Add experiment multiple algorithms support (#252)

* Add experiment multiple algorithms support * Add experimentation functionality * Fix ohlcv data sources tests * Fix ohlcv data sources tests
coding-kitties · Mar 22, 2024 · be8d930 · be8d930
1 parent ca22899
commit be8d930
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Showing 145 changed files with 10,901 additions and 11,943 deletions.
diff --git a/README.md b/README.md
diff --git a/examples/expirement/__init__.py → examples/backtest/__init__.py b/examples/expirement/__init__.py → examples/backtest/__init__.py
diff --git a/tests/app/algorithm/test_sync.py → examples/backtest/algorithm/__init__.py b/tests/app/algorithm/test_sync.py → examples/backtest/algorithm/__init__.py
diff --git a/examples/backtest/algorithm/algorithm.py b/examples/backtest/algorithm/algorithm.py
@@ -0,0 +1,5 @@
+from investing_algorithm_framework import Algorithm
+from .strategy import CrossOverStrategy
+
+algorithm = Algorithm()
+algorithm.add_strategy(CrossOverStrategy)
diff --git a/...oving_average_trading_bot/data_sources.py → examples/backtest/algorithm/data_sources.py b/...oving_average_trading_bot/data_sources.py → examples/backtest/algorithm/data_sources.py
diff --git a/examples/expirement/strategy.py → examples/backtest/algorithm/strategy.py b/examples/expirement/strategy.py → examples/backtest/algorithm/strategy.py
@@ -17,8 +17,6 @@
 https://tulipindicators.org/ or go directly to the pypi page:
 https://pypi.org/project/tulipy/
 """
-# Define market data sources
-
 def is_below_trend(fast_series, slow_series):
     return fast_series[-1] < slow_series[-1]
 
@@ -55,6 +53,9 @@ class CrossOverStrategy(TradingStrategy):
         "DOT/EUR-ticker"
     ]
     symbols = ["BTC/EUR", "DOT/EUR"]
+    fast = 9
+    slow = 50
+    trend = 100
 
     def apply_strategy(self, algorithm: Algorithm, market_data):
 
@@ -72,8 +73,8 @@ def apply_strategy(self, algorithm: Algorithm, market_data):
             price = ticker_data['bid']
 
             if not algorithm.has_position(target_symbol) \
-                    and is_crossover(fast, slow)\
-                    and not is_above_trend(fast, trend):
+                    and is_crossover(fast, slow) \
+                    and is_above_trend(fast, trend):
                 algorithm.create_limit_order(
                     target_symbol=target_symbol,
                     order_side=OrderSide.BUY,
@@ -84,6 +85,7 @@ def apply_strategy(self, algorithm: Algorithm, market_data):
 
             if algorithm.has_position(target_symbol) \
                     and is_below_trend(fast, slow):
+
                 open_trades = algorithm.get_open_trades(
                     target_symbol=target_symbol
                 )

diff --git a/examples/backtest/app.py b/examples/backtest/app.py
@@ -0,0 +1,7 @@
+import pathlib
+
+from investing_algorithm_framework import create_app, RESOURCE_DIRECTORY
+
+app = create_app(
+    config={RESOURCE_DIRECTORY: pathlib.Path(__file__).parent.resolve()}
+)
diff --git a/examples/expirement/experiment.py → examples/backtest/backtest.py b/examples/expirement/experiment.py → examples/backtest/backtest.py
@@ -4,6 +4,16 @@
     pretty_print_backtest
 
 from app import app
+from algorithm.algorithm import algorithm
+from algorithm.data_sources import bitvavo_btc_eur_ohlcv_2h, \
+    bitvavo_dot_eur_ohlcv_2h, bitvavo_dot_eur_ticker, bitvavo_btc_eur_ticker
+
+
+app.add_algorithm(algorithm)
+app.add_market_data_source(bitvavo_btc_eur_ohlcv_2h)
+app.add_market_data_source(bitvavo_dot_eur_ohlcv_2h)
+app.add_market_data_source(bitvavo_btc_eur_ticker)
+app.add_market_data_source(bitvavo_dot_eur_ticker)
 
 
 # Add a portfolio configuration of 400 euro initial balance
@@ -18,10 +28,10 @@
 if __name__ == "__main__":
     end_date = datetime(2023, 12, 2)
     start_date = end_date - timedelta(days=100)
-    experiment_report, backtest_reports = app.experiment(
+    backtest_report = app.run_backtest(
+        algorithm=algorithm,
         start_date=start_date,
         end_date=end_date,
         pending_order_check_interval="2h",
-        strategies=[]
     )
-    pretty_print_expirement(expirement_report)
+    pretty_print_backtest(backtest_report)
diff --git a/examples/backtest_expirement/__init__.py b/examples/backtest_expirement/__init__.py
diff --git a/examples/backtest_expirement/algorithms/__init__.py b/examples/backtest_expirement/algorithms/__init__.py
@@ -0,0 +1,4 @@
+from .algorithm import create_algorithm
+
+
+__all__ = ["create_algorithm"]
diff --git a/examples/backtest_expirement/algorithms/algorithm.py b/examples/backtest_expirement/algorithms/algorithm.py
@@ -0,0 +1,97 @@
+from investing_algorithm_framework import Algorithm, TradingStrategy, \
+    TimeUnit, OrderSide
+import tulipy as ti
+
+def is_below_trend(fast_series, slow_series):
+    return fast_series[-1] < slow_series[-1]
+
+
+def is_above_trend(fast_series, slow_series):
+    return fast_series[-1] > slow_series[-1]
+
+
+def is_crossover(fast, slow):
+    """
+    Expect df to have columns: Date, ma_<period_one>, ma_<period_two>.
+    With the given date time it will check if the ma_<period_one> is a
+    crossover with the ma_<period_two>
+    """
+    return fast[-2] <= slow[-2] and fast[-1] > slow[-1]
+
+
+def is_crossunder(fast, slow):
+    """
+    Expect df to have columns: Date, ma_<period_one>, ma_<period_two>.
+    With the given date time it will check if the ma_<period_one> is a
+    crossover with the ma_<period_two>
+    """
+    return fast[-2] >= slow[-2] and fast[-1] < slow[-1]
+
+
+class Strategy(TradingStrategy):
+    time_unit = TimeUnit.HOUR
+    interval = 2
+    market_data_sources = [
+        "BTC/EUR-ohlcv",
+        "DOT/EUR-ohlcv",
+        "BTC/EUR-ticker",
+        "DOT/EUR-ticker"
+    ]
+    symbols = ["BTC/EUR", "DOT/EUR"]
+
+    def __init__(self, fast, slow, trend):
+        self.fast = fast
+        self.slow = slow
+        self.trend = trend
+        super().__init__()
+
+    def apply_strategy(self, algorithm: Algorithm, market_data):
+
+        for symbol in self.symbols:
+            target_symbol = symbol.split('/')[0]
+
+            if algorithm.has_open_orders(target_symbol):
+                continue
+
+            df = market_data[f"{symbol}-ohlcv"]
+            ticker_data = market_data[f"{symbol}-ticker"]
+            fast = ti.sma(df['Close'].to_numpy(), self.fast)
+            slow = ti.sma(df['Close'].to_numpy(), self.slow)
+            trend = ti.sma(df['Close'].to_numpy(), self.trend)
+            price = ticker_data['bid']
+
+            if not algorithm.has_position(target_symbol) \
+                    and is_crossover(fast, slow) \
+                    and is_above_trend(fast, trend):
+                algorithm.create_limit_order(
+                    target_symbol=target_symbol,
+                    order_side=OrderSide.BUY,
+                    price=price,
+                    percentage_of_portfolio=25,
+                    precision=4,
+                )
+
+            if algorithm.has_position(target_symbol) \
+                    and is_below_trend(fast, slow):
+
+                open_trades = algorithm.get_open_trades(
+                    target_symbol=target_symbol
+                )
+
+                for trade in open_trades:
+                    algorithm.close_trade(trade)
+
+
+def create_algorithm(
+    name,
+    description,
+    fast,
+    slow,
+    trend
+) -> Algorithm:
+    algorithm = Algorithm(
+        name=name,
+        description=description
+    )
+    algorithm.add_strategy(Strategy(fast, slow, trend))
+    return algorithm
diff --git a/examples/expirement/app.py → examples/backtest_expirement/app.py b/examples/expirement/app.py → examples/backtest_expirement/app.py
@@ -3,12 +3,10 @@
 from data_sources import bitvavo_btc_eur_ohlcv_2h, bitvavo_dot_eur_ohlcv_2h, \
     bitvavo_dot_eur_ticker, bitvavo_btc_eur_ticker
 from investing_algorithm_framework import create_app, RESOURCE_DIRECTORY
-from strategy import CrossOverStrategy
 
 app = create_app(
     config={RESOURCE_DIRECTORY: pathlib.Path(__file__).parent.resolve()}
 )
-app.add_strategy(CrossOverStrategy)
 app.add_market_data_source(bitvavo_btc_eur_ohlcv_2h)
 app.add_market_data_source(bitvavo_dot_eur_ohlcv_2h)
 app.add_market_data_source(bitvavo_btc_eur_ticker)

diff --git a/examples/backtest_expirement/backtest.py b/examples/backtest_expirement/backtest.py
@@ -0,0 +1,162 @@
+from datetime import datetime, timedelta
+
+from algorithms import create_algorithm
+from app import app
+from investing_algorithm_framework import PortfolioConfiguration, \
+    pretty_print_backtest_reports_evaluation, BacktestReportsEvaluation, \
+    load_backtest_reports
+
+
+if __name__ == "__main__":
+    end_date = datetime(2023, 12, 2)
+    start_date = end_date - timedelta(days=100)
+    # Add a portfolio configuration of 400 euro initial balance
+    app.add_portfolio_configuration(
+        PortfolioConfiguration(
+            market="BINANCE",
+            trading_symbol="EUR",
+            initial_balance=400,
+        )
+    )
+
+    # Run the backtest for each algorithm
+    reports = app.run_backtests(
+        algorithms=[
+            create_algorithm(
+                name="9-50-100",
+                description="9-50-100",
+                fast=9,
+                slow=50,
+                trend=100
+            ),
+            create_algorithm(
+                name="10-50-100",
+                description="10-50-100",
+                fast=10,
+                slow=50,
+                trend=100
+            ),
+            create_algorithm(
+                name="11-50-100",
+                description="11-50-100",
+                fast=11,
+                slow=50,
+                trend=100
+            ),
+            create_algorithm(
+                name="9-75-150",
+                description="9-75-150",
+                fast=9,
+                slow=75,
+                trend=150
+            ),
+            create_algorithm(
+                name="10-75-150",
+                description="10-75-150",
+                fast=10,
+                slow=75,
+                trend=150
+            ),
+            create_algorithm(
+                name="11-75-150",
+                description="11-75-150",
+                fast=11,
+                slow=75,
+                trend=150
+            ),
+            create_algorithm(
+                name="20-75-150",
+                description="20-75-150",
+                fast=20,
+                slow=75,
+                trend=150
+            ),
+            create_algorithm(
+                name="21-75-150",
+                description="21-75-150",
+                fast=21,
+                slow=75,
+                trend=150
+            ),
+            create_algorithm(
+                name="22-75-150",
+                description="22-75-150",
+                fast=22,
+                slow=75,
+                trend=150
+            ),
+            create_algorithm(
+                name="23-75-150",
+                description="23-75-150",
+                fast=23,
+                slow=75,
+                trend=150
+            ),
+            create_algorithm(
+                name="24-75-150",
+                description="24-75-150",
+                fast=24,
+                slow=75,
+                trend=150
+            ),
+            create_algorithm(
+                name="25-75-150",
+                description="25-75-150",
+                fast=25,
+                slow=75,
+                trend=150
+            ),
+            create_algorithm(
+                name="20-75-200",
+                description="20-75-200",
+                fast=20,
+                slow=75,
+                trend=200
+            ),
+            create_algorithm(
+                name="21-75-200",
+                description="24-75-200",
+                fast=24,
+                slow=75,
+                trend=200
+            ),
+            create_algorithm(
+                name="22-75-200",
+                description="24-75-200",
+                fast=24,
+                slow=75,
+                trend=200
+            ),
+            create_algorithm(
+                name="23-75-200",
+                description="24-75-200",
+                fast=24,
+                slow=75,
+                trend=200
+            ),
+            create_algorithm(
+                name="24-75-200",
+                description="24-75-200",
+                fast=24,
+                slow=75,
+                trend=200
+            ),
+            create_algorithm(
+                name="25-75-150",
+                description="25-75-200",
+                fast=25,
+                slow=75,
+                trend=200
+            ),
+        ],
+        start_date=start_date,
+        end_date=end_date,
+        pending_order_check_interval="2h",
+    )
+    evaluation = BacktestReportsEvaluation(reports)
+    pretty_print_backtest_reports_evaluation(evaluation)
+    reports = load_backtest_reports(
+        "backtest_reports"
+    )
+    evaluation = BacktestReportsEvaluation(reports)
+    pretty_print_backtest_reports_evaluation(evaluation)
diff --git a/examples/expirement/data_sources.py → examples/backtest_expirement/data_sources.py b/examples/expirement/data_sources.py → examples/backtest_expirement/data_sources.py