algorithmic_trading / README.md
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---
license: apache-2.0
language:
- en
library_name: pytorch
pretty_name: Algorithmic Trading
tags:
- finance
- algorithmic-trading
- quantitative-finance
- backtesting
- reinforcement-learning
- pytorch
- yfinance
---
---
license: apache-2.0
language:
- en
library_name: pytorch
pretty_name: Algorithmic Trading
tags:
- finance
- algorithmic-trading
- quantitative-finance
- backtesting
- reinforcement-learning
- pytorch
- yfinance
---
# Algorithmic Trading
Parallel LLC. Two layers in one repository:
1. **algotrader 2.0** (`algotrader/`, `app.py`): a backtester that tries to prove a rule was luck (permutation, deflated Sharpe, PBO, walk-forward, cost stress).
2. **Agentic v1** (`agentic_ai_system/`): FinRL policies, Yahoo or Alpaca ingest, paper/live execution, Streamlit/Dash/Jupyter UIs, Docker.
Default market data is **Yahoo Finance** (`yfinance>=1.0`), not simulated prices. The simulator exists for offline tests (`--source synthetic` or `ALGOTRADER_OFFLINE=1` with `source=auto`). Live capital still needs a separate evaluation contract. This is research tooling, not investment advice.
---
## 1. Title and Summary
**Algorithmic Trading**
Ingest real OHLCV, test whether a timing or cross-sectional rule survives a hostile null, optionally train a FinRL policy, size orders under position and drawdown caps, route to paper or live Alpaca.
GitHub keeps two branches: `main` (protected) and `dev` (integration).
**Design themes**
* Yahoo as the default public tape (delayed, unofficial, lookback-limited)
* Validation before belief: permutation, DSR, PBO/CSCV, walk-forward, 3Γ— cost stress
* FinRL (PPO, A2C, DDPG, TD3) unchanged on the v1 path
* Alpaca optional for authenticated bars and orders; keys from the environment
* Synthetic GBM / regime simulator only when requested
* Secrets never in git
---
## 2. Quick start
```bash
git clone https://github.com/ParallelLLC/algorithmic_trading.git
cd algorithmic_trading
python -m venv .venv && source .venv/bin/activate
pip install -r requirements-space.txt # algotrader + Gradio
# or: pip install -r requirements.txt # full v1 stack (FinRL, Dash, Docker CI)
```
```bash
python app.py # Gradio, localhost:7860, Yahoo by default
python -m algotrader.cli lab --symbol SPY --strategy sma_cross
python -m algotrader.cli lab --symbol NVDA --strategy rsi_reversion --permutations 500
python -m agentic_ai_system.main --mode backtest --start-date 2024-01-01 --end-date 2024-12-31
```
`config.yaml` defaults:
```yaml
data_source:
type: 'yahoo'
trading:
symbol: 'AAPL'
timeframe: '1d' # Yahoo 1m history is ~7 days; use 1d for multi-year windows
yahoo:
auto_adjust: true # raw Close turns splits into fake crashes
```
Alpaca is opt-in: `ALPACA_API_KEY` / `ALPACA_SECRET_KEY` and `data_source.type: alpaca` or `execution.broker_api: alpaca_paper`.
---
## 3. algotrader 2.0 (validation lab)
Most backtests answer "how much would this have made?" This one asks **how much of that was luck?**
### Two labs
**The Lab** validates a timing rule on one asset. **The Portfolio Lab** validates a cross-sectional book that ranks many names.
### The four ways a backtest lies
| The lie | The test | Where |
| --- | --- | --- |
| The market had no structure to find | Monte-Carlo permutation (shuffle bar order, keep gap/high/low/body/volume) | `algotrader/validation/permutation.py` |
| You tried 200 things and reported the best | Deflated Sharpe Ratio | `algotrader/validation/deflated_sharpe.py` |
| Parameters were fitted to the past | PBO (CSCV) and walk-forward | `algotrader/validation/pbo.py`, `walkforward.py` |
| The edge is smaller than the costs | Cost stress at 3Γ— friction | `algotrader/lab.py` |
Reality Score (0–100, grades A–F): significance 30%, selection 25%, walk-forward 20%, overfitting 15%, robustness 10%. The scale is harsh on purpose. Buy-and-hold and a coin-flip stay in the arena as controls.
Cross-sectional books use a **within-date weight permutation** so market correlation survives; path-shuffle is the wrong null for a long-short ranker. Survivorship is measured. Style regression (market, momentum, low-vol, reversal, liquidity) with White standard errors.
Look-ahead: `position[t] = target[t - lag]` with `lag >= 1`. Turnover is measured against drifted weights, not `|target[t]-target[t-1]|`.
```python
from algotrader import LabConfig, run_lab
report = run_lab(LabConfig(
symbol="SPY",
start="2015-01-01",
strategy="sma_cross",
params={"fast": 20, "slow": 100},
source="yahoo",
n_permutations=500,
))
print(report.verdict["grade"], report.permutation.p_value, report.dsr["dsr"])
```
```bash
python -m algotrader.cli strategies
python -m algotrader.cli lab --symbol SPY --source yahoo
python -m algotrader.cli portfolio --symbols SPY,QQQ,AAPL,MSFT,NVDA --strategy xs_momentum
python -m algotrader.cli lab --source synthetic # offline tests only
```
Single-asset zoo: `buy_and_hold`, `sma_cross`, `ema_cross`, `macd_trend`, `rsi_reversion`, `bollinger_reversion`, `donchian_breakout`, `momentum`, `vol_target_momentum`, `channel_trend`, `coin_flip`.
Cross-sectional: `equal_weight`, `xs_momentum`, `xs_reversal`, `low_volatility`, `xs_value_proxy`, `xs_random`.
**Data:** `load_ohlcv(..., source="yahoo")` downloads from Yahoo and **raises** if the download is empty. `source="auto"` is the Space fallback (cache, then simulator). `ALGOTRADER_OFFLINE=1` disables the network.
**HF Space:** `HF_TOKEN=hf_xxx ./scripts/deploy_hf_space.sh <user>/backtest-reality-check`. Card is `SPACE_README.md`. Tests: `python -m pytest tests/test_v2_*.py -q`.
References: Bailey & LΓ³pez de Prado (2014) DSR; Bailey et al. (2016) PBO; Masters (2018) permutation tests for trading systems.
---
## 4. Concepts and methods (v1 ingest and execution)
| Source | Default? | Failure modes |
| ------ | -------- | ------------- |
| **Yahoo** | Yes (`config.yaml`, algotrader CLI, Gradio) | Unofficial API, ~15 min delay, 1m β‰ˆ 7 days, split-adjustment required (`auto_adjust: true`) |
| **Alpaca** | Optional | Auth, feed, rate limits |
| **CSV** | Replay | Missing path or OHLCV columns |
| **Synthetic** | Tests / `--source synthetic` | Not tradable edge |
`agentic_ai_system.data_ingestion.load_data` dispatches on `data_source.type`. Yahoo stream: `yahoo_data_stream.py` (clamped lookback, no incomplete bars by default).
* `StrategyAgent`: SMA, RSI, Bollinger, MACD on Close (teaching rule, not an alpha claim)
* `FinRLAgent`: PPO / A2C / DDPG / TD3 via Stable-Baselines3
* `ExecutionAgent` / `AlpacaBroker`: paper simulation or Alpaca orders
v1 `run_backtest` is a single in-sample pass unless you use algotrader walk-forward. Leakage is the null hypothesis.
---
## 5. Stack
| Layer | Tools |
| ----- | ----- |
| Language | Python 3.11 (CI) |
| Validation | algotrader (permutation, DSR, PBO, walk-forward) |
| RL | FinRL / Stable-Baselines3, Gym/Gymnasium, PyTorch |
| Market data | yfinance β‰₯ 1.0 (default); alpaca-py optional |
| Tabular | pandas, NumPy, scikit-learn |
| UI | Gradio (`app.py`); Streamlit, Dash, Jupyter (v1) |
| Deploy | Docker Compose, GitHub Actions, Hugging Face Space |
| Tests | pytest |
---
## 6. Structure
```
algorithmic_trading/
β”œβ”€β”€ algotrader/ # 2.0 lab, engine, validation, strategies
β”œβ”€β”€ app.py # Gradio Reality Check
β”œβ”€β”€ agentic_ai_system/ # v1 FinRL, Yahoo/Alpaca ingest, execution
β”œβ”€β”€ ui/ # Streamlit, Dash, Jupyter, WebSocket
β”œβ”€β”€ tests/
β”œβ”€β”€ docs/AGENTIC_SYSTEM_V1.md # v1 notes
β”œβ”€β”€ config.yaml # default data_source.type: yahoo
β”œβ”€β”€ requirements-space.txt # Space / algotrader
β”œβ”€β”€ requirements.txt # full v1 + CI
└── scripts/deploy_hf_space.sh
```
---
## 7. Configuration
| Key | Meaning |
| --- | ------- |
| `data_source.type` | `yahoo` (default) \| `csv` \| `synthetic` \| `alpaca` |
| `trading.timeframe` | Mapped to Yahoo intervals; use `1d` for multi-year history |
| `yahoo.auto_adjust` | Split/dividend adjust (keep true) |
| `yahoo.emit_incomplete_bars` | Default false; forming bars are not closes |
| `execution.broker_api` | `paper` \| `alpaca_paper` \| `alpaca_live` |
| `finrl.algorithm` | PPO, A2C, DDPG, TD3 |
| algotrader `--source` | `yahoo` (default) \| `auto` \| `cache` \| `synthetic` |
---
## 8. Tests and ops
```bash
python -m pytest tests/test_v2_*.py -q
python -m pytest tests/test_yahoo_data_stream.py tests/test_data_ingestion.py -q
```
UI launchers and Docker: `UI_SETUP.md`, `DOCKER_HUB_SETUP.md`. Branch policy: `main` and `dev` only. Do not re-enable Dependabot.
---
**License:** Apache License 2.0
**Organization:** [Parallel LLC](https://github.com/ParallelLLC)
**Repository:** <https://github.com/ParallelLLC/algorithmic_trading>