investing-algorithm-framework 6.9.1__tar.gz → 7.19.14__tar.gz

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+Metadata-Version: 2.1
+Name: investing-algorithm-framework
+Version: 7.19.14
+Summary: A framework for creating trading bots
+Author: MDUYN
+Requires-Python: >=3.10
+Classifier: Programming Language :: Python :: 3
+Classifier: Programming Language :: Python :: 3.10
+Classifier: Programming Language :: Python :: 3.11
+Classifier: Programming Language :: Python :: 3.12
+Requires-Dist: Flask (>=3.1.0)
+Requires-Dist: Flask-Cors (>=3.0.9,<5.0.0)
+Requires-Dist: Flask-Migrate (>=2.6.0)
+Requires-Dist: SQLAlchemy (>=2.0.18)
+Requires-Dist: azure-identity (>=1.19.0,<2.0.0)
+Requires-Dist: azure-mgmt-resource (>=23.2.0,<24.0.0)
+Requires-Dist: azure-mgmt-storage (>=21.2.1,<22.0.0)
+Requires-Dist: azure-mgmt-web (>=7.3.1,<8.0.0)
+Requires-Dist: azure-storage-blob (>=12.24.0,<13.0.0)
+Requires-Dist: boto3 (>=1.38.41,<2.0.0)
+Requires-Dist: ccxt (>=4.2.48)
+Requires-Dist: dependency-injector (>=4.40.0)
+Requires-Dist: jupyter (>=1.0.0)
+Requires-Dist: marshmallow (>=3.5.0)
+Requires-Dist: plotly (>=6.1.2,<7.0.0)
+Requires-Dist: polars[numpy,pandas] (>=0.20.10)
+Requires-Dist: pyarrow (>=19.0.1)
+Requires-Dist: python-dateutil (>=2.8.2)
+Requires-Dist: python-dotenv (>=1.0.1,<2.0.0)
+Requires-Dist: schedule (>=1.1.0)
+Requires-Dist: tabulate (>=0.9.0)
+Requires-Dist: tqdm (>=4.66.1)
+Requires-Dist: wrapt (>=1.16.0)
+Requires-Dist: yfinance (>=0.2.61,<0.3.0)
+Description-Content-Type: text/markdown
+
+<div align="center"> <h1><a href="https://coding-kitties.github.io/investing-algorithm-framework/" target="_blank">Investing Algorithm Framework</a></h1> <p><b>Rapidly build, backtest, and deploy quantitative strategies and trading bots</b></p> <a target="_blank" href="https://coding-kitties.github.io/investing-algorithm-framework/">📖 View Documentation</a> | <a href="https://coding-kitties.github.io/investing-algorithm-framework/Getting%20Started/installation">🚀 Getting Started</a> </div>
+
+---
+
+<div align="center"> <a href="https://coding-kitties.github.io/investing-algorithm-framework/">
+<a target="_blank" href="https://discord.gg/dQsRmGZP"><img src="https://img.shields.io/discord/1345358169777635410.svg?color=7289da&label=TradeBotLab%20Discord&logo=discord&style=flat"></a>
+<img src="https://img.shields.io/badge/docs-website-brightgreen"></a> <a href="https://github.com/coding-kitties/investing-algorithm-framework/actions/workflows/publish.yml"><img src="https://github.com/coding-kitties/investing-algorithm-framework/actions/workflows/publish.yml/badge.svg"></a> <a href="https://github.com/coding-kitties/investing-algorithm-framework/actions/workflows/test.yml"><img src="https://github.com/coding-kitties/investing-algorithm-framework/actions/workflows/test.yml/badge.svg"></a> <a href="https://pepy.tech/project/investing-algorithm-framework"><img src="https://pepy.tech/badge/investing-algorithm-framework"></a> <a href="https://pypi.org/project/investing-algorithm-framework/"><img src="https://img.shields.io/pypi/v/investing-algorithm-framework.svg"></a> <a href="https://www.reddit.com/r/InvestingBots/"><img src="https://img.shields.io/reddit/subreddit-subscribers/investingbots?style=social"></a> <a href="https://github.com/coding-kitties/investing-algorithm-framework/stargazers"><img src="https://img.shields.io/github/stars/coding-kitties/investing-algorithm-framework.svg?style=social&label=Star"></a>
+ </div>
+
+> If you like what we do, consider starring, sharing and contributing!
+
+<div align="center">
+<img src="static/showcase.svg" alt="Investing Algorithm Framework Logo" style="height: 50vh; max-height: 750px;">
+</div>
+
+The Investing Algorithm Framework is a Python-based framework built to streamline the entire lifecycle of quantitative trading strategies from signal generation and backtesting to live deployment.
+
+## Sponsors
+
+<a href="https://www.finterion.com/" target="_blank">
+    <picture style="height: 30px;">
+    <source media="(prefers-color-scheme: dark)" srcset="static/sponsors/finterion-dark.png">
+    <source media="(prefers-color-scheme: light)" srcset="static/sponsors/finterion-light.png">
+    <img src="static/sponsors/finterion-light.png" alt="Finterion Logo" width="200px" height="50px">
+    </picture>
+</a>
+
+
+## 🌟 Features
+
+- [x] Python 3.10+: Cross-platform support for Windows, macOS, and Linux.
+- [x] Event-Driven Backtest Engine: Accurate and realistic backtesting with event-driven architecture.
+- [x] Vectorized Backtest Engine: Fast signal research and prototyping with vectorized operations.
+- [x] Permutation testing: Run permutation tests to evaluate the strategy statistical significance.
+- [x] Metric tracking and backtest reports evaluation/comparison: Track and compare key performance metrics like CAGR, Sharpe ratio, max drawdown, and more (See example usage for a complete list of metrics the framework collects).
+- [x] Backtest Reporting: Generate detailed reports to analyse and compare backtests.
+- [x] Live Trading: Execute trades in real-time with support for multiple exchanges via ccxt.
+- [x] Portfolio Management: Manage portfolios, trades, and positions with persistence via SQLite.
+- [x] Market Data Sources: Fetch OHLCV, ticker, and custom data with support for Polars and Pandas.
+- [x] Azure Functions Support: Deploy trading bots to Azure.
+- [x] AWS Lambda Support: Deploy trading bots to AWS Lambda.
+- [x] Web API: Interact with your bot via REST API.
+- [x] PyIndicators Integration: Perform technical analysis directly on your dataframes.
+- [x] Extensibility: Add custom strategies, data providers, order executors so you can connect your trading bot to your favorite exchange or broker.
+- [x] Modular Design: Build your bot using modular components for easy customization and maintenance.
+- [x] Multiple exchanges and brokers: **Detailed guides and API references to help you get started and make the most of the framework.
+ and offers flexible deployment options, including Azure Functions and AWS Lambda.
+Designed for extensibility, it allows you to integrate custom strategies, data providers, and order executors, enabling support for any exchange or broker.
+It natively supports multiple data formats, including OHLCV, ticker, and custom datasets with seamless compatibility for both Pandas and Polars DataFrames.
+
+
+
+## 🚀 Quickstart
+
+Installation
+Install the framework via [PyPI](https://pypi.org/project/investing-algorithm-framework/):
+
+1. First install the framework using `pip`. The Investing Algorithm Framework is hosted on [PyPi].
+
+```bash
+pip install investing-algorithm-framework
+```
+
+Run the following command to set up your project:
+
+```bash
+investing-algorithm-framewor init
+```
+
+For a aws lambda compatible project, run:
+
+```bash
+investing-algorithm-framework init --type aws_lambda
+```
+
+This will create:
+
+* app.py: The entry point for your bot.
+* strategy.py: A sample strategy file to get started.
+
+> Note: Keep the app.py file as is. You can modify strategy.py and add additional files to build your bot.
+> You can always change the app to the web version by changing the `app.py` file.
+
+---
+
+## 📈 Example: A Simple Trading Bot
+The following example trading bot implements a simple moving average strategy.
+The strategy will use data from bitvavo exchange and will calculate 
+the 20, 50 and 100 period exponential moving averages (EMA) and the 
+14 period relative strength index (RSI).
+
+> This example uses [PyIndicators](https://github.com/coding-kitties/pyindicators) for technical analysis.
+> This dependency is not part of the framework, but is used to perform technical analysis on the dataframes.
+> You can install it using pip: pip install pyindicators.
+
+```python
+from typing import Dict, Any
+from datetime import datetime, timezone
+
+import pandas as pd
+from pyindicators import ema, rsi, crossover, crossunder
+
+from investing_algorithm_framework import TradingStrategy, DataSource, \
+    TimeUnit, DataType, PositionSize, create_app, RESOURCE_DIRECTORY, \
+    BacktestDateRange, BacktestReport
+
+
+class RSIEMACrossoverStrategy(TradingStrategy):
+    time_unit = TimeUnit.HOUR
+    interval = 2
+    symbols = ["BTC"]
+    position_sizes = [
+        PositionSize(
+            symbol="BTC", percentage_of_portfolio=20.0
+        ),
+        PositionSize(
+            symbol="ETH", percentage_of_portfolio=20.0
+        )
+    ]
+
+    def __init__(
+        self,
+        time_unit: TimeUnit,
+        interval: int,
+        market: str,
+        rsi_time_frame: str,
+        rsi_period: int,
+        rsi_overbought_threshold,
+        rsi_oversold_threshold,
+        ema_time_frame,
+        ema_short_period,
+        ema_long_period,
+        ema_cross_lookback_window: int = 10
+    ):
+        self.rsi_time_frame = rsi_time_frame
+        self.rsi_period = rsi_period
+        self.rsi_result_column = f"rsi_{self.rsi_period}"
+        self.rsi_overbought_threshold = rsi_overbought_threshold
+        self.rsi_oversold_threshold = rsi_oversold_threshold
+        self.ema_time_frame = ema_time_frame
+        self.ema_short_result_column = f"ema_{ema_short_period}"
+        self.ema_long_result_column = f"ema_{ema_long_period}"
+        self.ema_crossunder_result_column = "ema_crossunder"
+        self.ema_crossover_result_column = "ema_crossover"
+        self.ema_short_period = ema_short_period
+        self.ema_long_period = ema_long_period
+        self.ema_cross_lookback_window = ema_cross_lookback_window
+        data_sources = []
+
+        for symbol in self.symbols:
+            full_symbol = f"{symbol}/EUR"
+            data_sources.append(
+                DataSource(
+                    identifier=f"{symbol}_rsi_data",
+                    data_type=DataType.OHLCV,
+                    time_frame=self.rsi_time_frame,
+                    market=market,
+                    symbol=full_symbol,
+                    pandas=True,
+                    window_size=800
+                )
+            )
+            data_sources.append(
+                DataSource(
+                    identifier=f"{symbol}_ema_data",
+                    data_type=DataType.OHLCV,
+                    time_frame=self.ema_time_frame,
+                    market=market,
+                    symbol=full_symbol,
+                    pandas=True,
+                    window_size=800
+                )
+            )
+
+        super().__init__(
+            data_sources=data_sources, time_unit=time_unit, interval=interval
+        )
+
+    def _prepare_indicators(
+        self,
+        rsi_data,
+        ema_data
+    ):
+        """
+        Helper function to prepare the indicators 
+        for the strategy. The indicators are calculated
+        using the pyindicators library: https://github.com/coding-kitties/PyIndicators
+        """
+        ema_data = ema(
+            ema_data,
+            period=self.ema_short_period,
+            source_column="Close",
+            result_column=self.ema_short_result_column
+        )
+        ema_data = ema(
+            ema_data,
+            period=self.ema_long_period,
+            source_column="Close",
+            result_column=self.ema_long_result_column
+        )
+        # Detect crossover (short EMA crosses above long EMA)
+        ema_data = crossover(
+            ema_data,
+            first_column=self.ema_short_result_column,
+            second_column=self.ema_long_result_column,
+            result_column=self.ema_crossover_result_column
+        )
+        # Detect crossunder (short EMA crosses below long EMA)
+        ema_data = crossunder(
+            ema_data,
+            first_column=self.ema_short_result_column,
+            second_column=self.ema_long_result_column,
+            result_column=self.ema_crossunder_result_column
+        )
+        rsi_data = rsi(
+            rsi_data,
+            period=self.rsi_period,
+            source_column="Close",
+            result_column=self.rsi_result_column
+        )
+
+        return ema_data, rsi_data
+
+    def generate_buy_signals(self, data: Dict[str, Any]) -> Dict[str, pd.Series]:
+        """
+        Generate buy signals based on the moving average crossover.
+
+        data (Dict[str, Any]): Dictionary containing all the data for
+            the strategy data sources.
+
+        Returns:
+            Dict[str, pd.Series]: A dictionary where keys are symbols and values
+                are pandas Series indicating buy signals (True/False).
+        """
+
+        signals = {}
+
+        for symbol in self.symbols:
+            ema_data_identifier = f"{symbol}_ema_data"
+            rsi_data_identifier = f"{symbol}_rsi_data"
+            ema_data, rsi_data = self._prepare_indicators(
+                data[ema_data_identifier].copy(),
+                data[rsi_data_identifier].copy()
+            )
+
+            # crossover confirmed
+            ema_crossover_lookback = ema_data[
+                self.ema_crossover_result_column].rolling(
+                window=self.ema_cross_lookback_window
+            ).max().astype(bool)
+
+            # use only RSI column
+            rsi_oversold = rsi_data[self.rsi_result_column] \
+                < self.rsi_oversold_threshold
+
+            buy_signal = rsi_oversold & ema_crossover_lookback
+            buy_signals = buy_signal.fillna(False).astype(bool)
+            signals[symbol] = buy_signals
+        return signals
+
+    def generate_sell_signals(self, data: Dict[str, Any]) -> Dict[str, pd.Series]:
+        """
+        Generate sell signals based on the moving average crossover.
+
+        Args:
+            data (Dict[str, Any]): Dictionary containing all the data for
+                the strategy data sources.
+
+        Returns:
+            Dict[str, pd.Series]: A dictionary where keys are symbols and values
+                are pandas Series indicating sell signals (True/False).
+        """
+
+        signals = {}
+        for symbol in self.symbols:
+            ema_data_identifier = f"{symbol}_ema_data"
+            rsi_data_identifier = f"{symbol}_rsi_data"
+            ema_data, rsi_data = self._prepare_indicators(
+                data[ema_data_identifier].copy(),
+                data[rsi_data_identifier].copy()
+            )
+
+            # Confirmed by crossover between short-term EMA and long-term EMA
+            # within a given lookback window
+            ema_crossunder_lookback = ema_data[
+                self.ema_crossunder_result_column].rolling(
+                window=self.ema_cross_lookback_window
+            ).max().astype(bool)
+
+            # use only RSI column
+            rsi_overbought = rsi_data[self.rsi_result_column] \
+               >= self.rsi_overbought_threshold
+
+            # Combine both conditions
+            sell_signal = rsi_overbought & ema_crossunder_lookback
+            sell_signal = sell_signal.fillna(False).astype(bool)
+            signals[symbol] = sell_signal
+        return signals
+
+
+if __name__ == "__main__":
+    app = create_app()
+    app.add_strategy(
+        RSIEMACrossoverStrategy(
+            time_unit=TimeUnit.HOUR,
+            interval=2,
+            market="bitvavo",
+            rsi_time_frame="2h",
+            rsi_period=14,
+            rsi_overbought_threshold=70,
+            rsi_oversold_threshold=30,
+            ema_time_frame="2h",
+            ema_short_period=12,
+            ema_long_period=26,
+            ema_cross_lookback_window=10
+        )
+    )
+
+    # Market credentials for coinbase for both the portfolio connection and data sources will
+    # be read from .env file, when not registering a market credential object in the app.
+    app.add_market(
+        market="bitvavo",
+        trading_symbol="EUR",
+    )
+    backtest_range = BacktestDateRange(
+        start_date=datetime(2023, 1, 1, tzinfo=timezone.utc),
+        end_date=datetime(2024, 6, 1, tzinfo=timezone.utc)
+    )
+    backtest = app.run_backtest(
+        backtest_date_range=backtest_range, initial_amount=1000
+    )
+    report = BacktestReport(backtest)
+    report.show(backtest_date_range=backtest_range, browser=True)
+```
+
+> You can find more examples [here](./examples) folder.
+
+## 📚 Documentation
+Comprehensive documentation is available at [github pages](https://coding-kitties.github.io/investing-algorithm-framework/).
+
+## 🛠️ Development
+
+Local Development
+
+Clone the repository and install dependencies using Poetry:
+
+The framework is built with poetry. To install the framework for local development, you can run the following commands:
+
+> Make sure you have poetry installed. If you don't have poetry installed, you can find installation instructions [here](https://python-poetry.org/docs/#installation)
+
+```bash
+git clone http
+cd investing-algorithm-framework
+poetry install
+```
+
+### Running tests
+
+To run the tests, you can run the following command:
+
+```bash
+# In the root of the project
+python -m unittest discover -s tests
+```
+
+## ⚠️ Disclaimer
+
+If you use this framework for your investments, do not risk money
+which you are afraid to lose, until you have clear understanding how the framework works. We can't stress this enough:
+
+BEFORE YOU START USING MONEY WITH THE FRAMEWORK, MAKE SURE THAT YOU TESTED
+YOUR COMPONENTS THOROUGHLY. USE THE SOFTWARE AT YOUR OWN RISK.
+THE AUTHORS AND ALL AFFILIATES ASSUME NO RESPONSIBILITY FOR YOUR INVESTMENT RESULTS.
+
+Also, make sure that you read the source code of any plugin you use or
+implementation of an algorithm made with this framework.
+
+We welcome contributions! Check out the project board and issues to get started.
+
+## Documentation
+
+All the documentation can be found online
+at the [documentation webstie](https://coding-kitties.github.io/investing-algorithm-framework/)
+
+In most cases, you'll probably never have to change code on this repo directly
+if you are building your algorithm/bot. But if you do, check out the
+contributing page at the website.
+
+If you'd like to chat with investing-algorithm-framework users
+and developers, [join us on Slack](https://inv-algo-framework.slack.com) or [join us on reddit](https://www.reddit.com/r/InvestingBots/)
+
+## 🤝 Contributing
+
+The investing algorithm framework is a community driven project.
+We welcome you to participate, contribute and together help build the future trading bots developed in python.
+
+To get started, please read the [contributing guide](https://coding-kitties.github.io/investing-algorithm-framework/Contributing&20Guide/contributing).
+
+Feel like the framework is missing a feature? We welcome your pull requests!
+If you want to contribute to the project roadmap, please take a look at the [project board](https://github.com/coding-kitties/investing-algorithm-framework/projects?query=is%3Aopen).
+You can pick up a task by assigning yourself to it.
+
+**Note** before starting any major new feature work, *please open an issue describing what you are planning to do*.
+This will ensure that interested parties can give valuable feedback on the feature, and let others know that you are working on it.
+
+**Important:** Always create your feature or hotfix against the `develop` branch, not `main`.
+
+## 📬 Support
+
+* [Reddit Community](https://www.reddit.com/r/InvestingBots/)
+* [Discord Community](https://discord.gg/dQsRmGZP")
+
+
+## 🏆 Acknowledgements
+
+We want to thank all contributors to this project. A full list of all the people that contributed to the project can be
+found [here](https://github.com/investing-algorithms/investing-algorithm-framework/blob/master/AUTHORS.md)
+
+### [Bugs / Issues](https://github.com/investing-algorithms/investing-algorithm-framework/issues?q=is%3Aissue)
+
+If you discover a bug in the framework, please [search our issue tracker](https://github.com/investing-algorithms/investing-algorithm-framework/issues?q=is%3Aissue)
+first. If it hasn't been reported, please [create a new issue](https://github.com/investing-algorithms/investing-algorithm-framework/issues/new).
+