investing-algorithm-framework 7.19.14__py3-none-any.whl
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- investing_algorithm_framework/__init__.py +197 -0
- investing_algorithm_framework/app/__init__.py +47 -0
- investing_algorithm_framework/app/algorithm/__init__.py +7 -0
- investing_algorithm_framework/app/algorithm/algorithm.py +239 -0
- investing_algorithm_framework/app/algorithm/algorithm_factory.py +114 -0
- investing_algorithm_framework/app/analysis/__init__.py +15 -0
- investing_algorithm_framework/app/analysis/backtest_data_ranges.py +121 -0
- investing_algorithm_framework/app/analysis/backtest_utils.py +107 -0
- investing_algorithm_framework/app/analysis/permutation.py +116 -0
- investing_algorithm_framework/app/analysis/ranking.py +297 -0
- investing_algorithm_framework/app/app.py +2204 -0
- investing_algorithm_framework/app/app_hook.py +28 -0
- investing_algorithm_framework/app/context.py +1667 -0
- investing_algorithm_framework/app/eventloop.py +590 -0
- investing_algorithm_framework/app/reporting/__init__.py +27 -0
- investing_algorithm_framework/app/reporting/ascii.py +921 -0
- investing_algorithm_framework/app/reporting/backtest_report.py +349 -0
- investing_algorithm_framework/app/reporting/charts/__init__.py +19 -0
- investing_algorithm_framework/app/reporting/charts/entry_exist_signals.py +66 -0
- investing_algorithm_framework/app/reporting/charts/equity_curve.py +37 -0
- investing_algorithm_framework/app/reporting/charts/equity_curve_drawdown.py +74 -0
- investing_algorithm_framework/app/reporting/charts/line_chart.py +11 -0
- investing_algorithm_framework/app/reporting/charts/monthly_returns_heatmap.py +70 -0
- investing_algorithm_framework/app/reporting/charts/ohlcv_data_completeness.py +51 -0
- investing_algorithm_framework/app/reporting/charts/rolling_sharp_ratio.py +79 -0
- investing_algorithm_framework/app/reporting/charts/yearly_returns_barchart.py +55 -0
- investing_algorithm_framework/app/reporting/generate.py +185 -0
- investing_algorithm_framework/app/reporting/tables/__init__.py +11 -0
- investing_algorithm_framework/app/reporting/tables/key_metrics_table.py +217 -0
- investing_algorithm_framework/app/reporting/tables/stop_loss_table.py +0 -0
- investing_algorithm_framework/app/reporting/tables/time_metrics_table.py +80 -0
- investing_algorithm_framework/app/reporting/tables/trade_metrics_table.py +147 -0
- investing_algorithm_framework/app/reporting/tables/trades_table.py +75 -0
- investing_algorithm_framework/app/reporting/tables/utils.py +29 -0
- investing_algorithm_framework/app/reporting/templates/report_template.html.j2 +154 -0
- investing_algorithm_framework/app/stateless/__init__.py +35 -0
- investing_algorithm_framework/app/stateless/action_handlers/__init__.py +84 -0
- investing_algorithm_framework/app/stateless/action_handlers/action_handler_strategy.py +8 -0
- investing_algorithm_framework/app/stateless/action_handlers/check_online_handler.py +15 -0
- investing_algorithm_framework/app/stateless/action_handlers/run_strategy_handler.py +40 -0
- investing_algorithm_framework/app/stateless/exception_handler.py +40 -0
- investing_algorithm_framework/app/strategy.py +675 -0
- investing_algorithm_framework/app/task.py +41 -0
- investing_algorithm_framework/app/web/__init__.py +5 -0
- investing_algorithm_framework/app/web/controllers/__init__.py +13 -0
- investing_algorithm_framework/app/web/controllers/orders.py +20 -0
- investing_algorithm_framework/app/web/controllers/portfolio.py +20 -0
- investing_algorithm_framework/app/web/controllers/positions.py +18 -0
- investing_algorithm_framework/app/web/create_app.py +20 -0
- investing_algorithm_framework/app/web/error_handler.py +59 -0
- investing_algorithm_framework/app/web/responses.py +20 -0
- investing_algorithm_framework/app/web/run_strategies.py +4 -0
- investing_algorithm_framework/app/web/schemas/__init__.py +12 -0
- investing_algorithm_framework/app/web/schemas/order.py +12 -0
- investing_algorithm_framework/app/web/schemas/portfolio.py +22 -0
- investing_algorithm_framework/app/web/schemas/position.py +15 -0
- investing_algorithm_framework/app/web/setup_cors.py +6 -0
- investing_algorithm_framework/cli/__init__.py +0 -0
- investing_algorithm_framework/cli/cli.py +207 -0
- investing_algorithm_framework/cli/deploy_to_aws_lambda.py +499 -0
- investing_algorithm_framework/cli/deploy_to_azure_function.py +718 -0
- investing_algorithm_framework/cli/initialize_app.py +603 -0
- investing_algorithm_framework/cli/templates/.gitignore.template +178 -0
- investing_algorithm_framework/cli/templates/app.py.template +18 -0
- investing_algorithm_framework/cli/templates/app_aws_lambda_function.py.template +48 -0
- investing_algorithm_framework/cli/templates/app_azure_function.py.template +14 -0
- investing_algorithm_framework/cli/templates/app_web.py.template +18 -0
- investing_algorithm_framework/cli/templates/aws_lambda_dockerfile.template +22 -0
- investing_algorithm_framework/cli/templates/aws_lambda_dockerignore.template +92 -0
- investing_algorithm_framework/cli/templates/aws_lambda_readme.md.template +110 -0
- investing_algorithm_framework/cli/templates/aws_lambda_requirements.txt.template +2 -0
- investing_algorithm_framework/cli/templates/azure_function_function_app.py.template +65 -0
- investing_algorithm_framework/cli/templates/azure_function_host.json.template +15 -0
- investing_algorithm_framework/cli/templates/azure_function_local.settings.json.template +8 -0
- investing_algorithm_framework/cli/templates/azure_function_requirements.txt.template +3 -0
- investing_algorithm_framework/cli/templates/data_providers.py.template +17 -0
- investing_algorithm_framework/cli/templates/env.example.template +2 -0
- investing_algorithm_framework/cli/templates/env_azure_function.example.template +4 -0
- investing_algorithm_framework/cli/templates/market_data_providers.py.template +9 -0
- investing_algorithm_framework/cli/templates/readme.md.template +135 -0
- investing_algorithm_framework/cli/templates/requirements.txt.template +2 -0
- investing_algorithm_framework/cli/templates/run_backtest.py.template +20 -0
- investing_algorithm_framework/cli/templates/strategy.py.template +124 -0
- investing_algorithm_framework/create_app.py +54 -0
- investing_algorithm_framework/dependency_container.py +155 -0
- investing_algorithm_framework/domain/__init__.py +148 -0
- investing_algorithm_framework/domain/backtesting/__init__.py +21 -0
- investing_algorithm_framework/domain/backtesting/backtest.py +503 -0
- investing_algorithm_framework/domain/backtesting/backtest_date_range.py +96 -0
- investing_algorithm_framework/domain/backtesting/backtest_evaluation_focuss.py +242 -0
- investing_algorithm_framework/domain/backtesting/backtest_metrics.py +459 -0
- investing_algorithm_framework/domain/backtesting/backtest_permutation_test.py +275 -0
- investing_algorithm_framework/domain/backtesting/backtest_run.py +435 -0
- investing_algorithm_framework/domain/backtesting/backtest_summary_metrics.py +162 -0
- investing_algorithm_framework/domain/backtesting/combine_backtests.py +280 -0
- investing_algorithm_framework/domain/config.py +111 -0
- investing_algorithm_framework/domain/constants.py +83 -0
- investing_algorithm_framework/domain/data_provider.py +334 -0
- investing_algorithm_framework/domain/data_structures.py +42 -0
- investing_algorithm_framework/domain/decimal_parsing.py +40 -0
- investing_algorithm_framework/domain/exceptions.py +112 -0
- investing_algorithm_framework/domain/models/__init__.py +43 -0
- investing_algorithm_framework/domain/models/app_mode.py +34 -0
- investing_algorithm_framework/domain/models/base_model.py +25 -0
- investing_algorithm_framework/domain/models/data/__init__.py +7 -0
- investing_algorithm_framework/domain/models/data/data_source.py +214 -0
- investing_algorithm_framework/domain/models/data/data_type.py +46 -0
- investing_algorithm_framework/domain/models/event.py +35 -0
- investing_algorithm_framework/domain/models/market/__init__.py +5 -0
- investing_algorithm_framework/domain/models/market/market_credential.py +88 -0
- investing_algorithm_framework/domain/models/order/__init__.py +6 -0
- investing_algorithm_framework/domain/models/order/order.py +384 -0
- investing_algorithm_framework/domain/models/order/order_side.py +36 -0
- investing_algorithm_framework/domain/models/order/order_status.py +37 -0
- investing_algorithm_framework/domain/models/order/order_type.py +30 -0
- investing_algorithm_framework/domain/models/portfolio/__init__.py +9 -0
- investing_algorithm_framework/domain/models/portfolio/portfolio.py +169 -0
- investing_algorithm_framework/domain/models/portfolio/portfolio_configuration.py +93 -0
- investing_algorithm_framework/domain/models/portfolio/portfolio_snapshot.py +208 -0
- investing_algorithm_framework/domain/models/position/__init__.py +4 -0
- investing_algorithm_framework/domain/models/position/position.py +68 -0
- investing_algorithm_framework/domain/models/position/position_snapshot.py +47 -0
- investing_algorithm_framework/domain/models/snapshot_interval.py +45 -0
- investing_algorithm_framework/domain/models/strategy_profile.py +33 -0
- investing_algorithm_framework/domain/models/time_frame.py +153 -0
- investing_algorithm_framework/domain/models/time_interval.py +124 -0
- investing_algorithm_framework/domain/models/time_unit.py +149 -0
- investing_algorithm_framework/domain/models/tracing/__init__.py +0 -0
- investing_algorithm_framework/domain/models/tracing/trace.py +23 -0
- investing_algorithm_framework/domain/models/trade/__init__.py +13 -0
- investing_algorithm_framework/domain/models/trade/trade.py +388 -0
- investing_algorithm_framework/domain/models/trade/trade_risk_type.py +34 -0
- investing_algorithm_framework/domain/models/trade/trade_status.py +40 -0
- investing_algorithm_framework/domain/models/trade/trade_stop_loss.py +267 -0
- investing_algorithm_framework/domain/models/trade/trade_take_profit.py +303 -0
- investing_algorithm_framework/domain/order_executor.py +112 -0
- investing_algorithm_framework/domain/portfolio_provider.py +118 -0
- investing_algorithm_framework/domain/positions/__init__.py +4 -0
- investing_algorithm_framework/domain/positions/position_size.py +41 -0
- investing_algorithm_framework/domain/services/__init__.py +11 -0
- investing_algorithm_framework/domain/services/market_credential_service.py +37 -0
- investing_algorithm_framework/domain/services/portfolios/__init__.py +5 -0
- investing_algorithm_framework/domain/services/portfolios/portfolio_sync_service.py +9 -0
- investing_algorithm_framework/domain/services/rounding_service.py +27 -0
- investing_algorithm_framework/domain/services/state_handler.py +38 -0
- investing_algorithm_framework/domain/stateless_actions.py +7 -0
- investing_algorithm_framework/domain/strategy.py +44 -0
- investing_algorithm_framework/domain/utils/__init__.py +27 -0
- investing_algorithm_framework/domain/utils/csv.py +104 -0
- investing_algorithm_framework/domain/utils/custom_tqdm.py +22 -0
- investing_algorithm_framework/domain/utils/dates.py +57 -0
- investing_algorithm_framework/domain/utils/jupyter_notebook_detection.py +19 -0
- investing_algorithm_framework/domain/utils/polars.py +53 -0
- investing_algorithm_framework/domain/utils/random.py +41 -0
- investing_algorithm_framework/domain/utils/signatures.py +17 -0
- investing_algorithm_framework/domain/utils/stoppable_thread.py +26 -0
- investing_algorithm_framework/domain/utils/synchronized.py +12 -0
- investing_algorithm_framework/download_data.py +108 -0
- investing_algorithm_framework/infrastructure/__init__.py +50 -0
- investing_algorithm_framework/infrastructure/data_providers/__init__.py +36 -0
- investing_algorithm_framework/infrastructure/data_providers/ccxt.py +1143 -0
- investing_algorithm_framework/infrastructure/data_providers/csv.py +568 -0
- investing_algorithm_framework/infrastructure/data_providers/pandas.py +599 -0
- investing_algorithm_framework/infrastructure/database/__init__.py +10 -0
- investing_algorithm_framework/infrastructure/database/sql_alchemy.py +120 -0
- investing_algorithm_framework/infrastructure/models/__init__.py +16 -0
- investing_algorithm_framework/infrastructure/models/decimal_parser.py +14 -0
- investing_algorithm_framework/infrastructure/models/model_extension.py +6 -0
- investing_algorithm_framework/infrastructure/models/order/__init__.py +4 -0
- investing_algorithm_framework/infrastructure/models/order/order.py +124 -0
- investing_algorithm_framework/infrastructure/models/order/order_metadata.py +44 -0
- investing_algorithm_framework/infrastructure/models/order_trade_association.py +10 -0
- investing_algorithm_framework/infrastructure/models/portfolio/__init__.py +4 -0
- investing_algorithm_framework/infrastructure/models/portfolio/portfolio_snapshot.py +37 -0
- investing_algorithm_framework/infrastructure/models/portfolio/sql_portfolio.py +114 -0
- investing_algorithm_framework/infrastructure/models/position/__init__.py +4 -0
- investing_algorithm_framework/infrastructure/models/position/position.py +63 -0
- investing_algorithm_framework/infrastructure/models/position/position_snapshot.py +23 -0
- investing_algorithm_framework/infrastructure/models/trades/__init__.py +9 -0
- investing_algorithm_framework/infrastructure/models/trades/trade.py +130 -0
- investing_algorithm_framework/infrastructure/models/trades/trade_stop_loss.py +40 -0
- investing_algorithm_framework/infrastructure/models/trades/trade_take_profit.py +41 -0
- investing_algorithm_framework/infrastructure/order_executors/__init__.py +21 -0
- investing_algorithm_framework/infrastructure/order_executors/backtest_oder_executor.py +28 -0
- investing_algorithm_framework/infrastructure/order_executors/ccxt_order_executor.py +200 -0
- investing_algorithm_framework/infrastructure/portfolio_providers/__init__.py +19 -0
- investing_algorithm_framework/infrastructure/portfolio_providers/ccxt_portfolio_provider.py +199 -0
- investing_algorithm_framework/infrastructure/repositories/__init__.py +21 -0
- investing_algorithm_framework/infrastructure/repositories/order_metadata_repository.py +17 -0
- investing_algorithm_framework/infrastructure/repositories/order_repository.py +96 -0
- investing_algorithm_framework/infrastructure/repositories/portfolio_repository.py +30 -0
- investing_algorithm_framework/infrastructure/repositories/portfolio_snapshot_repository.py +56 -0
- investing_algorithm_framework/infrastructure/repositories/position_repository.py +66 -0
- investing_algorithm_framework/infrastructure/repositories/position_snapshot_repository.py +21 -0
- investing_algorithm_framework/infrastructure/repositories/repository.py +299 -0
- investing_algorithm_framework/infrastructure/repositories/trade_repository.py +71 -0
- investing_algorithm_framework/infrastructure/repositories/trade_stop_loss_repository.py +23 -0
- investing_algorithm_framework/infrastructure/repositories/trade_take_profit_repository.py +23 -0
- investing_algorithm_framework/infrastructure/services/__init__.py +7 -0
- investing_algorithm_framework/infrastructure/services/aws/__init__.py +6 -0
- investing_algorithm_framework/infrastructure/services/aws/state_handler.py +113 -0
- investing_algorithm_framework/infrastructure/services/azure/__init__.py +5 -0
- investing_algorithm_framework/infrastructure/services/azure/state_handler.py +158 -0
- investing_algorithm_framework/services/__init__.py +132 -0
- investing_algorithm_framework/services/backtesting/__init__.py +5 -0
- investing_algorithm_framework/services/backtesting/backtest_service.py +651 -0
- investing_algorithm_framework/services/configuration_service.py +96 -0
- investing_algorithm_framework/services/data_providers/__init__.py +5 -0
- investing_algorithm_framework/services/data_providers/data_provider_service.py +850 -0
- investing_algorithm_framework/services/market_credential_service.py +40 -0
- investing_algorithm_framework/services/metrics/__init__.py +114 -0
- investing_algorithm_framework/services/metrics/alpha.py +0 -0
- investing_algorithm_framework/services/metrics/beta.py +0 -0
- investing_algorithm_framework/services/metrics/cagr.py +60 -0
- investing_algorithm_framework/services/metrics/calmar_ratio.py +40 -0
- investing_algorithm_framework/services/metrics/drawdown.py +181 -0
- investing_algorithm_framework/services/metrics/equity_curve.py +24 -0
- investing_algorithm_framework/services/metrics/exposure.py +210 -0
- investing_algorithm_framework/services/metrics/generate.py +358 -0
- investing_algorithm_framework/services/metrics/mean_daily_return.py +83 -0
- investing_algorithm_framework/services/metrics/price_efficiency.py +57 -0
- investing_algorithm_framework/services/metrics/profit_factor.py +165 -0
- investing_algorithm_framework/services/metrics/recovery.py +113 -0
- investing_algorithm_framework/services/metrics/returns.py +452 -0
- investing_algorithm_framework/services/metrics/risk_free_rate.py +28 -0
- investing_algorithm_framework/services/metrics/sharpe_ratio.py +137 -0
- investing_algorithm_framework/services/metrics/sortino_ratio.py +74 -0
- investing_algorithm_framework/services/metrics/standard_deviation.py +157 -0
- investing_algorithm_framework/services/metrics/trades.py +500 -0
- investing_algorithm_framework/services/metrics/treynor_ratio.py +0 -0
- investing_algorithm_framework/services/metrics/ulcer.py +0 -0
- investing_algorithm_framework/services/metrics/value_at_risk.py +0 -0
- investing_algorithm_framework/services/metrics/volatility.py +97 -0
- investing_algorithm_framework/services/metrics/win_rate.py +177 -0
- investing_algorithm_framework/services/order_service/__init__.py +9 -0
- investing_algorithm_framework/services/order_service/order_backtest_service.py +178 -0
- investing_algorithm_framework/services/order_service/order_executor_lookup.py +110 -0
- investing_algorithm_framework/services/order_service/order_service.py +826 -0
- investing_algorithm_framework/services/portfolios/__init__.py +16 -0
- investing_algorithm_framework/services/portfolios/backtest_portfolio_service.py +54 -0
- investing_algorithm_framework/services/portfolios/portfolio_configuration_service.py +75 -0
- investing_algorithm_framework/services/portfolios/portfolio_provider_lookup.py +106 -0
- investing_algorithm_framework/services/portfolios/portfolio_service.py +188 -0
- investing_algorithm_framework/services/portfolios/portfolio_snapshot_service.py +136 -0
- investing_algorithm_framework/services/portfolios/portfolio_sync_service.py +182 -0
- investing_algorithm_framework/services/positions/__init__.py +7 -0
- investing_algorithm_framework/services/positions/position_service.py +210 -0
- investing_algorithm_framework/services/positions/position_snapshot_service.py +18 -0
- investing_algorithm_framework/services/repository_service.py +40 -0
- investing_algorithm_framework/services/trade_order_evaluator/__init__.py +9 -0
- investing_algorithm_framework/services/trade_order_evaluator/backtest_trade_oder_evaluator.py +132 -0
- investing_algorithm_framework/services/trade_order_evaluator/default_trade_order_evaluator.py +66 -0
- investing_algorithm_framework/services/trade_order_evaluator/trade_order_evaluator.py +41 -0
- investing_algorithm_framework/services/trade_service/__init__.py +3 -0
- investing_algorithm_framework/services/trade_service/trade_service.py +1083 -0
- investing_algorithm_framework-7.19.14.dist-info/LICENSE +201 -0
- investing_algorithm_framework-7.19.14.dist-info/METADATA +459 -0
- investing_algorithm_framework-7.19.14.dist-info/RECORD +260 -0
- investing_algorithm_framework-7.19.14.dist-info/WHEEL +4 -0
- investing_algorithm_framework-7.19.14.dist-info/entry_points.txt +3 -0
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Metadata-Version: 2.1
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Name: investing-algorithm-framework
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Version: 7.19.14
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Summary: A framework for creating trading bots
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<div align="center"> <h1><a href="https://coding-kitties.github.io/investing-algorithm-framework/" target="_blank">Investing Algorithm Framework</a></h1> <p><b>Rapidly build, backtest, and deploy quantitative strategies and trading bots</b></p> <a target="_blank" href="https://coding-kitties.github.io/investing-algorithm-framework/">📖 View Documentation</a> | <a href="https://coding-kitties.github.io/investing-algorithm-framework/Getting%20Started/installation">🚀 Getting Started</a> </div>
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---
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<div align="center"> <a href="https://coding-kitties.github.io/investing-algorithm-framework/">
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<a target="_blank" href="https://discord.gg/dQsRmGZP"><img src="https://img.shields.io/discord/1345358169777635410.svg?color=7289da&label=TradeBotLab%20Discord&logo=discord&style=flat"></a>
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<img src="https://img.shields.io/badge/docs-website-brightgreen"></a> <a href="https://github.com/coding-kitties/investing-algorithm-framework/actions/workflows/publish.yml"><img src="https://github.com/coding-kitties/investing-algorithm-framework/actions/workflows/publish.yml/badge.svg"></a> <a href="https://github.com/coding-kitties/investing-algorithm-framework/actions/workflows/test.yml"><img src="https://github.com/coding-kitties/investing-algorithm-framework/actions/workflows/test.yml/badge.svg"></a> <a href="https://pepy.tech/project/investing-algorithm-framework"><img src="https://pepy.tech/badge/investing-algorithm-framework"></a> <a href="https://pypi.org/project/investing-algorithm-framework/"><img src="https://img.shields.io/pypi/v/investing-algorithm-framework.svg"></a> <a href="https://www.reddit.com/r/InvestingBots/"><img src="https://img.shields.io/reddit/subreddit-subscribers/investingbots?style=social"></a> <a href="https://github.com/coding-kitties/investing-algorithm-framework/stargazers"><img src="https://img.shields.io/github/stars/coding-kitties/investing-algorithm-framework.svg?style=social&label=Star"></a>
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</div>
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> If you like what we do, consider starring, sharing and contributing!
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<div align="center">
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<img src="static/showcase.svg" alt="Investing Algorithm Framework Logo" style="height: 50vh; max-height: 750px;">
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</div>
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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.
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## Sponsors
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<a href="https://www.finterion.com/" target="_blank">
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<source media="(prefers-color-scheme: dark)" srcset="static/sponsors/finterion-dark.png">
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<source media="(prefers-color-scheme: light)" srcset="static/sponsors/finterion-light.png">
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</a>
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## 🌟 Features
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- [x] Python 3.10+: Cross-platform support for Windows, macOS, and Linux.
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- [x] Event-Driven Backtest Engine: Accurate and realistic backtesting with event-driven architecture.
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- [x] Vectorized Backtest Engine: Fast signal research and prototyping with vectorized operations.
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- [x] Permutation testing: Run permutation tests to evaluate the strategy statistical significance.
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- [x] Metric tracking and backtest reports evaluation/comparison: Track and compare key performance metrics like CAGR, Sharpe ratio, max drawdown, and more (See example usage for a complete list of metrics the framework collects).
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- [x] Backtest Reporting: Generate detailed reports to analyse and compare backtests.
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- [x] Live Trading: Execute trades in real-time with support for multiple exchanges via ccxt.
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- [x] Portfolio Management: Manage portfolios, trades, and positions with persistence via SQLite.
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- [x] Market Data Sources: Fetch OHLCV, ticker, and custom data with support for Polars and Pandas.
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- [x] Azure Functions Support: Deploy trading bots to Azure.
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- [x] AWS Lambda Support: Deploy trading bots to AWS Lambda.
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- [x] Web API: Interact with your bot via REST API.
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- [x] PyIndicators Integration: Perform technical analysis directly on your dataframes.
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- [x] Extensibility: Add custom strategies, data providers, order executors so you can connect your trading bot to your favorite exchange or broker.
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- [x] Modular Design: Build your bot using modular components for easy customization and maintenance.
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- [x] Multiple exchanges and brokers: **Detailed guides and API references to help you get started and make the most of the framework.
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and offers flexible deployment options, including Azure Functions and AWS Lambda.
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Designed for extensibility, it allows you to integrate custom strategies, data providers, and order executors, enabling support for any exchange or broker.
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It natively supports multiple data formats, including OHLCV, ticker, and custom datasets with seamless compatibility for both Pandas and Polars DataFrames.
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## 🚀 Quickstart
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Installation
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Install the framework via [PyPI](https://pypi.org/project/investing-algorithm-framework/):
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1. First install the framework using `pip`. The Investing Algorithm Framework is hosted on [PyPi].
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pip install investing-algorithm-framework
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```
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Run the following command to set up your project:
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investing-algorithm-framewor init
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```
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```
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* app.py: The entry point for your bot.
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* strategy.py: A sample strategy file to get started.
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> Note: Keep the app.py file as is. You can modify strategy.py and add additional files to build your bot.
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> You can always change the app to the web version by changing the `app.py` file.
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---
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## 📈 Example: A Simple Trading Bot
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The following example trading bot implements a simple moving average strategy.
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The strategy will use data from bitvavo exchange and will calculate
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the 20, 50 and 100 period exponential moving averages (EMA) and the
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14 period relative strength index (RSI).
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> This example uses [PyIndicators](https://github.com/coding-kitties/pyindicators) for technical analysis.
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> This dependency is not part of the framework, but is used to perform technical analysis on the dataframes.
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> You can install it using pip: pip install pyindicators.
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```python
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from typing import Dict, Any
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from datetime import datetime, timezone
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import pandas as pd
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from pyindicators import ema, rsi, crossover, crossunder
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from investing_algorithm_framework import TradingStrategy, DataSource, \
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TimeUnit, DataType, PositionSize, create_app, RESOURCE_DIRECTORY, \
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BacktestDateRange, BacktestReport
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class RSIEMACrossoverStrategy(TradingStrategy):
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time_unit = TimeUnit.HOUR
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interval = 2
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symbols = ["BTC"]
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position_sizes = [
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PositionSize(
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symbol="BTC", percentage_of_portfolio=20.0
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),
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PositionSize(
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symbol="ETH", percentage_of_portfolio=20.0
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)
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]
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def __init__(
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self,
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time_unit: TimeUnit,
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interval: int,
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market: str,
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rsi_time_frame: str,
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rsi_period: int,
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rsi_overbought_threshold,
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rsi_oversold_threshold,
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ema_time_frame,
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ema_short_period,
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ema_long_period,
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ema_cross_lookback_window: int = 10
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):
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self.rsi_time_frame = rsi_time_frame
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self.rsi_period = rsi_period
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self.rsi_result_column = f"rsi_{self.rsi_period}"
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self.rsi_overbought_threshold = rsi_overbought_threshold
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self.rsi_oversold_threshold = rsi_oversold_threshold
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self.ema_time_frame = ema_time_frame
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self.ema_short_result_column = f"ema_{ema_short_period}"
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self.ema_long_result_column = f"ema_{ema_long_period}"
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self.ema_crossunder_result_column = "ema_crossunder"
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self.ema_crossover_result_column = "ema_crossover"
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self.ema_short_period = ema_short_period
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self.ema_long_period = ema_long_period
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self.ema_cross_lookback_window = ema_cross_lookback_window
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data_sources = []
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+
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for symbol in self.symbols:
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full_symbol = f"{symbol}/EUR"
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data_sources.append(
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DataSource(
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identifier=f"{symbol}_rsi_data",
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data_type=DataType.OHLCV,
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time_frame=self.rsi_time_frame,
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market=market,
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symbol=full_symbol,
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pandas=True,
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window_size=800
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)
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)
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data_sources.append(
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DataSource(
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identifier=f"{symbol}_ema_data",
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+
data_type=DataType.OHLCV,
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time_frame=self.ema_time_frame,
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market=market,
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symbol=full_symbol,
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pandas=True,
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window_size=800
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+
)
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)
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+
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+
super().__init__(
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data_sources=data_sources, time_unit=time_unit, interval=interval
|
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+
)
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+
|
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215
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+
def _prepare_indicators(
|
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self,
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+
rsi_data,
|
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+
ema_data
|
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+
):
|
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+
"""
|
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+
Helper function to prepare the indicators
|
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|
+
for the strategy. The indicators are calculated
|
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+
using the pyindicators library: https://github.com/coding-kitties/PyIndicators
|
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|
+
"""
|
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225
|
+
ema_data = ema(
|
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|
+
ema_data,
|
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|
+
period=self.ema_short_period,
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|
+
source_column="Close",
|
|
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|
+
result_column=self.ema_short_result_column
|
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+
)
|
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231
|
+
ema_data = ema(
|
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|
+
ema_data,
|
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|
+
period=self.ema_long_period,
|
|
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|
+
source_column="Close",
|
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|
+
result_column=self.ema_long_result_column
|
|
236
|
+
)
|
|
237
|
+
# Detect crossover (short EMA crosses above long EMA)
|
|
238
|
+
ema_data = crossover(
|
|
239
|
+
ema_data,
|
|
240
|
+
first_column=self.ema_short_result_column,
|
|
241
|
+
second_column=self.ema_long_result_column,
|
|
242
|
+
result_column=self.ema_crossover_result_column
|
|
243
|
+
)
|
|
244
|
+
# Detect crossunder (short EMA crosses below long EMA)
|
|
245
|
+
ema_data = crossunder(
|
|
246
|
+
ema_data,
|
|
247
|
+
first_column=self.ema_short_result_column,
|
|
248
|
+
second_column=self.ema_long_result_column,
|
|
249
|
+
result_column=self.ema_crossunder_result_column
|
|
250
|
+
)
|
|
251
|
+
rsi_data = rsi(
|
|
252
|
+
rsi_data,
|
|
253
|
+
period=self.rsi_period,
|
|
254
|
+
source_column="Close",
|
|
255
|
+
result_column=self.rsi_result_column
|
|
256
|
+
)
|
|
257
|
+
|
|
258
|
+
return ema_data, rsi_data
|
|
259
|
+
|
|
260
|
+
def generate_buy_signals(self, data: Dict[str, Any]) -> Dict[str, pd.Series]:
|
|
261
|
+
"""
|
|
262
|
+
Generate buy signals based on the moving average crossover.
|
|
263
|
+
|
|
264
|
+
data (Dict[str, Any]): Dictionary containing all the data for
|
|
265
|
+
the strategy data sources.
|
|
266
|
+
|
|
267
|
+
Returns:
|
|
268
|
+
Dict[str, pd.Series]: A dictionary where keys are symbols and values
|
|
269
|
+
are pandas Series indicating buy signals (True/False).
|
|
270
|
+
"""
|
|
271
|
+
|
|
272
|
+
signals = {}
|
|
273
|
+
|
|
274
|
+
for symbol in self.symbols:
|
|
275
|
+
ema_data_identifier = f"{symbol}_ema_data"
|
|
276
|
+
rsi_data_identifier = f"{symbol}_rsi_data"
|
|
277
|
+
ema_data, rsi_data = self._prepare_indicators(
|
|
278
|
+
data[ema_data_identifier].copy(),
|
|
279
|
+
data[rsi_data_identifier].copy()
|
|
280
|
+
)
|
|
281
|
+
|
|
282
|
+
# crossover confirmed
|
|
283
|
+
ema_crossover_lookback = ema_data[
|
|
284
|
+
self.ema_crossover_result_column].rolling(
|
|
285
|
+
window=self.ema_cross_lookback_window
|
|
286
|
+
).max().astype(bool)
|
|
287
|
+
|
|
288
|
+
# use only RSI column
|
|
289
|
+
rsi_oversold = rsi_data[self.rsi_result_column] \
|
|
290
|
+
< self.rsi_oversold_threshold
|
|
291
|
+
|
|
292
|
+
buy_signal = rsi_oversold & ema_crossover_lookback
|
|
293
|
+
buy_signals = buy_signal.fillna(False).astype(bool)
|
|
294
|
+
signals[symbol] = buy_signals
|
|
295
|
+
return signals
|
|
296
|
+
|
|
297
|
+
def generate_sell_signals(self, data: Dict[str, Any]) -> Dict[str, pd.Series]:
|
|
298
|
+
"""
|
|
299
|
+
Generate sell signals based on the moving average crossover.
|
|
300
|
+
|
|
301
|
+
Args:
|
|
302
|
+
data (Dict[str, Any]): Dictionary containing all the data for
|
|
303
|
+
the strategy data sources.
|
|
304
|
+
|
|
305
|
+
Returns:
|
|
306
|
+
Dict[str, pd.Series]: A dictionary where keys are symbols and values
|
|
307
|
+
are pandas Series indicating sell signals (True/False).
|
|
308
|
+
"""
|
|
309
|
+
|
|
310
|
+
signals = {}
|
|
311
|
+
for symbol in self.symbols:
|
|
312
|
+
ema_data_identifier = f"{symbol}_ema_data"
|
|
313
|
+
rsi_data_identifier = f"{symbol}_rsi_data"
|
|
314
|
+
ema_data, rsi_data = self._prepare_indicators(
|
|
315
|
+
data[ema_data_identifier].copy(),
|
|
316
|
+
data[rsi_data_identifier].copy()
|
|
317
|
+
)
|
|
318
|
+
|
|
319
|
+
# Confirmed by crossover between short-term EMA and long-term EMA
|
|
320
|
+
# within a given lookback window
|
|
321
|
+
ema_crossunder_lookback = ema_data[
|
|
322
|
+
self.ema_crossunder_result_column].rolling(
|
|
323
|
+
window=self.ema_cross_lookback_window
|
|
324
|
+
).max().astype(bool)
|
|
325
|
+
|
|
326
|
+
# use only RSI column
|
|
327
|
+
rsi_overbought = rsi_data[self.rsi_result_column] \
|
|
328
|
+
>= self.rsi_overbought_threshold
|
|
329
|
+
|
|
330
|
+
# Combine both conditions
|
|
331
|
+
sell_signal = rsi_overbought & ema_crossunder_lookback
|
|
332
|
+
sell_signal = sell_signal.fillna(False).astype(bool)
|
|
333
|
+
signals[symbol] = sell_signal
|
|
334
|
+
return signals
|
|
335
|
+
|
|
336
|
+
|
|
337
|
+
if __name__ == "__main__":
|
|
338
|
+
app = create_app()
|
|
339
|
+
app.add_strategy(
|
|
340
|
+
RSIEMACrossoverStrategy(
|
|
341
|
+
time_unit=TimeUnit.HOUR,
|
|
342
|
+
interval=2,
|
|
343
|
+
market="bitvavo",
|
|
344
|
+
rsi_time_frame="2h",
|
|
345
|
+
rsi_period=14,
|
|
346
|
+
rsi_overbought_threshold=70,
|
|
347
|
+
rsi_oversold_threshold=30,
|
|
348
|
+
ema_time_frame="2h",
|
|
349
|
+
ema_short_period=12,
|
|
350
|
+
ema_long_period=26,
|
|
351
|
+
ema_cross_lookback_window=10
|
|
352
|
+
)
|
|
353
|
+
)
|
|
354
|
+
|
|
355
|
+
# Market credentials for coinbase for both the portfolio connection and data sources will
|
|
356
|
+
# be read from .env file, when not registering a market credential object in the app.
|
|
357
|
+
app.add_market(
|
|
358
|
+
market="bitvavo",
|
|
359
|
+
trading_symbol="EUR",
|
|
360
|
+
)
|
|
361
|
+
backtest_range = BacktestDateRange(
|
|
362
|
+
start_date=datetime(2023, 1, 1, tzinfo=timezone.utc),
|
|
363
|
+
end_date=datetime(2024, 6, 1, tzinfo=timezone.utc)
|
|
364
|
+
)
|
|
365
|
+
backtest = app.run_backtest(
|
|
366
|
+
backtest_date_range=backtest_range, initial_amount=1000
|
|
367
|
+
)
|
|
368
|
+
report = BacktestReport(backtest)
|
|
369
|
+
report.show(backtest_date_range=backtest_range, browser=True)
|
|
370
|
+
```
|
|
371
|
+
|
|
372
|
+
> You can find more examples [here](./examples) folder.
|
|
373
|
+
|
|
374
|
+
## 📚 Documentation
|
|
375
|
+
Comprehensive documentation is available at [github pages](https://coding-kitties.github.io/investing-algorithm-framework/).
|
|
376
|
+
|
|
377
|
+
## 🛠️ Development
|
|
378
|
+
|
|
379
|
+
Local Development
|
|
380
|
+
|
|
381
|
+
Clone the repository and install dependencies using Poetry:
|
|
382
|
+
|
|
383
|
+
The framework is built with poetry. To install the framework for local development, you can run the following commands:
|
|
384
|
+
|
|
385
|
+
> Make sure you have poetry installed. If you don't have poetry installed, you can find installation instructions [here](https://python-poetry.org/docs/#installation)
|
|
386
|
+
|
|
387
|
+
```bash
|
|
388
|
+
git clone http
|
|
389
|
+
cd investing-algorithm-framework
|
|
390
|
+
poetry install
|
|
391
|
+
```
|
|
392
|
+
|
|
393
|
+
### Running tests
|
|
394
|
+
|
|
395
|
+
To run the tests, you can run the following command:
|
|
396
|
+
|
|
397
|
+
```bash
|
|
398
|
+
# In the root of the project
|
|
399
|
+
python -m unittest discover -s tests
|
|
400
|
+
```
|
|
401
|
+
|
|
402
|
+
## ⚠️ Disclaimer
|
|
403
|
+
|
|
404
|
+
If you use this framework for your investments, do not risk money
|
|
405
|
+
which you are afraid to lose, until you have clear understanding how the framework works. We can't stress this enough:
|
|
406
|
+
|
|
407
|
+
BEFORE YOU START USING MONEY WITH THE FRAMEWORK, MAKE SURE THAT YOU TESTED
|
|
408
|
+
YOUR COMPONENTS THOROUGHLY. USE THE SOFTWARE AT YOUR OWN RISK.
|
|
409
|
+
THE AUTHORS AND ALL AFFILIATES ASSUME NO RESPONSIBILITY FOR YOUR INVESTMENT RESULTS.
|
|
410
|
+
|
|
411
|
+
Also, make sure that you read the source code of any plugin you use or
|
|
412
|
+
implementation of an algorithm made with this framework.
|
|
413
|
+
|
|
414
|
+
We welcome contributions! Check out the project board and issues to get started.
|
|
415
|
+
|
|
416
|
+
## Documentation
|
|
417
|
+
|
|
418
|
+
All the documentation can be found online
|
|
419
|
+
at the [documentation webstie](https://coding-kitties.github.io/investing-algorithm-framework/)
|
|
420
|
+
|
|
421
|
+
In most cases, you'll probably never have to change code on this repo directly
|
|
422
|
+
if you are building your algorithm/bot. But if you do, check out the
|
|
423
|
+
contributing page at the website.
|
|
424
|
+
|
|
425
|
+
If you'd like to chat with investing-algorithm-framework users
|
|
426
|
+
and developers, [join us on Slack](https://inv-algo-framework.slack.com) or [join us on reddit](https://www.reddit.com/r/InvestingBots/)
|
|
427
|
+
|
|
428
|
+
## 🤝 Contributing
|
|
429
|
+
|
|
430
|
+
The investing algorithm framework is a community driven project.
|
|
431
|
+
We welcome you to participate, contribute and together help build the future trading bots developed in python.
|
|
432
|
+
|
|
433
|
+
To get started, please read the [contributing guide](https://coding-kitties.github.io/investing-algorithm-framework/Contributing&20Guide/contributing).
|
|
434
|
+
|
|
435
|
+
Feel like the framework is missing a feature? We welcome your pull requests!
|
|
436
|
+
If you want to contribute to the project roadmap, please take a look at the [project board](https://github.com/coding-kitties/investing-algorithm-framework/projects?query=is%3Aopen).
|
|
437
|
+
You can pick up a task by assigning yourself to it.
|
|
438
|
+
|
|
439
|
+
**Note** before starting any major new feature work, *please open an issue describing what you are planning to do*.
|
|
440
|
+
This will ensure that interested parties can give valuable feedback on the feature, and let others know that you are working on it.
|
|
441
|
+
|
|
442
|
+
**Important:** Always create your feature or hotfix against the `develop` branch, not `main`.
|
|
443
|
+
|
|
444
|
+
## 📬 Support
|
|
445
|
+
|
|
446
|
+
* [Reddit Community](https://www.reddit.com/r/InvestingBots/)
|
|
447
|
+
* [Discord Community](https://discord.gg/dQsRmGZP")
|
|
448
|
+
|
|
449
|
+
|
|
450
|
+
## 🏆 Acknowledgements
|
|
451
|
+
|
|
452
|
+
We want to thank all contributors to this project. A full list of all the people that contributed to the project can be
|
|
453
|
+
found [here](https://github.com/investing-algorithms/investing-algorithm-framework/blob/master/AUTHORS.md)
|
|
454
|
+
|
|
455
|
+
### [Bugs / Issues](https://github.com/investing-algorithms/investing-algorithm-framework/issues?q=is%3Aissue)
|
|
456
|
+
|
|
457
|
+
If you discover a bug in the framework, please [search our issue tracker](https://github.com/investing-algorithms/investing-algorithm-framework/issues?q=is%3Aissue)
|
|
458
|
+
first. If it hasn't been reported, please [create a new issue](https://github.com/investing-algorithms/investing-algorithm-framework/issues/new).
|
|
459
|
+
|