Fix report formatting

Author: MDUYN

.flake8

@@ -3,4 +3,4 @@ exclude =
     investing_algorithm_framework/app/reporting/
     investing_algorithm_framework/infrastructure/database/sql_alchemy.py
     examples
-    investing_algorithm_framework/metrics
+    investing_algorithm_framework/services/metrics

examples/backtest_example/run_backtest.ipynb

@@ -1,5 +1,51 @@
+from investing_algorithm_framework import CCXTOHLCVMarketDataSource
+
 from .strategy_v1 import CrossOverStrategyV1
 
+
+
+def configure_strategy(
+    time_unit,
+    interval,
+    assets,
+    time_frame,
+    fast,
+    slow,
+    trend,
+    stop_loss_percentage,
+    stop_loss_sell_size,
+    take_profit_percentage,
+    take_profit_sell_size
+):
+    data_providers = []
+
+    for asset in assets:
+        data_providers.append(
+            CCXTOHLCVMarketDataSource(
+                identifier=f"{asset}-ohlcv-{time_frame.value}",
+                market="bitvavo",
+                symbol=asset,
+                time_frame=time_frame,
+                window_size=200
+            )
+        )
+
+    strategy = CrossOverStrategyV1(
+        time_unit=time_unit,
+        interval=interval,
+        symbol_pairs=assets,
+        market_data_sources=data_providers,
+        fast=fast,
+        slow=slow,
+        trend=trend,
+        stop_loss_percentage=stop_loss_percentage,
+        stop_loss_sell_size=stop_loss_sell_size,
+        take_profit_percentage=take_profit_percentage,
+        take_profit_sell_size=take_profit_sell_size
+    )
+    return strategy
+
+
 __all__ = [
     "CrossOverStrategyV1",
 ]

examples/backtest_example/run_multiple_backtests.ipynb

@@ -33,6 +33,34 @@ class CrossOverStrategyV1(TradingStrategy):
     take_profit_percentage = 8
     take_profit_sell_size = 50
 
+    def __init__(
+        self,
+        time_unit: TimeUnit = TimeUnit.HOUR,
+        interval: int = 2,
+        symbol_pairs: list[str] = None,
+        market_data_sources=None,
+        fast: int = 50,
+        slow: int = 100,
+        trend: int = 200,
+        stop_loss_percentage: float = 2.0,
+        stop_loss_sell_size: float = 50.0,
+        take_profit_percentage: float = 8.0,
+        take_profit_sell_size: float = 50.0
+    ):
+        super().__init__(
+            time_unit=time_unit,
+            interval=interval,
+            market_data_sources=market_data_sources or self.market_data_sources
+        )
+        self.symbol_pairs = symbol_pairs or self.symbol_pairs
+        self.fast = fast
+        self.slow = slow
+        self.trend = trend
+        self.stop_loss_percentage = stop_loss_percentage
+        self.stop_loss_sell_size = stop_loss_sell_size
+        self.take_profit_percentage = take_profit_percentage
+        self.take_profit_sell_size = take_profit_sell_size
+
     def apply_strategy(self, context: Context, market_data):
 
         for pair in self.symbol_pairs:

examples/backtest_example/strategies/strategy_v1/__init__.py

@@ -1,7 +1,7 @@
 from investing_algorithm_framework.app import App, Algorithm, \
     TradingStrategy, StatelessAction, Task, AppHook, Context, \
-    add_html_report, add_metrics, BacktestReport, \
-    BacktestReportsEvaluation, pretty_print_trades, pretty_print_positions, \
+    add_html_report, BacktestReport, \
+    pretty_print_trades, pretty_print_positions, \
     pretty_print_orders, pretty_print_backtest, select_backtest_date_ranges
 from investing_algorithm_framework.domain import ApiException, \
     TradingDataType, TradingTimeFrame, OrderType, OperationalException, \
@@ -12,7 +12,7 @@
     TickerMarketDataSource, MarketService, \
     RESERVED_BALANCES, APP_MODE, AppMode, DATETIME_FORMAT, \
     BacktestDateRange, convert_polars_to_pandas, \
-    DateRange, DEFAULT_LOGGING_CONFIG, \
+    DEFAULT_LOGGING_CONFIG, \
     BacktestResult, TradeStatus, MarketDataType, TradeRiskType, \
     APPLICATION_DIRECTORY, DataSource, OrderExecutor, PortfolioProvider, \
     SnapshotInterval, AWS_S3_STATE_BUCKET_NAME
@@ -61,7 +61,6 @@
     "MarketCredential",
     "MarketService",
     "OperationalException",
-    "BacktestReportsEvaluation",
     "SYMBOLS",
     "RESERVED_BALANCES",
     "APP_MODE",
@@ -70,7 +69,6 @@
     "BacktestResult",
     "BacktestDateRange",
     "convert_polars_to_pandas",
-    "DateRange",
     "AzureBlobStorageStateHandler",
     "DEFAULT_LOGGING_CONFIG",
     "BacktestReport",
@@ -89,7 +87,6 @@
     "PandasOHLCVBacktestMarketDataSource",
     "PandasOHLCVMarketDataSource",
     "SnapshotInterval",
-    "add_metrics",
     "add_html_report",
     "AWSS3StorageStateHandler",
     "AWS_S3_STATE_BUCKET_NAME",

examples/backtest_example/strategies/strategy_v1/strategy_v1.py

@@ -5,9 +5,9 @@
 from investing_algorithm_framework.app.web import create_flask_app
 from .algorithm import Algorithm
 from .context import Context
-from .reporting import add_html_report, add_metrics, \
-    BacktestReport, pretty_print_backtest, BacktestReportsEvaluation, \
-    pretty_print_trades, pretty_print_positions, pretty_print_orders
+from .reporting import add_html_report, \
+    BacktestReport, pretty_print_backtest, pretty_print_trades, \
+    pretty_print_positions, pretty_print_orders
 from .analysis import select_backtest_date_ranges
 
 
@@ -21,10 +21,8 @@
     "AppHook",
     "Context",
     "add_html_report",
-    "add_metrics",
     "BacktestReport",
     "pretty_print_backtest",
-    "BacktestReportsEvaluation",
     "pretty_print_trades",
     "pretty_print_positions",
     "pretty_print_orders",

investing_algorithm_framework/__init__.py

@@ -18,7 +18,7 @@
     SQLALCHEMY_DATABASE_URI, OperationalException, StateHandler, \
     BACKTESTING_START_DATE, BACKTESTING_END_DATE, APP_MODE, MarketCredential, \
     AppMode, BacktestDateRange, DATABASE_DIRECTORY_NAME, \
-    BACKTESTING_INITIAL_AMOUNT, SNAPSHOT_INTERVAL, \
+    BACKTESTING_INITIAL_AMOUNT, SNAPSHOT_INTERVAL, Backtest, \
     MarketDataSource, PortfolioConfiguration, SnapshotInterval, \
     PortfolioProvider, OrderExecutor, ImproperlyConfigured
 from investing_algorithm_framework.infrastructure import setup_sqlalchemy, \
@@ -722,9 +722,9 @@ def run_backtest(
         save=True,
         snapshot_interval: SnapshotInterval = SnapshotInterval.TRADE_CLOSE,
         strategy_directory_path: Optional[str] = None,
-        report_name: Optional[str] = None,
+        backtest_directory_name: Optional[str] = None,
         risk_free_rate: Optional[float] = None
-    ) -> BacktestReport:
+    ) -> Backtest:
         """
         Run a backtest for an algorithm.
 
@@ -738,14 +738,13 @@ def run_backtest(
                 portfolio will start with.
             strategy (TradingStrategy) (Optional): The strategy object
                 that needs to be backtested.
-            strategies (List[TradingStrategy) (Optional): List of strategy
+            strategies (List[TradingStrategy]) (Optional): List of strategy
                 objects that need to be backtested
-            algorithm:
-            output_directory: str - The directory to
-              write the backtest report to
-            save_strategy: bool - Whether to save the strategy
-                as part of the backtest report. You can only save in-memory
-                strategies when running multiple backtests. This is because
+            algorithm (Algorithm) (Optional): The algorithm object that needs
+                to be backtested. If this is provided, then the strategies
+                and tasks of the algorithm will be used for the backtest.
+            output_directory (str) (Optional): The directory to write
+                the backtest report to
             snapshot_interval (SnapshotInterval): The snapshot
                 interval to use for the backtest. This is used to determine
                 how often the portfolio snapshot should be taken during the
@@ -756,7 +755,7 @@ def run_backtest(
                 strategy if save_strategy is True. If not provided,
                 the framework tries to determine the path via the
                 algorithm or strategy object.
-            report_name (Optional[str]): The name of the report. If not
+            backtest_directory_name (Optional[str]): If not
                 provided, the framework will generate a name based on the
                 algorithm name and the backtest date range and the current
                 date and time.
@@ -821,23 +820,13 @@ def run_backtest(
         portfolio_service = self.container.portfolio_service()
         portfolio_service.clear_observers()
         portfolio_service.add_observer(portfolio_snapshot_service)
-
-        # Run the backtest with the backtest_service and collect and
-        # save the report
-        results = backtest_service.run_backtest(
+        backtest = backtest_service.run_backtest(
             algorithm=algorithm,
             context=context,
             strategy_orchestrator_service=strategy_orchestrator_service,
             initial_amount=initial_amount,
-            backtest_date_range=backtest_date_range
-        )
-        market_data_source_service = \
-            self.container.market_data_source_service()
-        report = BacktestReport.create(
-            results=results,
+            backtest_date_range=backtest_date_range,
             risk_free_rate=risk_free_rate,
-            data_files=market_data_source_service.get_data_files(),
-            algorithm=algorithm,
             strategy_directory_path=strategy_directory_path
         )
 
@@ -846,14 +835,18 @@ def run_backtest(
                 config[RESOURCE_DIRECTORY], "backtest_reports"
             )
 
-        if report_name is None:
-            report_name = BacktestService.create_report_directory_name(report)
+        if backtest_directory_name is None:
+            backtest_directory_name = BacktestService\
+                .create_report_directory_name(backtest)
 
-        output_directory = os.path.join(output_directory, report_name)
+        output_directory = os.path.join(
+            output_directory, backtest_directory_name
+        )
 
         if save:
-            report.save(path=output_directory)
-        return report
+            backtest.save(directory_path=output_directory)
+
+        return backtest
 
     def run_backtests(
         self,

investing_algorithm_framework/app/__init__.py

@@ -1,15 +1,12 @@
-from .generate import add_html_report, add_metrics
+from .generate import add_html_report
 from .backtest_report import BacktestReport
 from .ascii import pretty_print_backtest, pretty_print_positions, \
     pretty_print_trades, pretty_print_orders
-from .evaluation import BacktestReportsEvaluation
 
 __all__ = [
     "add_html_report",
-    "add_metrics",
     "BacktestReport",
     "pretty_print_backtest",
-    "BacktestReportsEvaluation",
     "pretty_print_positions",
     "pretty_print_trades",
     "pretty_print_orders"