investing-algorithm-framework 7.16.18__tar.gz → 7.17.0__tar.gz

{investing_algorithm_framework-7.16.18 → investing_algorithm_framework-7.17.0}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: investing-algorithm-framework
-Version: 7.16.18
+Version: 7.17.0
 Summary: A framework for creating trading bots
 Author: MDUYN
 Requires-Python: >=3.10

{investing_algorithm_framework-7.16.18 → investing_algorithm_framework-7.17.0}/investing_algorithm_framework/app/app.py

@@ -801,6 +801,7 @@ class App:
         show_progress: bool = True,
         market: Optional[str] = None,
         trading_symbol: Optional[str] = None,
+        continue_on_error: bool = False,
     ) -> List[Backtest]:
         """
         Run vectorized backtests for a set of strategies. The provided
@@ -848,6 +849,10 @@ class App:
             trading_symbol (str): The trading symbol to use for the backtest.
                 This is used to create a portfolio configuration if no
                 portfolio configuration is provided in the strategy.
+            continue_on_error (bool): Whether to continue running other
+                backtests if an error occurs in one of the backtests. If set
+                to True, the backtest will return an empty Backtest instance
+                in case of an error. If set to False, the error will be raised.
 
         Returns:
             List[Backtest]: List of Backtest instances for each strategy
@@ -956,7 +961,8 @@ class App:
         show_data_initialization_progress: bool = True,
         initial_amount: float = None,
         market: str = None,
-        trading_symbol: str = None
+        trading_symbol: str = None,
+        continue_on_error: bool = False,
     ) -> Backtest:
         """
         Run vectorized backtests for a strategy. The provided
@@ -1008,6 +1014,10 @@ class App:
                 that the portfolio will start with. If not provided,
                 the initial amount from the portfolio configuration will
                 be used.
+            continue_on_error (bool): Whether to continue running other
+                backtests if an error occurs in one of the backtests. If set
+                to True, the backtest will return an empty Backtest instance
+                in case of an error. If set to False, the error will be raised.
 
         Returns:
             Backtest: Instance of Backtest
@@ -1040,21 +1050,36 @@ class App:
 
         backtest_service = self.container.backtest_service()
         backtest_service.validate_strategy_for_vector_backtest(strategy)
-        run = backtest_service.create_vector_backtest(
-            strategy=strategy,
-            backtest_date_range=backtest_date_range,
-            risk_free_rate=risk_free_rate,
-            market=market,
-            trading_symbol=trading_symbol,
-            initial_amount=initial_amount
-        )
-        backtest = Backtest(
-            backtest_runs=[run],
-            risk_free_rate=risk_free_rate,
-            backtest_summary=generate_backtest_summary_metrics(
-                [run.backtest_metrics]
+
+        try:
+            run = backtest_service.create_vector_backtest(
+                strategy=strategy,
+                backtest_date_range=backtest_date_range,
+                risk_free_rate=risk_free_rate,
+                market=market,
+                trading_symbol=trading_symbol,
+                initial_amount=initial_amount
             )
-        )
+            backtest = Backtest(
+                backtest_runs=[run],
+                risk_free_rate=risk_free_rate,
+                backtest_summary=generate_backtest_summary_metrics(
+                    [run.backtest_metrics]
+                )
+            )
+        except Exception as e:
+            logger.error(
+                f"Error occurred during vector backtest for strategy "
+                f"{strategy.name}: {str(e)}"
+            )
+            if continue_on_error:
+                backtest = Backtest(
+                    backtest_runs=[],
+                    risk_free_rate=risk_free_rate,
+                    backtest_summary={}
+                )
+            else:
+                raise e
 
         # Add the metadata to the backtest
         if metadata is None:

{investing_algorithm_framework-7.16.18 → investing_algorithm_framework-7.17.0}/investing_algorithm_framework/domain/backtesting/backtest.py

@@ -14,6 +14,7 @@ from .backtest_run import BacktestRun
 from .backtest_permutation_test import BacktestPermutationTest
 from .backtest_date_range import BacktestDateRange
 from .backtest_summary_metrics import BacktestSummaryMetrics
+from .combine_backtests import generate_backtest_summary_metrics
 
 
 logger = getLogger(__name__)
@@ -177,13 +178,19 @@ class Backtest:
         }
 
     @staticmethod
-    def open(directory_path: Union[str, Path]) -> 'Backtest':
+    def open(
+        directory_path: Union[str, Path],
+        backtest_date_ranges: List[BacktestDateRange] = None
+    ) -> 'Backtest':
         """
         Open a backtest report from a directory and return a Backtest instance.
 
         Args:
             directory_path (str): The path to the directory containing the
                 backtest report files.
+            backtest_date_ranges (List[BacktestDateRange], optional): A list of
+                date ranges to filter the backtest runs. If provided, only
+                backtest runs matching these date ranges will be loaded.
 
         Returns:
             Backtest: An instance of Backtest with the loaded metrics
@@ -214,13 +221,59 @@ class Backtest:
                 except json.JSONDecodeError as e:
                     logger.error(f"Error decoding id JSON: {e}")
                     id = None
-        # Load combined backtest metrics if available
 
-        summary_file = os.path.join(directory_path, "summary.json")
+        # Load all backtest runs
+        runs_dir = os.path.join(directory_path, "runs")
+
+        if os.path.isdir(runs_dir):
+            for dir_name in os.listdir(runs_dir):
+                run_path = os.path.join(runs_dir, dir_name)
+                if os.path.isdir(run_path):
+
+                    if backtest_date_ranges is not None:
+                        temp_run = BacktestRun.open(run_path)
+                        match_found = False
+
+                        for date_range in backtest_date_ranges:
+                            if (
+                                temp_run.backtest_start_date ==
+                                date_range.start_date and
+                                temp_run.backtest_end_date ==
+                                date_range.end_date
+                            ):
+
+                                if date_range.name is not None:
+                                    if (
+                                        temp_run.backtest_date_range_name ==
+                                        date_range.name
+                                    ):
+                                        match_found = True
+                                        break
+                                else:
+                                    match_found = True
+                                    break
+
+                        if not match_found:
+                            continue
+
+                    backtest_runs.append(BacktestRun.open(run_path))
+
+        # Load combined backtests summary
+        if backtest_date_ranges is not None:
+            summary_file = os.path.join(directory_path, "summary.json")
+
+            if os.path.isfile(summary_file):
+                backtest_summary_metrics = \
+                    BacktestSummaryMetrics.open(summary_file)
+        else:
+            # Generate new summary from loaded backtest runs
+            temp_metrics = []
+            for br in backtest_runs:
+                if br.backtest_metrics:
+                    temp_metrics.append(br.backtest_metrics)
 
-        if os.path.isfile(summary_file):
             backtest_summary_metrics = \
-                BacktestSummaryMetrics.open(summary_file)
+                generate_backtest_summary_metrics(temp_metrics)
 
         # Load backtest permutation test metrics
         perm_test_dir = os.path.join(directory_path, "permutation_tests")
@@ -233,15 +286,6 @@ class Backtest:
                         BacktestPermutationTest.open(perm_test_file)
                     )
 
-        # Load all backtest runs
-        runs_dir = os.path.join(directory_path, "runs")
-
-        if os.path.isdir(runs_dir):
-            for dir_name in os.listdir(runs_dir):
-                run_path = os.path.join(runs_dir, dir_name)
-                if os.path.isdir(run_path):
-                    backtest_runs.append(BacktestRun.open(run_path))
-
         # Load metadata if available
         meta_file = os.path.join(directory_path, "metadata.json")
 

{investing_algorithm_framework-7.16.18 → investing_algorithm_framework-7.17.0}/investing_algorithm_framework/domain/backtesting/backtest_metrics.py

@@ -104,8 +104,12 @@ class BacktestMetrics:
             still open at the end of the backtest.
         win_rate (float): The win rate of the trades, expressed
             as a percentage.
+        current_win_rate (float): The current win rate of the trades,
+            including open trades.
         win_loss_ratio (float): The ratio of winning trades
             to losing trades.
+        current_win_loss_ratio (float): The current ratio of winning
+            trades to losing trades, including open trades.
         percentage_winning_months (float): The percentage of months
             with positive returns.
         percentage_winning_years (float): The percentage of years with
@@ -193,7 +197,9 @@ class BacktestMetrics:
     number_of_trades_opened: int = 0
     number_of_trades_open_at_end: int = 0
     win_rate: float = 0.0
+    current_win_rate: float = 0.0
     win_loss_ratio: float = 0.0
+    current_win_loss_ratio: float = 0.0
     percentage_winning_months: float = 0.0
     percentage_winning_years: float = 0.0
     average_monthly_return: float = 0.0
@@ -289,7 +295,9 @@ class BacktestMetrics:
             "number_of_trades_closed": self.number_of_trades_closed,
             "number_of_trades_opened": self.number_of_trades_opened,
             "win_rate": self.win_rate,
+            "current_win_rate": self.current_win_rate,
             "win_loss_ratio": self.win_loss_ratio,
+            "current_win_loss_ratio": self.current_win_loss_ratio,
             "percentage_winning_months": self.percentage_winning_months,
             "percentage_winning_years": self.percentage_winning_years,
             "average_monthly_return": self.average_monthly_return,

{investing_algorithm_framework-7.16.18 → investing_algorithm_framework-7.17.0}/investing_algorithm_framework/domain/backtesting/backtest_summary_metrics.py

@@ -48,7 +48,9 @@ class BacktestSummaryMetrics:
         max_drawdown_duration (int): Duration of the maximum drawdown.
         trades_per_year (float): Average trades executed per year.
         win_rate (float): Percentage of winning trades.
+        current_win_rate (float): Win rate over recent trades.
         win_loss_ratio (float): Ratio of average win to average loss.
+        current_win_loss_ratio (float): Win/loss ratio over recent trades.
         number_of_trades (int): Total number of trades executed.
         cumulative_exposure (float): Total exposure over the backtest period.
         exposure_ratio (float): Ratio of exposure to available capital.
@@ -81,7 +83,9 @@ class BacktestSummaryMetrics:
     max_drawdown_duration: int = None
     trades_per_year: float = None
     win_rate: float = None
+    current_win_rate: float = None
     win_loss_ratio: float = None
+    current_win_loss_ratio: float = None
     number_of_trades: int = None
     number_of_trades_closed: int = None
     cumulative_exposure: float = None
@@ -123,7 +127,9 @@ class BacktestSummaryMetrics:
             "max_drawdown_duration": self.max_drawdown_duration,
             "trades_per_year": self.trades_per_year,
             "win_rate": self.win_rate,
+            "current_win_rate": self.current_win_rate,
             "win_loss_ratio": self.win_loss_ratio,
+            "current_win_loss_ratio": self.current_win_loss_ratio,
             "number_of_trades": self.number_of_trades,
             "number_of_trades_closed": self.number_of_trades_closed,
             "cumulative_exposure": self.cumulative_exposure,

{investing_algorithm_framework-7.16.18 → investing_algorithm_framework-7.17.0}/investing_algorithm_framework/domain/backtesting/combine_backtests.py

@@ -1,6 +1,5 @@
 from typing import List
 
-from .backtest import Backtest
 from .backtest_summary_metrics import BacktestSummaryMetrics
 from .backtest_metrics import BacktestMetrics
 
@@ -27,9 +26,7 @@ def safe_weighted_mean(values, weights):
     ) / total_weight if total_weight > 0 else None
 
 
-def combine_backtests(
-    backtests: List[Backtest],
-) -> Backtest:
+def combine_backtests(backtests):
     """
     Combine multiple backtests into a single backtest by aggregating
     their results.
@@ -72,6 +69,8 @@ def combine_backtests(
             risk_free_rate = backtest.risk_free_rate
             break
 
+    from .backtest import Backtest
+
     backtest = Backtest(
         backtest_summary=summary,
         metadata=metadata,
@@ -184,10 +183,18 @@ def generate_backtest_summary_metrics(
         [b.win_rate for b in backtest_metrics],
         [b.total_number_of_days for b in backtest_metrics]
     )
+    current_win_rate = safe_weighted_mean(
+        [b.current_win_rate for b in backtest_metrics],
+        [b.total_number_of_days for b in backtest_metrics]
+    )
     win_loss_ratio = safe_weighted_mean(
         [b.win_loss_ratio for b in backtest_metrics],
         [b.total_number_of_days for b in backtest_metrics]
     )
+    current_win_loss_ratio = safe_weighted_mean(
+        [b.current_win_loss_ratio for b in backtest_metrics],
+        [b.total_number_of_days for b in backtest_metrics]
+    )
     number_of_trades = sum(
         b.number_of_trades for b in backtest_metrics
         if b.number_of_trades is not None
@@ -251,7 +258,9 @@ def generate_backtest_summary_metrics(
         max_drawdown_duration=max_drawdown_duration,
         trades_per_year=trades_per_year,
         win_rate=win_rate,
+        current_win_rate=current_win_rate,
         win_loss_ratio=win_loss_ratio,
+        current_win_loss_ratio=current_win_loss_ratio,
         number_of_trades=number_of_trades,
         number_of_trades_closed=number_of_trades_closed,
         cumulative_exposure=cumulative_exposure,

{investing_algorithm_framework-7.16.18 → investing_algorithm_framework-7.17.0}/investing_algorithm_framework/domain/data_provider.py

@@ -240,6 +240,7 @@ class DataProvider(ABC):
         backtest_index_date: datetime,
         backtest_start_date: datetime = None,
         backtest_end_date: datetime = None,
+        data_source: DataSource = None,
     ) -> Any:
         """
         Fetches backtest data for a given datasource
@@ -251,6 +252,10 @@ class DataProvider(ABC):
                 backtest data.
             backtest_end_date (datetime): The end date for the
                 backtest data.
+            data_source (Optional[DataSource]): The data source
+                specification that is used to fetch the data.
+                This param is optional and can be used to
+                help identify errors in data fetching.
 
         Returns:
             Any: The data for the given symbol and date range.

{investing_algorithm_framework-7.16.18 → investing_algorithm_framework-7.17.0}/investing_algorithm_framework/infrastructure/data_providers/ccxt.py

@@ -386,7 +386,8 @@ class CCXTOHLCVDataProvider(DataProvider):
         self,
         backtest_index_date: datetime,
         backtest_start_date: datetime = None,
-        backtest_end_date: datetime = None
+        backtest_end_date: datetime = None,
+        data_source: DataSource = None
     ) -> None:
         """
         Fetches backtest data for a given datasource
@@ -398,6 +399,8 @@ class CCXTOHLCVDataProvider(DataProvider):
                 backtest data.
             backtest_end_date (datetime): The end date for the
                 backtest data.
+            data_source (Optional[Datasource]): The data source for which to
+                fetch backtest data. Defaults to None.
 
         Returns:
             pl.DataFrame: The backtest data for the given datasource.
@@ -407,6 +410,17 @@ class CCXTOHLCVDataProvider(DataProvider):
                 backtest_end_date is not None:
 
             if backtest_start_date < self._start_date_data_source:
+
+                if data_source is not None:
+                    raise OperationalException(
+                        f"Request data date {backtest_start_date} "
+                        f"is before the range of "
+                        f"the available data "
+                        f"{self._start_date_data_source} "
+                        f"- {self._end_date_data_source}."
+                        f" for data source {data_source.identifier}."
+                    )
+
                 raise OperationalException(
                     f"Request data date {backtest_start_date} "
                     f"is before the range of "
@@ -416,6 +430,17 @@ class CCXTOHLCVDataProvider(DataProvider):
                 )
 
             if backtest_end_date > self._end_date_data_source:
+
+                if data_source is not None:
+                    raise OperationalException(
+                        f"Request data date {backtest_end_date} "
+                        f"is after the range of "
+                        f"the available data "
+                        f"{self._start_date_data_source} "
+                        f"- {self._end_date_data_source}."
+                        f" for data source {data_source.identifier}."
+                    )
+
                 raise OperationalException(
                     f"Request data date {backtest_end_date} "
                     f"is after the range of "
@@ -442,6 +467,15 @@ class CCXTOHLCVDataProvider(DataProvider):
                     )
                     data = self.window_cache[closest_key]
                 except ValueError:
+
+                    if data_source is not None:
+                        raise OperationalException(
+                            "No OHLCV data available for the "
+                            f"date: {backtest_index_date} "
+                            f"within the prepared backtest data "
+                            f"for data source {data_source.identifier}. "
+                        )
+
                     raise OperationalException(
                         "No OHLCV data available for the "
                         f"date: {backtest_index_date} "

{investing_algorithm_framework-7.16.18 → investing_algorithm_framework-7.17.0}/investing_algorithm_framework/infrastructure/data_providers/csv.py

@@ -267,18 +267,25 @@ class CSVOHLCVDataProvider(DataProvider):
         self,
         backtest_index_date: datetime,
         backtest_start_date: datetime = None,
-        backtest_end_date: datetime = None
+        backtest_end_date: datetime = None,
+        data_source: DataSource = None
     ) -> None:
         """
         Fetches backtest data for a given datasource
 
         Args:
-           backtest_index_date (datetime): The date for which to fetch
+            backtest_index_date (datetime): The date for which to fetch
                backtest data.
-           backtest_start_date (datetime): The start date for the
+            backtest_start_date (datetime): The start date for the
                backtest data.
-           backtest_end_date (datetime): The end date for the
+            backtest_end_date (datetime): The end date for the
                backtest data.
+            data_source (Optional[DataSource]): The data source specification
+               that matches a data provider.
+
+        Raises:
+            OperationalException: If the requested backtest date range
+                is outside the available data range.
 
         Returns:
            pl.DataFrame: The backtest data for the given datasource.
@@ -287,6 +294,17 @@ class CSVOHLCVDataProvider(DataProvider):
                 backtest_end_date is not None:
 
             if backtest_start_date < self._start_date_data_source:
+
+                if data_source is not None:
+                    raise OperationalException(
+                        f"Request data date {backtest_end_date} "
+                        f"is after the range of "
+                        f"the available data "
+                        f"{self._start_date_data_source} "
+                        f"- {self._end_date_data_source}."
+                        f" for data source {data_source.identifier}."
+                    )
+
                 raise OperationalException(
                     f"Request data date {backtest_start_date} "
                     f"is before the range of "
@@ -296,6 +314,17 @@ class CSVOHLCVDataProvider(DataProvider):
                 )
 
             if backtest_end_date > self._end_date_data_source:
+
+                if data_source is not None:
+                    raise OperationalException(
+                        f"Request data date {backtest_end_date} "
+                        f"is after the range of "
+                        f"the available data "
+                        f"{self._start_date_data_source} "
+                        f"- {self._end_date_data_source}."
+                        f" for data source {data_source.identifier}."
+                    )
+
                 raise OperationalException(
                     f"Request data date {backtest_end_date} "
                     f"is after the range of "
@@ -322,6 +351,15 @@ class CSVOHLCVDataProvider(DataProvider):
                     )
                     data = self.window_cache[closest_key]
                 except ValueError:
+
+                    if data_source is not None:
+                        raise OperationalException(
+                            "No data available for the "
+                            f"date: {backtest_index_date} "
+                            "within the prepared backtest data "
+                            f"for data source {data_source.identifier}."
+                        )
+
                     raise OperationalException(
                         "No data available for the "
                         f"date: {backtest_index_date} "

{investing_algorithm_framework-7.16.18 → investing_algorithm_framework-7.17.0}/investing_algorithm_framework/infrastructure/data_providers/pandas.py

@@ -290,17 +290,20 @@ class PandasOHLCVDataProvider(DataProvider):
         backtest_index_date: datetime = None,
         backtest_start_date: datetime = None,
         backtest_end_date: datetime = None,
+        data_source: DataSource = None
     ) -> None:
         """
         Fetches backtest data for a given datasource
 
         Args:
-           backtest_index_date (datetime): The date for which to fetch
+            backtest_index_date (datetime): The date for which to fetch
                backtest data.
-           backtest_start_date (datetime): The start date for the
+            backtest_start_date (datetime): The start date for the
                backtest data.
-           backtest_end_date (datetime): The end date for the
+            backtest_end_date (datetime): The end date for the
                backtest data.
+            data_source (Optional[DataSource]): The data source for which to
+                fetch backtest data.
 
         Returns:
            pl.DataFrame: The backtest data for the given datasource.
@@ -310,6 +313,17 @@ class PandasOHLCVDataProvider(DataProvider):
                 backtest_end_date is not None:
 
             if backtest_start_date < self._start_date_data_source:
+
+                if data_source is not None:
+                    raise OperationalException(
+                        f"Request data date {backtest_end_date} "
+                        f"is after the range of "
+                        f"the available data "
+                        f"{self._start_date_data_source} "
+                        f"- {self._end_date_data_source}."
+                        f" for data source {data_source.identifier}."
+                    )
+
                 raise OperationalException(
                     f"Request data date {backtest_start_date} "
                     f"is before the range of "
@@ -319,6 +333,17 @@ class PandasOHLCVDataProvider(DataProvider):
                 )
 
             if backtest_end_date > self._end_date_data_source:
+
+                if data_source is not None:
+                    raise OperationalException(
+                        f"Request data date {backtest_end_date} "
+                        f"is after the range of "
+                        f"the available data "
+                        f"{self._start_date_data_source} "
+                        f"- {self._end_date_data_source}."
+                        f" for data source {data_source.identifier}."
+                    )
+
                 raise OperationalException(
                     f"Request data date {backtest_end_date} "
                     f"is after the range of "
@@ -345,6 +370,15 @@ class PandasOHLCVDataProvider(DataProvider):
                     )
                     data = self.window_cache[closest_key]
                 except ValueError:
+
+                    if data_source is not None:
+                        raise OperationalException(
+                            "No data available for the "
+                            f"date: {backtest_index_date} "
+                            "within the prepared backtest data "
+                            f"for data source {data_source.identifier}."
+                        )
+
                     raise OperationalException(
                         "No data available for the "
                         f"date: {backtest_index_date} "

{investing_algorithm_framework-7.16.18 → investing_algorithm_framework-7.17.0}/investing_algorithm_framework/services/data_providers/data_provider_service.py

@@ -156,7 +156,6 @@ class DataProviderIndex:
                 f"provider for the defined datasource. If you are using a "
                 "custom data provider, make sure it has a "
                 "data_provider_identifier set"
-
             )
 
         # Sort by priority and pick the best one (lowest priority first)
@@ -553,6 +552,7 @@ class DataProviderService:
             backtest_index_date=backtest_index_date,
             backtest_start_date=start_date,
             backtest_end_date=end_date,
+            data_source=data_source
         )
 
     def get_vectorized_backtest_data(

{investing_algorithm_framework-7.16.18 → investing_algorithm_framework-7.17.0}/pyproject.toml

@@ -1,6 +1,6 @@
 [tool.poetry]
 name = "investing-algorithm-framework"
-version = "v7.16.18"
+version = "v7.17.0"
 description = "A framework for creating trading bots"
 authors = ["MDUYN"]
 readme = "README.md"