Streamlit template for Walk Forward stuffs.

walk_forward_streamlit_template.py

import streamlit as st
import pandas as pd
import numpy as np
import matplotlib.pyplot as plt
from datetime import timedelta


def generate_stock_equity(start_date, end_date):
    num_days   = (end_date - start_date).days + 1
    changes    = np.random.randint(low=-150, high=150, size=num_days)
    date_range = pd.date_range(start=start_date, end=end_date, freq='D')
    df = pd.DataFrame({'Date': date_range, 'Change': changes})
    df['Equity'] = df['Change'].cumsum()
    df.set_index('Date', inplace=True)

    df['max_equity'] = df['Equity'].cummax()
    df['is_max'    ] = df['Equity'] == df['max_equity']

    return df

def perform_backtest(start_date, end_date, asset):
    stock_equity   = generate_stock_equity(start_date, end_date)
    higher_high_df = stock_equity[stock_equity['is_max']==True].copy()
    higher_high_df['s'] = 100

    plt.figure(figsize=(18, 8))
    plt.plot(stock_equity.index, stock_equity['Equity'], color='blue')
    plt.scatter(higher_high_df.index, higher_high_df['Equity'], color='green', s=higher_high_df['s'])
    plt.xlabel('Date')
    plt.ylabel('Equity')
    plt.title(f'Equity for {asset}')
    plt.xticks(rotation=45)
    plt.grid(True)
    
    st.pyplot(plt)


st.write('<style>div.block-container{padding-top:0.5rem;}</style>', unsafe_allow_html=True)
st.header('Walk-Forward Backtesting')


col1, col2, col3, col4 = st.columns(4)

with col1:
    asset = st.text_input('Asset', value="btcusdt")

with col2:
    timeframe = st.number_input('Timeframe', min_value=1, step=30, value=30)

with col3:
    start_date = st.date_input('Start Date', min_value=None, max_value=None, key=None)

with col4:
    backtesting_period = st.number_input('Period in months', min_value=1, step=1, value=6)

end_date = (start_date + timedelta(days=30 * backtesting_period)) if start_date else None
st.text(f'End Date: {end_date.strftime("%Y-%m-%d") if end_date else ""}')
if st.button('Perform Backtest'):
    if not start_date:
        st.error('Error: Start date is mandatory.')
    elif start_date >= end_date:
        st.error('Error: Invalid date range. Start date should be earlier than end date.')
    elif not asset:
        st.error('Error: Asset is mandatory.')
    else:
        perform_backtest(start_date, end_date, asset)