Add html reporting

Author: MDUYN

examples/resources/backtest_report/report.json

@@ -22,17 +22,27 @@
     PandasOHLCVBacktestMarketDataSource, PandasOHLCVMarketDataSource
 from .create_app import create_app
 from .download_data import download
-from .overfitting import create_ohlcv_shuffle_permutation, \
+from .reporting import create_ohlcv_shuffle_permutation, \
     create_ohlcv_shuffle_returns_and_reconstruct_permutation, \
     create_ohlcv_shuffle_block_permutation
-from .metrics import get_volatility, get_sortino_ratio, get_profit_factor, \
+from .metrics import get_annual_volatility, get_sortino_ratio, get_profit_factor, \
     get_cumulative_profit_factor_series, get_rolling_profit_factor_series, \
     get_sharpe_ratio, get_price_efficiency_ratio, get_equity_curve, \
     get_drawdown_series, get_max_drawdown, get_cagr, \
     get_standard_deviation_returns, get_standard_deviation_downside_returns, \
-    get_max_drawdown_absolute, get_exposure_time, get_average_trade_duration, \
-    get_net_profit, get_win_rate, get_win_loss_ratio, get_calmar_ratio, \
-    get_trade_frequency
+    get_max_drawdown_absolute, get_exposure, get_average_trade_duration, \
+    get_win_rate, get_win_loss_ratio, get_calmar_ratio, \
+    get_trade_frequency, get_total_return, get_max_drawdown_duration, \
+    get_max_daily_drawdown, get_trades_per_day, get_trades_per_year, \
+    get_percentage_winning_months, get_worst_month, get_worst_trade, \
+    get_best_trade, get_best_month, get_best_year, get_average_loss, \
+    get_average_gain, get_average_yearly_return, get_yearly_returns, \
+    get_monthly_returns, get_average_monthly_return, get_worst_year, \
+    get_best_trade_date, get_worst_trade_date, get_percentage_winning_years, \
+    get_average_monthly_return_losing_months, get_rolling_sharpe_ratio, \
+    get_average_monthly_return_winning_months
+from .reporting import generate_backtest_report
+
 
 __all__ = [
     "Algorithm",
@@ -111,18 +121,42 @@
     "create_ohlcv_shuffle_block_permutation",
     "PandasOHLCVBacktestMarketDataSource",
     "PandasOHLCVMarketDataSource",
-    "get_volatility",
+    "get_annual_volatility",
     "get_sortino_ratio",
     "get_cagr",
     "get_standard_deviation_returns",
     "get_standard_deviation_downside_returns",
     "SnapshotInterval",
     "get_max_drawdown_absolute",
-    "get_exposure_time",
+    "get_exposure",
     "get_average_trade_duration",
-    "get_net_profit",
+    "get_total_return",
     "get_win_rate",
     "get_win_loss_ratio",
     "get_calmar_ratio",
     "get_trade_frequency",
+    "get_max_drawdown_duration",
+    "get_max_daily_drawdown",
+    "get_trades_per_day",
+    "get_trades_per_year",
+    "get_percentage_winning_months",
+    "get_worst_month",
+    "get_worst_trade",
+    "get_best_trade",
+    "get_best_month",
+    "get_best_year",
+    "get_worst_year",
+    "get_average_loss",
+    "get_average_gain",
+    "get_average_yearly_return",
+    "get_yearly_returns",
+    "get_monthly_returns",
+    "get_average_monthly_return",
+    "get_best_trade_date",
+    "get_worst_trade_date",
+    "get_percentage_winning_years",
+    "get_average_monthly_return_losing_months",
+    "get_average_monthly_return_winning_months",
+    "get_rolling_sharpe_ratio",
+    "generate_backtest_report"
 ]

tests/metrics/__init__.py renamed to examples/test.py

@@ -7,7 +7,12 @@
     SQLPortfolioSnapshotRepository, SQLTradeRepository, \
     SQLPositionSnapshotRepository, PerformanceService, CCXTMarketService, \
     SQLTradeStopLossRepository, SQLTradeTakeProfitRepository, \
-    SQLOrderMetadataRepository
+    SQLOrderMetadataRepository, SQLOrderTradeAssociationRepository, \
+    PandasPortfolioRepository, PandasOrdersRepository, PandasUnitOfWork, \
+    PandasPositionRepository, PandasPositionSnapshotRepository, \
+    PandasTradeStopLossRepository, PandasTradeTakeProfitRepository, \
+    PandasOrderTradeAssociationRepository, PandasTradesRepository, \
+    PandasPortfolioSnapshotRepository, PandasOrderMetadataRepository
 from investing_algorithm_framework.services import OrderService, \
     PositionService, PortfolioService, StrategyOrchestratorService, \
     PortfolioConfigurationService, MarketDataSourceService, BacktestService, \
@@ -35,26 +40,76 @@ class DependencyContainer(containers.DeclarativeContainer):
     market_credential_service = providers.ThreadSafeSingleton(
         MarketCredentialService
     )
+    # pandas_unit_of_work = providers.ThreadSafeSingleton(
+    #     PandasUnitOfWork
+    # )
     order_repository = providers.Factory(SQLOrderRepository)
+    # order_repository = providers.Factory(
+    #     PandasOrdersRepository,
+    #     pandas_unit_of_work=pandas_unit_of_work,
+    # )
     order_executor_lookup = providers.ThreadSafeSingleton(
         OrderExecutorLookup
     )
     order_metadata_repository = providers.Factory(SQLOrderMetadataRepository)
+    # order_metadata_repository = providers.Factory(
+    #     PandasOrderMetadataRepository,
+    #     pandas_unit_of_work=pandas_unit_of_work,
+    # )
     position_repository = providers.Factory(SQLPositionRepository)
+    # position_repository = providers.Factory(
+    #     PandasPositionRepository,
+    #     pandas_unit_of_work=pandas_unit_of_work,
+    # )
     portfolio_provider_lookup = providers.ThreadSafeSingleton(
         PortfolioProviderLookup,
     )
     portfolio_repository = providers.Factory(SQLPortfolioRepository)
+    # portfolio_repository = providers.Factory(
+    #     PandasPortfolioRepository,
+    #     pandas_unit_of_work=pandas_unit_of_work,
+    # )
     position_snapshot_repository = providers.Factory(
         SQLPositionSnapshotRepository
     )
+    # position_snapshot_repository = providers.Factory(
+    #     PandasPositionSnapshotRepository,
+    #     pandas_unit_of_work=pandas_unit_of_work,
+    # )
     portfolio_snapshot_repository = providers.Factory(
         SQLPortfolioSnapshotRepository
     )
+    # portfolio_snapshot_repository = providers.Factory(
+    #     PandasPortfolioSnapshotRepository,
+    #     pandas_unit_of_work=pandas_unit_of_work,
+    # )
+    # portfolio_snapshot_repository = providers.Factory(
+    #     PandasPortfolioSnapshotRepository,
+    #     pandas_unit_of_work=pandas_unit_of_work,
+    # )
     trade_repository = providers.Factory(SQLTradeRepository)
+    # trade_repository = providers.Factory(
+    #     PandasTradesRepository,
+    #     pandas_unit_of_work=pandas_unit_of_work,
+    # )
     trade_take_profit_repository = providers\
         .Factory(SQLTradeTakeProfitRepository)
+    # trade_take_profit_repository = providers.Factory(
+    #     PandasTradeTakeProfitRepository,
+    #     pandas_unit_of_work=pandas_unit_of_work,
+    # )
     trade_stop_loss_repository = providers.Factory(SQLTradeStopLossRepository)
+    # trade_stop_loss_repository = providers.Factory(
+    #     PandasTradeStopLossRepository,
+    #     pandas_unit_of_work=pandas_unit_of_work,
+    # )
+    order_trade_association_repository = providers.Factory(
+        SQLOrderTradeAssociationRepository
+    )
+    # order_trade_association_repository = providers.Factory(
+    #     PandasOrderTradeAssociationRepository,
+    #     pandas_unit_of_work=pandas_unit_of_work,
+    # )
     market_service = providers.Factory(
         CCXTMarketService,
         market_credential_service=market_credential_service,

investing_algorithm_framework/__init__.py

@@ -20,7 +20,7 @@
     BacktestPosition, Trade, MarketCredential, PositionSnapshot, \
     BacktestReportsEvaluation, AppMode, BacktestDateRange, DateRange, \
     MarketDataType, TradeRiskType, TradeTakeProfit, TradeStopLoss, \
-    DataSource, Event, SnapshotInterval
+    DataSource, Event, SnapshotInterval, TradeOrderAssociation, OrderMetadata
 from .services import TickerMarketDataSource, OrderBookMarketDataSource, \
     OHLCVMarketDataSource, BacktestMarketDataSource, MarketDataSource, \
     MarketService, MarketCredentialService, AbstractPortfolioSyncService, \
@@ -147,4 +147,6 @@
     "Event",
     "SNAPSHOT_INTERVAL",
     "SnapshotInterval",
+    "TradeOrderAssociation",
+    "OrderMetadata",
 ]

tests/overfitting/__init__.py renamed to investing_algorithm_framework/app/reporting/__init__.py

@@ -2,15 +2,15 @@
 from .backtesting import BacktestReport, BacktestPosition, \
     BacktestReportsEvaluation, BacktestDateRange
 from .market import MarketCredential
-from .order import OrderStatus, OrderSide, OrderType, Order
+from .order import OrderStatus, OrderSide, OrderType, Order, OrderMetadata
 from .portfolio import PortfolioConfiguration, Portfolio, PortfolioSnapshot
 from .position import Position, PositionSnapshot
 from .strategy_profile import StrategyProfile
 from .time_frame import TimeFrame
 from .time_interval import TimeInterval
 from .time_unit import TimeUnit
 from .trade import Trade, TradeStatus, TradeStopLoss, TradeTakeProfit, \
-    TradeRiskType
+    TradeRiskType, TradeOrderAssociation
 from .trading_data_types import TradingDataType
 from .trading_time_frame import TradingTimeFrame
 from .date_range import DateRange
@@ -51,4 +51,6 @@
     "DataSource",
     "SnapshotInterval",
     "Event",
+    "TradeOrderAssociation",
+    "OrderMetadata",
 ]