investing-algorithm-framework 6.9.1__py3-none-any.whl → 7.19.15__py3-none-any.whl

investing_algorithm_framework/domain/backtesting/backtest_summary_metrics.py

@@ -0,0 +1,162 @@
+import json
+import os
+from dataclasses import dataclass
+from logging import getLogger
+from pathlib import Path
+
+logger = getLogger(__name__)
+
+
+@dataclass
+class BacktestSummaryMetrics:
+    """
+    Represents the summarized results of a backtest,
+    focusing on key headline performance and risk metrics.
+
+    Attributes:
+        total_net_gain (float): Total net gain from the backtest.
+        total_net_gain_percentage (float): Total net gain percentage
+            from the backtest.
+        total_loss (float): Total gross loss from all trades.
+        total_loss_percentage (float): Total gross loss percentage.
+        total_growth (float): Total growth from the backtest.
+        total_growth_percentage (float): Total growth percentage
+            from the backtest.
+        average_net_gain (float): Average returns across multiple backtests.
+        average_net_gain_percentage (float): Average return percentage across
+            multiple backtests.
+        average_growth (float): Average growth across multiple backtests.
+        average_growth_percentage (float): Average growth percentage across
+            multiple backtests.
+        average_loss (float): Average loss across multiple backtests.
+        average_loss_percentage (float): Average loss percentage across
+            multiple backtests.
+        average_trade_return (float): Average return per trade.
+        average_trade_return_percentage (float): Average return percentage
+            per trade.
+        average_trade_loss (float): Total gross loss from all trades.
+        average_trade_loss_percentage (float): Average trade loss percentage.
+        average_trade_gain (float): Average gain from winning trades.
+        average_trade_gain_percentage (float): Average gain percentage
+        cagr (float): Compound annual growth rate of the backtest.
+        sharpe_ratio (float): Sharpe ratio, risk-adjusted return.
+        sortino_ratio (float): Sortino ratio, downside-risk adjusted return.
+        calmar_ratio (float): CAGR relative to max drawdown.
+        profit_factor (float): Total profit / total loss.
+        annual_volatility (float): Annualized volatility of returns.
+        max_drawdown (float): Maximum drawdown observed.
+        max_drawdown_duration (int): Duration of the maximum drawdown.
+        trades_per_year (float): Average trades executed per year.
+        win_rate (float): Percentage of winning trades.
+        current_win_rate (float): Win rate over recent trades.
+        win_loss_ratio (float): Ratio of average win to average loss.
+        current_win_loss_ratio (float): Win/loss ratio over recent trades.
+        number_of_trades (int): Total number of trades executed.
+        cumulative_exposure (float): Total exposure over the backtest period.
+        exposure_ratio (float): Ratio of exposure to available capital.
+    """
+    total_net_gain: float = None
+    total_net_gain_percentage: float = None
+    total_growth: float = None
+    total_growth_percentage: float = None
+    total_loss: float = None
+    total_loss_percentage: float = None
+    average_net_gain: float = None
+    average_net_gain_percentage: float = None
+    average_growth: float = None
+    average_growth_percentage: float = None
+    average_loss: float = None
+    average_loss_percentage: float = None
+    average_trade_return: float = None
+    average_trade_return_percentage: float = None
+    average_trade_loss: float = None
+    average_trade_loss_percentage: float = None
+    average_trade_gain: float = None
+    average_trade_gain_percentage: float = None
+    cagr: float = None
+    sharpe_ratio: float = None
+    sortino_ratio: float = None
+    calmar_ratio: float = None
+    profit_factor: float = None
+    annual_volatility: float = None
+    max_drawdown: float = None
+    max_drawdown_duration: int = None
+    trades_per_year: float = None
+    win_rate: float = None
+    current_win_rate: float = None
+    win_loss_ratio: float = None
+    current_win_loss_ratio: float = None
+    number_of_trades: int = None
+    number_of_trades_closed: int = None
+    cumulative_exposure: float = None
+    exposure_ratio: float = None
+
+    def to_dict(self) -> dict:
+        """
+        Convert the BacktestSummaryMetrics instance to a dictionary.
+        """
+        return {
+            "total_net_gain": self.total_net_gain,
+            "total_net_gain_percentage": self.total_net_gain_percentage,
+            "total_growth": self.total_growth,
+            "total_growth_percentage": self.total_growth_percentage,
+            "total_loss": self.total_loss,
+            "total_loss_percentage": self.total_loss_percentage,
+            "average_loss": self.average_loss,
+            "average_loss_percentage": self.average_loss_percentage,
+            "average_net_gain": self.average_net_gain,
+            "average_net_gain_percentage": self.average_net_gain_percentage,
+            "average_growth": self.average_growth,
+            "average_growth_percentage": self.average_growth_percentage,
+            "average_trade_return": self.average_trade_return,
+            "average_trade_return_percentage":
+                self.average_trade_return_percentage,
+            "average_trade_loss": self.average_trade_loss,
+            "average_trade_loss_percentage":
+                self.average_trade_loss_percentage,
+            "average_trade_gain": self.average_trade_gain,
+            "average_trade_gain_percentage":
+                self.average_trade_gain_percentage,
+            "cagr": self.cagr,
+            "sharpe_ratio": self.sharpe_ratio,
+            "sortino_ratio": self.sortino_ratio,
+            "calmar_ratio": self.calmar_ratio,
+            "profit_factor": self.profit_factor,
+            "annual_volatility": self.annual_volatility,
+            "max_drawdown": self.max_drawdown,
+            "max_drawdown_duration": self.max_drawdown_duration,
+            "trades_per_year": self.trades_per_year,
+            "win_rate": self.win_rate,
+            "current_win_rate": self.current_win_rate,
+            "win_loss_ratio": self.win_loss_ratio,
+            "current_win_loss_ratio": self.current_win_loss_ratio,
+            "number_of_trades": self.number_of_trades,
+            "number_of_trades_closed": self.number_of_trades_closed,
+            "cumulative_exposure": self.cumulative_exposure,
+            "exposure_ratio": self.exposure_ratio,
+        }
+
+    def save(self, file_path: str | Path) -> None:
+        """
+        Save the summary metrics to a JSON file.
+        """
+        with open(file_path, 'w') as file:
+            json.dump(self.to_dict(), file, indent=4, default=str)
+
+    @staticmethod
+    def open(file_path: str | Path) -> 'BacktestSummaryMetrics':
+        """
+        Load summary metrics from a JSON file.
+        """
+        if not os.path.exists(file_path):
+            raise FileNotFoundError(f"Metrics file not found at {file_path}")
+
+        with open(file_path, 'r') as file:
+            data = json.load(file)
+
+        return BacktestSummaryMetrics(**data)
+
+    def __repr__(self):
+        return json.dumps(
+            self.to_dict(), indent=4, sort_keys=True, default=str
+        )

investing_algorithm_framework/domain/backtesting/combine_backtests.py

@@ -0,0 +1,280 @@
+import logging
+from typing import List
+
+from .backtest_metrics import BacktestMetrics
+from .backtest_summary_metrics import BacktestSummaryMetrics
+
+logger = logging.getLogger("investing_algorithm_framework")
+
+
+def safe_weighted_mean(values, weights):
+    """
+    Calculate the weighted mean of a list of values,
+    ignoring None values and weights <= 0.
+
+    Args:
+        values (List[float | None]): List of values to average.
+        weights (List[float | None]): Corresponding weights for the values.
+
+    Returns:
+        float | None: The weighted mean, or None if no valid values.
+    """
+    vals = [(v, w) for v, w in zip(values, weights) if
+            v is not None and w is not None and w > 0]
+    if not vals:
+        return None
+    total_weight = sum(w for _, w in vals)
+    return sum(
+        v * w for v, w in vals
+    ) / total_weight if total_weight > 0 else None
+
+
+def combine_backtests(backtests):
+    """
+    Combine multiple backtests into a single backtest by aggregating
+    their results.
+
+    Args:
+        backtests (List[Backtest]): List of Backtest instances to combine.
+
+    Returns:
+        Backtest: A new Backtest instance representing the combined results.
+    """
+    backtest_metrics = []
+    backtest_runs = []
+
+    for backtest in backtests:
+        backtest_runs += backtest.get_all_backtest_runs()
+        backtest_metrics += backtest.get_all_backtest_metrics()
+
+    summary = generate_backtest_summary_metrics(backtest_metrics)
+
+    metadata = None
+    risk_free_rate = None
+
+    # Check if there are duplicate backtest runs
+    unique_date_ranges = set()
+    for backtest in backtests:
+        for run in backtest.get_all_backtest_runs():
+            date_range = (run.backtest_start_date, run.backtest_end_date)
+            if date_range in unique_date_ranges:
+                logger.warning(
+                    "Duplicate backtest run detected for date range: "
+                    f"{date_range} when combining backtests."
+                )
+            unique_date_ranges.add(date_range)
+
+    # Merge all metadata dictionaries
+    metadata = {}
+    for backtest in backtests:
+        if backtest.metadata:
+            metadata.update(backtest.metadata)
+
+    # Get the first risk-free rate
+    for backtest in backtests:
+        if backtest.risk_free_rate is not None:
+            risk_free_rate = backtest.risk_free_rate
+            break
+    from .backtest import Backtest
+
+    backtest = Backtest(
+        backtest_summary=summary,
+        metadata=metadata,
+        risk_free_rate=risk_free_rate,
+        backtest_runs=backtest_runs
+    )
+    return backtest
+
+
+def generate_backtest_summary_metrics(
+    backtest_metrics: List[BacktestMetrics]
+) -> BacktestSummaryMetrics:
+    """
+    Combine multiple BacktestMetrics into a single BacktestMetrics
+    by aggregating their results.
+
+    Args:
+        backtest_metrics (List[BacktestMetrics]): List of BacktestMetrics
+            instances to combine.
+
+    Returns:
+        BacktestMetrics: A new BacktestMetrics instance representing the
+            combined results.
+    """
+    total_net_gain = sum(
+        b.total_net_gain for b in backtest_metrics
+        if b.total_net_gain is not None
+    )
+    total_net_gain_percentage = sum(
+        b.total_net_gain_percentage for b in backtest_metrics
+        if b.total_net_gain_percentage is not None
+    )
+    average_total_net_gain = safe_weighted_mean(
+        [b.total_net_gain for b in backtest_metrics],
+        [b.total_number_of_days for b in backtest_metrics]
+    )
+    average_total_net_gain_percentage = safe_weighted_mean(
+        [b.total_net_gain_percentage for b in backtest_metrics],
+        [b.total_number_of_days for b in backtest_metrics]
+    )
+    total_loss = sum(
+        b.gross_loss for b in backtest_metrics
+        if b.gross_loss is not None
+    )
+    total_loss_percentage = sum(
+        b.total_loss_percentage for b in backtest_metrics
+        if b.total_loss_percentage is not None
+    )
+    average_total_loss = safe_weighted_mean(
+        [b.gross_loss for b in backtest_metrics],
+        [b.total_number_of_days for b in backtest_metrics]
+    )
+    average_total_loss_percentage = safe_weighted_mean(
+        [b.total_loss_percentage for b in backtest_metrics],
+        [b.total_number_of_days for b in backtest_metrics]
+    )
+    total_growth = sum(
+        b.total_growth for b in backtest_metrics
+        if b.total_growth is not None
+    )
+    total_growth_percentage = sum(
+        b.total_growth_percentage for b in backtest_metrics
+        if b.total_growth_percentage is not None
+    )
+    average_growth = safe_weighted_mean(
+        [b.total_growth for b in backtest_metrics],
+        [b.total_number_of_days for b in backtest_metrics]
+    )
+    average_growth_percentage = safe_weighted_mean(
+        [b.total_growth_percentage for b in backtest_metrics],
+        [b.total_number_of_days for b in backtest_metrics]
+    )
+    cagr = safe_weighted_mean(
+        [b.cagr for b in backtest_metrics],
+        [b.total_number_of_days for b in backtest_metrics]
+    )
+    sharp_ratio = safe_weighted_mean(
+        [b.sharpe_ratio for b in backtest_metrics],
+        [b.total_number_of_days for b in backtest_metrics]
+    )
+    sortino_ratio = safe_weighted_mean(
+        [b.sortino_ratio for b in backtest_metrics],
+        [b.total_number_of_days for b in backtest_metrics]
+    )
+    calmar_ratio = safe_weighted_mean(
+        [b.calmar_ratio for b in backtest_metrics],
+        [b.total_number_of_days for b in backtest_metrics]
+    )
+    profit_factor = safe_weighted_mean(
+        [b.profit_factor for b in backtest_metrics],
+        [b.total_number_of_days for b in backtest_metrics]
+    )
+    annual_volatility = safe_weighted_mean(
+        [b.annual_volatility for b in backtest_metrics],
+        [b.total_number_of_days for b in backtest_metrics]
+    )
+    max_drawdown = max(
+        (b.max_drawdown for b in backtest_metrics
+         if b.max_drawdown is not None), default=None
+    )
+    max_drawdown_duration = max(
+        (b.max_drawdown_duration for b in backtest_metrics
+            if b.max_drawdown_duration is not None), default=None
+    )
+    trades_per_year = safe_weighted_mean(
+        [b.trades_per_year for b in backtest_metrics],
+        [b.total_number_of_days for b in backtest_metrics]
+    )
+    win_rate = safe_weighted_mean(
+        [b.win_rate for b in backtest_metrics],
+        [b.total_number_of_days for b in backtest_metrics]
+    )
+    current_win_rate = safe_weighted_mean(
+        [b.current_win_rate for b in backtest_metrics],
+        [b.total_number_of_days for b in backtest_metrics]
+    )
+    win_loss_ratio = safe_weighted_mean(
+        [b.win_loss_ratio for b in backtest_metrics],
+        [b.total_number_of_days for b in backtest_metrics]
+    )
+    current_win_loss_ratio = safe_weighted_mean(
+        [b.current_win_loss_ratio for b in backtest_metrics],
+        [b.total_number_of_days for b in backtest_metrics]
+    )
+    number_of_trades = sum(
+        b.number_of_trades for b in backtest_metrics
+        if b.number_of_trades is not None
+    )
+    number_of_trades_closed = sum(
+        b.number_of_trades_closed for b in backtest_metrics
+        if b.number_of_trades_closed is not None
+    )
+    cumulative_exposure = safe_weighted_mean(
+        [b.cumulative_exposure for b in backtest_metrics],
+        [b.total_number_of_days for b in backtest_metrics]
+    )
+    exposure_ratio = safe_weighted_mean(
+        [b.exposure_ratio for b in backtest_metrics],
+        [b.total_number_of_days for b in backtest_metrics]
+    )
+    average_trade_return = safe_weighted_mean(
+        [b.average_trade_return for b in backtest_metrics],
+        [b.number_of_trades for b in backtest_metrics]
+    )
+    average_trade_return_percentage = safe_weighted_mean(
+        [b.average_trade_return_percentage for b in backtest_metrics],
+        [b.number_of_trades for b in backtest_metrics]
+    )
+    average_trade_loss = safe_weighted_mean(
+        [b.average_trade_loss for b in backtest_metrics],
+        [b.number_of_trades for b in backtest_metrics]
+    )
+    average_trade_loss_percentage = safe_weighted_mean(
+        [b.average_trade_loss_percentage for b in backtest_metrics],
+        [b.number_of_trades for b in backtest_metrics]
+    )
+    average_trade_gain = safe_weighted_mean(
+        [b.average_trade_gain for b in backtest_metrics],
+        [b.number_of_trades for b in backtest_metrics]
+    )
+    average_trade_gain_percentage = safe_weighted_mean(
+        [b.average_trade_gain_percentage for b in backtest_metrics],
+        [b.number_of_trades for b in backtest_metrics]
+    )
+    return BacktestSummaryMetrics(
+        total_net_gain=total_net_gain,
+        total_net_gain_percentage=total_net_gain_percentage,
+        average_net_gain=average_total_net_gain,
+        average_net_gain_percentage=average_total_net_gain_percentage,
+        total_loss=total_loss,
+        total_loss_percentage=total_loss_percentage,
+        average_loss=average_total_loss,
+        average_loss_percentage=average_total_loss_percentage,
+        total_growth=total_growth,
+        total_growth_percentage=total_growth_percentage,
+        average_growth=average_growth,
+        average_growth_percentage=average_growth_percentage,
+        cagr=cagr,
+        sharpe_ratio=sharp_ratio,
+        sortino_ratio=sortino_ratio,
+        calmar_ratio=calmar_ratio,
+        profit_factor=profit_factor,
+        annual_volatility=annual_volatility,
+        max_drawdown=max_drawdown,
+        max_drawdown_duration=max_drawdown_duration,
+        trades_per_year=trades_per_year,
+        win_rate=win_rate,
+        current_win_rate=current_win_rate,
+        win_loss_ratio=win_loss_ratio,
+        current_win_loss_ratio=current_win_loss_ratio,
+        number_of_trades=number_of_trades,
+        number_of_trades_closed=number_of_trades_closed,
+        cumulative_exposure=cumulative_exposure,
+        exposure_ratio=exposure_ratio,
+        average_trade_return=average_trade_return,
+        average_trade_return_percentage=average_trade_return_percentage,
+        average_trade_loss=average_trade_loss,
+        average_trade_loss_percentage=average_trade_loss_percentage,
+        average_trade_gain=average_trade_gain,
+        average_trade_gain_percentage=average_trade_gain_percentage
+    )

investing_algorithm_framework/domain/config.py

@@ -82,3 +82,30 @@ DEFAULT_LOGGING_CONFIG = {
         'handlers': ['console', 'file'],
     },
 }
+
+AWS_LAMBDA_LOGGING_CONFIG = {
+    'version': 1,
+    'disable_existing_loggers': False,
+    'formatters': {
+        'default': {
+            'format': '%(asctime)s - %(name)s - %(levelname)s - %(message)s',
+        },
+    },
+    'handlers': {
+        'console': {
+            'class': 'logging.StreamHandler',
+            'formatter': 'default',
+        },
+    },
+    'loggers': {  # Make sure to add a 'loggers' section
+        'investing_algorithm_framework': {  # Define your logger here
+            'level': 'INFO',  # Set the desired level
+            'handlers': ['console'],  # Use these handlers
+            'propagate': False,
+        },
+    },
+    'root': {  # Optional: Root logger configuration
+        'level': 'WARNING',  # Root logger defaults to WARNING
+        'handlers': ['console'],
+    },
+}

investing_algorithm_framework/domain/constants.py

@@ -1,5 +1,4 @@
 # Framework constants
-FRAMEWORK_NAME = 'FRAMEWORK_NAME'
 ENVIRONMENT = "ENVIRONMENT"
 STATELESS = "STATELESS"
 
@@ -12,62 +11,34 @@ DATABASE_DIRECTORY_NAME = 'DATABASE_DIRECTORY_NAME'
 DATABASE_URL = 'DATABASE_URL'
 DEFAULT_DATABASE_NAME = "database"
 
-SYMBOLS = "SYMBOLS"
 APPLICATION_DIRECTORY = "APP_DIR"
 RESOURCE_DIRECTORY = "RESOURCE_DIRECTORY"
 BACKTEST_DATA_DIRECTORY_NAME = "BACKTEST_DATA_DIRECTORY_NAME"
+DATA_DIRECTORY = "DATA_DIRECTORY"
 LOG_LEVEL = 'LOG_LEVEL'
 BASE_DIR = 'BASE_DIR'
 SQLALCHEMY_DATABASE_URI = 'SQLALCHEMY_DATABASE_URI'
-SQLITE_INITIALIZED = "SQLITE_INITIALIZED"
 SQLALCHEMY_INITIALIZED = "SQLALCHEMY_INITIALIZED"
-RESERVED_BALANCES = "RESERVED_BALANCES"
 APP_MODE = "APP_MODE"
-BINANCE = "BINANCE"
 
-IDENTIFIER_QUERY_PARAM = "identifier"
-TARGET_SYMBOL_QUERY_PARAM = "target_symbol"
-TRADING_SYMBOL_QUERY_PARAM = "trading_symbol"
-ORDER_SIDE_QUERY_PARAM = "order_size"
-STATUS_QUERY_PARAM = "status"
-POSITION_SYMBOL_QUERY_PARAM = "position"
-SYMBOL_QUERY_PARAM = "symbol"
-TIME_FRAME_QUERY_PARAM = "time_frame"
-
-RESERVED_IDENTIFIERS = [
-    BINANCE
-]
-
-BINANCE_API_KEY = "binance_api_key"
-BINANCE_SECRET_KEY = "binance_secret_key"
 
 CHECK_PENDING_ORDERS = "CHECK_PENDING_ORDERS"
 RUN_STRATEGY = "RUN_STRATEGY"
 
 # Configuration
-TRADING_SYMBOL = "TRADING_SYMBOL"
-CCXT_ENABLED = "CCXT_ENABLED"
-API_KEY = "API_KEY"
-SECRET_KEY = "SECRET_KEY"
-MARKET = "MARKET"
-TRACK_PORTFOLIO_FROM = "TRACK_PORTFOLIO_FROM"
-SQLITE_ENABLED = "SQLITE_ENABLED"
-PORTFOLIOS = "PORTFOLIOS"
-STRATEGIES = "STRATEGIES"
-APPLICATION_CONFIGURED = "APPLICATION_CONFIGURED"
-ACTION = "ACTION"
 DEFAULT_PER_PAGE_VALUE = 10
 DEFAULT_PAGE_VALUE = 1
 ITEMIZE = 'itemize'
 ITEMIZED = 'itemized'
 PAGE = 'page'
 PER_PAGE = 'per_page'
-DATETIME_FORMAT = "%Y-%m-%d %H:%M:%S"
 DATETIME_FORMAT_BACKTESTING = "%Y-%m-%d-%H-%M"
 CCXT_DATETIME_FORMAT_WITH_TIMEZONE = "%Y-%m-%dT%H:%M:%S.%fZ"
 CCXT_DATETIME_FORMAT = "%Y-%m-%d %H:%M:%S.%f"
+DEFAULT_DATETIME_FORMAT = "%Y-%m-%d %H:%M:%S"
 BACKTESTING_FLAG = "BACKTESTING"
-BACKTESTING_INDEX_DATETIME = "BACKTESTING_INDEX_DATETIME"
+INDEX_DATETIME = "INDEX_DATETIME"
+LAST_SNAPSHOT_DATETIME = "LAST_SNAPSHOT_DATETIME"
 BACKTESTING_START_DATE = "BACKTESTING_START_DATE"
 BACKTESTING_END_DATE = "BACKTESTING_END_DATE"
 BACKTESTING_INITIAL_AMOUNT = "BACKTESTING_INITIAL_AMOUNT"
@@ -75,6 +46,7 @@ TICKER_DATA_TYPE = "TICKER"
 OHLCV_DATA_TYPE = "OHLCV"
 CURRENT_UTC_DATETIME = "CURRENT_UTC_DATETIME"
 SNAPSHOT_INTERVAL = "SNAPSHOT_INTERVAL"
-
+DATETIME_FORMAT = "DATETIME_FORMAT"
+DATETIME_FORMAT_FILE_NAME = "DATETIME_FORMAT_FILE_NAME"
 # Deployment
 AWS_S3_STATE_BUCKET_NAME = "AWS_S3_STATE_BUCKET_NAME"