investing-algorithm-framework 7.0.0__tar.gz → 7.0.2__tar.gz

{investing_algorithm_framework-7.0.0 → investing_algorithm_framework-7.0.2}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: investing-algorithm-framework
-Version: 7.0.0
+Version: 7.0.2
 Summary: A framework for creating trading bots
 Author: MDUYN
 Requires-Python: >=3.10

{investing_algorithm_framework-7.0.0 → investing_algorithm_framework-7.0.2}/investing_algorithm_framework/app/analysis/ranking.py

@@ -1,7 +1,7 @@
 from investing_algorithm_framework.domain import Backtest
 
 defaults_ranking_weights = {
-    "total_return": 2.0,
+    "total_net_gain": 2.0,
     "sharpe_ratio": 1.0,
     "sortino_ratio": 1.0,
     "win_rate": 1.0,
@@ -17,7 +17,7 @@ def compute_score(metrics: dict, weights: dict) -> float:
     score = 0
     for key, weight in weights.items():
 
-        # Metrics are attributeds to the backtest
+        # Metrics are attributes to the backtest
         if not hasattr(metrics, key):
             continue
 

{investing_algorithm_framework-7.0.0 → investing_algorithm_framework-7.0.2}/investing_algorithm_framework/app/reporting/ascii.py

@@ -810,7 +810,7 @@ def pretty_print_backtest(
               .:-=*%%%%. {COLOR_PURPLE}+={COLOR_RESET} .%%#  {COLOR_PURPLE}-+.-{COLOR_RESET}%%%%=-:..   {COLOR_YELLOW}Number of orders:{COLOR_RESET}{COLOR_GREEN} {backtest_results.number_of_orders}{COLOR_RESET}
               .:=+#%%%%%*###%%%%#*+#%%%%%%*+-:    {COLOR_YELLOW}Initial balance:{COLOR_RESET}{COLOR_GREEN} {backtest_results.initial_unallocated}{COLOR_RESET}
                     +%%%%%%%%%%%%%%%%%%%=         {COLOR_YELLOW}Final balance:{COLOR_RESET}{COLOR_GREEN} {float(backtest_metrics.final_value):.{price_precision}f}{COLOR_RESET}
-                :++  .=#%%%%%%%%%%%%%*-           {COLOR_YELLOW}Total net gain:{COLOR_RESET}{COLOR_GREEN} {float(backtest_metrics.total_return):.{price_precision}f} {float(backtest_metrics.total_return_percentage):.{percentage_precision}f}%{COLOR_RESET}
+                :++  .=#%%%%%%%%%%%%%*-           {COLOR_YELLOW}Total net gain:{COLOR_RESET}{COLOR_GREEN} {float(backtest_metrics.total_net_gain):.{price_precision}f} {float(backtest_metrics.total_net_gain_percentage):.{percentage_precision}f}%{COLOR_RESET}
                :++:      :+%%%%%%#-.              {COLOR_YELLOW}Growth:{COLOR_RESET}{COLOR_GREEN} {float(backtest_results.growth):.{price_precision}f} {float(backtest_results.growth_percentage):.{percentage_precision}f}%{COLOR_RESET}
               :++:        .%%%%%#=                {COLOR_YELLOW}Number of trades:{COLOR_RESET}{COLOR_GREEN} {backtest_results.number_of_trades}{COLOR_RESET}
               :++:        .%%%%%#=                {COLOR_YELLOW}Number of trades closed:{COLOR_RESET}{COLOR_GREEN} {backtest_results.number_of_trades_closed}{COLOR_RESET}

{investing_algorithm_framework-7.0.0 → investing_algorithm_framework-7.0.2}/investing_algorithm_framework/app/reporting/tables/key_metrics_table.py

@@ -1,6 +1,6 @@
 import pandas as pd
 
-from .utils import safe_format, safe_format_date, safe_format_percentage
+from .utils import safe_format, safe_format_percentage
 
 
 def highlight_sharpe_and_sortino(row):
@@ -153,7 +153,10 @@ def create_html_key_metrics_table(results, report):
     format_str = "{:.2f}"
 
     # Format some values to percentages and floats
-    copy_results['Total Return'] = f"{safe_format_percentage(copy_results['total_return'], format_str)}%"
+    copy_results['Total Return'] = (
+        f"{safe_format(copy_results['total_net_gain'], format_str)} "
+        f"({safe_format_percentage(copy_results['total_net_gain_percentage'], format_str)}%)"
+    )
     copy_results['CAGR'] = f"{safe_format_percentage(copy_results['cagr'],format_str)}%"
     copy_results['Sharpe Ratio'] = safe_format(copy_results['sharpe_ratio'], format_str)
     copy_results['Sortino Ratio'] = safe_format(copy_results['sortino_ratio'], format_str)

{investing_algorithm_framework-7.0.0 → investing_algorithm_framework-7.0.2}/investing_algorithm_framework/app/reporting/tables/trade_metrics_table.py

@@ -1,5 +1,6 @@
 import pandas as pd
 
+from investing_algorithm_framework.domain import DEFAULT_DATETIME_FORMAT
 from .utils import safe_format, safe_format_date, safe_format_percentage
 
 
@@ -75,17 +76,16 @@ def create_html_trade_metrics_table(results, report):
         copy_results["Best Trade"] = "N/A"
         copy_results['Best Trade Date'] = "N/A"
     else:
-        copy_results['Best Trade'] = f"{copy_results['best_trade'].net_gain:.2f} {report.trading_symbol} ({copy_results['best_trade'].net_gain_percentage:.2f})%"
-        copy_results['Best Trade Date'] = copy_results['best_trade_date'].strftime('%Y-%m-%d')
-
+        copy_results['Best Trade'] = f"{best_trade['net_gain']:.2f} {report.trading_symbol}"
+        copy_results['Best Trade Date'] = safe_format_date(best_trade["opened_at"], format_str=DEFAULT_DATETIME_FORMAT)
     worst_trade = copy_results['worst_trade']
 
     if worst_trade is None:
         copy_results["Worst Trade"] = "N/A"
         copy_results['Worst Trade Date'] = "N/A"
     else:
-        copy_results['Worst Trade'] = f"{copy_results['worst_trade'].net_gain:.2f} {report.trading_symbol} ({copy_results['worst_trade'].net_gain_percentage:.2f})%"
-        copy_results['Worst Trade Date'] = copy_results['worst_trade_date'].strftime('%Y-%m-%d')
+        copy_results['Worst Trade'] = f"{worst_trade['net_gain']:.2f} {report.trading_symbol}"
+        copy_results['Worst Trade Date'] = safe_format_date(worst_trade['opened_at'], format_str=DEFAULT_DATETIME_FORMAT)
 
     copy_results['Trades Average Gain'] = f"{safe_format(copy_results['trades_average_gain'][0], string_format)} {report.trading_symbol} {copy_results['trades_average_gain'][1]:.2f}%"
     copy_results['Trades Average Loss'] = f"{safe_format(copy_results['trades_average_loss'][0], string_format)} {report.trading_symbol} {copy_results['trades_average_loss'][1]:.2f}%"

{investing_algorithm_framework-7.0.0 → investing_algorithm_framework-7.0.2}/investing_algorithm_framework/domain/__init__.py

@@ -11,7 +11,7 @@ from .constants import ITEMIZE, ITEMIZED, PER_PAGE, PAGE, ENVIRONMENT, \
     APP_MODE, DATABASE_DIRECTORY_NAME, BACKTESTING_INITIAL_AMOUNT, \
     APPLICATION_DIRECTORY, SNAPSHOT_INTERVAL, AWS_S3_STATE_BUCKET_NAME, \
     LAST_SNAPSHOT_DATETIME, DATA_DIRECTORY, INDEX_DATETIME, \
-    DATETIME_FORMAT_FILE_NAME
+    DATETIME_FORMAT_FILE_NAME, DEFAULT_DATETIME_FORMAT
 from .data_provider import DataProvider
 from .data_structures import PeekableQueue
 from .decimal_parsing import parse_decimal_to_string, parse_string_to_decimal
@@ -142,4 +142,5 @@ __all__ = [
     "DATETIME_FORMAT_FILE_NAME",
     "is_jupyter_notebook",
     "tqdm",
+    "DEFAULT_DATETIME_FORMAT",
 ]

{investing_algorithm_framework-7.0.0 → investing_algorithm_framework-7.0.2}/investing_algorithm_framework/domain/backtesting/backtest_metrics.py

@@ -30,8 +30,8 @@ class BacktestMetrics:
             over the backtest period.
         final_value (float): The final value of the portfolio at the end
             of the backtest.
-        total_return (float): The total return of the backtest.
-        total_return_percentage (float): The total return percentage
+        total_net_gain (float): The total return of the backtest.
+        total_net_gain_percentage (float): The total return percentage
         cagr (float): The compound annual growth rate of the backtest.
         sharpe_ratio (float): The Sharpe ratio of the backtest, indicating
             risk-adjusted return.
@@ -102,8 +102,8 @@ class BacktestMetrics:
     equity_curve: List[Tuple[float, datetime]] = field(default_factory=list)
     growth: float = 0.0
     growth_percentage: float = 0.0
-    total_return: float = 0.0
-    total_return_percentage: float = 0.0
+    total_net_gain: float = 0.0
+    total_net_gain_percentage: float = 0.0
     final_value: float = 0.0
     cagr: float = 0.0
     sharpe_ratio: float = 0.0
@@ -155,8 +155,8 @@ class BacktestMetrics:
             "backtest_end_date": self.backtest_end_date.isoformat(),
             "equity_curve": [(value, date.isoformat())
                              for value, date in self.equity_curve],
-            "total_return": self.total_return,
-            "total_return_percentage": self.total_return_percentage,
+            "total_net_gain": self.total_net_gain,
+            "total_net_gain_percentage": self.total_net_gain_percentage,
             "final_value": self.final_value,
             "cagr": self.cagr,
             "sharpe_ratio": self.sharpe_ratio,

{investing_algorithm_framework-7.0.0 → investing_algorithm_framework-7.0.2}/investing_algorithm_framework/domain/models/trade/trade.py

@@ -250,7 +250,11 @@ class Trade(BaseModel):
         cost = self.available_amount * self.open_price
         gain = (self.available_amount * self.last_reported_price) - cost
         gain += self.net_gain
-        return (gain / cost) * 100
+
+        if cost != 0:
+            return (gain / cost) * 100
+
+        return 0
 
     def to_dict(self, datetime_format=None):
 

{investing_algorithm_framework-7.0.0 → investing_algorithm_framework-7.0.2}/investing_algorithm_framework/services/metrics/generate.py

@@ -46,8 +46,8 @@ def create_backtest_metrics(
         backtest_end_date=backtest_results.backtest_end_date,
         equity_curve=get_equity_curve(backtest_results.portfolio_snapshots),
         final_value=get_final_value(backtest_results.portfolio_snapshots),
-        total_return=total_return[0],
-        total_return_percentage=total_return[1],
+        total_net_gain=total_return[0],
+        total_net_gain_percentage=total_return[1],
         cagr=get_cagr(backtest_results.portfolio_snapshots),
         sharpe_ratio=get_sharpe_ratio(
             backtest_results.portfolio_snapshots,

{investing_algorithm_framework-7.0.0 → investing_algorithm_framework-7.0.2}/pyproject.toml

@@ -1,6 +1,6 @@
 [tool.poetry]
 name = "investing-algorithm-framework"
-version = "v7.0.0"
+version = "v7.0.2"
 description = "A framework for creating trading bots"
 authors = ["MDUYN"]
 readme = "README.md"