bbstrader 0.0.1__tar.gz

bbstrader-0.0.1/LICENSE

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+The MIT License (MIT)
+
+Copyright (c) 2023-2024 Bertin Balouki SIMYELI
+
+Permission is hereby granted, free of charge, to any person obtaining a copy
+of this software and associated documentation files (the "Software"), to deal
+in the Software without restriction, including without limitation the rights
+to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
+copies of the Software, and to permit persons to whom the Software is
+furnished to do so, subject to the following conditions:
+
+The above copyright notice and this permission notice shall be included in all
+copies or substantial portions of the Software.
+
+THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
+IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
+FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
+AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
+LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
+OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
+SOFTWARE.

bbstrader-0.0.1/PKG-INFO

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+Metadata-Version: 2.1
+Name: bbstrader
+Version: 0.0.1
+Summary: Simplified Investment & Trading Toolkit
+Home-page: https://github.com/bbalouki/bbstrade
+Author: Bertin Balouki SIMYELI
+Author-email: <bbalouki@outlook.com>
+Maintainer: Bertin Balouki SIMYELI
+License: The MIT License (MIT)
+Keywords: Finance,Toolkit,Financial,Analysis,Fundamental,Quantitative,Database,Equities,Currencies,Economics,ETFs,Funds,Indices,Moneymarkets,Commodities,Futures,CFDs,Derivatives,Trading,Investing,Portfolio,Optimization,Performance
+Classifier: Development Status :: 1 - Planning
+Classifier: Intended Audience :: Developers
+Classifier: Intended Audience :: Financial and Insurance Industry
+Classifier: Topic :: Office/Business :: Financial :: Investment
+Classifier: Programming Language :: Python :: 3.10
+Classifier: Programming Language :: Python :: 3.11
+Classifier: Programming Language :: Python :: 3.12
+Classifier: Operating System :: Microsoft :: Windows
+Classifier: License :: OSI Approved :: MIT License
+Description-Content-Type: text/markdown
+License-File: LICENSE
+Requires-Dist: pandas
+Requires-Dist: numpy==1.26.4
+Requires-Dist: yfinance
+Requires-Dist: scipy
+Requires-Dist: hmmlearn
+Requires-Dist: pmdarima
+Requires-Dist: arch
+Requires-Dist: hurst
+Requires-Dist: seaborn
+Requires-Dist: statsmodels
+Requires-Dist: matplotlib
+Requires-Dist: filterpy
+Requires-Dist: pytest
+Requires-Dist: sphinx
+Requires-Dist: sphinx-rtd-theme
+Requires-Dist: CurrencyConverter
+Requires-Dist: Metatrader5
+
+# Simplified Investment & Trading Toolkit
+![bbstrader](https://github.com/bbalouki/bbstrader/blob/main/assets/bbstrader_logo.png?raw=true)
+
+
+## Overview
+
+BBSTrader is a trading system suite developed for MetaTrader 5 (MT5) and IBKR platforms (comming soon), designed to offer a comprehensive set of tools for developping, backtesting, executing, and managing a wide array of trading strategies. With an emphasis on algorithmic and quantitative trading to provide traders with a robust platform for exploring and deploying sophisticated trading strategies.
+
+`bbstrader` is comprised of several key modules, each focus on specific aspects of trading strategy development and execution:
+
+- **Backtesting Module (btengine)** : Enables traders to rigorously test their trading strategies using historical data to evaluate performance before live deployment.
+- **Trading Strategies Module**: A collection of predefined trading strategies, including ARIMA+GARCH models, Kalman Filters, Ornstein-Uhlenbeck processes, and Simple Moving Averages, equipped with risk management through Hidden Markov Models.
+- **MetaTrader5 Module (metatrader)**: Facilitates the direct execution of trading strategies on the MetaTrader 5 platform, supporting real-time trading across multiple financial instruments.
+- **Modles Module**: Serves as a framework for implementing various types of financial models (risk managment models, Machine learing models etc).
+- **Time serie Module (tseries)** designed for conducting advanced time series analysis in financial markets. 
+It leverages statistical models and algorithms to perform tasks such as cointegration testing, volatility modeling, and filter-based estimation to assist in trading strategy development, market analysis, and financial data exploration.
+
+## Features
+
+- **Comprehensive Backtesting**: Assess the performance of trading strategies with historical market data to optimize parameters and strategies for live trading environments.
+- **Integrated Risk Management**: Leverage advanced risk management techniques to adapt to changing market conditions and maintain control over risk exposure.
+- **Automated Trading**: Execute trades automatically on the MT5 platform, with support for managing orders, positions, and risk in real-time.
+- **Flexible Framework**: Customize existing strategies or develop new ones with the flexible, modular architecture designed to accommodate traders' evolving needs.
+
+## Getting Started
+
+Before you can use the bbstrader and the metratrader, you need to have MetaTrader 5 (MT5) installed on your computer and an active MT5 trading account. 
+This Module currenlty support three brokers, [Admirals Group AS](https://cabinet.a-partnership.com/visit/?bta=35537&brand=admiralmarkets), [Just Global Markets Ltd.](https://one.justmarkets.link/a/tufvj0xugm/registration/trader), and [FTMO](https://trader.ftmo.com/?affiliates=JGmeuQqepAZLMcdOEQRp), so you need to create a demo or live account with one of them.
+* If you want to trade `Stocks`, `ETFs`, `Indices`, `Commodities`, `Futures`, and `Forex`, See [click here](https://cabinet.a-partnership.com/visit/?bta=35537&brand=admiralmarkets)
+* If you want to trade `Stocks`, `Crypto`, `indices`, `Commodities`, and `Forex`, See [click here](https://one.justmarkets.link/a/tufvj0xugm/registration/trader)
+* If you are looking for a prop firm, [click here](https://trader.ftmo.com/?affiliates=JGmeuQqepAZLMcdOEQRp)
+
+Then, you can install `bbstrader` using pip:
+```bash
+pip install bbstrader
+```
+
+
+## Examples
+### Backtesting Module
+```python
+from bbstrader.btengine.backtest  import run_backtest
+
+if __name__ == '__main__':
+    # KLF IEI TLT Event Driven backtest using Kalman Filter pairs trading strategy integrating with # Hidden Markov Model (HMM) for risk management on `IEI` and  `TLT`.
+    run_backtest(test_strategy='klf')
+```
+### Backtesting Results
+![Backtesting Results](https://github.com/bbalouki/bbstrader/blob/main/assets/backtest_results.jpg)
+
+## Customization and Contribution
+
+`bbstrader`'s modular design allows for easy customization and extension. Traders and developers are encouraged to modify existing strategies, add new ones, or enhance the system's capabilities. Contributions to the `bbstrader` project are welcome.
+
+## Contributing to BBSTrader
+
+We warmly welcome contributions from the trading and development community! Whether you're interested in fixing bugs, adding new features, or improving documentation, your help is invaluable to making `bbstrader` more robust and versatile. Here's how you can contribute:
+
+### Ways to Contribute
+
+- **Develop New Strategies**: Implement and share your unique trading strategies or models.
+- **Enhance Existing Modules**: Optimize the performance, extend the functionality, or improve the usability of existing modules.
+- **Report Bugs**: Identify and report bugs to help us improve the system's stability and performance.
+- **Improve Documentation**: Contribute to the project's documentation for clearer guidance and better usability.
+- **Share Insights and Best Practices**: Provide examples, tutorials, or best practices on utilizing `bbstrader` effectively.
+
+### How to Get Started
+
+1. **Fork the Repository**: Start by forking the `bbstrader` repository to your GitHub account.
+2. **Clone Your Fork**: Clone your forked repository to your local machine to start making changes.
+3. **Set Up Your Development Environment**: Ensure you have the necessary development environment set up, including Python, MetaTrader 5, and any dependencies.
+4. **Create a New Branch**: Make your changes in a new git branch, branching off from the main branch.
+5. **Implement Your Changes**: Work on bug fixes, features, or documentation improvements.
+6. **Test Your Changes**: Ensure your changes do not introduce new issues and that they work as intended.
+7. **Submit a Pull Request**: Once you're ready, submit a pull request (PR) against the main `bbstrader` repository. Include a clear description of the changes and any other relevant information.
+
+### Contribution Guidelines
+
+Please adhere to the following guidelines to ensure a smooth contribution process:
+
+- **Follow the Coding Standards**: Write clean, readable code and follow the coding conventions used throughout the project.
+- **Document Your Changes**: Add comments and update the README.md files as necessary to explain your changes or additions.
+- **Respect the License**: All contributions are subject to the MIT License under which `bbstrader` is distributed.
+
+We're excited to see your contributions and to welcome you to the `bbstrader` community. Together, we can build a powerful tool that serves the needs of traders around the world.
+
+
+## Disclaimer
+
+Trading financial instruments involves a high level of risk and may not be suitable for all investors. The developers of `bbstrader` are not responsible for any financial losses incurred from the use of this software. Trade responsibly and at your own risk.
+
+## License
+`bbstrader` is open source and available under the MIT License.

bbstrader-0.0.1/README.md

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+# Simplified Investment & Trading Toolkit
+![bbstrader](https://github.com/bbalouki/bbstrader/blob/main/assets/bbstrader_logo.png?raw=true)
+
+
+## Overview
+
+BBSTrader is a trading system suite developed for MetaTrader 5 (MT5) and IBKR platforms (comming soon), designed to offer a comprehensive set of tools for developping, backtesting, executing, and managing a wide array of trading strategies. With an emphasis on algorithmic and quantitative trading to provide traders with a robust platform for exploring and deploying sophisticated trading strategies.
+
+`bbstrader` is comprised of several key modules, each focus on specific aspects of trading strategy development and execution:
+
+- **Backtesting Module (btengine)** : Enables traders to rigorously test their trading strategies using historical data to evaluate performance before live deployment.
+- **Trading Strategies Module**: A collection of predefined trading strategies, including ARIMA+GARCH models, Kalman Filters, Ornstein-Uhlenbeck processes, and Simple Moving Averages, equipped with risk management through Hidden Markov Models.
+- **MetaTrader5 Module (metatrader)**: Facilitates the direct execution of trading strategies on the MetaTrader 5 platform, supporting real-time trading across multiple financial instruments.
+- **Modles Module**: Serves as a framework for implementing various types of financial models (risk managment models, Machine learing models etc).
+- **Time serie Module (tseries)** designed for conducting advanced time series analysis in financial markets. 
+It leverages statistical models and algorithms to perform tasks such as cointegration testing, volatility modeling, and filter-based estimation to assist in trading strategy development, market analysis, and financial data exploration.
+
+## Features
+
+- **Comprehensive Backtesting**: Assess the performance of trading strategies with historical market data to optimize parameters and strategies for live trading environments.
+- **Integrated Risk Management**: Leverage advanced risk management techniques to adapt to changing market conditions and maintain control over risk exposure.
+- **Automated Trading**: Execute trades automatically on the MT5 platform, with support for managing orders, positions, and risk in real-time.
+- **Flexible Framework**: Customize existing strategies or develop new ones with the flexible, modular architecture designed to accommodate traders' evolving needs.
+
+## Getting Started
+
+Before you can use the bbstrader and the metratrader, you need to have MetaTrader 5 (MT5) installed on your computer and an active MT5 trading account. 
+This Module currenlty support three brokers, [Admirals Group AS](https://cabinet.a-partnership.com/visit/?bta=35537&brand=admiralmarkets), [Just Global Markets Ltd.](https://one.justmarkets.link/a/tufvj0xugm/registration/trader), and [FTMO](https://trader.ftmo.com/?affiliates=JGmeuQqepAZLMcdOEQRp), so you need to create a demo or live account with one of them.
+* If you want to trade `Stocks`, `ETFs`, `Indices`, `Commodities`, `Futures`, and `Forex`, See [click here](https://cabinet.a-partnership.com/visit/?bta=35537&brand=admiralmarkets)
+* If you want to trade `Stocks`, `Crypto`, `indices`, `Commodities`, and `Forex`, See [click here](https://one.justmarkets.link/a/tufvj0xugm/registration/trader)
+* If you are looking for a prop firm, [click here](https://trader.ftmo.com/?affiliates=JGmeuQqepAZLMcdOEQRp)
+
+Then, you can install `bbstrader` using pip:
+```bash
+pip install bbstrader
+```
+
+
+## Examples
+### Backtesting Module
+```python
+from bbstrader.btengine.backtest  import run_backtest
+
+if __name__ == '__main__':
+    # KLF IEI TLT Event Driven backtest using Kalman Filter pairs trading strategy integrating with # Hidden Markov Model (HMM) for risk management on `IEI` and  `TLT`.
+    run_backtest(test_strategy='klf')
+```
+### Backtesting Results
+![Backtesting Results](https://github.com/bbalouki/bbstrader/blob/main/assets/backtest_results.jpg)
+
+## Customization and Contribution
+
+`bbstrader`'s modular design allows for easy customization and extension. Traders and developers are encouraged to modify existing strategies, add new ones, or enhance the system's capabilities. Contributions to the `bbstrader` project are welcome.
+
+## Contributing to BBSTrader
+
+We warmly welcome contributions from the trading and development community! Whether you're interested in fixing bugs, adding new features, or improving documentation, your help is invaluable to making `bbstrader` more robust and versatile. Here's how you can contribute:
+
+### Ways to Contribute
+
+- **Develop New Strategies**: Implement and share your unique trading strategies or models.
+- **Enhance Existing Modules**: Optimize the performance, extend the functionality, or improve the usability of existing modules.
+- **Report Bugs**: Identify and report bugs to help us improve the system's stability and performance.
+- **Improve Documentation**: Contribute to the project's documentation for clearer guidance and better usability.
+- **Share Insights and Best Practices**: Provide examples, tutorials, or best practices on utilizing `bbstrader` effectively.
+
+### How to Get Started
+
+1. **Fork the Repository**: Start by forking the `bbstrader` repository to your GitHub account.
+2. **Clone Your Fork**: Clone your forked repository to your local machine to start making changes.
+3. **Set Up Your Development Environment**: Ensure you have the necessary development environment set up, including Python, MetaTrader 5, and any dependencies.
+4. **Create a New Branch**: Make your changes in a new git branch, branching off from the main branch.
+5. **Implement Your Changes**: Work on bug fixes, features, or documentation improvements.
+6. **Test Your Changes**: Ensure your changes do not introduce new issues and that they work as intended.
+7. **Submit a Pull Request**: Once you're ready, submit a pull request (PR) against the main `bbstrader` repository. Include a clear description of the changes and any other relevant information.
+
+### Contribution Guidelines
+
+Please adhere to the following guidelines to ensure a smooth contribution process:
+
+- **Follow the Coding Standards**: Write clean, readable code and follow the coding conventions used throughout the project.
+- **Document Your Changes**: Add comments and update the README.md files as necessary to explain your changes or additions.
+- **Respect the License**: All contributions are subject to the MIT License under which `bbstrader` is distributed.
+
+We're excited to see your contributions and to welcome you to the `bbstrader` community. Together, we can build a powerful tool that serves the needs of traders around the world.
+
+
+## Disclaimer
+
+Trading financial instruments involves a high level of risk and may not be suitable for all investors. The developers of `bbstrader` are not responsible for any financial losses incurred from the use of this software. Trade responsibly and at your own risk.
+
+## License
+`bbstrader` is open source and available under the MIT License.

bbstrader-0.0.1/bbstrader/__ini__.py

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+"""
+Simplified Investment & Trading Toolkit
+=======================================
+
+"""
+__author__      = "Bertin Balouki SIMYELI"
+__copyright__   = "2023-2024 Bertin Balouki SIMYELI"
+__email__       = "bbalouki@outlook.com"
+__license__     = "MIT"
+__version__     = "1.0.0"
+
+from bbstrader import btengine
+from bbstrader import metatrader
+from bbstrader import models
+from bbstrader import trading
+from bbstrader import strategies
+from bbstrader import tseries

bbstrader-0.0.1/bbstrader/btengine/__init__.py

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+"""
+Overview
+========
+
+This Backtesting Module provides a comprehensive suite of tools to test trading strategies in an event-driven system. 
+It simulates the execution of trades in historical market conditions to evaluate the performance of trading strategies 
+before applying them in live trading environments. Designed with modularity and extensibility in mind, it caters to 
+both novices and experts in algorithmic trading.
+
+Features
+========
+
+- **Event-Driven Architecture**: Processes market data, generates signals, executes orders, and manages portfolio updates in response to events, closely mimicking live trading environments.
+- **Historical Market Data Support**: Utilizes historical OHLCV data from CSV files, Yahoo finance and MT5 terminal allowing for the testing of strategies over various market conditions and time frames.
+- **Strategy Implementation Flexibility**: Abstract base classes for strategies and other components enable users to define custom trading logic and data handling processes.
+- **Performance Metrics Calculation**: Includes tools for calculating key performance indicators, such as `Sharpe Ratio`, `Sortino Ratio`, and `drawdowns`, to evaluate the effectiveness of trading strategies.
+- **Visualization**: Generates plots of the `equity curve`, `returns`, `drawdowns`, and other metrics for comprehensive strategy `performance analysis`.
+
+Components
+==========
+
+- **Backtest**: Orchestrates the backtesting process, managing events and invoking components.
+- **Event**: Abstract class for events, with implementations for market data, signals, fill and order events.
+- **DataHandler**: Abstract class for market data handling, with an implementation for `HistoricalCSVHandler`, `MT5HistoricDataHandler`, `YFHistoricDataHandler`. We will add another data handling in the future such as MacroEconomic Data, Fundamental Data, TICK Data and Real-time Data.
+- **Strategy**: Abstract class for trading strategies, allowing for custom signal generation logic.
+- **Portfolio**: Manages positions and calculates performance metrics, responding to market data and signals.
+- **ExecutionHandler**: Abstract class for order execution, with a simulated execution handler provided with an implementation for `SimulatedExecutionHandler`.
+- **Performance**: Utility functions for calculating performance metrics and visualizing strategy performance.
+
+Examples:
+>>> from bbstrader.btengine import run_backtest
+>>> run_backtest(test_mode=True, test_strategy='ou', test_quantity=2000)
+
+>>> run_backtest(
+...     symbol_list=['AAPL', 'GOOG'],
+...     start_date=datetime(2020, 1, 1),
+...     data_handler=CustomDataHandler(),
+...     strategy=MovingAverageStrategy(),
+...     exc_handler=CustomExecutionHandler(),
+...     initial_capital=500000.0,
+...     heartbeat=1.0
+... )
+"""
+from bbstrader.btengine.data import *
+from bbstrader.btengine.event import *
+from bbstrader.btengine.execution import *
+from bbstrader.btengine.performance import *
+from bbstrader.btengine.backtest import *
+from bbstrader.btengine.portfolio import Portfolio
+from bbstrader.btengine.strategy import Strategy