bbstrader 0.1.7__py3-none-any.whl → 0.1.9__py3-none-any.whl

bbstrader/btengine/__init__.py

@@ -50,4 +50,5 @@ from bbstrader.btengine.event import *
 from bbstrader.btengine.execution import *
 from bbstrader.btengine.performance import *
 from bbstrader.btengine.backtest import *
+from bbstrader.btengine.strategy import Strategy
 from bbstrader.btengine.portfolio import Portfolio

bbstrader/btengine/backtest.py

@@ -99,6 +99,7 @@ class Backtest(object):
         self.fills = 0
 
         self._generate_trading_instances()
+        self.show_equity = kwargs.get("show_equity", False)
 
     def _generate_trading_instances(self):
         """
@@ -186,15 +187,16 @@ class Backtest(object):
                 "\n"
             )
 
-        print("\nCreating equity curve...")
-        print("\n[======= EQUITY CURVE =======]")
-        print(
-            tabulate(
-                self.portfolio.equity_curve.tail(10), 
-                headers="keys", 
-                tablefmt="outline"), 
-                "\n"
-            )
+        if self.show_equity:
+            print("\nCreating equity curve...")
+            print("\n[======= EQUITY CURVE =======]")
+            print(
+                tabulate(
+                    self.portfolio.equity_curve.tail(10), 
+                    headers="keys", 
+                    tablefmt="outline"), 
+                    "\n"
+                )
     
     def simulate_trading(self):
         """

bbstrader/btengine/performance.py

@@ -24,7 +24,7 @@ __all__ = [
 ]
 
 
-def create_sharpe_ratio(returns, periods=252):
+def create_sharpe_ratio(returns, periods=252) -> float:
     """
     Create the Sharpe ratio for the strategy, based on a
     benchmark of zero (i.e. no risk-free rate information).
@@ -36,15 +36,10 @@ def create_sharpe_ratio(returns, periods=252):
     Returns:
         S (float): Sharpe ratio
     """
-    if np.std(returns) != 0:
-        return np.sqrt(periods) * (np.mean(returns)) / np.std(returns)
-    else:
-        return 0.0
+    return qs.stats.sharpe(returns, periods=periods)
 
 # Define a function to calculate the Sortino Ratio
-
-
-def create_sortino_ratio(returns, periods=252):
+def create_sortino_ratio(returns, periods=252) -> float:
     """
     Create the Sortino ratio for the strategy, based on a
     benchmark of zero (i.e. no risk-free rate information).
@@ -56,17 +51,7 @@ def create_sortino_ratio(returns, periods=252):
     Returns:
         S (float): Sortino ratio
     """
-    # Calculate the annualized return
-    annualized_return = np.power(1 + np.mean(returns), periods) - 1
-    # Calculate the downside deviation
-    downside_returns = returns.copy()
-    downside_returns[returns > 0] = 0
-    annualized_downside_std = np.std(downside_returns) * np.sqrt(periods)
-    if annualized_downside_std != 0:
-        return annualized_return / annualized_downside_std
-    else:
-        return 0.0
-
+    return qs.stats.sortino(returns, periods=periods)
 
 def create_drawdowns(pnl):
     """
@@ -311,19 +296,19 @@ def plot_monthly_yearly_returns(df, title):
     # Show the plot
     plt.show()
 
-def show_qs_stats(equity_curve, benchmark, strategy_name):
+def show_qs_stats(returns, benchmark, strategy_name, save_dir=None):
     """
     Generate the full quantstats report for the strategy.
 
     Args:
-        equity_curve (pd.DataFrame): 
+        returns (pd.Serie): 
             The DataFrame containing the strategy returns and drawdowns.
         benchmark (str): 
             The ticker symbol of the benchmark to compare the strategy to.
         strategy_name (str): The name of the strategy.
     """
     # Load the returns data
-    returns = equity_curve.copy()
+    returns = returns.copy()
 
     # Drop duplicate index entries
     returns = returns[~returns.index.duplicated(keep='first')]
@@ -332,11 +317,5 @@ def show_qs_stats(equity_curve, benchmark, strategy_name):
     qs.extend_pandas()
 
     # Generate the full report with a benchmark
-    file = strategy_name.replace(' ', '_')
-    qs.reports.full(
-        returns['Returns'], mode='full', benchmark=benchmark)
-    qs.reports.html(
-        returns['Returns'], 
-        benchmark='SPY', 
-        output=f"{file}_report.html", 
-        title=strategy_name)
+    qs.reports.full(returns, mode='full', benchmark=benchmark)
+    qs.reports.html(returns, benchmark=benchmark, output=save_dir, title=strategy_name)

bbstrader/btengine/portfolio.py

@@ -1,13 +1,15 @@
 import pandas as pd
 from queue import Queue
+from pathlib import Path
 from datetime import datetime
 from bbstrader.btengine.event import (
     OrderEvent, FillEvent, MarketEvent, SignalEvent
 )
 from bbstrader.btengine.data import DataHandler
 from bbstrader.btengine.performance import (
-    create_drawdowns, plot_performance, show_qs_stats,
-    plot_returns_and_dd, plot_monthly_yearly_returns
+    create_drawdowns, create_sharpe_ratio, create_sortino_ratio, 
+    plot_performance, show_qs_stats,plot_returns_and_dd, 
+    plot_monthly_yearly_returns
 )
 import quantstats as qs
 
@@ -306,8 +308,8 @@ class Portfolio(object):
         returns = self.equity_curve['Returns']
         pnl = self.equity_curve['Equity Curve']
 
-        sharpe_ratio = qs.stats.sharpe(returns, periods=self.tf)
-        sortino_ratio = qs.stats.sortino(returns, periods=self.tf)
+        sharpe_ratio = create_sharpe_ratio(returns, periods=self.tf)
+        sortino_ratio = create_sortino_ratio(returns, periods=self.tf)
         drawdown, _, _ = create_drawdowns(pnl)
         max_dd = qs.stats.max_drawdown(returns)
         dd_details = qs.stats.drawdown_details(drawdown)
@@ -323,14 +325,20 @@ class Portfolio(object):
         ]
         now = datetime.now().strftime('%Y%m%d%H%M%S')
         strategy_name = self.strategy_name.replace(' ', '_')
-        file =  f"{strategy_name}_{now}_equity.csv"
-        self.equity_curve.to_csv(file)
+        results_dir = Path('.backtests') / strategy_name
+        results_dir.mkdir(parents=True, exist_ok=True)
+        
+        csv_file =  f"{strategy_name}_{now}_equity.csv"
+        png_file = f'{strategy_name}_{now}_returns_heatmap.png'
+        html_file = f"{strategy_name}_{now}_report.html"
+        self.equity_curve.to_csv(results_dir / csv_file)
+        
         plot_performance(self.equity_curve, self.strategy_name)
-        plot_returns_and_dd(self.equity_curve,
-                            self.benchmark, self.strategy_name)
-        qs.plots.monthly_heatmap(returns, savefig='monthly_heatmap.png')
+        plot_returns_and_dd(self.equity_curve, self.benchmark, self.strategy_name)
+        qs.plots.monthly_heatmap(returns, savefig=f"{results_dir}/{png_file}")
         plot_monthly_yearly_returns(self.equity_curve, self.strategy_name)
-        show_qs_stats(self.equity_curve, self.benchmark, self.strategy_name)
+        show_qs_stats(returns, self.benchmark, self.strategy_name, 
+                      save_dir=f"{results_dir}/{html_file}")
 
         return stats
 

bbstrader/metatrader/account.py

@@ -6,10 +6,9 @@ from datetime import datetime
 import MetaTrader5 as mt5
 from currency_converter import SINGLE_DAY_ECB_URL, CurrencyConverter
 from bbstrader.metatrader.utils import (
-    raise_mt5_error, AccountInfo, TerminalInfo,
+    raise_mt5_error, AccountInfo, TerminalInfo, InvalidBroker,
     SymbolInfo, TickInfo, TradeRequest, OrderCheckResult,
-    OrderSentResult, TradePosition, TradeOrder, TradeDeal,
-)
+    OrderSentResult, TradePosition, TradeOrder, TradeDeal,)
 from typing import Tuple, Union, List, Dict, Any, Optional, Literal
 
 
@@ -18,6 +17,13 @@ __BROKERS__ = {
     'JGM': "Just Global Markets Ltd.",
     'FTMO': "FTMO S.R.O."
 }
+
+BROKERS_TIMEZONES = {
+    'AMG': 'Europe/Helsinki',
+    'JGM': 'Europe/Helsinki',
+    'FTMO': 'Europe/Helsinki'
+}
+
 _ADMIRAL_MARKETS_URL_ = "https://cabinet.a-partnership.com/visit/?bta=35537&brand=admiralmarkets"
 _ADMIRAL_MARKETS_PRODUCTS_ = ["Stocks", "ETFs",
                             "Indices", "Commodities", "Futures", "Forex"]
@@ -48,6 +54,14 @@ _SYMBOLS_TYPE_ = {
     "CRYPTO": r'\b(Cryptos?)\b'
 }
 
+def check_mt5_connection():
+    try:
+        init = mt5.initialize()
+        if not init:
+            raise_mt5_error(INIT_MSG)
+    except Exception:
+        raise_mt5_error(INIT_MSG)
+
 class Account(object):
     """
     The `Account` class is utilized to retrieve information about 
@@ -85,21 +99,21 @@ class Account(object):
     """
 
     def __init__(self):
-        if not mt5.initialize():
-            raise_mt5_error(message=INIT_MSG)
+        check_mt5_connection()
         self._check_brokers()
 
     def _check_brokers(self):
         supported = __BROKERS__.copy()
         broker = self.get_terminal_info().company
         if broker not in supported.values():
-            raise ValueError(
+            msg = (
                 f"{broker} is not currently supported broker for the Account() class\n"
                 f"Currently Supported brokers are: {', '.join(supported.values())}\n"
                 f"For {supported['AMG']}, See [{amg_url}]\n"
                 f"For {supported['JGM']}, See [{jgm_url}]\n"
                 f"For {supported['FTMO']}, See [{ftmo_url}]\n"
             )
+            raise InvalidBroker(message=msg)
 
     def get_account_info(
         self,

bbstrader/metatrader/rates.py

@@ -3,9 +3,8 @@ import MetaTrader5 as Mt5
 from datetime import datetime
 from typing import Union, Optional
 from bbstrader.metatrader.utils import (
-    raise_mt5_error, TimeFrame, TIMEFRAMES
-)
-from bbstrader.metatrader.account import INIT_MSG
+    raise_mt5_error, TimeFrame, TIMEFRAMES)
+from bbstrader.metatrader.account import check_mt5_connection
 from pandas.tseries.offsets import CustomBusinessDay
 from pandas.tseries.holiday import USFederalHolidayCalendar
 
@@ -28,7 +27,7 @@ class Rates(object):
         In your MT5 terminal, go to `Tools` -> `Options` -> `Charts` -> `Max bars in chart`.
         
         2. The `get_open, get_high, get_low, get_close, get_adj_close, get_returns,
-        get_volume` properties return data in  Broker's timezone.
+        get_volume` properties returns data in  Broker's timezone.
 
     Example:
         >>> rates = Rates("EURUSD", "1h")
@@ -75,9 +74,7 @@ class Rates(object):
 
 
     def _mt5_initialized(self):
-        """Ensures the MetaTrader 5 Terminal is initialized."""
-        if not Mt5.initialize():
-            raise_mt5_error(message=INIT_MSG)
+        check_mt5_connection()
     
     def _get_start_pos(self, index, time_frame):
         if isinstance(index, int):
@@ -226,7 +223,7 @@ class Rates(object):
     
     @property
     def get_volume(self):
-        return self.data['Volume']
+        return self.__data['Volume']
 
     def get_historical_data(
         self,
@@ -252,7 +249,7 @@ class Rates(object):
             ValueError: If the starting date is greater than the ending date.
         
         Notes:
-            The Datetime for this method is in UTC timezone.
+            The Datetime for this method is in Local timezone.
         """
         df = self._fetch_data(date_from, date_to)
         if save_csv and df is not None:

bbstrader/metatrader/risk.py

@@ -7,8 +7,7 @@ import MetaTrader5 as Mt5
 from bbstrader.metatrader.account import Account
 from bbstrader.metatrader.rates import Rates
 from bbstrader.metatrader.utils import (
-    TIMEFRAMES, raise_mt5_error, TimeFrame
-)
+    TIMEFRAMES, raise_mt5_error, TimeFrame)
 from typing import List, Dict, Optional, Literal, Union, Any
 
 
@@ -342,7 +341,7 @@ class RiskManagement(Account):
         """
         P = self.get_account_info().margin_free
         trade_risk = self.get_trade_risk()
-        loss_allowed = P * trade_risk
+        loss_allowed = P * trade_risk / 100
         var = self.calculate_var(c=self.var_level, tf=self.var_tf)
         return min(var, loss_allowed)