investing-algorithm-framework 7.16.10__py3-none-any.whl → 7.16.11__py3-none-any.whl

investing_algorithm_framework/domain/backtesting/backtest_evaluation_focuss.py

@@ -1,33 +1,79 @@
 from enum import Enum
 
 
-default_weights = {
-    # Profitability
-    "total_net_gain": 3.0,
-    "gross_loss": 0.0,
-    "growth": 0.0,
-    "trades_average_return": 0.0,
-
-    # Risk-adjusted returns
-    "sharpe_ratio": 1.0,
-    "sortino_ratio": 1.0,
-    "profit_factor": 1.0,
-
-    # Risk
-    "max_drawdown": -2.0,
-    "max_drawdown_duration": -0.5,
-
-    # Trading activity
-    "number_of_trades": 2.0,
-    "win_rate": 3.0,
-
-    # Exposure
-    "cumulative_exposure": 0.5,
-    "exposure_ratio": 0.0,
-}
-
-
 class BacktestEvaluationFocus(Enum):
+    """
+    Enumeration for backtest evaluation focus areas.
+
+    The available metrics are:
+        - backtest_start_date
+        - backtest_end_date
+        - equity_curve
+        - final_value
+        - total_growth
+        - total_growth_percentage
+        - total_net_gain
+        - total_net_gain_percentage
+        - total_loss
+        - total_loss_percentage
+        - cumulative_return
+        - cumulative_return_series
+        - cagr
+        - sharpe_ratio
+        - rolling_sharpe_ratio
+        - sortino_ratio
+        - calmar_ratio
+        - profit_factor
+        - annual_volatility
+        - monthly_returns
+        - yearly_returns
+        - drawdown_series
+        - max_drawdown
+        - max_drawdown_absolute
+        - max_daily_drawdown
+        - max_drawdown_duration
+        - trades_per_year
+        - trade_per_day
+        - exposure_ratio
+        - cumulative_exposure
+        - best_trade
+        - worst_trade
+        - number_of_positive_trades
+        - percentage_positive_trades
+        - number_of_negative_trades
+        - percentage_negative_trades
+        - average_trade_duration
+        - average_trade_size
+        - average_trade_loss
+        - average_trade_loss_percentage
+        - average_trade_gain
+        - average_trade_gain_percentage
+        - average_trade_return
+        - average_trade_return_percentage
+        - median_trade_return
+        - number_of_trades
+        - number_of_trades_closed
+        - number_of_trades_opened
+        - number_of_trades_open_at_end
+        - win_rate
+        - current_win_rate
+        - win_loss_ratio
+        - current_win_loss_ratio
+        - percentage_winning_months
+        - percentage_winning_years
+        - average_monthly_return
+        - average_monthly_return_losing_months
+        - average_monthly_return_winning_months
+        - best_month
+        - best_year
+        - worst_month
+        - worst_year
+        - total_number_of_days
+        - current_average_trade_gain
+        - current_average_trade_return
+        - current_average_trade_duration
+        - current_average_trade_loss
+    """
     BALANCED = "balanced"
     PROFIT = "profit"
     FREQUENCY = "frequency"
@@ -73,44 +119,124 @@ class BacktestEvaluationFocus(Enum):
             return BacktestEvaluationFocus.from_string(other) == self
 
     def get_weights(self):
-        # default / balanced
-        base = {
-            "total_net_gain": 3.0,
-            "win_rate": 3.0,
-            "number_of_trades": 2.0,
-            "sharpe_ratio": 1.0,
-            "sortino_ratio": 1.0,
-            "profit_factor": 1.0,
-            "max_drawdown": -2.0,
-            "max_drawdown_duration": -0.5,
-            "total_net_loss": 0.0,
-            "total_return": 0.0,
-            "avg_return_per_trade": 0.0,
-            "exposure_factor": 0.5,
-            "exposure_ratio": 0.0,
-            "exposure_time": 0.0,
-        }
-
-        if self != BacktestEvaluationFocus.BALANCED:
-
-            # apply presets
-            if self == BacktestEvaluationFocus.PROFIT:
-                base.update({
-                    "total_net_gain": 3.0,
-                    "win_rate": 2.0,
-                    "number_of_trades": 1.0,
-                })
-            elif self == BacktestEvaluationFocus.FREQUENCY:
-                base.update({
-                    "number_of_trades": 3.0,
-                    "win_rate": 2.0,
-                    "total_net_gain": 2.0,
-                })
-            elif self == BacktestEvaluationFocus.RISK_ADJUSTED:
-                base.update({
-                    "sharpe_ratio": 3.0,
-                    "sortino_ratio": 3.0,
-                    "max_drawdown": -3.0,
-                })
-
-        return base
+        """
+        Get evaluation weights for different focus areas.
+        Returns a dictionary with metric weights where:
+        - Positive weights favor higher values
+        - Negative weights favor lower values (penalties)
+        - Zero weights ignore the metric
+        """
+
+        if self == BacktestEvaluationFocus.BALANCED:
+            return {
+                # Core profitability metrics (moderate weight)
+                "total_net_gain_percentage": 2.0,
+                "cagr": 1.5,
+                "average_trade_return_percentage": 1.0,
+
+                # Risk-adjusted returns (important for balance)
+                "sharpe_ratio": 2.0,
+                "sortino_ratio": 1.5,
+                "calmar_ratio": 1.0,
+                "profit_factor": 1.5,
+
+                # Risk management (penalties for bad metrics)
+                "max_drawdown": -1.5,
+                "max_drawdown_duration": -0.5,
+                "annual_volatility": -0.8,
+
+                # Trading consistency
+                "win_rate": 1.5,
+                "win_loss_ratio": 1.0,
+                "number_of_trades": 0.8,  # Some activity needed
+
+                # Efficiency metrics
+                "exposure_ratio": 0.5,
+                "trades_per_year": 0.3,
+            }
+
+        elif self == BacktestEvaluationFocus.PROFIT:
+            return {
+                # Maximize absolute and relative profits
+                "total_net_gain_percentage": 3.0,
+                "cagr": 2.5,
+                "total_net_gain": 2.0,
+                "average_trade_return_percentage": 1.5,
+                "best_trade": 1.0,
+
+                # Profit consistency
+                "win_rate": 2.0,
+                "profit_factor": 2.0,
+                "percentage_positive_trades": 1.0,
+
+                # Risk secondary (but still important)
+                "sharpe_ratio": 1.0,
+                "max_drawdown": -1.0,
+
+                # Activity level (need some trades)
+                "number_of_trades": 0.5,
+
+                # Monthly/yearly consistency
+                "percentage_winning_months": 0.8,
+                "average_monthly_return": 1.0,
+            }
+
+        elif self == BacktestEvaluationFocus.FREQUENCY:
+            return {
+                # High trading activity with good results
+                "number_of_trades": 3.0,
+                "trades_per_year": 2.5,
+                "exposure_ratio": 2.0,
+
+                # Profitability per trade (scaled for frequency)
+                "average_trade_return_percentage": 2.0,
+                "win_rate": 2.5,
+                "total_net_gain_percentage": 1.5,
+
+                # Consistency across many trades
+                "win_loss_ratio": 1.5,
+                "percentage_positive_trades": 1.0,
+
+                # Risk management for frequent trading
+                "max_drawdown": -1.5,
+                "sharpe_ratio": 1.0,
+                "profit_factor": 1.2,
+
+                # Duration efficiency
+                "average_trade_duration": -0.3,  # Prefer shorter trades
+            }
+
+        elif self == BacktestEvaluationFocus.RISK_ADJUSTED:
+            return {
+                # Risk-adjusted performance metrics (highest priority)
+                "sharpe_ratio": 3.0,
+                "sortino_ratio": 2.5,
+                "calmar_ratio": 2.0,
+
+                # Risk management (strong penalties)
+                "max_drawdown": -3.0,
+                "max_drawdown_duration": -1.5,
+                "annual_volatility": -2.0,
+                "worst_trade": -1.0,
+
+                # Consistent performance
+                "win_rate": 2.0,
+                "win_loss_ratio": 1.5,
+                "percentage_winning_months": 1.5,
+
+                # Stable returns
+                "average_trade_return_percentage": 1.5,
+                "total_net_gain_percentage": 1.0,
+                "profit_factor": 1.8,
+
+                # Reasonable activity
+                "number_of_trades": 0.5,
+
+                # Downside protection
+                "average_trade_loss_percentage": -1.0,
+                "percentage_negative_trades": -1.0,
+            }
+
+        # Fallback to balanced if unknown focus
+        return self.get_weights() \
+            if self != BacktestEvaluationFocus.BALANCED else {}

investing_algorithm_framework/services/backtesting/backtest_service.py

@@ -268,6 +268,11 @@ class BacktestService:
             # Trade generation
             last_trade = None
 
+            # Align signals with most granular OHLCV data
+            close = df["Close"].reindex(index, method='ffill')
+            buy_signal = buy_signals[symbol].reindex(index, fill_value=False)
+            sell_signal = sell_signals[symbol].reindex(index, fill_value=False)
+
             # Loop over all timestamps in the backtest
             for i in range(len(index)):
 

{investing_algorithm_framework-7.16.10.dist-info → investing_algorithm_framework-7.16.11.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: investing-algorithm-framework
-Version: 7.16.10
+Version: 7.16.11
 Summary: A framework for creating trading bots
 Author: MDUYN
 Requires-Python: >=3.10

{investing_algorithm_framework-7.16.10.dist-info → investing_algorithm_framework-7.16.11.dist-info}/RECORD

@@ -86,7 +86,7 @@ investing_algorithm_framework/domain/__init__.py,sha256=PASQlRGcU_MDIwnLppanXGo-
 investing_algorithm_framework/domain/backtesting/__init__.py,sha256=q-NejGHzE233w5jXPhSsuLpBZ_yl3m-qb2g6FnxZaps,699
 investing_algorithm_framework/domain/backtesting/backtest.py,sha256=mS7JdPTXhw5AQrQ-krXWtpNsBbVVYkxc1lBSoPhCqoQ,15617
 investing_algorithm_framework/domain/backtesting/backtest_date_range.py,sha256=e_V7HMdtln4uu87jwwa_Yr7ZesgrpFqsEqtr0e0DTto,3186
-investing_algorithm_framework/domain/backtesting/backtest_evaluation_focuss.py,sha256=ZGfJm-zjsWudQMOdYKfW_2T7K3SBy-JjaMoJp9zijWE,3010
+investing_algorithm_framework/domain/backtesting/backtest_evaluation_focuss.py,sha256=D__3I_TSxDVnGtlddmWt4wHcqut8MGyYMf1IfQZXYJ0,7547
 investing_algorithm_framework/domain/backtesting/backtest_metrics.py,sha256=HR0bEDT3xh-TQq50PLDcKhYggjtnE-JTRuY2TlXz54w,19552
 investing_algorithm_framework/domain/backtesting/backtest_permutation_test.py,sha256=8JXdu3EgFh2f2Yc41OYwIBwlYtjFiumyAJUrN5kL078,6703
 investing_algorithm_framework/domain/backtesting/backtest_run.py,sha256=ffQgilEkyixGrGvKeCZF670OPoY3ljixlgsXPajHpZY,14310
@@ -202,7 +202,7 @@ investing_algorithm_framework/infrastructure/services/azure/__init__.py,sha256=P
 investing_algorithm_framework/infrastructure/services/azure/state_handler.py,sha256=EUk4PdVl6RQ19DuWdrC4DzgOhGcL3qiZKWgWh_obT4E,5240
 investing_algorithm_framework/services/__init__.py,sha256=9p0Y2enp6UMOlU4qJgVoojHBRARLGefNzbPxgSCN0wI,4999
 investing_algorithm_framework/services/backtesting/__init__.py,sha256=sD6JMQVuUT8NRKV77VC9jyGnHcGox0W2n9eA-4ydeHY,84
-investing_algorithm_framework/services/backtesting/backtest_service.py,sha256=wT2FqRCnv9HUREvTV6b9sHAZRlJ3go3FtAqfwHTwxB8,23427
+investing_algorithm_framework/services/backtesting/backtest_service.py,sha256=jNd3s0qc9_PGMZAKnW0PB8kQ8Mub05n7UMcq2eB1s-8,23707
 investing_algorithm_framework/services/configuration_service.py,sha256=BCgiBlrLjMjfU4afmjYaHu9gOWNmgaxhf6RBN2XJkw0,2853
 investing_algorithm_framework/services/data_providers/__init__.py,sha256=OHVccpIYGc-1B2AkCI_2Nhsb9KMaAUrng4DHhIbFD8Y,96
 investing_algorithm_framework/services/data_providers/data_provider_service.py,sha256=Tv5W38rshK7sG7XEhp7L-McdiNWAAlvU_1ScSdt1NCE,28420
@@ -252,8 +252,8 @@ investing_algorithm_framework/services/trade_order_evaluator/default_trade_order
 investing_algorithm_framework/services/trade_order_evaluator/trade_order_evaluator.py,sha256=pNnmgaKMR9RY6Kxq7xS0nURKoaQDe2ehrP5GfElkkcI,1328
 investing_algorithm_framework/services/trade_service/__init__.py,sha256=AcwPyJjDRdiREnl_MWMkDSc-V-ZjXtvpHD6eQT9mc1o,68
 investing_algorithm_framework/services/trade_service/trade_service.py,sha256=OtzIS5EebByGcqDvV2AFeBjXSarvrgubMXDaVKg6Rbw,41193
-investing_algorithm_framework-7.16.10.dist-info/LICENSE,sha256=wbVEDvoZiMPHufRY3sLEffvAr7GH5hOIngHF8y4HFQg,11343
-investing_algorithm_framework-7.16.10.dist-info/METADATA,sha256=Wz5Zrf7mgMTWQWmll1ll1RrU1rTiBvhzRnXfIQuIpaI,19636
-investing_algorithm_framework-7.16.10.dist-info/WHEEL,sha256=FMvqSimYX_P7y0a7UY-_Mc83r5zkBZsCYPm7Lr0Bsq4,88
-investing_algorithm_framework-7.16.10.dist-info/entry_points.txt,sha256=jrPF0YksDs27vYzEvj3tXLe3OGWU24EJA05z5xHqmq8,91
-investing_algorithm_framework-7.16.10.dist-info/RECORD,,
+investing_algorithm_framework-7.16.11.dist-info/LICENSE,sha256=wbVEDvoZiMPHufRY3sLEffvAr7GH5hOIngHF8y4HFQg,11343
+investing_algorithm_framework-7.16.11.dist-info/METADATA,sha256=2zYYO7C5y7OYuUwcIVSOdmJVGIanjNbIohwd7c9cl4M,19636
+investing_algorithm_framework-7.16.11.dist-info/WHEEL,sha256=FMvqSimYX_P7y0a7UY-_Mc83r5zkBZsCYPm7Lr0Bsq4,88
+investing_algorithm_framework-7.16.11.dist-info/entry_points.txt,sha256=jrPF0YksDs27vYzEvj3tXLe3OGWU24EJA05z5xHqmq8,91
+investing_algorithm_framework-7.16.11.dist-info/RECORD,,