investing-algorithm-framework 6.9.7__tar.gz → 7.0.0__tar.gz

{investing_algorithm_framework-6.9.7 → investing_algorithm_framework-7.0.0}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: investing-algorithm-framework
-Version: 6.9.7
+Version: 7.0.0
 Summary: A framework for creating trading bots
 Author: MDUYN
 Requires-Python: >=3.10
@@ -49,8 +49,18 @@ Description-Content-Type: text/markdown
 <img src="static/showcase.svg" alt="Investing Algorithm Framework Logo" style="height: 50vh; max-height: 750px;">
 </div>
 
-The investing algorithm framework is a Python framework designed to help you build, backtest, and deploy quantitative trading strategies. It comes with a event-based backtesting engine, ensuring an accurate and realistic evaluation of your strategies. The framework supports live trading with multiple exchanges and has various deployment options including Azure Functions and AWS Lambda.
-The framework is designed to be extensible, allowing you to add custom strategies, data providers, and order executors. It also supports multiple data sources, including OHLCV, ticker, and custom data, with integration for both Polars and Pandas.
+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.
+It offers a complete quantitative workflow, featuring two dedicated backtesting engines:
+
+* A vectorized backtest engine for fast signal research and prototyping
+
+* An event-based backtest engine for realistic and accurate strategy evaluation
+
+The framework supports live trading across multiple exchanges 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.
+
+
 
 ## Sponsors
 
@@ -66,11 +76,14 @@ The framework is designed to be extensible, allowing you to add custom strategie
 ## 🌟 Features
 
 - [x] Python 3.10+: Cross-platform support for Windows, macOS, and Linux.
-- [x] Backtesting: Simulate strategies with detailed performance reports.
+- [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] 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 stateless trading bots to Azure.
+- [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.
@@ -122,31 +135,15 @@ the 20, 50 and 100 period exponential moving averages (EMA) and the
 import logging.config
 from dotenv import load_dotenv
 
-from pyindicators import ema, rsi
+from pyindicators import ema, rsi, crossunder, crossover, is_above
 
 from investing_algorithm_framework import create_app, TimeUnit, Context, BacktestDateRange, \
-    CCXTOHLCVMarketDataSource, CCXTTickerMarketDataSource, DEFAULT_LOGGING_CONFIG, \
-    TradingStrategy, SnapshotInterval, convert_polars_to_pandas, BacktestReport
+    DEFAULT_LOGGING_CONFIG, TradingStrategy, SnapshotInterval, BacktestReport, DataSource
 
 load_dotenv()
 logging.config.dictConfig(DEFAULT_LOGGING_CONFIG)
 logger = logging.getLogger(__name__)
 
-# OHLCV data for candles
-bitvavo_btc_eur_ohlcv_2h = CCXTOHLCVMarketDataSource(
-    identifier="BTC-ohlcv",
-    market="BITVAVO",
-    symbol="BTC/EUR",
-    time_frame="2h",
-    window_size=200
-)
-# Ticker data for orders, trades and positions
-bitvavo_btc_eur_ticker = CCXTTickerMarketDataSource(
-    identifier="BTC-ticker",
-    market="BITVAVO",
-    symbol="BTC/EUR",
-)
-
 app = create_app()
 # Registered bitvavo market, credentials are read from .env file by default
 app.add_market(market="BITVAVO", trading_symbol="EUR", initial_balance=100)
@@ -154,20 +151,23 @@ app.add_market(market="BITVAVO", trading_symbol="EUR", initial_balance=100)
 class MyStrategy(TradingStrategy):
     interval = 2
     time_unit = TimeUnit.HOUR
-    data_sources = [bitvavo_btc_eur_ohlcv_2h, bitvavo_btc_eur_ticker]
+    data_sources = [
+        DataSource(data_type="OHLCV", market="bitvavo", symbol="BTC/EUR", window_size=200, time_frame="2h", identifier="BTC-ohlcv", pandas=True),
+    ]
+    symbols = ["BTC/EUR"]
 
-    def run_strategy(self, context: Context, market_data):
+    def run_strategy(self, context: Context, data):
 
         if context.has_open_orders(target_symbol="BTC"):
             logger.info("There are open orders, skipping strategy iteration.")
             return
 
-        print(market_data)
-
-        data = convert_polars_to_pandas(market_data["BTC-ohlcv"])
+        data = data["BTC-ohlcv"]
         data = ema(data, source_column="Close", period=20, result_column="ema_20")
         data = ema(data, source_column="Close", period=50, result_column="ema_50")
         data = ema(data, source_column="Close", period=100, result_column="ema_100")
+        data = crossunder(data, first_column="ema_50", second_column="ema_100", result_column="crossunder_50_20")
+        data = crossover(data, first_column="ema_50", second_column="ema_100", result_column="crossover_50_20")
         data = rsi(data, source_column="Close", period=14, result_column="rsi_14")
 
         if context.has_position("BTC") and self.sell_signal(data):
@@ -182,20 +182,10 @@ class MyStrategy(TradingStrategy):
             )
             return
 
-    def buy_signal(self, data):
-        if len(data) < 100:
-            return False
-        last_row = data.iloc[-1]
-        if last_row["ema_20"] > last_row["ema_50"] and last_row["ema_50"] > last_row["ema_100"]:
-            return True
+    def buy_signal(self, data) -> bool:
         return False
 
-    def sell_signal(self, data):
-
-        if data["ema_20"].iloc[-1] < data["ema_50"].iloc[-1] and \
-           data["ema_20"].iloc[-2] >= data["ema_50"].iloc[-2]:
-            return True
-
+    def sell_signal(self, data) -> bool:
         return False
 
 date_range = BacktestDateRange(
@@ -206,7 +196,7 @@ app.add_strategy(MyStrategy)
 if __name__ == "__main__":
     # Run the backtest with a daily snapshot interval for end-of-day granular reporting
     backtest = app.run_backtest(
-        backtest_date_range=date_range, initial_amount=100, snapshot_interval=SnapshotInterval.STRATEGY_ITERATION
+        backtest_date_range=date_range, initial_amount=100, snapshot_interval=SnapshotInterval.DAILY
     )
     backtest_report = BacktestReport(backtests=[backtest])
     backtest_report.show()

{investing_algorithm_framework-6.9.7 → investing_algorithm_framework-7.0.0}/README.md

@@ -13,8 +13,18 @@
 <img src="static/showcase.svg" alt="Investing Algorithm Framework Logo" style="height: 50vh; max-height: 750px;">
 </div>
 
-The investing algorithm framework is a Python framework designed to help you build, backtest, and deploy quantitative trading strategies. It comes with a event-based backtesting engine, ensuring an accurate and realistic evaluation of your strategies. The framework supports live trading with multiple exchanges and has various deployment options including Azure Functions and AWS Lambda.
-The framework is designed to be extensible, allowing you to add custom strategies, data providers, and order executors. It also supports multiple data sources, including OHLCV, ticker, and custom data, with integration for both Polars and Pandas.
+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.
+It offers a complete quantitative workflow, featuring two dedicated backtesting engines:
+
+* A vectorized backtest engine for fast signal research and prototyping
+
+* An event-based backtest engine for realistic and accurate strategy evaluation
+
+The framework supports live trading across multiple exchanges 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.
+
+
 
 ## Sponsors
 
@@ -30,11 +40,14 @@ The framework is designed to be extensible, allowing you to add custom strategie
 ## 🌟 Features
 
 - [x] Python 3.10+: Cross-platform support for Windows, macOS, and Linux.
-- [x] Backtesting: Simulate strategies with detailed performance reports.
+- [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] 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 stateless trading bots to Azure.
+- [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.
@@ -86,31 +99,15 @@ the 20, 50 and 100 period exponential moving averages (EMA) and the
 import logging.config
 from dotenv import load_dotenv
 
-from pyindicators import ema, rsi
+from pyindicators import ema, rsi, crossunder, crossover, is_above
 
 from investing_algorithm_framework import create_app, TimeUnit, Context, BacktestDateRange, \
-    CCXTOHLCVMarketDataSource, CCXTTickerMarketDataSource, DEFAULT_LOGGING_CONFIG, \
-    TradingStrategy, SnapshotInterval, convert_polars_to_pandas, BacktestReport
+    DEFAULT_LOGGING_CONFIG, TradingStrategy, SnapshotInterval, BacktestReport, DataSource
 
 load_dotenv()
 logging.config.dictConfig(DEFAULT_LOGGING_CONFIG)
 logger = logging.getLogger(__name__)
 
-# OHLCV data for candles
-bitvavo_btc_eur_ohlcv_2h = CCXTOHLCVMarketDataSource(
-    identifier="BTC-ohlcv",
-    market="BITVAVO",
-    symbol="BTC/EUR",
-    time_frame="2h",
-    window_size=200
-)
-# Ticker data for orders, trades and positions
-bitvavo_btc_eur_ticker = CCXTTickerMarketDataSource(
-    identifier="BTC-ticker",
-    market="BITVAVO",
-    symbol="BTC/EUR",
-)
-
 app = create_app()
 # Registered bitvavo market, credentials are read from .env file by default
 app.add_market(market="BITVAVO", trading_symbol="EUR", initial_balance=100)
@@ -118,20 +115,23 @@ app.add_market(market="BITVAVO", trading_symbol="EUR", initial_balance=100)
 class MyStrategy(TradingStrategy):
     interval = 2
     time_unit = TimeUnit.HOUR
-    data_sources = [bitvavo_btc_eur_ohlcv_2h, bitvavo_btc_eur_ticker]
+    data_sources = [
+        DataSource(data_type="OHLCV", market="bitvavo", symbol="BTC/EUR", window_size=200, time_frame="2h", identifier="BTC-ohlcv", pandas=True),
+    ]
+    symbols = ["BTC/EUR"]
 
-    def run_strategy(self, context: Context, market_data):
+    def run_strategy(self, context: Context, data):
 
         if context.has_open_orders(target_symbol="BTC"):
             logger.info("There are open orders, skipping strategy iteration.")
             return
 
-        print(market_data)
-
-        data = convert_polars_to_pandas(market_data["BTC-ohlcv"])
+        data = data["BTC-ohlcv"]
         data = ema(data, source_column="Close", period=20, result_column="ema_20")
         data = ema(data, source_column="Close", period=50, result_column="ema_50")
         data = ema(data, source_column="Close", period=100, result_column="ema_100")
+        data = crossunder(data, first_column="ema_50", second_column="ema_100", result_column="crossunder_50_20")
+        data = crossover(data, first_column="ema_50", second_column="ema_100", result_column="crossover_50_20")
         data = rsi(data, source_column="Close", period=14, result_column="rsi_14")
 
         if context.has_position("BTC") and self.sell_signal(data):
@@ -146,20 +146,10 @@ class MyStrategy(TradingStrategy):
             )
             return
 
-    def buy_signal(self, data):
-        if len(data) < 100:
-            return False
-        last_row = data.iloc[-1]
-        if last_row["ema_20"] > last_row["ema_50"] and last_row["ema_50"] > last_row["ema_100"]:
-            return True
+    def buy_signal(self, data) -> bool:
         return False
 
-    def sell_signal(self, data):
-
-        if data["ema_20"].iloc[-1] < data["ema_50"].iloc[-1] and \
-           data["ema_20"].iloc[-2] >= data["ema_50"].iloc[-2]:
-            return True
-
+    def sell_signal(self, data) -> bool:
         return False
 
 date_range = BacktestDateRange(
@@ -170,7 +160,7 @@ app.add_strategy(MyStrategy)
 if __name__ == "__main__":
     # Run the backtest with a daily snapshot interval for end-of-day granular reporting
     backtest = app.run_backtest(
-        backtest_date_range=date_range, initial_amount=100, snapshot_interval=SnapshotInterval.STRATEGY_ITERATION
+        backtest_date_range=date_range, initial_amount=100, snapshot_interval=SnapshotInterval.DAILY
     )
     backtest_report = BacktestReport(backtests=[backtest])
     backtest_report.show()

investing_algorithm_framework-7.0.0/investing_algorithm_framework/__init__.py

@@ -0,0 +1,166 @@
+from .app import App, Algorithm, \
+    TradingStrategy, StatelessAction, Task, AppHook, Context, \
+    add_html_report, BacktestReport, \
+    pretty_print_trades, pretty_print_positions, \
+    pretty_print_orders, pretty_print_backtest, select_backtest_date_ranges, \
+    get_equity_curve_with_drawdown_chart, \
+    get_rolling_sharpe_ratio_chart, rank_results, \
+    get_monthly_returns_heatmap_chart, defaults_ranking_weights, \
+    get_yearly_returns_bar_chart, get_entry_and_exit_signals, \
+    get_ohlcv_data_completeness_chart
+from .domain import ApiException, \
+    OrderType, OperationalException, OrderStatus, OrderSide, \
+    TimeUnit, TimeInterval, Order, Portfolio, Backtest, \
+    Position, TimeFrame, INDEX_DATETIME, MarketCredential, \
+    PortfolioConfiguration, RESOURCE_DIRECTORY, AWS_LAMBDA_LOGGING_CONFIG, \
+    Trade, SYMBOLS, RESERVED_BALANCES, APP_MODE, AppMode, DATETIME_FORMAT, \
+    BacktestDateRange, convert_polars_to_pandas, \
+    DEFAULT_LOGGING_CONFIG, DataType, DataProvider, \
+    BacktestResult, TradeStatus, TradeRiskType, \
+    APPLICATION_DIRECTORY, DataSource, OrderExecutor, PortfolioProvider, \
+    SnapshotInterval, AWS_S3_STATE_BUCKET_NAME
+from .infrastructure import AzureBlobStorageStateHandler, \
+    CSVOHLCVDataProvider, CCXTOHLCVDataProvider, PandasOHLCVDataProvider, \
+    AWSS3StorageStateHandler
+from .create_app import create_app
+from .download_data import download
+from .services.metrics import get_annual_volatility, get_sortino_ratio, \
+    get_drawdown_series, get_max_drawdown, get_equity_curve, \
+    get_price_efficiency_ratio, get_sharpe_ratio, \
+    get_profit_factor, get_cumulative_profit_factor_series, \
+    get_rolling_profit_factor_series, get_cagr, \
+    get_standard_deviation_returns, get_standard_deviation_downside_returns, \
+    get_max_drawdown_absolute, get_total_return, get_exposure, \
+    get_average_trade_duration, get_win_rate, get_win_loss_ratio, \
+    get_calmar_ratio, get_trade_frequency, get_yearly_returns, \
+    get_monthly_returns, get_best_year, get_best_month, get_worst_year, \
+    get_worst_month, get_best_trade, get_worst_trade, \
+    get_average_yearly_return, get_average_gain, get_average_loss, \
+    get_average_monthly_return, get_percentage_winning_months, \
+    get_max_drawdown_duration, get_max_daily_drawdown, get_trades_per_day, \
+    get_trades_per_year, get_average_monthly_return_losing_months, \
+    get_average_monthly_return_winning_months, get_percentage_winning_years, \
+    get_rolling_sharpe_ratio, create_backtest_metrics, get_growth, \
+    get_growth_percentage
+
+
+__all__ = [
+    "Algorithm",
+    "RESOURCE_DIRECTORY",
+    "App",
+    "AppHook",
+    "create_app",
+    "ApiException",
+    "OrderType",
+    "OrderStatus",
+    "OrderSide",
+    "PortfolioConfiguration",
+    "TimeUnit",
+    "TimeInterval",
+    "TradingStrategy",
+    "Order",
+    "Portfolio",
+    "Position",
+    "StatelessAction",
+    "Task",
+    "pretty_print_backtest",
+    "INDEX_DATETIME",
+    "Trade",
+    "TimeFrame",
+    "MarketCredential",
+    "OperationalException",
+    "SYMBOLS",
+    "RESERVED_BALANCES",
+    "APP_MODE",
+    "AppMode",
+    "DATETIME_FORMAT",
+    "Backtest",
+    "BacktestResult",
+    "BacktestDateRange",
+    "convert_polars_to_pandas",
+    "AzureBlobStorageStateHandler",
+    "DEFAULT_LOGGING_CONFIG",
+    "BacktestReport",
+    "TradeStatus",
+    "TradeRiskType",
+    "Context",
+    "APPLICATION_DIRECTORY",
+    "download",
+    "pretty_print_orders",
+    "pretty_print_trades",
+    "pretty_print_positions",
+    "DataSource",
+    "OrderExecutor",
+    "PortfolioProvider",
+    "SnapshotInterval",
+    "add_html_report",
+    "AWSS3StorageStateHandler",
+    "AWS_S3_STATE_BUCKET_NAME",
+    "AWS_LAMBDA_LOGGING_CONFIG",
+    'select_backtest_date_ranges',
+    'DataType',
+    'CSVOHLCVDataProvider',
+    "CCXTOHLCVDataProvider",
+    "DataProvider",
+    "get_annual_volatility",
+    "get_sortino_ratio",
+    "get_drawdown_series",
+    "get_max_drawdown",
+    "get_equity_curve",
+    "get_price_efficiency_ratio",
+    "get_sharpe_ratio",
+    "get_profit_factor",
+    "get_cumulative_profit_factor_series",
+    "get_rolling_profit_factor_series",
+    "get_sharpe_ratio",
+    "get_cagr",
+    "get_standard_deviation_returns",
+    "get_standard_deviation_downside_returns",
+    "get_max_drawdown_absolute",
+    "get_total_return",
+    "get_exposure",
+    "get_average_trade_duration",
+    "get_win_rate",
+    "get_win_loss_ratio",
+    "get_calmar_ratio",
+    "get_trade_frequency",
+    "get_yearly_returns",
+    "get_monthly_returns",
+    "get_best_year",
+    "get_best_month",
+    "get_worst_year",
+    "get_worst_month",
+    "get_best_trade",
+    "get_worst_trade",
+    "get_average_yearly_return",
+    "get_average_gain",
+    "get_average_loss",
+    "get_average_monthly_return",
+    "get_percentage_winning_months",
+    "get_average_trade_duration",
+    "get_trade_frequency",
+    "get_win_rate",
+    "get_win_loss_ratio",
+    "get_calmar_ratio",
+    "get_max_drawdown_absolute",
+    "get_max_drawdown_duration",
+    "get_max_daily_drawdown",
+    "get_trades_per_day",
+    "get_trades_per_year",
+    "get_average_monthly_return_losing_months",
+    "get_average_monthly_return_winning_months",
+    "get_percentage_winning_years",
+    "get_rolling_sharpe_ratio",
+    "create_backtest_metrics",
+    "PandasOHLCVDataProvider",
+    "get_equity_curve_with_drawdown_chart",
+    "get_rolling_sharpe_ratio_chart",
+    "get_monthly_returns_heatmap_chart",
+    "get_yearly_returns_bar_chart",
+    "get_ohlcv_data_completeness_chart",
+    "rank_results",
+    "defaults_ranking_weights",
+    "get_entry_and_exit_signals",
+    "get_growth",
+    "get_growth_percentage"
+]

{investing_algorithm_framework-6.9.7 → investing_algorithm_framework-7.0.0}/investing_algorithm_framework/app/__init__.py

@@ -7,8 +7,14 @@ from .algorithm import Algorithm
 from .context import Context
 from .reporting import add_html_report, \
     BacktestReport, pretty_print_backtest, pretty_print_trades, \
-    pretty_print_positions, pretty_print_orders
-from .analysis import select_backtest_date_ranges
+    pretty_print_positions, pretty_print_orders, \
+    get_equity_curve_with_drawdown_chart, \
+    get_rolling_sharpe_ratio_chart, \
+    get_monthly_returns_heatmap_chart, \
+    get_yearly_returns_bar_chart, \
+    get_ohlcv_data_completeness_chart, get_entry_and_exit_signals
+from .analysis import select_backtest_date_ranges, rank_results, \
+    defaults_ranking_weights
 
 
 __all__ = [
@@ -26,5 +32,13 @@ __all__ = [
     "pretty_print_trades",
     "pretty_print_positions",
     "pretty_print_orders",
-    "select_backtest_date_ranges"
+    "select_backtest_date_ranges",
+    "get_equity_curve_with_drawdown_chart",
+    "get_rolling_sharpe_ratio_chart",
+    "get_monthly_returns_heatmap_chart",
+    "get_yearly_returns_bar_chart",
+    "get_ohlcv_data_completeness_chart",
+    "rank_results",
+    "defaults_ranking_weights",
+    "get_entry_and_exit_signals"
 ]

{investing_algorithm_framework-6.9.7 → investing_algorithm_framework-7.0.0}/investing_algorithm_framework/app/algorithm/algorithm.py

@@ -6,7 +6,7 @@ from typing import List
 from investing_algorithm_framework.app.app_hook import AppHook
 from investing_algorithm_framework.app.strategy import TradingStrategy
 from investing_algorithm_framework.domain import OperationalException, \
-    MarketDataSource
+    DataSource
 
 logger = logging.getLogger("investing_algorithm_framework")
 
@@ -32,7 +32,7 @@ class Algorithm:
         strategy=None,
         strategies=None,
         tasks: List = None,
-        data_sources: List[MarketDataSource] = None,
+        data_sources: List[DataSource] = None,
         on_strategy_run_hooks=None
     ):
         self._name = name
@@ -210,9 +210,6 @@ class Algorithm:
                 "with the same id in the algorithm"
             )
 
-        if strategy.market_data_sources is not None:
-            self.add_data_sources(strategy.market_data_sources)
-
         self._strategies.append(strategy)
 
     def add_task(self, task):
@@ -221,41 +218,6 @@ class Algorithm:
 
         self._tasks.append(task)
 
-    def add_data_source(self, data_source) -> None:
-        """
-        Function to add a data source to the app. The data source should
-        be an instance of DataSource.
-
-        Args:
-            data_source: Instance of DataSource
-
-        Returns:
-            None
-        """
-        if inspect.isclass(data_source):
-            if not issubclass(data_source, MarketDataSource):
-                raise OperationalException(
-                    "Data source should be an instance of MarketDataSource"
-                )
-
-            data_source = data_source()
-
-        self.data_sources.append(data_source)
-
-    def add_data_sources(self, data_sources) -> None:
-        """
-        Function to add a list of data sources to the app. The data sources
-        should be instances of DataSource.
-
-        Args:
-            data_sources: List of DataSource
-
-        Returns:
-            None
-        """
-        for data_source in data_sources:
-            self.add_data_source(data_source)
-
     def add_on_strategy_run_hook(self, app_hook):
         """
         Function to add a hook that will be called when a strategy is run.

{investing_algorithm_framework-6.9.7 → investing_algorithm_framework-7.0.0}/investing_algorithm_framework/app/algorithm/algorithm_factory.py

@@ -56,7 +56,6 @@ class AlgorithmFactory:
         strategies=None,
         tasks=None,
         on_strategy_run_hooks=None,
-        data_sources=None
     ) -> Algorithm:
         """
         Create an instance of the specified algorithm type.
@@ -69,7 +68,6 @@ class AlgorithmFactory:
             tasks (list): List of Task instances.
             on_strategy_run_hooks (list): List of hooks to be called
                 when a strategy is run.
-            data_sources (list): List of MarketDataSource instances.
 
         Returns:
             Algorithm: Instance of Algorithm.
@@ -78,21 +76,30 @@ class AlgorithmFactory:
         strategies = strategies or []
         tasks = tasks or []
         on_strategy_run_hooks = on_strategy_run_hooks or []
-        data_sources = data_sources or []
+        data_sources = []
 
-        if algorithm is not None:
+        if algorithm is not None and isinstance(algorithm, Algorithm):
+            if name is None:
+                name = algorithm.name
 
-            for task in tasks:
-                algorithm.add_task(task)
+            strategies.extend(algorithm.strategies)
+            tasks.extend(algorithm.tasks)
+            on_strategy_run_hooks.extend(algorithm.on_strategy_run_hooks)
 
-            for app_hook in on_strategy_run_hooks:
-                algorithm.add_on_strategy_run_hook(app_hook)
+            if hasattr(algorithm, 'data_sources'):
+                data_sources.extend(algorithm.data_sources)
 
-            return algorithm
+        if strategy is not None:
+            strategies.append(strategy)
+            data_sources.extend(strategy.data_sources)
+
+        for strategy_entry in strategies:
+            if strategy_entry.data_sources is not None \
+                    and len(strategy_entry.data_sources):
+                data_sources.extend(strategy_entry.data_sources)
 
         algorithm = Algorithm(
             name=name,
-            strategy=strategy,
             strategies=strategies,
             tasks=tasks,
             on_strategy_run_hooks=on_strategy_run_hooks,

investing_algorithm_framework-7.0.0/investing_algorithm_framework/app/analysis/__init__.py

@@ -0,0 +1,8 @@
+from .backtest_data_ranges import select_backtest_date_ranges
+from .ranking import rank_results, defaults_ranking_weights
+
+__all__ = [
+    "select_backtest_date_ranges",
+    "rank_results",
+    "defaults_ranking_weights"
+]

{investing_algorithm_framework-6.9.7 → investing_algorithm_framework-7.0.0}/investing_algorithm_framework/app/analysis/backtest_data_ranges.py

@@ -1,7 +1,9 @@
 import pandas as pd
+from typing import List, Union
+
+from datetime import timezone
 from investing_algorithm_framework.domain import BacktestDateRange, \
     OperationalException
-from typing import List, Union
 
 
 def select_backtest_date_ranges(
@@ -11,6 +13,18 @@ def select_backtest_date_ranges(
     Identifies the best upturn, worst downturn, and sideways periods
     for the given window duration. This allows you to quickly select
     interesting periods for backtesting.
+
+    Args:
+        df (pd.DataFrame): DataFrame with a DateTime index
+            and 'Close' column.
+        window (Union[str, int]): Duration of the window
+            to analyze. Can be a string like '365D' or an
+            integer representing days.
+
+    Returns:
+        List[BacktestDateRange]: List of BacktestDateRange
+            objects representing the best upturn, worst
+            downturn, and most sideways periods.
     """
     df = df.copy()
     df = df.sort_index()
@@ -22,6 +36,15 @@ def select_backtest_date_ranges(
     else:
         raise OperationalException("window must be a string or integer")
 
+    # Check if the window is larger than the DataFrame
+    if len(df) == 0:
+        raise OperationalException("DataFrame is empty")
+
+    if df.index[-1] - df.index[0] < window:
+        raise OperationalException(
+            "Window duration is larger than the data duration"
+        )
+
     if len(df) < 2 or df.index[-1] - df.index[0] < window:
         raise OperationalException(
             "DataFrame must contain at least two rows and span "
@@ -55,9 +78,11 @@ def select_backtest_date_ranges(
         ret = (end_price / start_price) - 1  # relative return
         volatility = window_df['Close'].std()
 
-        # Ensure datetime for BacktestDateRange
+        # Ensure datetime for BacktestDateRange and with timezone utc
         start_time = pd.Timestamp(start_time).to_pydatetime()
+        start_time = start_time.replace(tzinfo=timezone.utc)
         end_time = pd.Timestamp(window_df.index[-1]).to_pydatetime()
+        end_time = end_time.replace(tzinfo=timezone.utc)
 
         if ret > best_upturn["return"]:
             best_upturn.update(