Add metrics for backtests

Author: MDUYN

.flake8

@@ -2,4 +2,5 @@
 exclude =
     investing_algorithm_framework/domain/utils/backtesting.py
     investing_algorithm_framework/infrastructure/database/sql_alchemy.py
-    examples
+    examples
+    investing_algorithm_framework/metrics

examples/resources/backtest_report/report.json

@@ -13,16 +13,25 @@
     DateRange, get_backtest_report, DEFAULT_LOGGING_CONFIG, \
     BacktestReport, TradeStatus, MarketDataType, TradeRiskType, \
     APPLICATION_DIRECTORY, pretty_print_orders, pretty_print_trades, \
-    pretty_print_positions, DataSource, OrderExecutor, PortfolioProvider
+    pretty_print_positions, DataSource, OrderExecutor, PortfolioProvider, \
+    SnapshotInterval
 from investing_algorithm_framework.infrastructure import \
     CCXTOrderBookMarketDataSource, CCXTOHLCVMarketDataSource, \
     CCXTTickerMarketDataSource, CSVOHLCVMarketDataSource, \
-    CSVTickerMarketDataSource, AzureBlobStorageStateHandler
+    CSVTickerMarketDataSource, AzureBlobStorageStateHandler, \
+    PandasOHLCVBacktestMarketDataSource, PandasOHLCVMarketDataSource
 from .create_app import create_app
 from .download_data import download
-from .app.metrics import get_profit_factor, \
+from .overfitting 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, \
     get_cumulative_profit_factor_series, get_rolling_profit_factor_series, \
-    get_sharpe_ratio, get_price_efficiency_ratio, get_equity_curve
+    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
 
 __all__ = [
     "Algorithm",
@@ -94,4 +103,21 @@
     "get_sharpe_ratio",
     "get_price_efficiency_ratio",
     "get_equity_curve",
+    "get_drawdown_series",
+    "get_max_drawdown",
+    "create_ohlcv_shuffle_permutation",
+    "create_ohlcv_shuffle_returns_and_reconstruct_permutation",
+    "create_ohlcv_shuffle_block_permutation",
+    "PandasOHLCVBacktestMarketDataSource",
+    "PandasOHLCVMarketDataSource",
+    "get_volatility",
+    "get_sortino_ratio",
+    "get_cagr",
+    "get_standard_deviation_returns",
+    "get_standard_deviation_downside_returns",
+    "SnapshotInterval",
+    "get_max_drawdown_absolute",
+    "get_exposure_time",
+    "get_average_trade_duration",
+    "get_net_profit",
 ]

examples/test.ipynb

@@ -5,8 +5,7 @@
 from investing_algorithm_framework.app.web import create_flask_app
 from .algorithm import Algorithm
 from .context import Context
-from .metrics import get_cumulative_profit_factor_series, \
-    get_rolling_profit_factor_series, get_price_efficiency_ratio
+
 
 __all__ = [
     "Algorithm",
@@ -17,7 +16,4 @@
     "Task",
     "AppHook",
     "Context",
-    "get_cumulative_profit_factor_series",
-    "get_rolling_profit_factor_series",
-    "get_price_efficiency_ratio"
 ]

examples/test.py

@@ -18,8 +18,8 @@
     SQLALCHEMY_DATABASE_URI, OperationalException, StateHandler, \
     BACKTESTING_START_DATE, BACKTESTING_END_DATE, BacktestReport, \
     APP_MODE, MarketCredential, AppMode, BacktestDateRange, \
-    DATABASE_DIRECTORY_NAME, BACKTESTING_INITIAL_AMOUNT, \
-    MarketDataSource, PortfolioConfiguration, \
+    DATABASE_DIRECTORY_NAME, BACKTESTING_INITIAL_AMOUNT, SNAPSHOT_INTERVAL, \
+    MarketDataSource, PortfolioConfiguration, SnapshotInterval, \
     PortfolioProvider, OrderExecutor, ImproperlyConfigured
 from investing_algorithm_framework.infrastructure import setup_sqlalchemy, \
     create_all_tables, CCXTOrderExecutor, CCXTPortfolioProvider
@@ -703,19 +703,23 @@ def get_market_credentials(self) -> List[MarketCredential]:
     def run_backtest(
         self,
         backtest_date_range: BacktestDateRange,
+        name: str = None,
         initial_amount=None,
         output_directory=None,
         algorithm=None,
         strategy=None,
         strategies: List = None,
         save_strategy=False,
+        snapshot_interval: SnapshotInterval = SnapshotInterval.TRADE_CLOSE
     ) -> BacktestReport:
         """
         Run a backtest for an algorithm.
 
         Args:
             backtest_date_range: The date range to run the backtest for
                 (instance of BacktestDateRange)
+            name: The name of the backtest. This is used to identify the
+                backtest report in the output directory.
             initial_amount: The initial amount to start the backtest with.
                 This will be the amount of trading currency that the backtest
                 portfolio will start with.
@@ -729,6 +733,11 @@ def run_backtest(
             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
+            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
+                backtest. The default is TRADE_CLOSE, which means that the
+                portfolio snapshot will be taken at the end of each trade.
 
         Returns:
             Instance of BacktestReport
@@ -741,7 +750,8 @@ def run_backtest(
             BACKTESTING_END_DATE: backtest_date_range.end_date,
             DATABASE_NAME: "backtest-database.sqlite3",
             DATABASE_DIRECTORY_NAME: "backtest_databases",
-            BACKTESTING_INITIAL_AMOUNT: initial_amount
+            BACKTESTING_INITIAL_AMOUNT: initial_amount,
+            SNAPSHOT_INTERVAL: snapshot_interval.value,
         })
 
         self.initialize_config()
@@ -759,7 +769,7 @@ def run_backtest(
 
         algorithm_factory = self.container.algorithm_factory()
         algorithm = algorithm_factory.create_algorithm(
-            name=self.name if self.name is not None else "Backtest Algorithm",
+            name=name if name else self._name,
             strategies=(
                 self._strategies if strategies is None else strategies
             ),
@@ -775,7 +785,19 @@ def run_backtest(
             self.container.strategy_orchestrator_service()
         strategy_orchestrator_service.initialize(algorithm)
         backtest_service = self.container.backtest_service()
+
+        # Setup snapshot service as observer
+        backtest_service.clear_observers()
+        portfolio_snapshot_service = \
+            self.container.portfolio_snapshot_service()
+        backtest_service.add_observer(portfolio_snapshot_service)
         context = self.container.context()
+        order_service = self.container.order_service()
+        order_service.clear_observers()
+        order_service.add_observer(portfolio_snapshot_service)
+        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

investing_algorithm_framework/__init__.py

@@ -1334,7 +1334,6 @@ def close_trade(self, trade, precision=None) -> None:
         ticker = self.market_data_source_service.get_ticker(
             symbol=trade.symbol, market=portfolio.market
         )
-
         logger.info(f"Closing trade {trade.id} {trade.symbol}")
         self.order_service.create(
             {