investing-algorithm-framework 3.7.0__py3-none-any.whl → 7.19.15__py3-none-any.whl

investing_algorithm_framework/domain/utils/backtesting.py

@@ -1,472 +0,0 @@
-import os
-import json
-from datetime import datetime
-from typing import List, Tuple
-
-from tabulate import tabulate
-
-from investing_algorithm_framework.domain import DATETIME_FORMAT, \
-    BacktestDateRange
-from investing_algorithm_framework.domain.exceptions import \
-    OperationalException
-from investing_algorithm_framework.domain.models.backtesting import \
-    BacktestReportsEvaluation, BacktestReport
-
-COLOR_RED = '\033[91m'
-COLOR_PURPLE = '\033[95m'
-COLOR_RESET = '\033[0m'
-COLOR_GREEN = '\033[92m'
-COLOR_YELLOW = '\033[93m'
-
-
-def is_positive(number) -> bool:
-    """
-    Check if a number is positive.
-
-    param number: The number
-    :return: True if the number is positive, False otherwise
-    """
-    number = float(number)
-    return number > 0
-
-
-def pretty_print_profit_evaluation(reports, precision=4):
-    profit_table = {}
-    profit_table["Algorithm name"] = [
-        report.name for report in reports
-    ]
-    profit_table["Profit"] = [
-        f"{report.total_net_gain:.{precision}f} {report.trading_symbol}"
-        for report in reports
-    ]
-    profit_table["Profit percentage"] = [
-        f"{report.total_net_gain_percentage:.{precision}f}%" for report in reports
-    ]
-    profit_table["Date range"] = [
-        f"{report.backtest_date_range.name} {report.backtest_date_range.start_date} - {report.backtest_date_range.end_date}"
-        for report in reports
-    ]
-    profit_table["Total value"] = [
-        f"{report.total_value:.{precision}f}" for report in reports
-    ]
-    print(tabulate(profit_table, headers="keys", tablefmt="rounded_grid"))
-
-
-def pretty_print_growth_evaluation(reports, precision=4):
-    growth_table = {}
-    growth_table["Algorithm name"] = [
-        report.name for report in reports
-    ]
-    growth_table["Growth"] = [
-        f"{report.growth:.{precision}f} {report.trading_symbol}" for report in reports
-    ]
-    growth_table["Growth percentage"] = [
-        f"{report.growth_rate:.{precision}f}%" for report in reports
-    ]
-    growth_table["Date range"] = [
-        f"{report.backtest_date_range.name} {report.backtest_date_range.start_date} - {report.backtest_date_range.end_date}"
-        for report in reports
-    ]
-    growth_table["Total value"] = [
-        f"{report.total_value:.{precision}f}" for report in reports
-    ]
-    print(
-        tabulate(growth_table, headers="keys", tablefmt="rounded_grid")
-    )
-
-def pretty_print_percentage_positive_trades_evaluation(
-    evaluation: BacktestReportsEvaluation,
-    backtest_date_range: BacktestDateRange,
-    precision=0,
-    number_of_reports=3
-):
-    order = evaluation.get_percentage_positive_trades_order(backtest_date_range=backtest_date_range)
-    print(f"{COLOR_YELLOW}Trades:{COLOR_RESET} {COLOR_GREEN}Top {number_of_reports}{COLOR_RESET}")
-    profit_table = {}
-    profit_table["Algorithm name"] = [
-        report.name for report in order[:number_of_reports]
-    ]
-    profit_table["Percentage positive trades"] = [
-        f"{report.percentage_positive_trades:.{precision}f}%"
-        for report in order[:number_of_reports]
-    ]
-    profit_table["Total amount of trades"] = [
-        f"{report.number_of_trades_closed}" for report in order[:number_of_reports]
-    ]
-    print(
-        tabulate(profit_table, headers="keys", tablefmt="rounded_grid")
-    )
-
-    least = order[-number_of_reports:]
-    table = {}
-    table["Algorithm name"] = [
-        report.name for report in least
-    ]
-    table["Percentage positive trades"] = [
-        f"{report.percentage_positive_trades:.{precision}f}%"
-        for report in least
-    ]
-    table["Total amount of trades"] = [
-        f"{report.number_of_trades_closed}" for report in
-        least
-    ]
-
-    print(
-        f"{COLOR_RED}Worst trades:{COLOR_RESET} {COLOR_GREEN}"
-        f"Top {number_of_reports}{COLOR_RESET}"
-    )
-    print(
-        tabulate(
-            table, headers="keys", tablefmt="rounded_grid"
-        )
-    )
-
-
-def pretty_print_date_ranges(date_ranges: List[BacktestDateRange]) -> None:
-    """
-    Pretty print the date ranges to the console.
-
-    param date_ranges: The date ranges
-    """
-    print(f"{COLOR_YELLOW}Date ranges of backtests:{COLOR_RESET}")
-    for date_range in date_ranges:
-        start_date = date_range.start_date
-        end_date = date_range.end_date
-
-        if isinstance(start_date, datetime):
-            start_date = start_date.strftime(DATETIME_FORMAT)
-
-        if isinstance(end_date, datetime):
-            end_date = end_date.strftime(DATETIME_FORMAT)
-
-        if date_range.name is not None:
-            print(f"{COLOR_GREEN}{date_range.name}: {start_date} - {end_date}{COLOR_RESET}")
-        else:
-            print(f"{COLOR_GREEN}{start_date} - {end_date}{COLOR_RESET}")
-
-
-def pretty_print_price_efficiency(reports, precision=4):
-    """
-    Pretty print the price efficiency of the backtest reports evaluation
-    to the console.
-    """
-    # Get all symbols of the reports
-    print(f"{COLOR_YELLOW}Price noise{COLOR_RESET}")
-    rows = []
-
-    for report in reports:
-
-        if report.metrics is not None and "efficiency_ratio" in report.metrics:
-            price_efficiency = report.metrics["efficiency_ratio"]
-
-            for symbol in price_efficiency:
-                row = {}
-                row["Symbol"] = symbol
-                row["Efficiency ratio / Noise"] = f"{price_efficiency[symbol]:.{precision}f}"
-                row["Date"] = f"{report.backtest_start_date} - {report.backtest_end_date}"
-
-
-
-
-                if report.backtest_date_range.name is not None:
-                    row["Date"] = f"{report.backtest_date_range.name} " \
-                                  f"{report.backtest_date_range.start_date}" \
-                                  f" - {report.backtest_date_range.end_date}"
-                else:
-                    row["Date"] = f"{report.backtest_start_date} - " \
-                                   f"{report.backtest_end_date}"
-
-                rows.append(row)
-
-    # Remove all duplicate rows with the same symbol and date range
-    unique_rows = []
-
-    # Initialize an empty set to track unique (symbol, date) pairs
-    seen = set()
-    # Initialize a list to store the filtered dictionaries
-    filtered_data = []
-
-    # Iterate through each dictionary in the list
-    for entry in rows:
-        # Extract the (symbol, date) pair
-        pair = (entry["Symbol"], entry["Date"])
-        # Check if the pair is already in the set
-        if pair not in seen:
-            # If not, add the pair to the set and
-            # the entry to the filtered list
-            seen.add(pair)
-            filtered_data.append(entry)
-
-    print(
-        tabulate(
-            filtered_data,
-            headers="keys",
-            tablefmt="rounded_grid"
-        )
-    )
-
-
-def pretty_print_most_profitable(
-    evaluation: BacktestReportsEvaluation,
-    backtest_date_range: BacktestDateRange,
-    precision=4,
-):
-    profits = evaluation.get_profit_order(backtest_date_range=backtest_date_range)
-    profit = profits[0]
-    print(f"{COLOR_YELLOW}Most profitable:{COLOR_RESET} {COLOR_GREEN}Algorithm {profit.name} {profit.total_net_gain:.{precision}f} {profit.trading_symbol} {profit.total_net_gain_percentage:.{precision}f}%{COLOR_RESET}")
-
-
-def pretty_print_most_growth(
-    evaluation: BacktestReportsEvaluation,
-    backtest_date_range: BacktestDateRange,
-    precision=4,
-):
-    profits = evaluation.get_growth_order(backtest_date_range=backtest_date_range)
-    profit = profits[0]
-    print(f"{COLOR_YELLOW}Most growth:{COLOR_RESET} {COLOR_GREEN}Algorithm {profit.name} {profit.growth:.{precision}f} {profit.trading_symbol} {profit.growth_rate:.{precision}f}%{COLOR_RESET}")
-
-
-def pretty_print_percentage_positive_trades(
-    evaluation: BacktestReportsEvaluation,
-    backtest_date_range: BacktestDateRange,
-    precision=0
-):
-    percentages = evaluation.get_percentage_positive_trades_order(backtest_date_range=backtest_date_range)
-    percentages = percentages[0]
-    print(f"{COLOR_YELLOW}Most positive trades:{COLOR_RESET} {COLOR_GREEN}Algorithm {percentages.name} {percentages.percentage_positive_trades:.{precision}f}%{COLOR_RESET}")
-
-
-def pretty_print_backtest_reports_evaluation(
-    backtest_reports_evaluation: BacktestReportsEvaluation,
-    precision=4,
-    backtest_date_range: BacktestDateRange = None
-) -> None:
-    """
-    Pretty print the backtest reports evaluation to the console.
-    """
-    if backtest_date_range is not None:
-        reports = backtest_reports_evaluation.get_reports(backtest_date_range=backtest_date_range)
-
-        if len(reports) == 0:
-            print(f"No reports available for date range {backtest_date_range}")
-            return
-    else:
-        reports = backtest_reports_evaluation.backtest_reports
-
-    number_of_backtest_reports = len(reports)
-    most_profitable = backtest_reports_evaluation.get_profit_order(backtest_date_range)[0]
-    most_growth = backtest_reports_evaluation.get_growth_order(backtest_date_range)[0]
-
-    ascii_art = f"""
-              :%%%#+-          .=*#%%%      {COLOR_GREEN}Backtest reports evaluation{COLOR_RESET}
-              *%%%%%%%+------=*%%%%%%%-     {COLOR_GREEN}---------------------------{COLOR_RESET}
-              *%%%%%%%%%%%%%%%%%%%%%%%-     {COLOR_YELLOW}Number of reports:{COLOR_RESET} {COLOR_GREEN}{number_of_backtest_reports} backtest reports{COLOR_RESET}
-              .%%%%%%%%%%%%%%%%%%%%%%#      {COLOR_YELLOW}Largest overall profit:{COLOR_RESET}{COLOR_GREEN}{COLOR_RESET}{COLOR_GREEN} (Algorithm {most_profitable.name}) {most_profitable.total_net_gain:.{precision}f} {most_profitable.trading_symbol} {most_profitable.total_net_gain_percentage:.{precision}f}% ({most_profitable.backtest_date_range.name} {most_profitable.backtest_date_range.start_date} - {most_profitable.backtest_date_range.end_date}){COLOR_RESET} 
-               #%%%####%%%%%%%%**#%%%+      {COLOR_YELLOW}Largest overall growth:{COLOR_RESET}{COLOR_GREEN} (Algorithm {most_profitable.name}) {most_growth.growth:.{precision}f} {most_growth.trading_symbol} {most_growth.growth_rate:.{precision}f}% ({most_growth.backtest_date_range.name} {most_growth.backtest_date_range.start_date} - {most_growth.backtest_date_range.end_date}){COLOR_RESET}
-         .:-+*%%%%- {COLOR_PURPLE}-+..#{COLOR_RESET}%%%+.{COLOR_PURPLE}+-  +{COLOR_RESET}%%%#*=-: 
-          .:-=*%%%%. {COLOR_PURPLE}+={COLOR_RESET} .%%#  {COLOR_PURPLE}-+.-{COLOR_RESET}%%%%=-:.. 
-          .:=+#%%%%%*###%%%%#*+#%%%%%%*+-:  
-                +%%%%%%%%%%%%%%%%%%%=       
-            :++  .=#%%%%%%%%%%%%%*-         
-           :++:      :+%%%%%%#-.            
-          :++:        .%%%%%#=              
-         :++:        .#%%%%%#*=             
-        :++-        :%%%%%%%%%+=            
-       .++-        -%%%%%%%%%%%+=           
-      .++-        .%%%%%%%%%%%%%+=          
-     .++-         *%%%%%%%%%%%%%*+:         
-    .++-          %%%%%%%%%%%%%%#+=         
-    =++........:::%%%%%%%%%%%%%%*+-         
-    .=++++++++++**#%%%%%%%%%%%%%++.         
-    """
-
-    if len(backtest_reports_evaluation.backtest_reports) == 0:
-        print("No backtest reports available in your evaluation")
-        return
-
-    print(ascii_art)
-    if backtest_date_range is None:
-        pretty_print_date_ranges(backtest_reports_evaluation.get_date_ranges())
-        print("")
-
-    pretty_print_price_efficiency(reports, precision=precision)
-    print(f"{COLOR_YELLOW}All profits ordered{COLOR_RESET}")
-    pretty_print_profit_evaluation(
-        backtest_reports_evaluation.get_profit_order(backtest_date_range), precision
-    )
-    print(f"{COLOR_YELLOW}All growths ordered{COLOR_RESET}")
-    pretty_print_growth_evaluation(
-        backtest_reports_evaluation.get_growth_order(backtest_date_range), precision
-    )
-
-
-def print_number_of_runs(report):
-
-    if report.number_of_runs == 1:
-
-        if report.inteval > 1:
-            print(f"Strategy ran every {report.interval} {report.time_unit} "
-                  f"for a total of {report.number_of_runs} time")
-
-
-def pretty_print_backtest(
-    backtest_report, show_positions=True, show_trades=True, precision=4
-):
-    """
-    Pretty print the backtest report to the console.
-
-    :param backtest_report: The backtest report
-    :param show_positions: Show the positions
-    :param show_trades: Show the trades
-    :param precision: The precision of the numbers
-    """
-
-    ascii_art = f"""
-                  :%%%#+-          .=*#%%%        {COLOR_GREEN}Backtest report{COLOR_RESET}
-                  *%%%%%%%+------=*%%%%%%%-       {COLOR_GREEN}---------------------------{COLOR_RESET}
-                  *%%%%%%%%%%%%%%%%%%%%%%%-       {COLOR_YELLOW}Start date:{COLOR_RESET}{COLOR_GREEN} {backtest_report.backtest_start_date}{COLOR_RESET}
-                  .%%%%%%%%%%%%%%%%%%%%%%#        {COLOR_YELLOW}End date:{COLOR_RESET}{COLOR_GREEN} {backtest_report.backtest_end_date}{COLOR_RESET}
-                   #%%%####%%%%%%%%**#%%%+        {COLOR_YELLOW}Number of days:{COLOR_RESET}{COLOR_GREEN}{COLOR_RESET}{COLOR_GREEN} {backtest_report.number_of_days}{COLOR_RESET} 
-             .:-+*%%%%- {COLOR_PURPLE}-+..#{COLOR_RESET}%%%+.{COLOR_PURPLE}+-  +{COLOR_RESET}%%%#*=-:   {COLOR_YELLOW}Number of runs:{COLOR_RESET}{COLOR_GREEN} {backtest_report.number_of_runs}{COLOR_RESET}
-              .:-=*%%%%. {COLOR_PURPLE}+={COLOR_RESET} .%%#  {COLOR_PURPLE}-+.-{COLOR_RESET}%%%%=-:..   {COLOR_YELLOW}Number of orders:{COLOR_RESET}{COLOR_GREEN} {backtest_report.number_of_orders}{COLOR_RESET}
-              .:=+#%%%%%*###%%%%#*+#%%%%%%*+-:    {COLOR_YELLOW}Initial balance:{COLOR_RESET}{COLOR_GREEN} {backtest_report.initial_unallocated}{COLOR_RESET}
-                    +%%%%%%%%%%%%%%%%%%%=         {COLOR_YELLOW}Final balance:{COLOR_RESET}{COLOR_GREEN} {backtest_report.total_value:.{precision}f}{COLOR_RESET}
-                :++  .=#%%%%%%%%%%%%%*-           {COLOR_YELLOW}Total net gain:{COLOR_RESET}{COLOR_GREEN} {backtest_report.total_net_gain:.{precision}f} {backtest_report.total_net_gain_percentage:.{precision}}%{COLOR_RESET}
-               :++:      :+%%%%%%#-.              {COLOR_YELLOW}Growth:{COLOR_RESET}{COLOR_GREEN} {backtest_report.growth:.{precision}f} {backtest_report.growth_rate:.{precision}}%{COLOR_RESET}
-              :++:        .%%%%%#=                {COLOR_YELLOW}Number of trades closed:{COLOR_RESET}{COLOR_GREEN} {backtest_report.number_of_trades_closed}{COLOR_RESET}
-             :++:        .#%%%%%#*=               {COLOR_YELLOW}Number of trades open(end of backtest):{COLOR_RESET}{COLOR_GREEN} {backtest_report.number_of_trades_open}{COLOR_RESET}
-            :++-        :%%%%%%%%%+=              {COLOR_YELLOW}Percentage positive trades:{COLOR_RESET}{COLOR_GREEN} {backtest_report.percentage_positive_trades}%{COLOR_RESET}
-           .++-        -%%%%%%%%%%%+=             {COLOR_YELLOW}Percentage negative trades:{COLOR_RESET}{COLOR_GREEN} {backtest_report.percentage_negative_trades}%{COLOR_RESET}
-          .++-        .%%%%%%%%%%%%%+=            {COLOR_YELLOW}Average trade size:{COLOR_RESET}{COLOR_GREEN} {backtest_report.average_trade_size:.{precision}f} {backtest_report.trading_symbol}{COLOR_RESET}
-         .++-         *%%%%%%%%%%%%%*+:           {COLOR_YELLOW}Average trade duration:{COLOR_RESET}{COLOR_GREEN} {backtest_report.average_trade_duration} hours{COLOR_RESET}
-        .++-          %%%%%%%%%%%%%%#+=         
-        =++........:::%%%%%%%%%%%%%%*+-         
-        .=++++++++++**#%%%%%%%%%%%%%++.         
-        """
-
-    print(ascii_art)
-    pretty_print_price_efficiency([backtest_report], precision=precision)
-
-    if show_positions:
-        print(f"{COLOR_YELLOW}Positions overview{COLOR_RESET}")
-        position_table = {}
-        position_table["Position"] = [
-            position.symbol for position in backtest_report.positions
-        ]
-        position_table["Amount"] = [
-            f"{position.amount:.{precision}f}" for position in
-            backtest_report.positions
-        ]
-        position_table["Pending buy amount"] = [
-            f"{position.amount_pending_buy:.{precision}f}"
-            for position in backtest_report.positions
-        ]
-        position_table["Pending sell amount"] = [
-            f"{position.amount_pending_sell:.{precision}f}"
-            for position in backtest_report.positions
-        ]
-        position_table[f"Cost ({backtest_report.trading_symbol})"] = [
-            f"{position.cost:.{precision}f}"
-            for position in backtest_report.positions
-        ]
-        position_table[f"Value ({backtest_report.trading_symbol})"] = [
-            f"{position.value:.{precision}f}"
-            for position in backtest_report.positions
-        ]
-        position_table["Percentage of portfolio"] = [
-            f"{position.percentage_of_portfolio:.{precision}f}%"
-            for position in backtest_report.positions
-        ]
-        position_table[f"Growth ({backtest_report.trading_symbol})"] = [
-            f"{position.growth:.{precision}f}"
-            for position in backtest_report.positions
-        ]
-        position_table["Growth_rate"] = [
-            f"{position.growth_rate:.{precision}f}%"
-            for position in backtest_report.positions
-        ]
-        print(
-            tabulate(position_table, headers="keys", tablefmt="rounded_grid")
-        )
-
-    if show_trades:
-        print(f"{COLOR_YELLOW}Trades overview{COLOR_RESET}")
-        trades_table = {}
-        trades_table["Pair"] = [
-            f"{trade.target_symbol}-{trade.trading_symbol}"
-            for trade in backtest_report.trades
-        ]
-        trades_table["Open date"] = [
-            trade.opened_at for trade in backtest_report.trades
-        ]
-        trades_table["Close date"] = [
-            trade.closed_at for trade in backtest_report.trades
-        ]
-        trades_table["Duration (hours)"] = [
-            trade.duration for trade in backtest_report.trades
-        ]
-        trades_table[f"Size ({backtest_report.trading_symbol})"] = [
-            f"{trade.size:.{precision}f}" for trade in backtest_report.trades
-        ]
-        trades_table[f"Net gain ({backtest_report.trading_symbol})"] = [
-            f"{trade.net_gain:.{precision}f}"
-            for trade in backtest_report.trades
-        ]
-        trades_table["Net gain percentage"] = [
-            f"{trade.net_gain_percentage:.{precision}f}%"
-            for trade in backtest_report.trades
-        ]
-        trades_table[f"Open price ({backtest_report.trading_symbol})"] = [
-            trade.open_price for trade in backtest_report.trades
-        ]
-        trades_table[f"Close price ({backtest_report.trading_symbol})"] = [
-            trade.closed_price for trade in backtest_report.trades
-        ]
-        print(tabulate(trades_table, headers="keys", tablefmt="rounded_grid"))
-
-
-def load_backtest_report(file_path: str) -> BacktestReport:
-    """
-    Load a backtest report from a file.
-
-    param file_path: The file path
-    :return: The backtest report
-    """
-
-    if not os.path.isfile(file_path):
-        raise OperationalException("File does not exist")
-
-    if not file_path.endswith(".json"):
-        raise OperationalException("File is not a json file")
-
-    with open(file_path, 'r') as json_file:
-        data = json.load(json_file)
-
-    return BacktestReport.from_dict(data)
-
-
-def load_backtest_reports(folder_path: str) -> List[BacktestReport]:
-    """
-    Load backtest reports from a folder.
-
-    param folder_path: The folder path
-    :return: The backtest reports
-    """
-    backtest_reports = []
-
-    if not os.path.exists(folder_path):
-        raise OperationalException(f"Folder {folder_path} does not exist")
-
-    list_of_files = os.listdir(folder_path)
-
-    if not list_of_files:
-        raise OperationalException(f"Folder {folder_path} is empty")
-
-    for file in list_of_files:
-        if not file.endswith(".json"):
-            continue
-        file_path = os.path.join(folder_path, file)
-        report = load_backtest_report(file_path)
-        backtest_reports.append(report)
-
-    return backtest_reports

investing_algorithm_framework/infrastructure/models/market_data_sources/__init__.py

@@ -1,12 +0,0 @@
-from .ccxt import CCXTOrderBookMarketDataSource, CCXTTickerMarketDataSource, \
-    CCXTOHLCVMarketDataSource, CCXTOHLCVBacktestMarketDataSource
-from .csv import CSVOHLCVMarketDataSource, CSVTickerMarketDataSource
-
-__all__ = [
-    'CCXTOrderBookMarketDataSource',
-    'CCXTTickerMarketDataSource',
-    'CCXTOHLCVMarketDataSource',
-    "CCXTOHLCVBacktestMarketDataSource",
-    "CSVOHLCVMarketDataSource",
-    "CSVTickerMarketDataSource"
-]