputs(tickerOption, executeOption, c_index=None, c_criteria=None,
     if not tickerOption.isnumeric():
         execute_inputs = [tickerOption, 0, 'N']
     elif int(tickerOption) == 0 or tickerOption is None:
-        stock_codes = c_index.text_input('Enter Stock Code(s)', placeholder='SBIN, INFY, ITC')
-        execute_inputs = [tickerOption, executeOption, stock_codes, 'N']
+        stock_codes:str = c_index.text_input('Enter Stock Code(s)', placeholder='SBIN, INFY, ITC')
+        execute_inputs = [tickerOption, executeOption, stock_codes.upper(), 'N']
     elif int(executeOption) >= 0 and int(executeOption) < 4:
         execute_inputs = [tickerOption, executeOption, 'N']
     elif int(executeOption) == 4: