Create Backtest US Sector Rotational Strategy.py

Author: cheukhin1024

Backtest US Sector Rotational Strategy.py

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+import pandas as pd
+import requests
+
+symbol_list = ['XLB','XLV','XLC','XLK','XLF','XLP','XLI','XLU','XLY','XLRE','XLE']
+
+dict_url = {}
+dict_response={}
+dict_data ={}
+
+df={}
+
+for symbol in symbol_list:
+    dict_url[symbol]  = "https://api.tiingo.com/tiingo/daily/"+symbol+"/prices?startDate=2005-01-03&token=ff008f598182931d7eb1f0b03600aebb4feeb732"
+
+    dict_response[symbol] = requests.get(dict_url[symbol])
+    dict_data[symbol] = dict_response[symbol].json()
+
+    dict_date={}
+    dict_date[symbol]=[]
+    dict_close={}
+    dict_close[symbol]=[]
+    dict_high={}
+    dict_high[symbol]=[]
+    dict_low={}
+    dict_low[symbol]=[]
+    dict_open={}
+    dict_open[symbol]=[]
+    dict_volume={}
+    dict_volume[symbol]=[]
+    dict_adjClose={}
+    dict_adjClose[symbol]=[]
+    dict_adjHigh={}
+    dict_adjHigh[symbol]=[]
+    dict_adjLow={}
+    dict_adjLow[symbol]=[]
+    dict_adjOpen={}
+    dict_adjOpen[symbol]=[]
+    dict_adjVolume={}
+    dict_adjVolume[symbol]=[]
+    dict_divCash={}
+    dict_divCash[symbol]=[]
+    dict_splitFactor={}
+    dict_splitFactor[symbol]=[]
+
+    # Iterate through each data point
+    for item in dict_data[symbol]:
+        dict_date[symbol].append(item['date'])
+        dict_close[symbol].append(item['close'])
+        dict_high[symbol].append(item['high'])
+        dict_low[symbol].append(item['low'])
+        dict_open[symbol].append(item['open'])
+        dict_volume[symbol].append(item['volume'])
+        dict_adjClose[symbol].append(item['adjClose'])
+        dict_adjHigh[symbol].append(item['adjHigh'])
+        dict_adjLow[symbol].append(item['adjLow'])
+        dict_adjOpen[symbol].append(item['adjOpen'])
+        dict_adjVolume[symbol].append(item['adjVolume'])
+        dict_divCash[symbol].append(item['divCash'])
+        dict_splitFactor[symbol].append(item['splitFactor'])
+
+    # Create the DataFrame
+        df[symbol] = pd.DataFrame({
+                            'date': dict_date[symbol],
+                            'close': dict_close[symbol],
+                            'high': dict_high[symbol],
+                            'low': dict_low[symbol],
+                            'open': dict_open[symbol],
+                            'volume': dict_volume[symbol],
+                            'adjClose': dict_adjClose[symbol],
+                            'adjHigh': dict_adjHigh[symbol],
+                            'adjLow': dict_adjLow[symbol],
+                            'adjOpen': dict_adjOpen[symbol],
+                            'adjVolume': dict_adjVolume[symbol],
+                            'divCash': dict_divCash[symbol],
+                            'splitFactor': dict_splitFactor[symbol]
+                                    })
+
+    # Display the first few rows of the DataFrame
+    print(df[symbol].head())
+    print(df[symbol].tail())