Merge branch 'main' into dependabot/pip/aiohttp-3.9.4

coding-kitties · Jul 2, 2024 · 35e3c9a · 35e3c9a
2 parents 8cd6cab + 4b6b5fa
commit 35e3c9a
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Showing 143 changed files with 45,448 additions and 1,842 deletions.
diff --git a/.flake8 b/.flake8
@@ -0,0 +1,4 @@
+[flake8]
+exclude =
+    investing_algorithm_framework/domain/utils/backtesting.py
+    examples
diff --git a/.github/workflows/test.yml b/.github/workflows/test.yml
@@ -34,7 +34,7 @@ jobs:
       #----------------------------------------------
       - run: python -m pip install black flake8 isort
       - run: |
-          flake8 ./investing_algorithm_framework --exclude="investing_algorithm_framework/domain/utils/backtesting.py"
+          flake8 ./investing_algorithm_framework
   test:
     needs: linting
     strategy:

diff --git a/README.md b/README.md
diff --git a/__init__.py b/__init__.py
@@ -1 +1 @@
-__version__='v3.5.2'
+__version__ = 'v3.6.0'
diff --git a/examples/backtest/__init__.py → examples/backtest_example/__init__.py b/examples/backtest/__init__.py → examples/backtest_example/__init__.py
diff --git a/examples/backtest/algorithm/__init__.py → ...es/backtest_example/algorithm/__init__.py b/examples/backtest/algorithm/__init__.py → ...es/backtest_example/algorithm/__init__.py
diff --git a/examples/backtest/algorithm/algorithm.py → ...s/backtest_example/algorithm/algorithm.py b/examples/backtest/algorithm/algorithm.py → ...s/backtest_example/algorithm/algorithm.py
diff --git a/examples/backtest/algorithm/data_sources.py → ...acktest_example/algorithm/data_sources.py b/examples/backtest/algorithm/data_sources.py → ...acktest_example/algorithm/data_sources.py
diff --git a/examples/backtest/algorithm/strategy.py → ...es/backtest_example/algorithm/strategy.py b/examples/backtest/algorithm/strategy.py → ...es/backtest_example/algorithm/strategy.py
@@ -2,6 +2,8 @@
 
 from investing_algorithm_framework import TimeUnit, TradingStrategy, \
     Algorithm, OrderSide
+from .data_sources import bitvavo_btc_eur_ohlcv_2h, bitvavo_btc_eur_ticker, \
+    bitvavo_dot_eur_ticker, bitvavo_dot_eur_ohlcv_2h
 
 """
 This strategy is based on the golden cross strategy. It will buy when the
@@ -47,10 +49,10 @@ class CrossOverStrategy(TradingStrategy):
     time_unit = TimeUnit.HOUR
     interval = 2
     market_data_sources = [
-        "BTC/EUR-ohlcv",
-        "DOT/EUR-ohlcv",
-        "BTC/EUR-ticker",
-        "DOT/EUR-ticker"
+        bitvavo_dot_eur_ticker,
+        bitvavo_btc_eur_ticker,
+        bitvavo_dot_eur_ohlcv_2h,
+        bitvavo_btc_eur_ohlcv_2h
     ]
     symbols = ["BTC/EUR", "DOT/EUR"]
     fast = 21

diff --git a/examples/backtest/app.py → examples/backtest_example/app.py b/examples/backtest/app.py → examples/backtest_example/app.py
diff --git a/examples/backtest/run_backtest.py → examples/backtest_example/run_backtest.py b/examples/backtest/run_backtest.py → examples/backtest_example/run_backtest.py
@@ -5,7 +5,7 @@
     bitvavo_dot_eur_ohlcv_2h, bitvavo_dot_eur_ticker, bitvavo_btc_eur_ticker
 from app import app
 from investing_algorithm_framework import PortfolioConfiguration, \
-    pretty_print_backtest
+    pretty_print_backtest, BacktestDateRange
 
 app.add_algorithm(algorithm)
 app.add_market_data_source(bitvavo_btc_eur_ohlcv_2h)
@@ -26,9 +26,12 @@
 if __name__ == "__main__":
     end_date = datetime(2023, 12, 2)
     start_date = end_date - timedelta(days=100)
+    date_range = BacktestDateRange(
+        start_date=start_date,
+        end_date=end_date
+    )
     backtest_report = app.run_backtest(
         algorithm=algorithm,
-        start_date=start_date,
-        end_date=end_date,
+        backtest_date_range=date_range,
     )
     pretty_print_backtest(backtest_report)
diff --git a/examples/backtest_experiment/configuration.json b/examples/backtest_experiment/configuration.json
@@ -14,133 +14,5 @@
       "slow":50,
       "trend":100,
       "stop_loss_percentage":7
-  },
-  {
-      "name":"11-50-100",
-      "description":"11-50-100",
-      "fast":11,
-      "slow":50,
-      "trend":100,
-      "stop_loss_percentage":7
-  },
-  {
-      "name":"9-75-150",
-      "description":"9-75-150",
-      "fast":9,
-      "slow":75,
-      "trend":150,
-      "stop_loss_percentage":7
-  },
-  {
-      "name":"10-75-150",
-      "description":"10-75-150",
-      "fast":10,
-      "slow":75,
-      "trend":150,
-      "stop_loss_percentage":7
-  },
-  {
-      "name":"11-75-150",
-      "description":"11-75-150",
-      "fast":11,
-      "slow":75,
-      "trend":150,
-      "stop_loss_percentage":7
-  },
-  {
-      "name":"20-75-150",
-      "description":"20-75-150",
-      "fast":20,
-      "slow":75,
-      "trend":150,
-      "stop_loss_percentage":7
-  },
-  {
-      "name":"21-75-150",
-      "description":"21-75-150",
-      "fast":21,
-      "slow":75,
-      "trend":150,
-      "stop_loss_percentage":7
-  },
-  {
-      "name":"22-75-150",
-      "description":"22-75-150",
-      "fast":22,
-      "slow":75,
-      "trend":150,
-      "stop_loss_percentage":7
-  },
-  {
-      "name":"23-75-150",
-      "description":"23-75-150",
-      "fast":23,
-      "slow":75,
-      "trend":150,
-      "stop_loss_percentage":7
-  },
-  {
-      "name":"24-75-150",
-      "description":"24-75-150",
-      "fast":24,
-      "slow":75,
-      "trend":150,
-      "stop_loss_percentage":7
-  },
-  {
-      "name":"25-75-150",
-      "description":"25-75-150",
-      "fast":25,
-      "slow":75,
-      "trend":150,
-      "stop_loss_percentage":7
-  },
-  {
-      "name":"20-75-200",
-      "description":"20-75-200",
-      "fast":20,
-      "slow":75,
-      "trend":200,
-      "stop_loss_percentage":7
-  },
-  {
-      "name":"21-75-200",
-      "description":"24-75-200",
-      "fast":24,
-      "slow":75,
-      "trend":200,
-      "stop_loss_percentage":7
-  },
-  {
-      "name":"22-75-200",
-      "description":"24-75-200",
-      "fast":24,
-      "slow":75,
-      "trend":200,
-      "stop_loss_percentage":7
-  },
-  {
-      "name":"23-75-200",
-      "description":"24-75-200",
-      "fast":24,
-      "slow":75,
-      "trend":200,
-      "stop_loss_percentage":7
-  },
-  {
-      "name":"24-75-200",
-      "description":"24-75-200",
-      "fast":24,
-      "slow":75,
-      "trend":200,
-      "stop_loss_percentage":7
-  },
-  {
-      "name":"25-75-150",
-      "description":"25-75-200",
-      "fast":25,
-      "slow":75,
-      "trend":200,
-      "stop_loss_percentage":7
   }
 ]
diff --git a/examples/backtest_experiment/run_backtest.py b/examples/backtest_experiment/run_backtest.py
@@ -1,14 +1,29 @@
 import json
-from datetime import datetime, timedelta
+from datetime import datetime
 
 from algorithms import create_algorithm
 from app import app
 from investing_algorithm_framework import PortfolioConfiguration, \
-    pretty_print_backtest_reports_evaluation, BacktestReportsEvaluation
+    pretty_print_backtest_reports_evaluation, BacktestReportsEvaluation, \
+    BacktestDateRange
 
 if __name__ == "__main__":
-    end_date = datetime(2023, 12, 2)
-    start_date = end_date - timedelta(days=100)
+    down_turn_date_range = BacktestDateRange(
+        start_date=datetime(2021, 12, 21),
+        end_date=datetime(2022, 6, 20),
+        name="down_turn"
+    )
+    up_turn_date_range = BacktestDateRange(
+        start_date=datetime(2022, 12, 20),
+        end_date=datetime(2023, 6, 1),
+        name="up_turn"
+    )
+    sideways_date_range = BacktestDateRange(
+        start_date=datetime(2022, 6, 10),
+        end_date=datetime(2023, 1, 10),
+        name="sideways"
+    )
+
     json = json.load(open("configuration.json"))
     algorithms = []
 
@@ -27,12 +42,9 @@
     reports = app.run_backtests(
         algorithms=algorithms,
         date_ranges=[
-            (datetime(2023, 7, 2),
-             datetime(2023, 7, 2) + timedelta(days=200)),
-            (datetime(2022, 7, 2),
-             datetime(2022, 7, 2) + timedelta(days=200)),
-            (datetime(2024, 1, 1),
-             datetime(2024, 1, 1) + timedelta(days=100)),
+            down_turn_date_range,
+            up_turn_date_range,
+            sideways_date_range
         ],
         pending_order_check_interval="2h",
     )

diff --git a/examples/backtest_experiment/__init__.py → examples/backtests_example/__init__.py b/examples/backtest_experiment/__init__.py → examples/backtests_example/__init__.py
diff --git a/examples/backtests_example/algorithms/__init__.py b/examples/backtests_example/algorithms/__init__.py
@@ -0,0 +1,5 @@
+from .challenger import create_algorithm as create_challenger_algorithm
+from .primary import create_algorithm as create_primary_algorithm
+
+
+__all__ = ["create_challenger_algorithm", "create_primary_algorithm"]