PyPI

.github/workflows/pypi.yml

@@ -0,0 +1,36 @@
+name: PyPI Publish
+
+on:
+  release:
+    types: [published]
+
+permissions:
+  contents: read
+
+jobs:
+  deploy:
+    runs-on: ubuntu-latest
+
+    steps:
+    - uses: actions/checkout@v3
+
+    - name: Set up Python 3.10
+      uses: actions/setup-python@v3
+      with:
+        python-version: "3.10"
+
+    - name: Install tools
+      run: |
+        python -m pip install --upgrade pip
+        pip install --upgrade setuptools wheel
+
+    - name: Build Package
+      run: make build
+
+    - name: Publish Package to PyPI
+      uses: pypa/gh-action-pypi-publish@release/v1
+      with:
+        user: __token__
+        password: ${{ secrets.PYPI_API_TOKEN }}
+        verbose: true
+        print-hash: true

.github/workflows/pytest.yml

@@ -1,4 +1,3 @@
-# .github/workflows/app.yaml
 name: PyTest
 on: push
 

Makefile

@@ -7,10 +7,14 @@ init:
 install: init
 	$(PIP) install -e .
 
+uninstall:
+	$(PIP) uninstall bktest
+
 test:
 	$(PYTHON) -m pytest -v
 
-example:
-	PYTHONPATH=. find example/ -name "*.py" -exec $(PYTHON) {} \;
+build:
+	rm -rf build *.egg-info dist
+	python setup.py sdist bdist_wheel
 
-.PHONY: init install test example
+.PHONY: init install uninstall test build

README.md

@@ -1,42 +1,39 @@
-# crunchdao-backtest
-
 A small backtesting utility.
 
 ![image](https://user-images.githubusercontent.com/7386242/189368488-b0c30d48-9a1f-4362-9f78-10a451535682.png)
 
 [![PyTest](https://github.com/crunchdao/backtest/actions/workflows/pytest.yml/badge.svg)](https://github.com/crunchdao/backtest/actions/workflows/pytest.yml)
 
-- [crunchdao-backtest](#crunchdao-backtest)
-  - [Install](#install)
-  - [Usage](#usage)
-    - [Options](#options)
-      - [Exporters](#exporters)
-        - [Console](#console)
-        - [Dump](#dump)
-        - [Influx](#influx)
-        - [QuantStats](#quantstats)
-        - [PDF](#pdf)
-        - [Specific Return](#specific-return)
-      - [Data Sources](#data-sources)
-        - [Yahoo](#yahoo)
-        - [CoinMarketCap](#coinmarketcap)
-        - [FactSet](#factset)
-        - [File](#file)
-          - [.parquet](#parquet)
-
-## Install
+- [Install](#install)
+- [Usage](#usage)
+  - [Options](#options)
+    - [Exporters](#exporters)
+      - [Console](#console)
+      - [Dump](#dump)
+      - [Influx](#influx)
+      - [QuantStats](#quantstats)
+      - [PDF](#pdf)
+      - [Specific Return](#specific-return)
+    - [Data Sources](#data-sources)
+      - [Yahoo](#yahoo)
+      - [CoinMarketCap](#coinmarketcap)
+      - [FactSet](#factset)
+      - [File](#file)
+        - [.parquet](#parquet)
+
+# Install
 
 ```
-python3 -m pip install --upgrade git+https://github.com/crunchdao/backtest
+pip install --upgrade bktest
 ```
 
-## Usage
+# Usage
 
 ```bash
-python3 -m backtest [OPTIONS]
+bktest [OPTIONS]
 ```
 
-### Options
+## Options
 
 | Option | Value | Default | Format | Description |
 | --- | --- | --- | --- | --- |
@@ -61,11 +58,11 @@ python3 -m backtest [OPTIONS]
 | `--rfr-file` | `<directory>` | | `path` | The directory of rfr file to use. The file must contain a column with date information and a column with the rfr information in %. |
 | `--rfr-file-column-date` | `<column>` | `date` | `string` | Change the date column name to use. |
 
-#### Exporters
+### Exporters
 
 Multiple exporters can be enabled at one time.
 
-##### Console
+#### Console
 
 The console exporter allows a quick look at the backtest.
 
@@ -77,7 +74,7 @@ The console exporter allows a quick look at the backtest.
 | `--console-hide-skips` | | `false` | | Do not the skipped days. |
 | `--console-text-no-color` | | `false` | | Disable colors in the output. (only if the format is `text`) |
 
-##### Dump
+#### Dump
 
 The dump exporter generate a dump of the portfolio at each day.
 
@@ -87,7 +84,7 @@ The dump exporter generate a dump of the portfolio at each day.
 | `--dump-output-file` | `<file>` | `dump.csv` | `path` | Specify the output file. |
 | `--dump-auto-delete` | | `false` | | Automatically delete the previous dump file if it is present. |
 
-##### Influx
+#### Influx
 
 Export the generated data to an Influx database. <br />
 Making it easier to plot the values using software like Grafana.
@@ -101,7 +98,7 @@ Making it easier to plot the values using software like Grafana.
 | `--influx-measurement` | `<measurement>` | `snapshots` |`string` | Specify the table name to use. |
 | `--influx-key` | `<key>` | `test` | `string` | Specify the unique key to use. **Previous data with the same key will be deleted!** |
 
-##### QuantStats
+#### QuantStats
 
 Generate a tearsheet from the backtest data.
 
@@ -113,7 +110,7 @@ Generate a tearsheet from the backtest data.
 | `--quantstats-benchmark-ticker` | `<ticker>` | `SPY` | `symbol` | Specify the ticker to use as a benchmark in the tearsheet. |
 | `--quantstats-auto-delete` | | `false` | | Automatically delete the previous report files if they are present. |
 
-##### PDF
+#### PDF
 
 Generate a tearsheet from a custom template.
 
@@ -127,7 +124,7 @@ Generate a tearsheet from a custom template.
 | `--pdf-variable` | `[<key> <value>]` | `[]` | `string` `string` | Add a custom variable. |
 | `--pdf-user-script` | `[<file>]` | `[]` | `path` | Add a user script. |
 
-##### Specific Return
+#### Specific Return
 
 Generate a tearsheet from the specific return backtest data.
 
@@ -141,39 +138,39 @@ Generate a tearsheet from the specific return backtest data.
 | `--specific-return-output-file-csv` | `<file>` | `sr-report.csv` | `path` | Specify the output file containing raw returns. |
 | `--specific-return-auto-delete` | | `false` | | Automatically delete the previous report files if they are present. |
 
-#### Data Sources
+### Data Sources
 
 Only one data source can be used at once.
 
-##### Yahoo
+#### Yahoo
 
 | Option | Value | Default | Format | Description |
 | --- | --- | --- | --- | --- |
 | `--yahoo` | | `false` | | Enable yahoo as the data source. |
 
-##### CoinMarketCap
+#### CoinMarketCap
 
 | Option | Value | Default | Format | Description |
 | --- | --- | --- | --- | --- |
 | `--coinmarketcap` | | `false` | | Enable coinmarketcap as the data source. |
 | `--coinmarketcap-force-mapping-refresh` | | `false` | | Force a mapping refresh. This is usually only done automatically the first time of using this data source. |
 | `--coinmarketcap-page-size` | `<size>` | `10_000` | `number` | Specify the page size while building the mapping. |
 
-##### FactSet
+#### FactSet
 
 | Option | Value | Default | Format | Description |
 | --- | --- | --- | --- | --- |
 | `--factset` | | `false` | | Enable factset as the data source. |
 | `--factset-username-serial` | | `$FACTSET_USERNAME_SERIAL` | | Specify the factset's username serial to use. |
 | `--factset-api-key` | | `$FACTSET_API_KEY` | | Specify the factset's api key to use. |
 
-##### File
+#### File
 
 Use a static file as a price data source.
 
 If another data source is specified, files sources will be used first in a delegated data source. Meaning that if the data are not available in the file, the next data source will be used.
 
-###### .parquet
+##### .parquet
 
 | Option | Value | Default | Format | Description |
 | --- | --- | --- | --- | --- |

bktest/__init__.py

@@ -0,0 +1,11 @@
+"""
+bktest
+~~~~~~
+The backtest package - a Python cli used simply
+backtest your portfolio!
+"""
+
+from .backtest import Backtester
+from .account import *
+from .holding import *
+from .order import *

bktest/__version__.py

@@ -0,0 +1,6 @@
+__title__ = 'bktest'
+__description__ = 'bktest - A simple backtester by CrunchDAO'
+__version__ = '1.0.0'
+__author__ = 'Enzo CACERES'
+__author_email__ = '[email protected]'
+__url__ = 'https://github.com/crunchdao/backtest'

backtest/account.py → bktest/account.py

@@ -1,11 +1,10 @@
 import sys
 import typing
 
-from backtest.utils import is_blank
-
+from .fee import ConstantFeeModel, FeeModel
 from .holding import Holding
-from .order import Order, OrderResult, CloseResult
-from .fee import FeeModel, ConstantFeeModel
+from .order import CloseResult, Order, OrderResult
+from .utils import is_blank
 
 
 class Account:
@@ -122,4 +121,4 @@ def _handle_cash(self, order: Order, fee: float):
 
     def interest_on_cash(self, rfr):
         '''Interest income on cash from short sale - amount borrowed on the long position'''
-        self.cash += self.cash * ((((max((rfr - 0.17), 0) / 100) + 1) ** (1/365)) - 1)
+        self.cash += self.cash * ((((max((rfr - 0.17), 0) / 100) + 1) ** (1/365)) - 1)

backtest/export/dump.py → bktest/export/dump.py

@@ -1,14 +1,14 @@
 import abc
+import datetime
+import math
 import os
 import sys
-import math
 import typing
-import datetime
-
-from ..utils import signum
 
 import pandas
+import readwrite
 
+from ..utils import signum
 from .base import BaseExporter
 from .model import Snapshot
 
@@ -24,7 +24,7 @@ def __init__(
         self.output_file = output_file
         self.auto_delete = auto_delete
         self.auto_override = auto_override
-        
+
         self.all_dates = set()
         self.rows = []
 
@@ -53,7 +53,7 @@ def on_snapshot(self, snapshot: Snapshot) -> None:
 
         if snapshot.postponned is not None:
             date = snapshot.postponned
-        
+
         self.rows.extend([
             (
                 date,
@@ -78,13 +78,13 @@ def finalize(self) -> None:
             self.rows,
             columns=["date", "symbol", "quantity", "price", "market_price", "equity"]
         )
-        
+
         if not len(self.dataframe):
             print(
                 "[warning] cannot create dump: dataframe is empty",
                 file=sys.stderr
             )
-            
+
             return
 
         def inverse_sign_if_shorting(row: pandas.Series):
@@ -117,7 +117,7 @@ def compute_profit(group: pandas.DataFrame):
 
         if self.output_file is not None:
             if self.auto_override or not os.path.exists(self.output_file):
-                self.dataframe.to_csv(self.output_file)
+                readwrite.write(self.dataframe, self.output_file)
             else:
                 print(
                     f"[warning] {self.output_file} already exists",

backtest/fee.py → bktest/fee.py

@@ -1,8 +1,9 @@
 import abc
 
-from .order import Order
 import py_expression_eval
 
+from .order import Order
+
 
 class FeeModel(metaclass=abc.ABCMeta):
 

example/yahoo.py

@@ -1,28 +1,29 @@
 import datetime
 
-import backtest
 import pandas
 
+import bktest
+
 end = datetime.date.today()
 start = end - datetime.timedelta(days=38)
 initial_cash = 1_000_000
 quantity_in_decimal = False
 
-data_source = backtest.data.source.YahooDataSource()
+data_source = bktest.data.source.YahooDataSource()
 
-order_provider = backtest.order.provider.DataFrameOrderProvider(pandas.DataFrame([
+order_provider = bktest.order.provider.DataFrameOrderProvider(pandas.DataFrame([
     {"symbol": "AAPL", "quantity": +50, "date": (start + datetime.timedelta(days=10)).isoformat()},
     {"symbol": "TSLA", "quantity": -25, "date": (start + datetime.timedelta(days=10)).isoformat()},
     {"symbol": "AAPL", "quantity": -40, "date": (start + datetime.timedelta(days=20)).isoformat()},
     {"symbol": "TSLA", "quantity": +50, "date": (start + datetime.timedelta(days=30)).isoformat()},
     {"symbol": "AAPL", "quantity": +50, "date": (start + datetime.timedelta(days=30)).isoformat()},
 ]))
 
-fee_model = backtest.fee.ExpressionFeeModel(
+fee_model = bktest.fee.ExpressionFeeModel(
     "abs(price * quantity) * 0.1"
 )
 
-backtest.Backtester(
+bktest.Backtester(
     start=start,
     end=end,
     order_provider=order_provider,
@@ -31,8 +32,8 @@
     data_source=data_source,
     fee_model=fee_model,
     exporters=[
-        backtest.export.ConsoleExporter(),
-        backtest.export.DumpExporter(
+        bktest.export.ConsoleExporter(),
+        bktest.export.DumpExporter(
             auto_override=True
         ),
         # backtest.export.QuantStatsExporter(