Add experiment multiple algorithms support (#252)

* Add experiment multiple algorithms support

* Add experimentation functionality

* Fix ohlcv data sources tests

* Fix ohlcv data sources tests

Author: MDUYN

README.md

@@ -0,0 +1,5 @@
+from investing_algorithm_framework import Algorithm
+from .strategy import CrossOverStrategy
+
+algorithm = Algorithm()
+algorithm.add_strategy(CrossOverStrategy)

examples/expirement/__init__.py renamed to examples/backtest/__init__.py

@@ -17,8 +17,6 @@
 https://tulipindicators.org/ or go directly to the pypi page:
 https://pypi.org/project/tulipy/
 """
-# Define market data sources
-
 def is_below_trend(fast_series, slow_series):
     return fast_series[-1] < slow_series[-1]
 
@@ -55,6 +53,9 @@ class CrossOverStrategy(TradingStrategy):
         "DOT/EUR-ticker"
     ]
     symbols = ["BTC/EUR", "DOT/EUR"]
+    fast = 9
+    slow = 50
+    trend = 100
 
     def apply_strategy(self, algorithm: Algorithm, market_data):
 
@@ -72,8 +73,8 @@ def apply_strategy(self, algorithm: Algorithm, market_data):
             price = ticker_data['bid']
 
             if not algorithm.has_position(target_symbol) \
-                    and is_crossover(fast, slow)\
-                    and not is_above_trend(fast, trend):
+                    and is_crossover(fast, slow) \
+                    and is_above_trend(fast, trend):
                 algorithm.create_limit_order(
                     target_symbol=target_symbol,
                     order_side=OrderSide.BUY,
@@ -84,6 +85,7 @@ def apply_strategy(self, algorithm: Algorithm, market_data):
 
             if algorithm.has_position(target_symbol) \
                     and is_below_trend(fast, slow):
+
                 open_trades = algorithm.get_open_trades(
                     target_symbol=target_symbol
                 )

tests/app/algorithm/test_sync.py renamed to examples/backtest/algorithm/__init__.py

@@ -0,0 +1,7 @@
+import pathlib
+
+from investing_algorithm_framework import create_app, RESOURCE_DIRECTORY
+
+app = create_app(
+    config={RESOURCE_DIRECTORY: pathlib.Path(__file__).parent.resolve()}
+)

examples/backtest/algorithm/algorithm.py

@@ -4,6 +4,16 @@
     pretty_print_backtest
 
 from app import app
+from algorithm.algorithm import algorithm
+from algorithm.data_sources import bitvavo_btc_eur_ohlcv_2h, \
+    bitvavo_dot_eur_ohlcv_2h, bitvavo_dot_eur_ticker, bitvavo_btc_eur_ticker
+
+
+app.add_algorithm(algorithm)
+app.add_market_data_source(bitvavo_btc_eur_ohlcv_2h)
+app.add_market_data_source(bitvavo_dot_eur_ohlcv_2h)
+app.add_market_data_source(bitvavo_btc_eur_ticker)
+app.add_market_data_source(bitvavo_dot_eur_ticker)
 
 
 # Add a portfolio configuration of 400 euro initial balance
@@ -18,10 +28,10 @@
 if __name__ == "__main__":
     end_date = datetime(2023, 12, 2)
     start_date = end_date - timedelta(days=100)
-    experiment_report, backtest_reports = app.experiment(
+    backtest_report = app.run_backtest(
+        algorithm=algorithm,
         start_date=start_date,
         end_date=end_date,
         pending_order_check_interval="2h",
-        strategies=[]
     )
-    pretty_print_expirement(expirement_report)
+    pretty_print_backtest(backtest_report)

examples/crossover_moving_average_trading_bot/data_sources.py renamed to examples/backtest/algorithm/data_sources.py

@@ -0,0 +1,4 @@
+from .algorithm import create_algorithm
+
+
+__all__ = ["create_algorithm"]