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https://github.com/edtechre/pybroker
Algorithmic Trading in Python with Machine Learning
https://github.com/edtechre/pybroker
ai algorithmic-trading algotrading artificial-intelligence backtesting crypto cryptocurrency data-science finance framework investment machine-learning python quantitative-finance stocks trading trading-strategies
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Algorithmic Trading in Python with Machine Learning
- Host: GitHub
- URL: https://github.com/edtechre/pybroker
- Owner: edtechre
- License: other
- Created: 2023-01-16T01:11:52.000Z (almost 2 years ago)
- Default Branch: master
- Last Pushed: 2024-09-22T22:05:07.000Z (about 2 months ago)
- Last Synced: 2024-10-01T01:41:19.529Z (about 2 months ago)
- Topics: ai, algorithmic-trading, algotrading, artificial-intelligence, backtesting, crypto, cryptocurrency, data-science, finance, framework, investment, machine-learning, python, quantitative-finance, stocks, trading, trading-strategies
- Language: Python
- Homepage: https://www.pybroker.com
- Size: 5.22 MB
- Stars: 1,946
- Watchers: 32
- Forks: 246
- Open Issues: 4
-
Metadata Files:
- Readme: README.md
- License: LICENSE
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README
[](https://www.python.org/)
[](https://www.pybroker.com/en/latest/license.html)
[](https://www.pybroker.com/en/latest/?badge=latest)
[](https://github.com/edtechre/pybroker/actions)
[](https://pepy.tech/project/lib-pybroker)
[](https://github.com/edtechre/pybroker/)
[](https://twitter.com/intent/follow?screen_name=libpybroker)
## Algorithmic Trading in Python with Machine Learning
Are you looking to enhance your trading strategies with the power of Python and
machine learning? Then you need to check out **PyBroker**! This Python framework
is designed for developing algorithmic trading strategies, with a focus on
strategies that use machine learning. With PyBroker, you can easily create and
fine-tune trading rules, build powerful models, and gain valuable insights into
your strategy’s performance.
## Key Features
- A super-fast backtesting engine built in [NumPy](https://numpy.org/) and accelerated with [Numba](https://numba.pydata.org/).
- The ability to create and execute trading rules and models across multiple instruments with ease.
- Access to historical data from [Alpaca](https://alpaca.markets/), [Yahoo Finance](https://finance.yahoo.com/), [AKShare](https://github.com/akfamily/akshare), or from [your own data provider](https://www.pybroker.com/en/latest/notebooks/7.%20Creating%20a%20Custom%20Data%20Source.html).
- The option to train and backtest models using [Walkforward Analysis](https://www.pybroker.com/en/latest/notebooks/6.%20Training%20a%20Model.html#Walkforward-Analysis), which simulates how the strategy would perform during actual trading.
- More reliable trading metrics that use randomized [bootstrapping](https://en.wikipedia.org/wiki/Bootstrapping_(statistics)) to provide more accurate results.
- Caching of downloaded data, indicators, and models to speed up your development process.
- Parallelized computations that enable faster performance.
With PyBroker, you'll have all the tools you need to create winning trading
strategies backed by data and machine learning. Start using PyBroker today and
take your trading to the next level!
## Installation
PyBroker supports Python 3.9+ on Windows, Mac, and Linux. You can install
PyBroker using ``pip``:
```bash
pip install -U lib-pybroker
```
Or you can clone the Git repository with:
```bash
git clone https://github.com/edtechre/pybroker
```
## A Quick Example
Get a glimpse of what backtesting with PyBroker looks like with these code
snippets:
**Rule-based Strategy**:
```python
from pybroker import Strategy, YFinance, highest
def exec_fn(ctx):
# Get the rolling 10 day high.
high_10d = ctx.indicator('high_10d')
# Buy on a new 10 day high.
if not ctx.long_pos() and high_10d[-1] > high_10d[-2]:
ctx.buy_shares = 100
# Hold the position for 5 days.
ctx.hold_bars = 5
# Set a stop loss of 2%.
ctx.stop_loss_pct = 2
strategy = Strategy(YFinance(), start_date='1/1/2022', end_date='7/1/2022')
strategy.add_execution(
exec_fn, ['AAPL', 'MSFT'], indicators=highest('high_10d', 'close', period=10))
# Run the backtest after 20 days have passed.
result = strategy.backtest(warmup=20)
```
**Model-based Strategy**:
```python
import pybroker
from pybroker import Alpaca, Strategy
def train_fn(train_data, test_data, ticker):
# Train the model using indicators stored in train_data.
...
return trained_model
# Register the model and its training function with PyBroker.
my_model = pybroker.model('my_model', train_fn, indicators=[...])
def exec_fn(ctx):
preds = ctx.preds('my_model')
# Open a long position given my_model's latest prediction.
if not ctx.long_pos() and preds[-1] > buy_threshold:
ctx.buy_shares = 100
# Close the long position given my_model's latest prediction.
elif ctx.long_pos() and preds[-1] < sell_threshold:
ctx.sell_all_shares()
alpaca = Alpaca(api_key=..., api_secret=...)
strategy = Strategy(alpaca, start_date='1/1/2022', end_date='7/1/2022')
strategy.add_execution(exec_fn, ['AAPL', 'MSFT'], models=my_model)
# Run Walkforward Analysis on 1 minute data using 5 windows with 50/50 train/test data.
result = strategy.walkforward(timeframe='1m', windows=5, train_size=0.5)
```
## User Guide
- [Getting Started with Data Sources](https://www.pybroker.com/en/latest/notebooks/1.%20Getting%20Started%20with%20Data%20Sources.html)
- [Backtesting a Strategy](https://www.pybroker.com/en/latest/notebooks/2.%20Backtesting%20a%20Strategy.html)
- [Evaluating with Bootstrap Metrics](https://www.pybroker.com/en/latest/notebooks/3.%20Evaluating%20with%20Bootstrap%20Metrics.html)
- [Ranking and Position Sizing](https://www.pybroker.com/en/latest/notebooks/4.%20Ranking%20and%20Position%20Sizing.html)
- [Writing Indicators](https://www.pybroker.com/en/latest/notebooks/5.%20Writing%20Indicators.html)
- [Training a Model](https://www.pybroker.com/en/latest/notebooks/6.%20Training%20a%20Model.html)
- [Creating a Custom Data Source](https://www.pybroker.com/en/latest/notebooks/7.%20Creating%20a%20Custom%20Data%20Source.html)
- [Applying Stops](https://www.pybroker.com/en/latest/notebooks/8.%20Applying%20Stops.html)
- [Rebalancing Positions](https://www.pybroker.com/en/latest/notebooks/9.%20Rebalancing%20Positions.html)
- [Rotational Trading](https://www.pybroker.com/en/latest/notebooks/10.%20Rotational%20Trading.html)
- [FAQs](https://www.pybroker.com/en/latest/notebooks/FAQs.html)
## Online Documentation
[The full reference documentation is hosted at **www.pybroker.com**.](https://www.pybroker.com)
(For Chinese users: [中文文档](https://www.pybroker.com/zh_CN/latest/), courtesy of [Albert King](https://github.com/albertandking).)
## Contact
## AI-Powered Stock News
Stay informed with AI-powered news on top trending stocks. See [www.trendninja.ai](https://www.trendninja.ai) for the latest updates!