investing-algorithm-framework 7.7.0__tar.gz → 7.9.0__tar.gz

{investing_algorithm_framework-7.7.0 → investing_algorithm_framework-7.9.0}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: investing-algorithm-framework
-Version: 7.7.0
+Version: 7.9.0
 Summary: A framework for creating trading bots
 Author: MDUYN
 Requires-Python: >=3.10

{investing_algorithm_framework-7.7.0 → investing_algorithm_framework-7.9.0}/investing_algorithm_framework/__init__.py

@@ -42,7 +42,8 @@ from .services import get_annual_volatility, get_sortino_ratio, \
     get_average_monthly_return_winning_months, get_percentage_winning_years, \
     get_rolling_sharpe_ratio, create_backtest_metrics, get_growth, \
     get_growth_percentage, get_cumulative_exposure, get_median_return, \
-    get_average_return, get_risk_free_rate_us
+    get_average_return, get_risk_free_rate_us, get_cumulative_return, \
+    get_cumulative_return_series
 
 
 __all__ = [
@@ -169,5 +170,7 @@ __all__ = [
     "PositionSize",
     "get_median_return",
     "get_average_return",
-    "get_risk_free_rate_us"
+    "get_risk_free_rate_us",
+    "get_cumulative_return",
+    "get_cumulative_return_series",
 ]

{investing_algorithm_framework-7.7.0 → investing_algorithm_framework-7.9.0}/investing_algorithm_framework/app/app.py

@@ -1323,7 +1323,9 @@ class App:
         original_datasets_ordered_by_symbol = {}
 
         for data_source in data_sources:
+            print(data_source)
             if DataType.OHLCV.equals(data_source.data_type):
+                print(data_source.symbol)
                 data_provider = data_provider_service.get(data_source)
                 data = data_provider_service.get_data(
                     data_source=data_source,

{investing_algorithm_framework-7.7.0 → investing_algorithm_framework-7.9.0}/investing_algorithm_framework/domain/backtesting/backtest.py

@@ -91,6 +91,18 @@ class Backtest:
                 return run
         return None
 
+    def get_all_backtest_permutation_tests(
+        self
+    ) -> List[BacktestPermutationTest]:
+        """
+        Retrieve all BacktestPermutationTest instances from the backtest.
+
+        Returns:
+            List[BacktestPermutationTest]: A list of all
+                BacktestPermutationTest instances.
+        """
+        return self.backtest_permutation_tests
+
     def get_backtest_permutation_test(
         self, date_range: BacktestDateRange
     ) -> Union[BacktestPermutationTest, None]:

{investing_algorithm_framework-7.7.0 → investing_algorithm_framework-7.9.0}/investing_algorithm_framework/domain/backtesting/backtest_metrics.py

@@ -2,7 +2,7 @@ import os
 from pathlib import Path
 from dataclasses import dataclass, field
 from logging import getLogger
-from typing import Tuple, List
+from typing import Tuple, List, Dict
 from datetime import datetime, date
 import json
 import pandas as pd
@@ -85,6 +85,12 @@ class BacktestMetrics:
             trades in hours.
         number_of_trades (int): The total number of trades executed
             during the backtest.
+        number_of_trades_closed (int): The total number of trades close
+            during the backtest.
+        number_of_trades_opened (int): The total number of trades opened
+            during the backtest.
+        number_of_trades_open_at_end (int): The number of trades
+            still open at the end of the backtest.
         win_rate (float): The win rate of the trades, expressed
             as a percentage.
         win_loss_ratio (float): The ratio of winning trades
@@ -111,6 +117,8 @@ class BacktestMetrics:
             including return and date.
         worst_year (datetime): A string representation of the worst year,
             including return and date.
+        metadata (Dict[str, str]): A dictionary to store any additional
+            metadata related to the backtest.
     """
     backtest_start_date: datetime
     backtest_end_date: datetime
@@ -120,6 +128,9 @@ class BacktestMetrics:
     total_net_gain: float = 0.0
     total_net_gain_percentage: float = 0.0
     final_value: float = 0.0
+    cumulative_return: float = 0.0
+    cumulative_return_series: List[Tuple[float, datetime]] = \
+        field(default_factory=list)
     cagr: float = 0.0
     sharpe_ratio: float = 0.0
     rolling_sharpe_ratio: List[Tuple[float, datetime]] = \
@@ -152,6 +163,9 @@ class BacktestMetrics:
     average_trade_duration: float = 0.0
     average_trade_size: float = 0.0
     number_of_trades: int = 0
+    number_of_trades_closed: int = 0
+    number_of_trades_opened: int = 0
+    number_of_trades_open_at_end: int = 0
     win_rate: float = 0.0
     win_loss_ratio: float = 0.0
     percentage_positive_trades: float = 0.0
@@ -166,6 +180,7 @@ class BacktestMetrics:
     worst_month: Tuple[float, datetime] = None
     worst_year: Tuple[float, date] = None
     total_number_of_days: int = None
+    metadata: Dict[str, str] = field(default_factory=dict)
 
     def __post_init__(self):
         self.total_number_of_days = (self.backtest_end_date -
@@ -186,6 +201,12 @@ class BacktestMetrics:
             "total_net_gain": self.total_net_gain,
             "total_net_gain_percentage": self.total_net_gain_percentage,
             "final_value": self.final_value,
+            "growth": self.growth,
+            "growth_percentage": self.growth_percentage,
+            "cumulative_return": self.cumulative_return,
+            "cumulative_return_series": [(value, date.isoformat())
+                                         for value, date in
+                                         self.cumulative_return_series],
             "cagr": self.cagr,
             "sharpe_ratio": self.sharpe_ratio,
             "rolling_sharpe_ratio": [

{investing_algorithm_framework-7.7.0 → investing_algorithm_framework-7.9.0}/investing_algorithm_framework/domain/backtesting/backtest_permutation_test.py

@@ -137,7 +137,7 @@ class BacktestPermutationTest:
         os.makedirs(path, exist_ok=True)
 
         # Save the real metrics
-        self.real_metrics.save(os.path.join(path, "original_metrics"))
+        self.real_metrics.save(os.path.join(path, "original_metrics.json"))
 
         permuted_dir = os.path.join(path, "permuted_metrics")
         os.makedirs(permuted_dir, exist_ok=True)
@@ -154,36 +154,33 @@ class BacktestPermutationTest:
         """
         Load the permutation test results from disk (JSON + Parquet).
         """
-        with open(os.path.join(path, "results.json"), "r") as f:
-            results = json.load(f)
+        original_metrics = os.path.join(path, "original_metrics.json")
 
         # Rehydrate BacktestMetrics
-        real_metrics = BacktestMetrics(**results["real_metrics"])
-        permutated_metrics = [
-            BacktestMetrics(**pm) for pm in results["permutated_metrics"]
-        ]
-
-        # Reload DataFrames
-        ohlcv_original_datasets = {}
-        ohlcv_permutated_datasets = {}
-        for file in os.listdir(path):
-            if file.startswith("original_") and file.endswith(".parquet"):
-                key = file.replace("original_", "").replace(".parquet", "")
-                ohlcv_original_datasets[key] = pd.read_parquet(
-                    os.path.join(path, file)
-                )
-            elif file.startswith("permuted_") and file.endswith(".parquet"):
-                key = file.replace("permuted_", "").replace(".parquet", "")
-                ohlcv_permutated_datasets[key] = pd.read_parquet(
-                    os.path.join(path, file)
-                )
+        real_metrics = BacktestMetrics.open(original_metrics)
+
+        permuted_dir = os.path.join(path, "permuted_metrics")
+
+        permutated_metrics = []
+        if os.path.exists(permuted_dir):
+            for fname in os.listdir(permuted_dir):
+                if fname.startswith("permuted_"):
+                    pm = BacktestMetrics.open(
+                        os.path.join(permuted_dir, fname)
+                    )
+                    permutated_metrics.append(pm)
+
+        p_values_path = os.path.join(path, "p_values.json")
+        p_values = {}
+
+        if os.path.exists(p_values_path):
+            with open(p_values_path, "r") as f:
+                p_values = json.load(f)
 
         return BacktestPermutationTest(
             real_metrics=real_metrics,
             permutated_metrics=permutated_metrics,
-            p_values=results["p_values"],
-            ohlcv_original_datasets=ohlcv_original_datasets,
-            ohlcv_permutated_datasets=ohlcv_permutated_datasets
+            p_values=p_values,
         )
 
     def create_directory_name(self) -> str:

{investing_algorithm_framework-7.7.0 → investing_algorithm_framework-7.9.0}/investing_algorithm_framework/domain/backtesting/backtest_run.py

@@ -82,6 +82,7 @@ class BacktestRun:
     number_of_positions: int = 0
     backtest_metrics: BacktestMetrics = None
     backtest_date_range_name: str = None
+    data_sources: List[dict] = field(default_factory=list)
 
     def to_dict(self) -> dict:
         """
@@ -151,6 +152,10 @@ class BacktestRun:
 
         if os.path.isfile(run_file):
             data = json.load(open(run_file, 'r'))
+        else:
+            raise OperationalException(
+                f"The run file {run_file} does not exist."
+            )
 
         # Parse datetime fields
         data["backtest_start_date"] = datetime.strptime(

{investing_algorithm_framework-7.7.0 → investing_algorithm_framework-7.9.0}/investing_algorithm_framework/domain/models/portfolio/portfolio_snapshot.py

@@ -1,5 +1,7 @@
 from dateutil import parser
 from investing_algorithm_framework.domain.models.base_model import BaseModel
+from investing_algorithm_framework.domain.constants import \
+    DEFAULT_DATETIME_FORMAT
 
 
 class PortfolioSnapshot(BaseModel):
@@ -17,7 +19,8 @@ class PortfolioSnapshot(BaseModel):
         total_value=None,
         cash_flow=None,
         created_at=None,
-        position_snapshots=None
+        position_snapshots=None,
+        metadata=None,
     ):
         self.portfolio_id = portfolio_id
         self.trading_symbol = trading_symbol
@@ -29,6 +32,7 @@ class PortfolioSnapshot(BaseModel):
         self.net_size = net_size
         self.total_cost = total_cost
         self.cash_flow = cash_flow
+        self.metadata = metadata if metadata is not None else {}
 
         if created_at is not None and isinstance(created_at, str):
             self.created_at = parser.parse(created_at)
@@ -144,9 +148,18 @@ class PortfolioSnapshot(BaseModel):
                 if self.created_at else None
 
         else:
-            created_at = self.created_at
+            created_at = self.created_at.strftime(DEFAULT_DATETIME_FORMAT)
 
         return {
+            "metadata": self.metadata,
+            "portfolio_id": self.portfolio_id,
+            "trading_symbol": self.trading_symbol,
+            "pending_value": self.pending_value,
+            "unallocated": self.unallocated,
+            "total_net_gain": self.total_net_gain,
+            "total_revenue": self.total_revenue,
+            "total_cost": self.total_cost,
+            "cash_flow": self.cash_flow,
             "net_size": self.net_size,
             "created_at": created_at,
             "total_value": self.total_value,
@@ -169,4 +182,15 @@ class PortfolioSnapshot(BaseModel):
             net_size=data.get("net_size", 0.0),
             created_at=created_at,
             total_value=data.get("total_value", 0.0),
+            trading_symbol=data.get(
+                "trading_symbol", None
+            ),
+            portfolio_id=data.get("portfolio_id", None),
+            pending_value=data.get("pending_value", 0.0),
+            unallocated=data.get("unallocated", 0.0),
+            total_net_gain=data.get("total_net_gain", 0.0),
+            total_revenue=data.get("total_revenue", 0.0),
+            total_cost=data.get("total_cost", 0.0),
+            cash_flow=data.get("cash_flow", 0.0),
+            metadata=data.get("metadata", {})
         )

{investing_algorithm_framework-7.7.0 → investing_algorithm_framework-7.9.0}/investing_algorithm_framework/services/__init__.py

@@ -32,7 +32,7 @@ from .metrics import get_annual_volatility, \
     get_average_monthly_return_winning_months, get_percentage_winning_years, \
     get_rolling_sharpe_ratio, create_backtest_metrics, get_growth, \
     get_growth_percentage, get_risk_free_rate_us, get_median_return, \
-    get_average_return
+    get_average_return, get_cumulative_return, get_cumulative_return_series
 
 __all__ = [
     "OrderService",
@@ -109,5 +109,7 @@ __all__ = [
     "create_backtest_metrics",
     "get_growth",
     "get_median_return",
-    "get_average_return"
+    "get_average_return",
+    "get_cumulative_return",
+    "get_cumulative_return_series",
 ]

{investing_algorithm_framework-7.7.0 → investing_algorithm_framework-7.9.0}/investing_algorithm_framework/services/metrics/__init__.py

@@ -20,8 +20,9 @@ from .returns import get_yearly_returns, get_monthly_returns, \
     get_average_gain, get_average_loss, get_average_monthly_return, \
     get_percentage_winning_months, get_average_monthly_return_losing_months, \
     get_average_monthly_return_winning_months, get_growth, \
-    get_percentage_winning_years, get_worst_year, \
-    get_growth_percentage, get_median_return, get_average_return
+    get_percentage_winning_years, get_worst_year, get_cumulative_return, \
+    get_growth_percentage, get_median_return, get_average_return, \
+    get_cumulative_return_series
 from .exposure import get_average_trade_duration, \
     get_trade_frequency, get_trades_per_day, get_trades_per_year, \
     get_cumulative_exposure, get_exposure_ratio
@@ -49,7 +50,6 @@ __all__ = [
     "get_total_return",
     "get_cumulative_exposure",
     "get_exposure_ratio",
-    "get_average_trade_duration",
     "get_win_rate",
     "get_win_loss_ratio",
     "get_calmar_ratio",
@@ -86,5 +86,7 @@ __all__ = [
     "get_growth_percentage",
     "get_risk_free_rate_us",
     "get_median_return",
-    "get_average_return"
+    "get_average_return",
+    "get_cumulative_return",
+    "get_cumulative_return_series",
 ]