investing-algorithm-framework 7.12.0__tar.gz → 7.13.0__tar.gz

{investing_algorithm_framework-7.12.0 → investing_algorithm_framework-7.13.0}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: investing-algorithm-framework
-Version: 7.12.0
+Version: 7.13.0
 Summary: A framework for creating trading bots
 Author: MDUYN
 Requires-Python: >=3.10

{investing_algorithm_framework-7.12.0 → investing_algorithm_framework-7.13.0}/investing_algorithm_framework/__init__.py

@@ -35,14 +35,15 @@ from .services import get_annual_volatility, get_sortino_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_average_yearly_return, get_average_trade_gain, \
+    get_average_trade_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, get_cumulative_exposure, get_median_return, \
-    get_average_return, get_risk_free_rate_us, get_cumulative_return, \
+    get_rolling_sharpe_ratio, create_backtest_metrics, get_total_growth, \
+    get_total_loss, get_cumulative_exposure, get_median_trade_return, \
+    get_average_trade_return, get_risk_free_rate_us, get_cumulative_return, \
     get_cumulative_return_series
 
 
@@ -135,8 +136,8 @@ __all__ = [
     "get_best_trade",
     "get_worst_trade",
     "get_average_yearly_return",
-    "get_average_gain",
-    "get_average_loss",
+    "get_average_trade_gain",
+    "get_average_trade_loss",
     "get_average_monthly_return",
     "get_percentage_winning_months",
     "get_average_trade_duration",
@@ -163,14 +164,14 @@ __all__ = [
     "rank_results",
     "create_weights",
     "get_entry_and_exit_signals",
-    "get_growth",
-    "get_growth_percentage",
     "BacktestEvaluationFocus",
     "combine_backtests",
     "PositionSize",
-    "get_median_return",
-    "get_average_return",
+    "get_median_trade_return",
+    "get_average_trade_return",
     "get_risk_free_rate_us",
     "get_cumulative_return",
     "get_cumulative_return_series",
+    "get_total_loss",
+    "get_total_growth"
 ]

{investing_algorithm_framework-7.12.0 → investing_algorithm_framework-7.13.0}/investing_algorithm_framework/app/analysis/ranking.py

@@ -195,9 +195,9 @@ def combine_backtest_metrics(
         backtest_start_date=start_date,
         backtest_end_date=end_date,
         equity_curve=[],  # leave empty to avoid misleading curves
-        growth=safe_mean([m.growth for m in backtest_metrics]),
-        growth_percentage=safe_mean(
-            [m.growth_percentage for m in backtest_metrics]),
+        total_growth=safe_mean([m.total_growth for m in backtest_metrics]),
+        total_growth_percentage=safe_mean(
+            [m.total_growth_percentage for m in backtest_metrics]),
         total_net_gain=safe_mean([m.total_net_gain for m in backtest_metrics]),
         total_net_gain_percentage=safe_mean(
             [m.total_net_gain_percentage for m in backtest_metrics]),
@@ -228,10 +228,27 @@ def combine_backtest_metrics(
         exposure_ratio=safe_mean(
             [m.exposure_ratio for m in backtest_metrics]
         ),
-        trades_average_gain=safe_mean(
-            [m.trades_average_gain for m in backtest_metrics]),
-        trades_average_loss=safe_mean(
-            [m.trades_average_loss for m in backtest_metrics]),
+        average_trade_gain=safe_mean(
+            [m.average_trade_gain for m in backtest_metrics]),
+        average_trade_gain_percentage=(
+            safe_mean(
+                [m.average_trade_gain_percentage for m in backtest_metrics]
+            )
+        ),
+        average_trade_loss=safe_mean(
+            [m.average_trade_loss for m in backtest_metrics]),
+        average_trade_loss_percentage=(
+            safe_mean(
+                [m.average_trade_loss_percentage for m in backtest_metrics]
+            )
+        ),
+        median_trade_return=safe_mean(
+            [m.median_trade_return for m in backtest_metrics]),
+        median_trade_return_percentage=(
+            safe_mean(
+                [m.median_trade_return_percentage for m in backtest_metrics]
+            )
+        ),
         best_trade=max((
             m.best_trade for m in backtest_metrics if m.best_trade),
             key=lambda t: t.net_gain if t else float('-inf'),

{investing_algorithm_framework-7.12.0 → investing_algorithm_framework-7.13.0}/investing_algorithm_framework/app/reporting/tables/trade_metrics_table.py

@@ -88,8 +88,8 @@ def create_html_trade_metrics_table(results, report):
         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'], string_format)} {report.trading_symbol} {copy_results['trades_average_gain_percentage']:.2f}%"
-    copy_results['Trades Average Loss'] = f"{safe_format(copy_results['trades_average_loss'], string_format)} {report.trading_symbol} {copy_results['trades_average_loss_percentage']:.2f}%"
+    copy_results['Trades Average Gain'] = f"{safe_format(copy_results['average_trade_gain'], string_format)} {report.trading_symbol} {copy_results['trades_average_gain_percentage']:.2f}%"
+    copy_results['Trades Average Loss'] = f"{safe_format(copy_results['average_trade_loss'], string_format)} {report.trading_symbol} {copy_results['trades_average_loss_percentage']:.2f}%"
     copy_results['Average Trade Duration'] = f"{copy_results['average_trade_duration']:.2f} hours"
     copy_results['Number of Trades'] = f"{copy_results['number_of_trades']}"
     copy_results['Win Rate'] = f"{copy_results['win_rate']:.2f}%"

{investing_algorithm_framework-7.12.0 → investing_algorithm_framework-7.13.0}/investing_algorithm_framework/domain/backtesting/backtest_metrics.py

@@ -23,17 +23,19 @@ class BacktestMetrics:
     Attributes:
         backtest_start_date (datetime): The start date of the backtest.
         backtest_end_date (datetime): The end date of the backtest.
+        final_value (float): The final value of the portfolio at the end
+            of the backtest.
         equity_curve (List[Tuple[datetime, float]]): A list of
             tuples representing  the equity curve, where each tuple
             contains a date and the  corresponding portfolio value.
-        growth (float): The growth of the portfolio over the backtest period.
-        growth_percentage (float): The percentage growth of the portfolio
+        total_growth (float): The growth of the portfolio over the
+            backtest period.
+        total_growth_percentage (float): The percentage growth of the portfolio
             over the backtest period.
-        final_value (float): The final value of the portfolio at the end
-            of the backtest.
         total_net_gain (float): The total return of the backtest.
         total_net_gain_percentage (float): The total return percentage
         total_loss (float): The total loss of the backtest.
+        total_loss_percentage (float): The total loss percentage
         cagr (float): The compound annual growth rate of the backtest.
         sharpe_ratio (float): The Sharpe ratio of the backtest, indicating
             risk-adjusted return.
@@ -68,15 +70,24 @@ class BacktestMetrics:
             average exposure of the portfolio.
         cumulative_exposure (float): The cumulative exposure, indicating the
             total exposure of the portfolio over the backtest period.
-        trades_average_gain (float): The average gain from winning trades.
-        trades_average_gain_percentage (float): The average gain percentage
-            from winning trades.
-        trades_average_loss (float): The average loss from losing trades.
-        trades_average_loss_percentage (float): The average loss percentage
+        average_trade_size (float): The average size of trades executed
+            during the backtest.
+        average_trade_loss (float): The average loss from losing trades.
+        average_trade_loss_percentage (float): The average loss percentage
             from losing trades.
-        trades_average_return (float): The average return from all trades.
-        trades_average_return_percentage (float): The average return
-            percentage from all trades.
+        average_trade_gain (float): The average gain from winning trades.
+        average_trade_gain_percentage (float): The average gain percentage
+            from winning trades.
+        average_trade_return (float): The average return from all trades.
+        average_trade_return_percentage (float): The average return percentage
+            from all trades.
+        median_trade_return (float): The median return from all trades.
+        median_trade_return_percentage (float): The median return percentage
+            from all trades.
+        number_of_positive_trades (int): The total number of profitable trades
+            executed during the backtest.
+        number_of_negative_trades (int): The total number of unprofitable
+            trades executed during the backtest.
         best_trade (float): A string representation of the best trade,
             including net gain and percentage.
         worst_trade (float): A string representation of the worst trade,
@@ -123,10 +134,12 @@ class BacktestMetrics:
     backtest_start_date: datetime
     backtest_end_date: datetime
     equity_curve: List[Tuple[float, datetime]] = field(default_factory=list)
-    growth: float = 0.0
-    growth_percentage: float = 0.0
+    total_growth: float = 0.0
+    total_growth_percentage: float = 0.0
     total_net_gain: float = 0.0
     total_net_gain_percentage: float = 0.0
+    total_loss: float = 0.0
+    total_loss_percentage: float = 0.0
     final_value: float = 0.0
     cumulative_return: float = 0.0
     cumulative_return_series: List[Tuple[float, datetime]] = \
@@ -152,24 +165,28 @@ class BacktestMetrics:
     trade_per_day: float = 0.0
     exposure_ratio: float = 0.0
     cumulative_exposure: float = 0.0
-    trades_average_gain: float = 0.0
-    trades_average_gain_percentage: float = 0.0
-    trades_average_loss: float = 0.0
-    trades_average_loss_percentage: float = 0.0
-    trades_average_return: float = 0.0
-    trades_average_return_percentage: float = 0.0
     best_trade: Trade = None
     worst_trade: Trade = None
+    number_of_positive_trades: int = 0
+    percentage_positive_trades: float = 0.0
+    number_of_negative_trades: int = 0
+    percentage_negative_trades: float = 0.0
     average_trade_duration: float = 0.0
     average_trade_size: float = 0.0
+    average_trade_loss: float = 0.0
+    average_trade_loss_percentage: float = 0.0
+    average_trade_gain: float = 0.0
+    average_trade_gain_percentage: float = 0.0
+    average_trade_return: float = 0.0
+    average_trade_return_percentage: float = 0.0
+    median_trade_return: float = 0.0
+    median_trade_return_percentage: float = 0.0
     number_of_trades: int = 0
     number_of_trades_closed: int = 0
     number_of_trades_opened: int = 0
     number_of_trades_open_at_end: int = 0
     win_rate: float = 0.0
     win_loss_ratio: float = 0.0
-    percentage_positive_trades: float = 0.0
-    percentage_negative_trades: float = 0.0
     percentage_winning_months: float = 0.0
     percentage_winning_years: float = 0.0
     average_monthly_return: float = 0.0
@@ -198,11 +215,13 @@ class BacktestMetrics:
             "backtest_end_date": self.backtest_end_date.isoformat(),
             "equity_curve": [(value, date.isoformat())
                              for value, date in self.equity_curve],
+            "final_value": self.final_value,
             "total_net_gain": self.total_net_gain,
             "total_net_gain_percentage": self.total_net_gain_percentage,
-            "final_value": self.final_value,
-            "growth": self.growth,
-            "growth_percentage": self.growth_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,
             "cumulative_return": self.cumulative_return,
             "cumulative_return_series": [(value, date.isoformat())
                                          for value, date in
@@ -216,8 +235,6 @@ class BacktestMetrics:
             "sortino_ratio": self.sortino_ratio,
             "calmar_ratio": self.calmar_ratio,
             "profit_factor": self.profit_factor,
-            "gross_profit": self.gross_profit,
-            "gross_loss": self.gross_loss,
             "annual_volatility": self.annual_volatility,
             "monthly_returns": [(value, date.isoformat())
                                 for value, date in self.monthly_returns],
@@ -233,15 +250,22 @@ class BacktestMetrics:
             "trade_per_day": self.trade_per_day,
             "exposure_ratio": self.exposure_ratio,
             "cumulative_exposure": self.cumulative_exposure,
-            "trades_average_gain": self.trades_average_gain,
-            "trades_average_gain_percentage":
-                self.trades_average_gain_percentage,
-            "trades_average_loss": self.trades_average_loss,
-            "trades_average_loss_percentage":
-                self.trades_average_loss_percentage,
-            "trades_average_return": self.trades_average_return,
-            "trades_average_return_percentage":
-                self.trades_average_return_percentage,
+            "average_trade_gain": self.average_trade_gain,
+            "average_trade_gain_percentage":
+                self.average_trade_gain_percentage,
+            "average_trade_loss": self.average_trade_loss,
+            "average_trade_loss_percentage":
+                self.average_trade_loss_percentage,
+            "average_trade_return": self.average_trade_return,
+            "average_trade_return_percentage":
+                self.average_trade_return_percentage,
+            "median_trade_return": self.median_trade_return,
+            "median_trade_return_percentage":
+                self.median_trade_return_percentage,
+            "number_of_positive_trades": self.number_of_positive_trades,
+            "percentage_positive_trades": self.percentage_positive_trades,
+            "number_of_negative_trades": self.number_of_negative_trades,
+            "percentage_negative_trades": self.percentage_negative_trades,
             "best_trade": self.best_trade.to_dict()
             if self.best_trade else None,
             "worst_trade": self.worst_trade.to_dict()
@@ -253,8 +277,6 @@ class BacktestMetrics:
             "win_loss_ratio": self.win_loss_ratio,
             "percentage_winning_months": self.percentage_winning_months,
             "percentage_winning_years": self.percentage_winning_years,
-            "percentage_positive_trades": self.percentage_positive_trades,
-            "percentage_negative_trades": self.percentage_negative_trades,
             "average_monthly_return": self.average_monthly_return,
             "average_monthly_return_losing_months":
                 self.average_monthly_return_losing_months,

{investing_algorithm_framework-7.12.0 → investing_algorithm_framework-7.13.0}/investing_algorithm_framework/domain/backtesting/backtest_run.py

@@ -66,13 +66,13 @@ class BacktestRun:
     backtest_start_date: datetime
     backtest_end_date: datetime
     trading_symbol: str
-    initial_unallocated: float
-    number_of_runs: int
-    portfolio_snapshots: List[PortfolioSnapshot]
-    trades: List[Trade]
-    orders: List[Order]
-    positions: List[Position]
-    created_at: datetime
+    initial_unallocated: float = 0.0
+    number_of_runs: int = 0
+    portfolio_snapshots: List[PortfolioSnapshot] = field(default_factory=list)
+    trades: List[Trade] = field(default_factory=list)
+    orders: List[Order] = field(default_factory=list)
+    positions: List[Position] = field(default_factory=list)
+    created_at: datetime = None,
     symbols: List[str] = field(default_factory=list)
     number_of_days: int = 0
     number_of_trades: int = 0

{investing_algorithm_framework-7.12.0 → investing_algorithm_framework-7.13.0}/investing_algorithm_framework/domain/backtesting/backtest_summary_metrics.py

@@ -20,19 +20,24 @@ class BacktestSummaryMetrics:
         total_net_gain (float): Total net gain from the backtest.
         total_net_gain_percentage (float): Total net gain percentage
             from the backtest.
-        average_total_net_gain (float): Average total net gain across
-            multiple backtests.
-        average_total_net_gain_percentage (float): Average total net gain
-            percentage across multiple backtests.
-        gross_loss (float): Total gross loss from all trades.
-        average_gross_loss (float): Average gross loss across
+        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.
-        growth (float): Total growth from the backtest.
-        growth_percentage (float): Total growth percentage from the backtest.
         average_growth (float): Average growth across multiple backtests.
         average_growth_percentage (float): Average growth percentage across
             multiple backtests.
-        trades_average_return (float): Average return per trade.
+        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.
@@ -50,14 +55,20 @@ class BacktestSummaryMetrics:
     """
     total_net_gain: float = None
     total_net_gain_percentage: float = None
-    average_total_net_gain: float = None
-    average_total_net_gain_percentage: float = None
-    gross_loss: float = None
-    average_gross_loss: float = None
-    growth: float = None
-    growth_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_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
     trades_average_return: float = None
     cagr: float = None
     sharpe_ratio: float = None
@@ -81,16 +92,23 @@ class BacktestSummaryMetrics:
         return {
             "total_net_gain": self.total_net_gain,
             "total_net_gain_percentage": self.total_net_gain_percentage,
-            "average_total_net_gain": self.average_total_net_gain,
-            "average_total_net_gain_percentage":
-                self.average_total_net_gain_percentage,
-            "gross_loss": self.gross_loss,
-            "average_gross_loss": self.average_gross_loss,
-            "growth": self.growth,
-            "growth_percentage": self.growth_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_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,
-            "trades_average_return": self.trades_average_return,
+            "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,
@@ -154,9 +172,7 @@ class BacktestSummaryMetrics:
         if self.total_net_gain is None:
             self.total_net_gain = other.total_net_gain
         else:
-            self.total_net_gain = safe_mean(
-                self.total_net_gain, other.total_net_gain
-            )
+            self.total_net_gain += other.total_net_gain
 
         if self.total_net_gain_percentage is None:
             self.total_net_gain_percentage = other.total_net_gain_percentage
@@ -165,28 +181,71 @@ class BacktestSummaryMetrics:
                 self.total_net_gain_percentage, other.total_net_gain_percentage
             )
 
-        if self.gross_loss is None:
-            self.gross_loss = other.gross_loss
+        if self.total_loss is None:
+            self.total_loss = other.total_loss
+        else:
+            self.total_loss = safe_mean(self.total_loss, other.total_loss)
+
+        if self.total_growth is None:
+            self.total_growth = other.total_growth
+        else:
+            self.total_growth = safe_mean(
+                self.total_growth, other.total_growth
+            )
+
+        if self.total_growth_percentage is None:
+            self.total_growth_percentage = other.total_growth_percentage
         else:
-            self.gross_loss = safe_mean(self.gross_loss, other.gross_loss)
+            self.total_growth_percentage = safe_mean(
+                self.total_growth_percentage, other.total_growth_percentage
+            )
+
+        if self.average_trade_return is None:
+            self.average_trade_return = other.average_trade_return
+        else:
+            self.average_trade_return = safe_mean(
+                self.average_trade_return, other.average_trade_return
+            )
 
-        if self.growth is None:
-            self.growth = other.growth
+        if self.average_trade_return_percentage is None:
+            self.average_trade_return_percentage = \
+                other.average_trade_return_percentage
         else:
-            self.growth = safe_mean(self.growth, other.growth)
+            self.average_trade_return_percentage = safe_mean(
+                self.average_trade_return_percentage,
+                other.average_trade_return_percentage
+            )
+
+        if self.average_trade_loss is None:
+            self.average_trade_loss = other.average_trade_loss
+        else:
+            self.average_trade_loss = safe_mean(
+                self.average_trade_loss, other.average_trade_loss
+            )
 
-        if self.growth_percentage is None:
-            self.growth_percentage = other.growth_percentage
+        if self.average_trade_loss_percentage is None:
+            self.average_trade_loss_percentage = \
+                other.average_trade_loss_percentage
         else:
-            self.growth_percentage = safe_mean(
-                self.growth_percentage, other.growth_percentage
+            self.average_trade_loss_percentage = safe_mean(
+                self.average_trade_loss_percentage,
+                other.average_trade_loss_percentage
             )
 
-        if self.trades_average_return is None:
-            self.trades_average_return = other.trades_average_return
+        if self.average_trade_gain is None:
+            self.average_trade_gain = other.average_trade_gain
         else:
-            self.trades_average_return = safe_mean(
-                self.trades_average_return, other.trades_average_return
+            self.average_trade_gain = safe_mean(
+                self.average_trade_gain, other.average_trade_gain
+            )
+
+        if self.average_trade_gain_percentage is None:
+            self.average_trade_gain_percentage = \
+                other.average_trade_gain_percentage
+        else:
+            self.average_trade_gain_percentage = safe_mean(
+                self.average_trade_gain_percentage,
+                other.average_trade_gain_percentage
             )
 
         if self.cagr is None:
@@ -265,6 +324,36 @@ class BacktestSummaryMetrics:
         else:
             self.number_of_trades += other.number_of_trades
 
+        if self.average_net_gain is None:
+            self.average_net_gain = other.total_net_gain
+        else:
+            self.average_net_gain = safe_mean(
+                self.average_net_gain, other.total_net_gain
+            )
+
+        if self.average_net_gain_percentage is None:
+            self.average_net_gain_percentage = other.total_net_gain_percentage
+        else:
+            self.average_net_gain_percentage = safe_mean(
+                self.average_net_gain_percentage,
+                other.total_net_gain_percentage
+            )
+
+        if self.average_growth is None:
+            self.average_growth = other.total_growth
+        else:
+            self.average_growth = safe_mean(
+                self.average_growth, other.total_growth
+            )
+
+        if self.average_growth_percentage is None:
+            self.average_growth_percentage = other.total_growth_percentage
+        else:
+            self.average_growth_percentage = safe_mean(
+                self.average_growth_percentage,
+                other.total_growth_percentage
+            )
+
     def __repr__(self):
         return json.dumps(
             self.to_dict(), indent=4, sort_keys=True, default=str

{investing_algorithm_framework-7.12.0 → investing_algorithm_framework-7.13.0}/investing_algorithm_framework/domain/models/order/order.py

@@ -40,7 +40,8 @@ class Order(BaseModel):
         order_fee=None,
         order_fee_currency=None,
         order_fee_rate=None,
-        id=None
+        id=None,
+        metadata=None,
     ):
         if target_symbol is None:
             raise OperationalException("Target symbol is not specified")
@@ -85,6 +86,7 @@ class Order(BaseModel):
         self.order_fee_rate = order_fee_rate
         self.id = id
         self.cost = cost
+        self.metadata = metadata if metadata is not None else {}
 
     def get_id(self):
         return self.id
@@ -254,6 +256,7 @@ class Order(BaseModel):
             "order_fee_currency": self.order_fee_currency,
             "order_fee_rate": self.order_fee_rate,
             "order_fee": self.order_fee,
+            "metadata": self.metadata if self.metadata else {},
         }
 
     @staticmethod
@@ -294,6 +297,7 @@ class Order(BaseModel):
             order_fee=data.get("order_fee", None),
             order_fee_currency=data.get("order_fee_currency", None),
             order_fee_rate=data.get("order_fee_rate", None),
+            metadata=data.get("metadata", {}),
         )
         return order
 

{investing_algorithm_framework-7.12.0 → investing_algorithm_framework-7.13.0}/investing_algorithm_framework/services/__init__.py

@@ -22,17 +22,19 @@ from .metrics import get_annual_volatility, \
     get_total_return, get_cumulative_exposure, get_exposure_ratio, \
     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_worst_trade, get_average_yearly_return, get_average_trade_gain, \
+    get_average_trade_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, get_growth, \
-    get_growth_percentage, get_risk_free_rate_us, get_median_return, \
-    get_average_return, get_cumulative_return, get_cumulative_return_series
+    get_rolling_sharpe_ratio, create_backtest_metrics, get_total_growth, \
+    get_total_loss, get_risk_free_rate_us, get_median_trade_return, \
+    get_average_trade_return, get_cumulative_return, \
+    get_cumulative_return_series, get_average_trade_size, \
+    get_positive_trades, get_negative_trades, get_number_of_trades
 
 __all__ = [
     "OrderService",
@@ -88,8 +90,7 @@ __all__ = [
     "get_best_trade",
     "get_worst_trade",
     "get_average_yearly_return",
-    "get_average_gain",
-    "get_average_loss",
+    "get_average_trade_loss",
     "get_average_monthly_return",
     "get_percentage_winning_months",
     "get_average_trade_duration",
@@ -105,11 +106,16 @@ __all__ = [
     "get_average_monthly_return_winning_months",
     "get_percentage_winning_years",
     "get_rolling_sharpe_ratio",
-    "get_growth_percentage",
+    "get_total_growth",
     "create_backtest_metrics",
-    "get_growth",
-    "get_median_return",
-    "get_average_return",
+    "get_total_loss",
+    "get_median_trade_return",
+    "get_average_trade_gain",
+    "get_average_trade_size",
+    "get_average_trade_return",
+    "get_positive_trades",
+    "get_negative_trades",
+    "get_number_of_trades",
     "get_cumulative_return",
     "get_cumulative_return_series",
 ]