investing-algorithm-framework 7.4.0__tar.gz → 7.4.1__tar.gz

{investing_algorithm_framework-7.4.0 → investing_algorithm_framework-7.4.1}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: investing-algorithm-framework
-Version: 7.4.0
+Version: 7.4.1
 Summary: A framework for creating trading bots
 Author: MDUYN
 Requires-Python: >=3.10

{investing_algorithm_framework-7.4.0 → investing_algorithm_framework-7.4.1}/investing_algorithm_framework/app/app.py

@@ -1325,13 +1325,19 @@ class App:
 
         for data_source in data_sources:
             if DataType.OHLCV.equals(data_source.data_type):
+                data_provider = data_provider_service.get(data_source)
                 data = data_provider_service.get_data(
                     data_source=data_source,
-                    start_date=backtest_date_range.start_date,
+                    start_date=data_provider._start_date_data_source,
                     end_date=backtest_date_range.end_date
                 )
                 original_data_combinations.append((data_source, data))
-                original_datasets_ordered_by_symbol[data_source.symbol] = data
+                original_datasets_ordered_by_symbol[data_source.symbol] = \
+                    data_provider_service.get_data(
+                        data_source=data_source,
+                        start_date=data_provider._start_date_data_source,
+                        end_date=backtest_date_range.end_date
+                    )
 
         for _ in tqdm(
             range(number_of_permutations),
@@ -1356,19 +1362,21 @@ class App:
             self._data_providers = []
 
             for combi in permutated_datasets:
-                dp_identifier = combi[0].data_provider_identifier
+                data_source = combi[0]
+                data_provider = PandasOHLCVDataProvider(
+                    dataframe=combi[1],
+                    symbol=data_source.symbol,
+                    market=data_source.market,
+                    window_size=data_source.window_size,
+                    time_frame=data_source.time_frame,
+                    data_provider_identifier=data_source
+                    .data_provider_identifier,
+                    pandas=data_source.pandas,
+                )
                 # Add pandas ohlcv data provider to the data provider service
-                self.add_data_provider(
-                    PandasOHLCVDataProvider(
-                        dataframe=combi[1],
-                        symbol=combi[0].symbol,
-                        market=combi[0].market,
-                        window_size=combi[0].window_size,
-                        time_frame=combi[0].time_frame,
-                        data_provider_identifier=dp_identifier,
-                        pandas=combi[0].pandas,
-                    ),
-                    priority=1
+                data_provider_service.register_data_provider(
+                    data_source=data_source,
+                    data_provider=data_provider
                 )
 
             # Run the backtest with the permuted strategy
@@ -1378,7 +1386,7 @@ class App:
                 strategy=strategy,
                 snapshot_interval=SnapshotInterval.DAILY,
                 risk_free_rate=risk_free_rate,
-                show_data_initialization_progress=False
+                skip_data_sources_initialization=True
             )
 
             # Add the results of the permuted backtest to the main backtest
@@ -1391,7 +1399,10 @@ class App:
             real_metrics=backtest_metrics,
             permutated_metrics=permuted_metrics,
             ohlcv_permutated_datasets=permuted_datasets_ordered_by_symbol,
-            ohlcv_original_datasets=original_datasets_ordered_by_symbol
+            ohlcv_original_datasets=original_datasets_ordered_by_symbol,
+            backtest_start_date=backtest_date_range.start_date,
+            backtest_end_date=backtest_date_range.end_date,
+            backtest_date_range_name=backtest_date_range.name
         )
         return permutation_test_metrics
 

{investing_algorithm_framework-7.4.0 → investing_algorithm_framework-7.4.1}/investing_algorithm_framework/app/reporting/charts/__init__.py

@@ -4,6 +4,7 @@ from .monthly_returns_heatmap import get_monthly_returns_heatmap_chart
 from .yearly_returns_barchart import get_yearly_returns_bar_chart
 from .ohlcv_data_completeness import get_ohlcv_data_completeness_chart
 from .entry_exist_signals import get_entry_and_exit_signals
+from .line_chart import create_line_scatter
 
 __all__ = [
     "get_equity_curve_with_drawdown_chart",
@@ -12,4 +13,5 @@ __all__ = [
     "get_yearly_returns_bar_chart",
     "get_ohlcv_data_completeness_chart",
     "get_entry_and_exit_signals",
+    "create_line_scatter",
 ]

investing_algorithm_framework-7.4.1/investing_algorithm_framework/app/reporting/charts/line_chart.py

@@ -0,0 +1,11 @@
+import plotly.graph_objects as go
+
+
+def create_line_scatter(x, y, name, colour = 'blue'):
+    return go.Scatter(
+        x=x,
+        y=y,
+        mode='lines',
+        name=name,
+        line=dict(color=colour)
+    )

{investing_algorithm_framework-7.4.0 → investing_algorithm_framework-7.4.1}/investing_algorithm_framework/domain/backtesting/backtest.py

@@ -91,6 +91,27 @@ class Backtest:
                 return run
         return None
 
+    def get_backtest_permutation_test(
+        self, date_range: BacktestDateRange
+    ) -> Union[BacktestPermutationTest, None]:
+        """
+        Retrieve a specific BacktestPermutationTest based on
+            the provided date range.
+
+        Args:
+            date_range (BacktestDateRange): The date range to search for.
+
+        Returns:
+            Union[BacktestPermutationTest, None]: The
+                matching BacktestPermutationTest if found,
+                otherwise None.
+        """
+        for perm_test in self.backtest_permutation_tests:
+            if (perm_test.backtest_start_date == date_range.start_date and
+                    perm_test.backtest_end_date == date_range.end_date):
+                return perm_test
+        return None
+
     def get_all_backtest_metrics(self) -> List[BacktestMetrics]:
         """
         Retrieve all BacktestMetrics from the backtest runs.
@@ -382,3 +403,15 @@ class Backtest:
             )
             for run in self.backtest_runs
         ]
+
+    def add_permutation_test(
+        self, permutation_test: BacktestPermutationTest
+    ) -> None:
+        """
+        Add a permutation test to the backtest.
+
+        Args:
+            permutation_test (BacktestPermutationTest): The permutation test
+                to add.
+        """
+        self.backtest_permutation_tests.append(permutation_test)

{investing_algorithm_framework-7.4.0 → investing_algorithm_framework-7.4.1}/investing_algorithm_framework/domain/backtesting/backtest_permutation_test.py

@@ -42,6 +42,9 @@ class BacktestPermutationTest:
         field(default_factory=dict)
     ohlcv_original_datasets: Dict[str, pd.DataFrame] = \
         field(default_factory=dict)
+    backtest_start_date: pd.Timestamp = None
+    backtest_end_date: pd.Timestamp = None
+    backtest_date_range_name: str = None
 
     def compute_p_values(
         self, metrics: List[str] = None, one_sided: bool = True

{investing_algorithm_framework-7.4.0 → investing_algorithm_framework-7.4.1}/investing_algorithm_framework/services/data_providers/data_provider_service.py

@@ -322,6 +322,20 @@ class DataProviderService:
         self.configuration_service = configuration_service
         self.market_credential_service = market_credential_service
 
+    def get(self, data_source: DataSource) -> Optional[DataProvider]:
+        """
+        Get a registered data provider by its data source.
+
+        Args:
+            data_source (DataSource): The data source to get the
+            data provider for.
+
+        Returns:
+            Optional[DataProvider]: The registered data provider for
+              the data source, or None if not found.
+        """
+        return self.data_provider_index.get(data_source)
+
     def get_data(
         self,
         data_source: DataSource,
@@ -578,6 +592,28 @@ class DataProviderService:
             f"No data provider found for the given parameters: {params}"
         )
 
+    def register_data_provider(
+        self, data_source: DataSource, data_provider: DataProvider
+    ) -> DataProvider:
+        """
+        Function to directly register a data provider for a given data source.
+
+        This method will not check if the data provider supports the
+        data source. It will directly register the data provider in the index.
+
+        Args:
+            data_source (DataSource): The data source to register the
+                data provider for.
+            data_provider (DataProvider): The data provider to register.
+
+        Returns:
+            DataProvider: The registered data provider.
+        """
+        data_provider = data_provider.copy(data_source)
+        self.data_provider_index.data_providers_lookup[data_source] = \
+            data_provider
+        return data_provider
+
     def add_data_provider(
         self, data_provider: DataProvider, priority: int = 3
     ):
@@ -742,6 +778,15 @@ class DataProviderService:
 
         return data_files
 
+    def get_all_registered_data_providers(self) -> List[DataProvider]:
+        """
+        Function to get all registered data providers.
+
+        Returns:
+            List[DataProvider]: A list of all registered data providers.
+        """
+        return self.data_provider_index.get_all()
+
     def reset(self):
         """
         Function to reset all the data providers and the data provider

{investing_algorithm_framework-7.4.0 → investing_algorithm_framework-7.4.1}/pyproject.toml

@@ -1,6 +1,6 @@
 [tool.poetry]
 name = "investing-algorithm-framework"
-version = "v7.4.0"
+version = "v7.4.1"
 description = "A framework for creating trading bots"
 authors = ["MDUYN"]
 readme = "README.md"