Merge branch 'dev' of https://github.com/coding-kitties/investing-algorithm-framework into dev

Author: MDUYN

.github/workflows/test.yml

@@ -35,6 +35,7 @@ jobs:
           flake8 ./investing_algorithm_framework
   test:
     needs: linting
+    timeout-minutes: 25
     strategy:
       fail-fast: true
       matrix:
@@ -102,6 +103,11 @@ jobs:
         run: |
           source $VENV
           coverage run -m unittest discover -s tests
+      - name: Generate coverage report
+        if: always()
+        continue-on-error: true
+        run: |
+          source $VENV
           coverage xml
       #----------------------------------------------
       #             upload coverage stats

_verify_fixes.py

@@ -0,0 +1,36 @@
+import warnings
+# Allow SQLAlchemy deprecation, but error on ours
+warnings.filterwarnings('ignore', category=DeprecationWarning, module='sqlalchemy')
+warnings.simplefilter('error', RuntimeWarning)
+warnings.filterwarnings('error', category=DeprecationWarning, message='.*window_size.*')
+
+# Test 1: DataSource with warmup_window should NOT warn
+from investing_algorithm_framework.domain.models.data.data_source import DataSource
+ds = DataSource(warmup_window=200)
+print('DataSource with warmup_window: OK')
+
+# Test 2: std on small series
+from investing_algorithm_framework.services.metrics.standard_deviation import (
+    get_standard_deviation_downside_returns,
+    get_standard_deviation_returns,
+    get_daily_returns_std,
+    get_downside_std_of_daily_returns
+)
+from datetime import datetime, timezone
+
+class FakeSnapshot:
+    def __init__(self, value, dt):
+        self.total_value = value
+        self.created_at = dt
+
+# Only 2 snapshots -> 1 return -> std with ddof=1 would fail before fix
+snaps = [
+    FakeSnapshot(100, datetime(2024, 1, 1, tzinfo=timezone.utc)),
+    FakeSnapshot(90, datetime(2024, 1, 2, tzinfo=timezone.utc)),
+]
+r1 = get_standard_deviation_downside_returns(snaps)
+r2 = get_standard_deviation_returns(snaps)
+r3 = get_daily_returns_std(snaps)
+r4 = get_downside_std_of_daily_returns(snaps)
+print(f'std functions with 2 snapshots: OK (results: {r1}, {r2}, {r3}, {r4})')
+print('All checks passed!')

investing_algorithm_framework/app/app.py

@@ -27,7 +27,7 @@
     BacktestOrderExecutor, CCXTOHLCVDataProvider, clear_db, \
     PandasOHLCVDataProvider
 from investing_algorithm_framework.services import OrderBacktestService, \
-    BacktestPortfolioService, DefaultTradeOrderEvaluator, get_risk_free_rate_us
+    BacktestPortfolioService, DefaultTradeOrderEvaluator
 from .app_hook import AppHook
 from .eventloop import EventLoopService
 
@@ -416,7 +416,7 @@ def initialize_data_sources_backtest(
         self,
         data_sources: List[DataSource],
         backtest_date_range: BacktestDateRange,
-        show_progress: bool = True,
+        show_progress: bool = False,
         fill_missing_data: bool = False,
     ):
         """
@@ -632,7 +632,9 @@ def run(self, number_of_iterations: int = None):
             self.initialize_services()
             self.initialize_portfolios()
 
-            if AppMode.WEB.equals(self.config[APP_MODE]):
+            if AppMode.WEB.equals(self.config[APP_MODE]) \
+                    and not (self._flask_app and self._flask_app.testing) \
+                    and number_of_iterations is None:
                 logger.info("Running web")
                 flask_thread = threading.Thread(
                     name='Web App',
@@ -782,9 +784,15 @@ def _initialize_web(self):
             - Investing Algorithm Framework App
             - Algorithm
         """
+        # Preserve the testing flag if the flask app already exists
+        was_testing = self._flask_app.testing \
+            if self._flask_app is not None else False
         configuration_service = self.container.configuration_service()
         self._flask_app = create_flask_app(configuration_service)
 
+        if was_testing:
+            self._flask_app.testing = True
+
     def get_portfolio_configurations(self):
         portfolio_configuration_service = self.container \
             .portfolio_configuration_service()
@@ -827,7 +835,7 @@ def check_data_completeness(
         self,
         strategies: List[TradingStrategy],
         backtest_date_range: BacktestDateRange,
-        show_progress: bool = True
+        show_progress: bool = False
     ) -> Tuple[bool, Dict[str, Any]]:
         """
         Function to check the data completeness for a set of strategies
@@ -926,7 +934,7 @@ def run_vector_backtests(
         snapshot_interval: SnapshotInterval = SnapshotInterval.DAILY,
         risk_free_rate: Optional[float] = None,
         skip_data_sources_initialization: bool = False,
-        show_progress: bool = True,
+        show_progress: bool = False,
         market: Optional[str] = None,
         initial_amount: float = None,
         trading_symbol: Optional[str] = None,
@@ -1335,7 +1343,7 @@ def run_backtests(
         metadata: Optional[Dict[str, str]] = None,
         backtest_storage_directory: Optional[Union[str, Path]] = None,
         use_checkpoints: bool = False,
-        show_progress: bool = True,
+        show_progress: bool = False,
         continue_on_error: bool = False,
         window_filter_function: Optional[Callable] = None,
         final_filter_function: Optional[Callable] = None,
@@ -1502,7 +1510,7 @@ def get_backtest_data(
         self,
         strategy: TradingStrategy,
         backtest_date_range: BacktestDateRange,
-        show_progress: bool = True,
+        show_progress: bool = False,
         fill_missing_data: bool = True,
     ) -> Dict[str, Any]:
         """
@@ -1611,7 +1619,7 @@ def run_backtest(
         metadata: Optional[Dict[str, str]] = None,
         backtest_storage_directory: Optional[Union[str, Path]] = None,
         use_checkpoints: bool = False,
-        show_progress: bool = True,
+        show_progress: bool = False,
         market: str = None,
         trading_symbol: str = None,
         fill_missing_data: bool = True,
@@ -1747,7 +1755,8 @@ def run_permutation_test(
         initial_amount: float = 1000.0,
         market: str = None,
         trading_symbol: str = None,
-        risk_free_rate: Optional[float] = None
+        risk_free_rate: Optional[float] = None,
+        show_progress: bool = True
     ) -> BacktestPermutationTest:
         """
         Run a permutation test for a given strategy over a specified
@@ -1781,6 +1790,8 @@ def run_permutation_test(
                 portfolio configuration is provided in the strategy. If not
                 provided, the first trading symbol found in the portfolio
                 configuration will be used.
+            show_progress (bool): Whether to show a progress bar during
+                the permutation test. Defaults to True.
 
         Raises:
             OperationalException: If the risk-free rate cannot be retrieved.
@@ -1791,16 +1802,11 @@ def run_permutation_test(
         """
 
         if risk_free_rate is None:
-            logger.info("No risk free rate provided, retrieving it...")
-            risk_free_rate = get_risk_free_rate_us()
-
-            if risk_free_rate is None:
-                raise OperationalException(
-                    "Could not retrieve risk free rate for backtest metrics."
-                    "Please provide a risk free as an argument when running "
-                    "your backtest or make sure you have an internet "
-                    "connection"
-                )
+            logger.info(
+                "No risk free rate provided, defaulting to 0.027 "
+                "(2.7%%). Provide risk_free_rate to override."
+            )
+            risk_free_rate = 0.027
 
         backtest_service = self.container.backtest_service()
         data_provider_service = self.container.data_provider_service()
@@ -1812,7 +1818,8 @@ def run_permutation_test(
             risk_free_rate=risk_free_rate,
             market=market,
             trading_symbol=trading_symbol,
-            use_checkpoints=False
+            use_checkpoints=False,
+            show_progress=show_progress
         )
         backtest_metrics = backtest.get_backtest_metrics(backtest_date_range)
 
@@ -1848,7 +1855,8 @@ def run_permutation_test(
         for _ in tqdm(
             range(number_of_permutations),
             desc="Running Permutation Test",
-            colour="green"
+            colour="green",
+            disable=not show_progress
         ):
             permutated_datasets = []
             data_provider_service.reset()
@@ -1874,7 +1882,7 @@ def run_permutation_test(
                     dataframe=combi[1],
                     symbol=data_source.symbol,
                     market=data_source.market,
-                    window_size=data_source.window_size,
+                    warmup_window=data_source.warmup_window,
                     time_frame=data_source.time_frame,
                     data_provider_identifier=data_source
                     .data_provider_identifier,
@@ -1896,7 +1904,8 @@ def run_permutation_test(
                 skip_data_sources_initialization=True,
                 market=market,
                 trading_symbol=trading_symbol,
-                use_checkpoints=False
+                use_checkpoints=False,
+                show_progress=show_progress
             )
 
             # Add the results of the permuted backtest to the main backtest

investing_algorithm_framework/cli/validate_backtest_checkpoints.py

@@ -16,7 +16,8 @@
 def validate_and_create_checkpoints(
     directory_path: str,
     output_file: str = None,
-    verbose: bool = False
+    verbose: bool = False,
+    verbose_output_file: str = None
 ) -> Dict[str, List[str]]:
     """
     Validate a directory for backtest checkpoints and create a checkpoint file.
@@ -28,6 +29,9 @@ def validate_and_create_checkpoints(
             checkpoint file. If None, will create 'checkpoints.json'
             in the directory_path.
         verbose (bool): Whether to print detailed information.
+        verbose_output_file (str, optional): Path to a file where verbose
+            output will be written. If None, verbose output is printed
+            to the console.
 
     Returns:
         Dict[str, List[str]]: Dictionary mapping date range
@@ -42,13 +46,24 @@ def validate_and_create_checkpoints(
     if output_file is None:
         output_file = os.path.join(directory_path, "checkpoints.json")
 
+    # Setup echo function: write to file or console
+    verbose_file_handle = None
+
+    if verbose_output_file is not None:
+        verbose_file_handle = open(verbose_output_file, 'w')
+
+        def echo(msg):
+            verbose_file_handle.write(msg + "\n")
+    else:
+        echo = click.echo
+
     checkpoints = {}
     valid_backtests = 0
     invalid_dirs = 0
 
     if verbose:
-        click.echo(f"Scanning directory: {directory_path}")
-        click.echo("-" * 60)
+        echo(f"Scanning directory: {directory_path}")
+        echo("-" * 60)
 
     # Scan all subdirectories in the target directory
     for item in os.listdir(directory_path):
@@ -68,7 +83,7 @@ def validate_and_create_checkpoints(
 
             if backtest.algorithm_id is None:
                 if verbose:
-                    click.echo(
+                    echo(
                         f"⚠️  Warning: {item} - No "
                         f"algorithm_id found, skipping"
                     )
@@ -94,7 +109,7 @@ def validate_and_create_checkpoints(
                         )
 
                         if verbose:
-                            click.echo(
+                            echo(
                                 f"✓ {item} - Algorithm: "
                                 f"{backtest.algorithm_id}, "
                                 f"Range: {start_date} to {end_date}"
@@ -103,14 +118,14 @@ def validate_and_create_checkpoints(
                 valid_backtests += 1
             else:
                 if verbose:
-                    click.echo(
+                    echo(
                         f"⚠️  Warning: {item} - No backtest runs found"
                     )
                 invalid_dirs += 1
 
         except Exception as e:
             if verbose:
-                click.echo(f"✗ {item} - Not a valid backtest: {str(e)}")
+                echo(f"✗ {item} - Not a valid backtest: {str(e)}")
             invalid_dirs += 1
             continue
 
@@ -124,21 +139,24 @@ def validate_and_create_checkpoints(
 
     # Print summary
     if verbose:
-        click.echo("-" * 60)
+        echo("-" * 60)
 
-    click.echo("\n✓ Checkpoint validation complete!")
-    click.echo(f"  Valid backtests found: {valid_backtests}")
-    click.echo(f"  Invalid/skipped directories: {invalid_dirs}")
-    click.echo(f"  Total date ranges: {len(checkpoints)}")
-    click.echo(f"  Checkpoint file saved to: {output_file}\n")
+    echo("\n✓ Checkpoint validation complete!")
+    echo(f"  Valid backtests found: {valid_backtests}")
+    echo(f"  Invalid/skipped directories: {invalid_dirs}")
+    echo(f"  Total date ranges: {len(checkpoints)}")
+    echo(f"  Checkpoint file saved to: {output_file}\n")
 
     if verbose and checkpoints:
-        click.echo("Date ranges found:")
+        echo("Date ranges found:")
         for date_range_key, algorithm_ids in sorted(checkpoints.items()):
-            click.echo(
+            echo(
                 f"  {date_range_key}: {len(algorithm_ids)} algorithm(s)"
             )
 
+    if verbose_file_handle is not None:
+        verbose_file_handle.close()
+
     return checkpoints