investing-algorithm-framework 7.35.0__tar.gz → 7.36.0__tar.gz

{investing_algorithm_framework-7.35.0 → investing_algorithm_framework-7.36.0}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: investing-algorithm-framework
-Version: 7.35.0
+Version: 7.36.0
 Summary: A framework for creating trading bots
 Author: MDUYN
 Requires-Python: >=3.10
@@ -134,36 +134,118 @@ The [documentation](https://coding-kitties.github.io/investing-algorithm-framewo
 The framework is designed around the `TradingStrategy` class. You define **what data** your strategy needs and **when to buy or sell** — the framework handles execution, position management, and reporting.
 
 ```python
+from typing import Dict, Any
+
+import pandas as pd
+from pyindicators import ema, rsi, crossover, crossunder
+
 from investing_algorithm_framework import (
-    TradingStrategy, TimeUnit, Context, OrderSide
+    TradingStrategy, DataSource, TimeUnit, DataType,
+    PositionSize, ScalingRule, StopLossRule,
 )
 
-class MyStrategy(TradingStrategy):
+
+class RSIEMACrossoverStrategy(TradingStrategy):
+    """
+    EMA crossover + RSI filter strategy with position scaling and stop losses.
+
+    Buy when RSI is oversold AND a recent EMA crossover occurred.
+    Sell when RSI is overbought AND a recent EMA crossunder occurred.
+    Scale into winners, trail a stop loss, and let the framework handle the rest.
+    """
     time_unit = TimeUnit.HOUR
     interval = 2
-    symbol_pairs = ["BTC/EUR"]
-
-    def apply_strategy(self, context: Context, market_data):
-        for pair in self.symbol_pairs:
-            symbol = pair.split("/")[0]
-            ohlcv = market_data[f"{pair}-ohlcv-2h"]
-            price = ohlcv["Close"].iloc[-1]
-
-            if self.should_buy(ohlcv) and not context.has_position(symbol):
-                context.create_limit_order(
-                    target_symbol=symbol,
-                    order_side=OrderSide.BUY,
-                    price=price,
-                    percentage_of_portfolio=25,
-                )
-
-            if self.should_sell(ohlcv) and context.has_position(symbol):
-                context.create_limit_order(
-                    target_symbol=symbol,
-                    order_side=OrderSide.SELL,
-                    price=price,
-                    percentage_of_portfolio=100,
-                )
+    symbols = ["BTC", "ETH"]
+    data_sources = [
+        DataSource(
+            identifier="BTC_ohlcv", symbol="BTC/EUR",
+            data_type=DataType.OHLCV, time_frame="2h",
+            market="BITVAVO", pandas=True, warmup_window=100,
+        ),
+        DataSource(
+            identifier="ETH_ohlcv", symbol="ETH/EUR",
+            data_type=DataType.OHLCV, time_frame="2h",
+            market="BITVAVO", pandas=True, warmup_window=100,
+        ),
+    ]
+
+    # Risk management
+    position_sizes = [
+        PositionSize(symbol="BTC", percentage_of_portfolio=20),
+        PositionSize(symbol="ETH", percentage_of_portfolio=20),
+    ]
+    scaling_rules = [
+        ScalingRule(
+            symbol="BTC", max_entries=3,
+            scale_in_percentage=[50, 25], cooldown_in_bars=5,
+        ),
+        ScalingRule(
+            symbol="ETH", max_entries=3,
+            scale_in_percentage=[50, 25], cooldown_in_bars=5,
+        ),
+    ]
+    stop_losses = [
+        StopLossRule(
+            symbol="BTC", percentage_threshold=5,
+            sell_percentage=100, trailing=True,
+        ),
+        StopLossRule(
+            symbol="ETH", percentage_threshold=5,
+            sell_percentage=100, trailing=True,
+        ),
+    ]
+
+    def generate_buy_signals(
+        self, data: Dict[str, Any]
+    ) -> Dict[str, pd.Series]:
+        signals = {}
+
+        for symbol in self.symbols:
+            df = data[f"{symbol}_ohlcv"]
+            ema_short = ema(df, period=12, source_column="Close",
+                           result_column="ema_short")
+            ema_long = ema(ema_short, period=26, source_column="Close",
+                          result_column="ema_long")
+            ema_cross = crossover(ema_long,
+                                  first_column="ema_short",
+                                  second_column="ema_long",
+                                  result_column="ema_crossover")
+            rsi_data = rsi(df, period=14, source_column="Close",
+                          result_column="rsi")
+
+            rsi_oversold = rsi_data["rsi"] < 30
+            recent_crossover = (
+                ema_cross["ema_crossover"].rolling(window=10).max() > 0
+            )
+            signals[symbol] = (rsi_oversold & recent_crossover).fillna(False)
+
+        return signals
+
+    def generate_sell_signals(
+        self, data: Dict[str, Any]
+    ) -> Dict[str, pd.Series]:
+        signals = {}
+
+        for symbol in self.symbols:
+            df = data[f"{symbol}_ohlcv"]
+            ema_short = ema(df, period=12, source_column="Close",
+                           result_column="ema_short")
+            ema_long = ema(ema_short, period=26, source_column="Close",
+                          result_column="ema_long")
+            ema_cross = crossunder(ema_long,
+                                   first_column="ema_short",
+                                   second_column="ema_long",
+                                   result_column="ema_crossunder")
+            rsi_data = rsi(df, period=14, source_column="Close",
+                          result_column="rsi")
+
+            rsi_overbought = rsi_data["rsi"] >= 70
+            recent_crossunder = (
+                ema_cross["ema_crossunder"].rolling(window=10).max() > 0
+            )
+            signals[symbol] = (rsi_overbought & recent_crossunder).fillna(False)
+
+        return signals
 ```
 
 Create as many strategy variants as you want — different parameters, different indicators, different symbols — then backtest them all and compare in a single report.

{investing_algorithm_framework-7.35.0 → investing_algorithm_framework-7.36.0}/README.md

@@ -99,36 +99,118 @@ The [documentation](https://coding-kitties.github.io/investing-algorithm-framewo
 The framework is designed around the `TradingStrategy` class. You define **what data** your strategy needs and **when to buy or sell** — the framework handles execution, position management, and reporting.
 
 ```python
+from typing import Dict, Any
+
+import pandas as pd
+from pyindicators import ema, rsi, crossover, crossunder
+
 from investing_algorithm_framework import (
-    TradingStrategy, TimeUnit, Context, OrderSide
+    TradingStrategy, DataSource, TimeUnit, DataType,
+    PositionSize, ScalingRule, StopLossRule,
 )
 
-class MyStrategy(TradingStrategy):
+
+class RSIEMACrossoverStrategy(TradingStrategy):
+    """
+    EMA crossover + RSI filter strategy with position scaling and stop losses.
+
+    Buy when RSI is oversold AND a recent EMA crossover occurred.
+    Sell when RSI is overbought AND a recent EMA crossunder occurred.
+    Scale into winners, trail a stop loss, and let the framework handle the rest.
+    """
     time_unit = TimeUnit.HOUR
     interval = 2
-    symbol_pairs = ["BTC/EUR"]
-
-    def apply_strategy(self, context: Context, market_data):
-        for pair in self.symbol_pairs:
-            symbol = pair.split("/")[0]
-            ohlcv = market_data[f"{pair}-ohlcv-2h"]
-            price = ohlcv["Close"].iloc[-1]
-
-            if self.should_buy(ohlcv) and not context.has_position(symbol):
-                context.create_limit_order(
-                    target_symbol=symbol,
-                    order_side=OrderSide.BUY,
-                    price=price,
-                    percentage_of_portfolio=25,
-                )
-
-            if self.should_sell(ohlcv) and context.has_position(symbol):
-                context.create_limit_order(
-                    target_symbol=symbol,
-                    order_side=OrderSide.SELL,
-                    price=price,
-                    percentage_of_portfolio=100,
-                )
+    symbols = ["BTC", "ETH"]
+    data_sources = [
+        DataSource(
+            identifier="BTC_ohlcv", symbol="BTC/EUR",
+            data_type=DataType.OHLCV, time_frame="2h",
+            market="BITVAVO", pandas=True, warmup_window=100,
+        ),
+        DataSource(
+            identifier="ETH_ohlcv", symbol="ETH/EUR",
+            data_type=DataType.OHLCV, time_frame="2h",
+            market="BITVAVO", pandas=True, warmup_window=100,
+        ),
+    ]
+
+    # Risk management
+    position_sizes = [
+        PositionSize(symbol="BTC", percentage_of_portfolio=20),
+        PositionSize(symbol="ETH", percentage_of_portfolio=20),
+    ]
+    scaling_rules = [
+        ScalingRule(
+            symbol="BTC", max_entries=3,
+            scale_in_percentage=[50, 25], cooldown_in_bars=5,
+        ),
+        ScalingRule(
+            symbol="ETH", max_entries=3,
+            scale_in_percentage=[50, 25], cooldown_in_bars=5,
+        ),
+    ]
+    stop_losses = [
+        StopLossRule(
+            symbol="BTC", percentage_threshold=5,
+            sell_percentage=100, trailing=True,
+        ),
+        StopLossRule(
+            symbol="ETH", percentage_threshold=5,
+            sell_percentage=100, trailing=True,
+        ),
+    ]
+
+    def generate_buy_signals(
+        self, data: Dict[str, Any]
+    ) -> Dict[str, pd.Series]:
+        signals = {}
+
+        for symbol in self.symbols:
+            df = data[f"{symbol}_ohlcv"]
+            ema_short = ema(df, period=12, source_column="Close",
+                           result_column="ema_short")
+            ema_long = ema(ema_short, period=26, source_column="Close",
+                          result_column="ema_long")
+            ema_cross = crossover(ema_long,
+                                  first_column="ema_short",
+                                  second_column="ema_long",
+                                  result_column="ema_crossover")
+            rsi_data = rsi(df, period=14, source_column="Close",
+                          result_column="rsi")
+
+            rsi_oversold = rsi_data["rsi"] < 30
+            recent_crossover = (
+                ema_cross["ema_crossover"].rolling(window=10).max() > 0
+            )
+            signals[symbol] = (rsi_oversold & recent_crossover).fillna(False)
+
+        return signals
+
+    def generate_sell_signals(
+        self, data: Dict[str, Any]
+    ) -> Dict[str, pd.Series]:
+        signals = {}
+
+        for symbol in self.symbols:
+            df = data[f"{symbol}_ohlcv"]
+            ema_short = ema(df, period=12, source_column="Close",
+                           result_column="ema_short")
+            ema_long = ema(ema_short, period=26, source_column="Close",
+                          result_column="ema_long")
+            ema_cross = crossunder(ema_long,
+                                   first_column="ema_short",
+                                   second_column="ema_long",
+                                   result_column="ema_crossunder")
+            rsi_data = rsi(df, period=14, source_column="Close",
+                          result_column="rsi")
+
+            rsi_overbought = rsi_data["rsi"] >= 70
+            recent_crossunder = (
+                ema_cross["ema_crossunder"].rolling(window=10).max() > 0
+            )
+            signals[symbol] = (rsi_overbought & recent_crossunder).fillna(False)
+
+        return signals
 ```
 
 Create as many strategy variants as you want — different parameters, different indicators, different symbols — then backtest them all and compare in a single report.

{investing_algorithm_framework-7.35.0 → investing_algorithm_framework-7.36.0}/investing_algorithm_framework/__init__.py

@@ -19,6 +19,7 @@ from .domain import ApiException, combine_backtests, PositionSize, \
     Trade, APP_MODE, AppMode, DATETIME_FORMAT, load_backtests_from_directory, \
     BacktestDateRange, convert_polars_to_pandas, BacktestRun, \
     DEFAULT_LOGGING_CONFIG, DataType, DataProvider, StopLossRule, \
+    ScalingRule, TradingCost, \
     TradeStatus, generate_backtest_summary_metrics, generate_algorithm_id, \
     APPLICATION_DIRECTORY, DataSource, OrderExecutor, PortfolioProvider, \
     SnapshotInterval, AWS_S3_STATE_BUCKET_NAME, BacktestEvaluationFocus, \
@@ -206,6 +207,8 @@ __all__ = [
     "recalculate_backtests",
     "TakeProfitRule",
     "StopLossRule",
+    "ScalingRule",
+    "TradingCost",
     "TradeStopLossService",
     "TradeTakeProfitService",
     "generate_algorithm_id",

{investing_algorithm_framework-7.35.0 → investing_algorithm_framework-7.36.0}/investing_algorithm_framework/app/app.py

@@ -2165,7 +2165,9 @@ class App:
         trading_symbol,
         api_key=None,
         secret_key=None,
-        initial_balance=None
+        initial_balance=None,
+        fee_percentage=0.0,
+        slippage_percentage=0.0,
     ):
         """
         Function to add a market to the app. This function is a utility
@@ -2178,6 +2180,12 @@ class App:
             api_key: API key for the market
             secret_key: Secret key for the market
             initial_balance: Initial balance for the market
+            fee_percentage: Default fee percentage for all trades
+                on this market (e.g. 0.1 for 0.1%). Can be overridden
+                per-symbol via TradingCost on the strategy.
+            slippage_percentage: Default slippage percentage for all
+                trades on this market (e.g. 0.05 for 0.05%). Can be
+                overridden per-symbol via TradingCost on the strategy.
 
         Returns:
             None
@@ -2186,7 +2194,9 @@ class App:
         portfolio_configuration = PortfolioConfiguration(
             market=market,
             trading_symbol=trading_symbol,
-            initial_balance=initial_balance
+            initial_balance=initial_balance,
+            fee_percentage=fee_percentage,
+            slippage_percentage=slippage_percentage,
         )
 
         self.add_portfolio_configuration(portfolio_configuration)

{investing_algorithm_framework-7.35.0 → investing_algorithm_framework-7.36.0}/investing_algorithm_framework/app/reporting/backtest_report.py

@@ -77,6 +77,17 @@ def _fmt_date(dt):
     return dt.strftime('%Y-%m-%d')
 
 
+def _is_na(val):
+    """Check whether *val* is a pandas-like NA/NaN sentinel."""
+    try:
+        import pandas as pd
+        if pd.isna(val):
+            return True
+    except (ImportError, TypeError, ValueError):
+        pass
+    return False
+
+
 @dataclass
 class BacktestReport:
     backtests: List[Backtest] = field(default_factory=list)
@@ -451,6 +462,7 @@ class BacktestReport:
                         pct = (ng / cost * 100) if cost else 0
                         op_dt = t.opened_at
                         cl_dt = t.closed_at
+                        total_fees = getattr(t, 'total_fees', 0) or 0
                         trades_list.append({
                             'id': idx_t,
                             'sym': sym,
@@ -461,6 +473,7 @@ class BacktestReport:
                             ),
                             'close_price': round(cp, 2),
                             'cost': round(cost, 2),
+                            'total_fees': round(total_fees, 4),
                             'net_gain': round(ng, 2),
                             'pct': round(pct, 2),
                         })
@@ -518,7 +531,11 @@ class BacktestReport:
                         'best_year', 'worst_year',
                     ):
                         tval = getattr(m, tattr, None)
-                        if tval and tval[0] is not None:
+                        if (
+                            tval
+                            and tval[0] is not None
+                            and not _is_na(tval[0])
+                        ):
                             metrics_dict[tattr] = {
                                 'value': tval[0],
                                 'date': _fmt_date(tval[1]) if tval[1]
@@ -555,6 +572,71 @@ class BacktestReport:
                         ),
                     }
 
+                # Orders
+                orders_list = []
+                if run.orders:
+                    for o in run.orders:
+                        o_dt = getattr(o, 'created_at', None)
+                        u_dt = getattr(o, 'updated_at', None)
+                        o_fee = getattr(o, 'order_fee', None)
+                        if o_fee is None:
+                            o_fee = getattr(o, 'fee', 0)
+                        o_fee = o_fee or 0
+                        o_fee_rate = getattr(
+                            o, 'order_fee_rate', 0
+                        ) or 0
+                        o_slippage = getattr(o, 'slippage', None)
+                        if o_slippage is None:
+                            o_slippage = 0
+                        orders_list.append({
+                            'sym': getattr(o, 'target_symbol', '')
+                            or '',
+                            'side': getattr(o, 'order_side', '')
+                            or '',
+                            'type': getattr(o, 'order_type', '')
+                            or '',
+                            'status': getattr(o, 'status', '')
+                            or '',
+                            'price': round(
+                                getattr(o, 'price', 0) or 0, 4
+                            ),
+                            'amount': round(
+                                getattr(o, 'amount', 0) or 0, 6
+                            ),
+                            'filled': round(
+                                getattr(o, 'filled', 0) or 0, 6
+                            ),
+                            'cost': round(
+                                (getattr(o, 'amount', 0) or 0)
+                                * (getattr(o, 'price', 0) or 0), 2
+                            ),
+                            'fee': round(float(o_fee), 4),
+                            'fee_rate': round(
+                                float(o_fee_rate), 4
+                            ),
+                            'slippage': round(
+                                float(o_slippage), 4
+                            ),
+                            'created': _fmt_date(o_dt)
+                            if o_dt else '',
+                            'updated': _fmt_date(u_dt)
+                            if u_dt else '',
+                        })
+
+                # Positions
+                positions_list = []
+                if run.positions:
+                    for p in run.positions:
+                        positions_list.append({
+                            'sym': getattr(p, 'symbol', '') or '',
+                            'amount': round(
+                                getattr(p, 'amount', 0) or 0, 6
+                            ),
+                            'cost': round(
+                                getattr(p, 'cost', 0) or 0, 2
+                            ),
+                        })
+
                 run_data[rid] = {
                     'label': label,
                     'EQ': eq,
@@ -565,6 +647,8 @@ class BacktestReport:
                     'YR': yr,
                     'MONTHLY_HEATMAP': heatmap,
                     'TRADES': trades_list,
+                    'ORDERS': orders_list,
+                    'POSITIONS': positions_list,
                     'SYM_STATS': sym_stats,
                     'metrics': metrics_dict,
                     'snapshot': snapshot,

{investing_algorithm_framework-7.35.0 → investing_algorithm_framework-7.36.0}/investing_algorithm_framework/app/reporting/templates/dashboard.css

@@ -74,6 +74,7 @@ body { font-family:'Inter',-apple-system,sans-serif; background:var(--bg); color
 .challenger-btn.active { background:var(--accent); color:#fff; border-color:var(--accent); }
 .challenger-row { background:rgba(34,211,238,0.06) !important; }
 .challenger-row td { border-bottom:1px solid var(--accent) !important; }
+.challenger-col { background:rgba(34,211,238,0.06) !important; border-bottom:2px solid var(--accent) !important; }
 .sb-challenger { margin-left:auto; font-size:11px; color:var(--accent); }
 .sb-item .sb-cb { width:13px; height:13px; accent-color:var(--accent); cursor:pointer; flex-shrink:0; margin:0; }
 .sb-item .sb-chal-btn { background:none; border:1px solid var(--border); border-radius:3px; cursor:pointer; font-size:11px; color:var(--text-dim); padding:0 3px; margin-left:auto; line-height:1.2; transition:all 0.15s; flex-shrink:0; }
@@ -173,6 +174,15 @@ body { font-family:'Inter',-apple-system,sans-serif; background:var(--bg); color
 .tab-panel { display:none; }
 .tab-panel.active { display:block; }
 
+/* pagination */
+.pagination { display:flex; align-items:center; justify-content:space-between; padding:0.6rem 0.25rem; font-size:0.78rem; color:var(--text-dim); }
+.pagination-btns { display:flex; gap:0.35rem; align-items:center; }
+.pagination-btns button { font-family:inherit; font-size:0.75rem; font-weight:500; padding:0.3rem 0.7rem; border-radius:6px; border:1px solid var(--border); background:var(--surface2); color:var(--text-secondary); cursor:pointer; transition:all 0.15s; }
+.pagination-btns button:hover:not(:disabled) { border-color:var(--accent); color:var(--accent); }
+.pagination-btns button:disabled { opacity:0.35; cursor:default; }
+.pagination-btns button.active { background:var(--accent); color:#000; border-color:var(--accent); }
+.page-size-select { font-family:inherit; font-size:0.75rem; padding:0.25rem 0.5rem; border-radius:6px; border:1px solid var(--border); background:var(--surface2); color:var(--text-secondary); cursor:pointer; }
+
 /* run selector pills */
 .run-selector { display:flex; gap:0.4rem; flex-wrap:wrap; margin-bottom:1.25rem; padding:0.25rem 0; }
 .run-pill { font-family:'Inter',sans-serif; font-size:0.72rem; font-weight:500; padding:0.3rem 0.75rem; border-radius:16px; border:1px solid var(--border); background:var(--surface2); color:var(--text-secondary); cursor:pointer; transition:all 0.15s; }