Refactor backtest reports

coding-kitties · Apr 11, 2024 · f98c403 · f98c403
1 parent c227a2b
commit f98c403
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Showing 12 changed files with 632 additions and 195 deletions.
diff --git a/examples/backtest/algorithm/strategy.py b/examples/backtest/algorithm/strategy.py
@@ -1,7 +1,7 @@
 import tulipy as ti
 
 from investing_algorithm_framework import TimeUnit, TradingStrategy, \
-    Algorithm, OrderSide
+    Algorithm, OrderSide, BACKTESTING_INDEX_DATETIME
 
 """
 This strategy is based on the golden cross strategy. It will buy when the
@@ -76,6 +76,8 @@ def apply_strategy(self, algorithm: Algorithm, market_data):
             if not algorithm.has_position(target_symbol) \
                     and is_crossover(fast, slow) \
                     and is_above_trend(fast, trend):
+                print(f"opening trade on {algorithm.config['BACKTESTING_INDEX_DATETIME']} with price {price}")
+
                 algorithm.create_limit_order(
                     target_symbol=target_symbol,
                     order_side=OrderSide.BUY,
@@ -86,7 +88,7 @@ def apply_strategy(self, algorithm: Algorithm, market_data):
 
             if algorithm.has_position(target_symbol) \
                 and is_below_trend(fast, slow):
-
+                print(f"closing trade on {algorithm.config['BACKTESTING_INDEX_DATETIME']} with price {price}")
                 open_trades = algorithm.get_open_trades(
                     target_symbol=target_symbol
                 )
@@ -103,4 +105,5 @@ def apply_strategy(self, algorithm: Algorithm, market_data):
                     current_price=market_data[f"{symbol}-ticker"]["bid"],
                     stop_loss_percentage=self.stop_loss_percentage
                 ):
+                    print(f"stop los triggered on {algorithm.config['BACKTESTING_INDEX_DATETIME']} with price {price} ")
                     algorithm.close_trade(open_trade)
diff --git a/examples/backtest_experiment/data_sources.py b/examples/backtest_experiment/data_sources.py
@@ -1,3 +1,149 @@
+[
+    {
+        "name": "9-50-100",
+        "description": "9-50-100",
+        "fast": 9,
+        "slow": 50,
+        "trend": 100,
+        "stop_loss_percentage": 7
+    },
+    {
+        "name": "10-50-100",
+        "description": "10-50-100",
+        "fast": 10,
+        "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
+    }
+]
 from investing_algorithm_framework import CCXTOHLCVMarketDataSource, \
     CCXTTickerMarketDataSource
 

diff --git a/examples/backtest_experiment/backtest.py → examples/backtest_experiment/run_backtest.py b/examples/backtest_experiment/backtest.py → examples/backtest_experiment/run_backtest.py
@@ -26,8 +26,14 @@
     )
     reports = app.run_backtests(
         algorithms=algorithms,
-        start_date=start_date,
-        end_date=end_date,
+        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)),
+        ],
         pending_order_check_interval="2h",
     )
     evaluation = BacktestReportsEvaluation(reports)

diff --git a/examples/existing_backtest_reports_evaluation/__init__.py b/examples/existing_backtest_reports_evaluation/__init__.py
diff --git a/examples/existing_backtest_reports_evaluation/evaluate.py b/examples/existing_backtest_reports_evaluation/evaluate.py
@@ -0,0 +1,7 @@
+from investing_algorithm_framework import BacktestReportsEvaluation, \
+    pretty_print_backtest_reports_evaluation, load_backtest_reports
+
+if __name__ == "__main__":
+    reports = load_backtest_reports("backtest_reports")
+    evaluation = BacktestReportsEvaluation(reports)
+    pretty_print_backtest_reports_evaluation(evaluation)