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(feat) refactor backtest manager tab

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cardosofede
2023-08-04 15:06:38 +02:00
parent ae5a556ab8
commit 6cbd877f1b
1 changed files with 86 additions and 69 deletions
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155
pages/backtest_manager/app.py
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@@ -1,21 +1,26 @@
import datetime
import threading
import time
import webbrowser
from types import SimpleNamespace
import streamlit as st
from streamlit_ace import st_ace
from streamlit_elements import elements, mui
import constants
from quants_lab.strategy.strategy_analysis import StrategyAnalysis
from ui_components.dashboard import Dashboard
from ui_components.directional_strategies_file_explorer import DirectionalStrategiesFileExplorer
from ui_components.directional_strategy_creation_card import DirectionalStrategyCreationCard
from ui_components.editor import Editor
from ui_components.optimization_creation_card import OptimizationCreationCard
from ui_components.optimization_run_card import OptimizationRunCard
from ui_components.optimizations_file_explorer import OptimizationsStrategiesFileExplorer
from utils import os_utils
from utils.file_templates import strategy_optimization_template, directional_strategy_template
from utils.os_utils import load_directional_strategies, save_file, get_function_from_file
import optuna
from utils.os_utils import load_directional_strategies
from utils.st_utils import initialize_st_page
initialize_st_page(title="Backtest Manager", icon="⚙️")
initialize_st_page(title="Backtest Manager", icon="⚙️", initial_sidebar_state="collapsed")
# Start content here
if "strategy_params" not in st.session_state:
@@ -28,28 +33,37 @@ with build:
# * Add videos explaining how to the triple barrier method works and how the backtesting is designed,
# link to video of how to create a strategy, etc in a toggle.
# * Add functionality to start strategy creation from scratch or by duplicating an existing one
c1, c2 = st.columns([4, 1])
with c1:
# TODO: Allow change the strategy name and see the effect in the code
strategy_name = st.text_input("Strategy class name", value="CustomStrategy")
with c2:
update_strategy_name = st.button("Update Strategy Name")
c1, c2 = st.columns([4, 1])
with c1:
# TODO: every time that we save and run the optimizations, we should save the code in a file
# so the user then can correlate the results with the code.
if update_strategy_name:
st.session_state.directional_strategy_code = st_ace(key="create_directional_strategy",
value=directional_strategy_template(strategy_name),
language='python',
keybinding='vscode',
theme='pastel_on_dark')
with c2:
if st.button("Save strategy"):
save_file(name=f"{strategy_name.lower()}.py", content=st.session_state.directional_strategy_code,
path=constants.DIRECTIONAL_STRATEGIES_PATH)
st.success(f"Strategy {strategy_name} saved successfully")
if "ds_board" not in st.session_state:
board = Dashboard()
ds_board = SimpleNamespace(
dashboard=board,
create_strategy_card=DirectionalStrategyCreationCard(board, 0, 0, 3, 1),
file_explorer=DirectionalStrategiesFileExplorer(board, 0, 2, 3, 7),
editor=Editor(board, 4, 2, 9, 7),
)
st.session_state.ds_board = ds_board
else:
ds_board = st.session_state.ds_board
# Add new tabs
for tab_name, content in ds_board.file_explorer.tabs.items():
if tab_name not in ds_board.editor.tabs:
ds_board.editor.add_tab(tab_name, content["content"], content["language"])
# Remove deleted tabs
for tab_name in list(ds_board.editor.tabs.keys()):
if tab_name not in ds_board.file_explorer.tabs:
ds_board.editor.remove_tab(tab_name)
with elements("directional_strategies"):
with mui.Paper(elevation=3, style={"padding": "2rem"}, spacing=[2, 2], container=True):
mui.Typography("🗂Directional Strategies", variant="h3", sx={"margin-bottom": "2rem"})
with ds_board.dashboard():
ds_board.create_strategy_card()
ds_board.file_explorer()
ds_board.editor()
with backtest:
# TODO:
@@ -117,50 +131,53 @@ with backtest:
with optimize:
# TODO:
# * Add videos explaining how to use the optimization tool, quick intro to optuna, etc in a toggle
with st.container():
c1, c2, c3 = st.columns([1, 1, 1])
with c1:
strategies = load_directional_strategies(constants.DIRECTIONAL_STRATEGIES_PATH)
strategy_to_optimize = st.selectbox("Select strategy to optimize", strategies.keys())
with c2:
today = datetime.datetime.today()
# TODO: add hints about the study name
STUDY_NAME = st.text_input("Study name",
f"{strategy_to_optimize}_study_{today.day:02d}-{today.month:02d}-{today.year}")
with c3:
generate_optimization_code_button = st.button("Generate Optimization Code")
if st.button("Launch optuna dashboard"):
os_utils.execute_bash_command(f"optuna-dashboard sqlite:///data/backtesting/backtesting_report.db")
webbrowser.open("http://127.0.0.1:8080/dashboard", new=2)
c1, c2 = st.columns([4, 1])
if generate_optimization_code_button:
with c1:
# TODO: every time that we save and run the optimizations, we should save the code in a file
# so the user then can correlate the results with the code.
st.session_state.optimization_code = st_ace(key="create_optimization_code",
value=strategy_optimization_template(
strategy_info=strategies[strategy_to_optimize]),
language='python',
keybinding='vscode',
theme='pastel_on_dark')
if "optimization_code" in st.session_state:
with c2:
if st.button("Run optimization"):
save_file(name=f"{STUDY_NAME}.py", content=st.session_state.optimization_code, path=constants.OPTIMIZATIONS_PATH)
study = optuna.create_study(direction="maximize", study_name=STUDY_NAME,
storage="sqlite:///data/backtesting/backtesting_report.db",
load_if_exists=True)
objective = get_function_from_file(file_path=f"{constants.OPTIMIZATIONS_PATH}/{STUDY_NAME}.py",
function_name="objective")
def run_optuna_dashboard():
os_utils.execute_bash_command(f"optuna-dashboard sqlite:///data/backtesting/backtesting_report.db")
time.sleep(5)
webbrowser.open("http://127.0.0.1:8080/dashboard", new=2)
if "op_board" not in st.session_state:
board = Dashboard()
op_board = SimpleNamespace(
dashboard=board,
run_optimization_card=OptimizationRunCard(board, 0, 0, 3, 1),
create_optimization_card=OptimizationCreationCard(board, 0, 1, 3, 1),
file_explorer=OptimizationsStrategiesFileExplorer(board, 0, 2, 3, 5),
editor=Editor(board, 4, 2, 9, 7),
)
st.session_state.op_board = op_board
else:
op_board = st.session_state.op_board
# Add new tabs
for tab_name, content in op_board.file_explorer.tabs.items():
if tab_name not in op_board.editor.tabs:
op_board.editor.add_tab(tab_name, content["content"], content["language"])
# Remove deleted tabs
for tab_name in list(op_board.editor.tabs.keys()):
if tab_name not in op_board.file_explorer.tabs:
op_board.editor.remove_tab(tab_name)
with elements("optimizations"):
with mui.Paper(elevation=3, style={"padding": "2rem"}, spacing=[2, 2], container=True):
with mui.Grid(container=True, spacing=2):
with mui.Grid(item=True, xs=10):
mui.Typography("🧪Optimizations", variant="h3", sx={"margin-bottom": "2rem"})
with mui.Grid(item=True, xs=2):
with mui.Button(variant="outlined", color="primary", size="large",
sx={"height": "100%", "width": "100%"}, onClick=run_optuna_dashboard):
mui.icon.AutoGraph()
mui.Typography("Run Optuna Dashboard", variant="body1")
def optimization_process():
study.optimize(objective, n_trials=2000)
optimization_thread = threading.Thread(target=optimization_process)
optimization_thread.start()
with op_board.dashboard():
op_board.run_optimization_card()
op_board.create_optimization_card()
op_board.file_explorer()
op_board.editor()
with analyze: