Trading Strategy Builder

Welcome to the Trading Strategy Builder, a Streamlit-based application that allows users to create, visualize, and run custom trading strategies using a decision tree approach. This tool integrates with the SigTech platform to execute strategies and analyze their performance.

It specializes in path-dependent strategies (sig.DynamicStrategy) based on conditions set by indicators (such as RSI, cumulative returns, and others).

Table of Contents

• Features
• Installation
  • Prerequisites
  • Steps
• Getting Started
• Usage
  • Manage Conditions
  • Manage Actions
  • View Specifications
  • Visualize Decision Tree
  • My Strategies
• Project Structure
• Customization

Features

• Interactive GUI: Use Streamlit to interactively manage conditions and actions for your trading strategy.
• Decision Tree Visualization: Visualize your strategy's decision tree using Graphviz.
• Strategy Execution: Run your strategy using historical data through the SigTech platform.
• Performance Analysis: View and analyze the performance of your strategies with customizable plots.
• Strategy Management: Save and load multiple strategies for comparison and further analysis.

Installation

Prerequisites

• Python 3.7 or higher
• SigTech Python Framework
• Required Python packages listed in requirements.txt

Steps

1. Clone the Repository

   git clone https://github.com/salimtlemcani/conditional_decision_graph_based_strategies.git
   cd conditional_decision_graph_based_strategies

2. Create a Virtual Environment

   python -m venv venv

3. Activate the Virtual Environment

   • On Windows:

     venv\Scripts\activate

   • On macOS/Linux:

     source venv/bin/activate

4. Install Dependencies

   pip install -r requirements.txt

5. Set Up SigTech Environment

   • Ensure you have access to the SigTech platform.
   • Configure your SigTech credentials as per their documentation.

Getting Started

1. Navigate to the Project Directory

   cd conditional_decision_graph_based_strategies

2. Run the Streamlit Application

   streamlit run app.py

3. Access the App

   • Open your web browser and go to the localhost port shown in your console (likely http://localhost:8501)

Usage

The application is divided into several sections accessible from the sidebar:

Manage Conditions

• Add New Condition: Define new conditions based on indicators like RSI, Volatility, or Cumulative Return.
• Edit Existing Conditions: Modify or update existing conditions.

Manage Actions

• Add New Action: Define new actions specifying ETF allocations.
• Edit Existing Actions: Modify or update existing actions.

View Specifications

• Conditions: View all defined conditions in JSON format.
• Actions: View all defined actions in JSON format.
• Download Specifications: Download conditions and actions as JSON files.

Visualize Decision Tree

• Decision Tree Visualization: Generate and view the decision tree based on your conditions and actions using Graphviz.

My Strategies

• Run New Strategy: Execute your strategy over a specified date range and initial cash amount.
• View Saved Strategies: View and analyze the performance of saved strategies.

Project Structure

conditional_decision_graph_based_strategies/
├── app.py                   # Main Streamlit application
├── modules/                 # Application modules (formerly 'pages')
│   ├── manage_conditions.py
│   ├── manage_actions.py
│   ├── view_specs.py
│   ├── visualize_decision_tree.py
│   └── my_strategies.py
├── utils/                   # Utility modules
│   ├── __init__.py
│   ├── data_utils.py
│   ├── decision_tree_utils.py
│   ├── helper.py            # Utility functions for indicators and comparisons
│   └── plotting_utils.py
├── strategy_builder.py      # Builds the decision tree from specifications
├── strategy_execution.py    # Contains the basket creation method
├── conditions.json          # JSON file storing condition specifications
├── actions.json             # JSON file storing action specifications
├── strategies/              # Directory to store saved strategy objects
├── requirements.txt         # Python dependencies
└── README.md                # Project documentation

Customization

• Indicators: Extend utils/helper.py to include additional financial indicators as needed.
• ETFs: Modify the list of ETFs in app.py or in the modules to include those relevant to your strategies.
• Visualization: Customize the plotting functions in utils/plotting_utils.py to adjust the appearance of performance graphs.

---

Note: This application requires access to the SigTech platform. Ensure you have the necessary permissions and credentials to use their services.