Add filtering to metrics calculation

Author: MDUYN

investing_algorithm_framework/__init__.py

@@ -42,7 +42,8 @@
     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 @@
     "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/app/app.py

@@ -1323,7 +1323,9 @@ def run_permutation_test(
         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/domain/backtesting/backtest_metrics.py

@@ -2,7 +2,7 @@
 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 @@ def to_dict(self) -> dict:
             "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/domain/backtesting/backtest_run.py

@@ -151,6 +151,10 @@ def open(directory_path: Union[str, Path]) -> '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/services/__init__.py

@@ -32,7 +32,7 @@
     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 @@
     "create_backtest_metrics",
     "get_growth",
     "get_median_return",
-    "get_average_return"
+    "get_average_return",
+    "get_cumulative_return",
+    "get_cumulative_return_series",
 ]

investing_algorithm_framework/services/metrics/__init__.py

@@ -20,8 +20,9 @@
     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 @@
     "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 @@
     "get_growth_percentage",
     "get_risk_free_rate_us",
     "get_median_return",
-    "get_average_return"
+    "get_average_return",
+    "get_cumulative_return",
+    "get_cumulative_return_series",
 ]