rsi_intraday_test.py

"""Demo of intraday RSI multi symbol strategy.

The author is Zmicier Gotowka

Distributed under Fcore License 1.1 (see license.md)
"""
from backtest.rsi import RSI
from backtest.base import BackTestError
from backtest.stock import StockData
from backtest.reporting import Report

from data.fdata import FdataError
from data.fvalues import Timespans
from data.futils import trim_time
from data.fmp import FmpStock

import settings

import plotly.graph_objects as go
from plotly import subplots

from itertools import repeat

import sys

symbols = ['MSFT', 'AAPL']

period = 14
support = 30
resistance = 70

min_width = 2500  # Minimum width for charting
height = 250  # Height of each subchart in reporting

if __name__ == "__main__":
    if settings.FMP.api_key is None:
        sys.exit("This test requires FMP api key. Get the free key at financialmodelingprep.com and put it in settings.py")

    # Array for the fetched data for all symbols
    allrows = []

    for symbol in symbols:
        try:
            rows = FmpStock(symbol=symbol, first_date='2024-01-10', last_date='2024-01-10', timespan=Timespans.Minute, verbosity=True).get()
        except FdataError as e:
            sys.exit(e)

        print(f"The total number of quotes used for {symbol} is {len(rows)}.\n")

        allrows.append(rows)

    # RSI strategy calculation

    data_a = StockData(rows=allrows[0],
                          title=symbols[0],
                          spread=0.1,
                          margin_rec=0.4,
                          margin_req=0.7,
                         )

    data_b = StockData(rows=allrows[1],
                          title=symbols[1],
                          spread=0.1,
                          margin_rec=0.4,
                          margin_req=0.7,
                         )

    quotes = [data_a, data_b]

    rsi = RSI(data=quotes,
              commission=2.5,
              initial_deposit=10000,
              margin_rec=0.9,
              margin_req=1,
              period=period,
              support=support,
              resistance=resistance,
              to_short=True
             )

    try:
        rsi.calculate()
    except BackTestError as e:
        sys.exit(f"Can't perform backtesting calculation: {e}")

    results = rsi.get_results()

    # Support and resistance for RSI
    length = len(allrows[0])
    support_arr = []
    resistance_arr = []

    support_arr.extend(repeat(support, length))
    resistance_arr.extend(repeat(resistance, length))

    #################
    # Create a report
    #################

    report = Report(data=results, width=max(length, min_width), margin=True)

    # Add charts for used symbols
    report.add_quotes_chart(title=f"RSI Multi Example Testing for {symbols[0]} and {symbols[1]}", height=250)
    report.add_quotes_chart(index=1, height=height)

    # Add a custom chart with RSI values
    rsi_fig = subplots.make_subplots()

    rsi_fig.add_trace(go.Scatter(x=results.DateTime, y=rsi.exec(0).get_vals()['rsi'], mode='lines', name=f"RSI {symbols[0]}"))
    rsi_fig.add_trace(go.Scatter(x=results.DateTime, y=rsi.exec(1).get_vals()['rsi'], mode='lines', name=f"RSI {symbols[1]}"))

    # Add support and resistance lines to the second chart
    rsi_fig.add_trace(go.Scatter(x=results.DateTime, y=support_arr, mode='lines', name="Support"))
    rsi_fig.add_trace(go.Scatter(x=results.DateTime, y=resistance_arr, mode='lines', name="Resistance"))

    report.add_custom_chart(rsi_fig, height=height)

    # Add a chart to represent portfolio performance
    fig_portf = report.add_portfolio_chart(height=height)

    # Add a chart with expenses
    report.add_expenses_chart(height=height)

    # Add annotations with strategy results
    report.add_annotations()

    # Show image
    new_file = report.show_image()
    print(f"{new_file} is written.")