bbstrader 0.1.94__py3-none-any.whl → 0.2.0__py3-none-any.whl

bbstrader/models/optimization.py

@@ -17,19 +17,19 @@ def markowitz_weights(prices=None, rfr=0.0, freq=252):
     """
     Calculates optimal portfolio weights using Markowitz's mean-variance optimization (Max Sharpe Ratio) with multiple solvers.
 
-    Parameters:
+    Parameters
     ----------
     prices : pd.DataFrame, optional
         Price data for assets, where rows represent time periods and columns represent assets.
     freq : int, optional
         Frequency of the data, such as 252 for daily returns in a year (default is 252).
 
-    Returns:
+    Returns
     -------
     dict
         Dictionary containing the optimal asset weights for maximizing the Sharpe ratio, normalized to sum to 1.
 
-    Notes:
+    Notes
     -----
     This function attempts to maximize the Sharpe ratio by iterating through various solvers ('SCS', 'ECOS', 'OSQP') 
     from the PyPortfolioOpt library. If a solver fails, it proceeds to the next one. If none succeed, an error message 
@@ -37,7 +37,7 @@ def markowitz_weights(prices=None, rfr=0.0, freq=252):
 
     This function is useful for portfolio with a small number of assets, as it may not scale well for large portfolios.
     
-    Raises:
+    Raises
     ------
     Exception
         If all solvers fail, each will print an exception error message during runtime.
@@ -61,7 +61,7 @@ def hierarchical_risk_parity(prices=None, returns=None, freq=252):
     """
     Computes asset weights using Hierarchical Risk Parity (HRP) for risk-averse portfolio allocation.
 
-    Parameters:
+    Parameters
     ----------
     prices : pd.DataFrame, optional
         Price data for assets; if provided, daily returns will be calculated.
@@ -70,17 +70,17 @@ def hierarchical_risk_parity(prices=None, returns=None, freq=252):
     freq : int, optional
         Number of days to consider in calculating portfolio weights (default is 252).
 
-    Returns:
+    Returns
     -------
     dict
         Optimized asset weights using the HRP method, with asset weights summing to 1.
 
-    Raises:
+    Raises
     ------
     ValueError
         If neither `prices` nor `returns` are provided.
 
-    Notes:
+    Notes
     -----
     Hierarchical Risk Parity is particularly useful for portfolios with a large number of assets, 
     as it mitigates issues of multicollinearity and estimation errors in covariance matrices by 
@@ -101,7 +101,7 @@ def equal_weighted(prices=None, returns=None, round_digits=5):
     """
     Generates an equal-weighted portfolio by assigning an equal proportion to each asset.
 
-    Parameters:
+    Parameters
     ----------
     prices : pd.DataFrame, optional
         Price data for assets, where each column represents an asset.
@@ -110,21 +110,22 @@ def equal_weighted(prices=None, returns=None, round_digits=5):
     round_digits : int, optional
         Number of decimal places to round each weight to (default is 5).
 
-    Returns:
+    Returns
     -------
     dict
         Dictionary with equal weights assigned to each asset, summing to 1.
 
-    Raises:
+    Raises
     ------
     ValueError
         If neither `prices` nor `returns` are provided.
 
-    Notes:
+    Notes
     -----
     Equal weighting is a simple allocation method that assumes equal importance across all assets, 
     useful as a baseline model and when no strong views exist on asset return expectations or risk.
     """
+
     if returns is None and prices is None:
         raise ValueError("Either prices or returns must be provided")
     if returns is None:
@@ -139,7 +140,7 @@ def optimized_weights(prices=None, returns=None, rfr=0.0, freq=252, method='equa
     """
     Selects an optimization method to calculate portfolio weights based on user preference.
 
-    Parameters:
+    Parameters
     ----------
     prices : pd.DataFrame, optional
         Price data for assets, required for certain methods.
@@ -150,17 +151,17 @@ def optimized_weights(prices=None, returns=None, rfr=0.0, freq=252, method='equa
     method : str, optional
         Optimization method to use ('markowitz', 'hrp', or 'equal') (default is 'markowitz').
 
-    Returns:
+    Returns
     -------
     dict
         Dictionary containing optimized asset weights based on the chosen method.
 
-    Raises:
+    Raises
     ------
     ValueError
         If an unknown optimization method is specified.
 
-    Notes:
+    Notes
     -----
     This function integrates different optimization methods:
     - 'markowitz': mean-variance optimization with max Sharpe ratio

bbstrader/models/{portfolios.py → portfolio.py}

@@ -20,6 +20,15 @@ class EigenPortfolios(object):
     to derive portfolios (eigenportfolios) that capture distinct risk factors in the asset returns. Each eigenportfolio 
     represents a principal component of the return covariance matrix, ordered by the magnitude of its eigenvalue. These 
     portfolios capture most of the variance in asset returns and are mutually uncorrelated.
+
+    Notes
+    -----
+    The implementation is inspired by the book "Machine Learning for Algorithmic Trading" by Stefan Jansen.
+
+    References
+    ----------
+    Stefan Jansen (2020). Machine Learning for Algorithmic Trading - Second Edition.
+    chapter 13, Data-Driven Risk Factors and Asset Allocation with Unsupervised Learning.
     
     """
     def __init__(self):
@@ -32,12 +41,12 @@ class EigenPortfolios(object):
         """
         Returns the computed eigenportfolios (weights of assets in each portfolio).
         
-        Returns:
+        Returns
         -------
         pd.DataFrame
             DataFrame containing eigenportfolio weights for each asset.
         
-        Raises:
+        Raises
         ------
         ValueError
             If `fit()` has not been called before retrieving portfolios.
@@ -50,19 +59,19 @@ class EigenPortfolios(object):
         """
         Computes the eigenportfolios based on PCA of the asset returns' covariance matrix.
         
-        Parameters:
+        Parameters
         ----------
         returns : pd.DataFrame
             Historical returns of assets to be used for PCA.
         n_portfolios : int, optional
             Number of eigenportfolios to compute (default is 4).
         
-        Returns:
+        Returns
         -------
         pd.DataFrame
             DataFrame containing normalized weights for each eigenportfolio.
 
-        Notes:
+        Notes
         -----
         This method performs winsorization and normalization on returns to reduce the impact of outliers 
         and achieve zero mean and unit variance. It uses the first `n_portfolios` principal components 
@@ -94,7 +103,7 @@ class EigenPortfolios(object):
         """
         Plots the weights of each asset in each eigenportfolio as bar charts.
         
-        Notes:
+        Notes
         -----
         Each subplot represents one eigenportfolio, showing the contribution of each asset.
         """
@@ -118,7 +127,7 @@ class EigenPortfolios(object):
         """
         Plots the cumulative returns of each eigenportfolio over time.
         
-        Notes:
+        Notes
         -----
         This method calculates the historical cumulative performance of each eigenportfolio 
         by weighting asset returns according to eigenportfolio weights.
@@ -152,7 +161,7 @@ class EigenPortfolios(object):
         """
         Optimizes the chosen eigenportfolio based on a specified optimization method.
         
-        Parameters:
+        Parameters
         ----------
         portfolio : int, optional
             Index of the eigenportfolio to optimize (default is 1).
@@ -165,17 +174,17 @@ class EigenPortfolios(object):
         plot : bool, optional
             Whether to plot the performance of the optimized portfolio (default is True).
         
-        Returns:
+        Returns
         -------
         dict
             Dictionary of optimized asset weights.
         
-        Raises:
+        Raises
         ------
         ValueError
             If an unknown optimizer is specified, or if prices are not provided when using Markowitz optimization.
         
-        Notes:
+        Notes
         -----
         The optimization method varies based on risk-return assumptions, with options for traditional Markowitz optimization,
         Hierarchical Risk Parity, or equal weighting.

bbstrader/models/risk.py

@@ -385,7 +385,7 @@ def build_hmm_models(symbol_list=None, **kwargs
                 hmm_models[symbol] = hmm
     if mt5_data:
         for symbol in symbols:
-            rates = Rates(symbol, tf, start_pos=hmm_end, session_duration=sd)
+            rates = Rates(symbol, timeframe=tf, start_pos=hmm_end, session_duration=sd, **kwargs)
             data = rates.get_rates_from_pos()
             assert data is not None, f"No data for {symbol}"
             hmm = HMMRiskManager(

bbstrader/trading/execution.py

@@ -85,12 +85,17 @@ def _mt5_execution(
     time_frame = kwargs.get('time_frame', '15m')
     STRATEGY = kwargs.get('strategy_name')
     mtrades  = kwargs.get('max_trades')
+    check_max_trades = kwargs.get('check_max_trades', True)
     notify   = kwargs.get('notify', False)
     if notify:
         telegram  = kwargs.get('telegram', False)
         bot_token = kwargs.get('bot_token')
         chat_id   = kwargs.get('chat_id')
-    
+
+    expert_ids = kwargs.get('expert_id')
+    if expert_ids is None:
+        expert_ids = set([trade.expert_id for trade in trades_instances.values()])
+
     def update_risk(weights):
         if weights is not None:
             for symbol in symbols:
@@ -144,8 +149,14 @@ def _mt5_execution(
                 positions_orders[type] = {}
                 for symbol in symbols:
                     positions_orders[type][symbol] = None
-                    func = getattr(trades_instances[symbol], f"get_current_{type}")
-                    positions_orders[type][symbol] = func()
+                    for id in expert_ids:
+                        func = getattr(trades_instances[symbol], f"get_current_{type}")
+                        func_value = func(id=id)
+                        if func_value is not None:
+                            if positions_orders[type][symbol] is None:
+                                positions_orders[type][symbol] = func(id=id)
+                            else:
+                                positions_orders[type][symbol] += func(id=id)
             buys = positions_orders['buys']
             sells = positions_orders['sells']
             for symbol in symbols:
@@ -155,14 +166,15 @@ def _mt5_execution(
                             logger.info(
                                 f"Current {type.upper()} SYMBOL={symbol}: \
                                     {positions_orders[type][symbol]}, STRATEGY={STRATEGY}")
-            long_market = {
-                symbol: buys[symbol] is not None 
-                and len(buys[symbol]) >= max_trades[symbol] for symbol in symbols
-            }
-            short_market = {
-                symbol: sells[symbol] is not None 
-                and len(sells[symbol]) >= max_trades[symbol] for symbol in symbols
-            }
+            if check_max_trades:
+                long_market = {
+                    symbol: buys[symbol] is not None 
+                    and len(buys[symbol]) >= max_trades[symbol] for symbol in symbols
+                }
+                short_market = {
+                    symbol: sells[symbol] is not None 
+                    and len(sells[symbol]) >= max_trades[symbol] for symbol in symbols
+                }
 
         except Exception as e:
             logger.error(f"Handling Positions and Orders, {e}, STRATEGY={STRATEGY}")
@@ -186,12 +198,15 @@ def _mt5_execution(
                 riskmsg = f"Risk not allowed !!! SYMBOL={trade.symbol}, STRATEGY={STRATEGY}"
                 signal = signals[symbol]
                 if isinstance(signal, dict):
-                    signal = signal['action']
-                    price = signal['price']
+                    action = signal.get('action')
+                    price = signal.get('price')
+                    id = signal.get('id', trade.expert_id)
                     stoplimit = signal.get('stoplimit')
+                    signal = action
                 elif isinstance(signal, str):
                     price = None
                     stoplimit = None
+                    id = trade.expert_id
                 if trade.trading_time() and today in trading_days:
                     if signal is not None:
                         signal = 'BMKT' if signal == 'LONG' else signal
@@ -207,9 +222,9 @@ def _mt5_execution(
                                         if notify:
                                             _send_notification(info)
                                         if position_type in POSITIONS_TYPES:
-                                            trade.close_positions(position_type=order_type)
+                                            trade.close_positions(position_type=order_type, id=id)
                                         else:
-                                            trade.close_orders(order_type=order_type)
+                                            trade.close_orders(order_type=order_type, id=id)
                         elif signal in BUYS and not long_market[symbol]:
                             if use_trade_time:
                                 if time_intervals % trade_time == 0 or buys[symbol] is None:
@@ -217,7 +232,7 @@ def _mt5_execution(
                                     if notify:
                                         _send_notification(info)
                                     trade.open_buy_position(
-                                        action=signal, price=price, stoplimit=stoplimit, mm=mm, comment=comment)
+                                        action=signal, price=price, stoplimit=stoplimit, id=id, mm=mm, comment=comment)
                                 else:
                                     logger.info(tfmsg)
                                     check(buys[symbol], sells[symbol], symbol)
@@ -226,9 +241,11 @@ def _mt5_execution(
                                 if notify:
                                     _send_notification(info)
                                 trade.open_buy_position(
-                                    action=signal, price=price, stoplimit=stoplimit, mm=mm, comment=comment)
-                        elif signal in BUYS and long_market[symbol]:
-                            logger.info(riskmsg)
+                                    action=signal, price=price, stoplimit=stoplimit, id=id, mm=mm, comment=comment)
+                        elif signal in BUYS:
+                            if check_max_trades:
+                                if long_market[symbol]:
+                                    logger.info(riskmsg)
                             check(buys[symbol], sells[symbol], symbol)
 
                         elif signal in SELLS and not short_market[symbol]:
@@ -238,7 +255,7 @@ def _mt5_execution(
                                     if notify:
                                         _send_notification(info)
                                     trade.open_sell_position(
-                                        action=signal, price=price, stoplimit=stoplimit, mm=mm, comment=comment)
+                                        action=signal, price=price, stoplimit=stoplimit, id=id, mm=mm, comment=comment)
                                 else:
                                     logger.info(tfmsg)
                                     check(buys[symbol], sells[symbol], symbol)
@@ -247,9 +264,11 @@ def _mt5_execution(
                                 if notify:
                                     _send_notification(info)
                                 trade.open_sell_position(
-                                    action=signal, price=price, stoplimit=stoplimit, mm=mm, comment=comment)
-                        elif signal in SELLS and short_market[symbol]:
-                            logger.info(riskmsg)
+                                    action=signal, price=price, stoplimit=stoplimit, id=id, mm=mm, comment=comment)
+                        elif signal in SELLS:
+                            if check_max_trades:
+                                if short_market[symbol]:
+                                    logger.info(riskmsg)
                             check(buys[symbol], sells[symbol], symbol)
                     else:
                         check(buys[symbol], sells[symbol], symbol)
@@ -288,7 +307,8 @@ def _mt5_execution(
                 for symbol in symbols:
                     trade = trades_instances[symbol]
                     if trade.days_end() and closing:
-                        trade.close_positions(position_type='all', comment=comment)
+                        for id in expert_ids:
+                            trade.close_positions(position_type='all', id=id, comment=comment)
                         logmsg("Day")
                         trade.statistics(save=True)
                 if day_end:
@@ -312,7 +332,8 @@ def _mt5_execution(
                         logmsg("Day")
 
                     elif trade.days_end() and today == FRIDAY and closing:
-                        trade.close_positions(position_type='all', comment=comment)
+                        for id in expert_ids:
+                            trade.close_positions(position_type='all', id=id, comment=comment)
                         logmsg("Week")
                         trade.statistics(save=True)
                 if day_end and today != FRIDAY:
@@ -341,7 +362,8 @@ def _mt5_execution(
                         and today == FRIDAY
                         and num_days/len(symbols) >= 20
                     ) and closing:
-                        trade.close_positions(position_type='all', comment=comment)
+                        for id in expert_ids:
+                            trade.close_positions(position_type='all', id=id, comment=comment)
                         logmsg("Month")
                         trade.statistics(save=True)
                 if day_end and today != FRIDAY:

bbstrader/trading/strategies.py

@@ -404,7 +404,7 @@ class KalmanFilterStrategy(Strategy):
 
         self.hmm_tiker = kwargs.get("hmm_tiker")
         self._assert_tikers()
-        self.account = Account()
+        self.account = Account(**kwargs)
         self.hmm_window = kwargs.get("hmm_window", 50)
         self.qty = kwargs.get("quantity", 100)
         self.tf = kwargs.get("time_frame", "D1")