Simplify dependencies, add github workflows, black/isort code.

.github/workflows/branch.yml

@@ -0,0 +1,57 @@
+name: Push
+on: [push]
+
+jobs:
+  test:
+    strategy:
+      fail-fast: false
+      matrix:
+        python-version: ['3.10']
+        poetry-version: ['1.3.1']
+        os: [ubuntu-latest]
+    runs-on: ${{ matrix.os }}
+    steps:
+      - uses: actions/checkout@v3
+      - uses: actions/setup-python@v3
+        with:
+          python-version: ${{ matrix.python-version }}
+      - name: Run image
+        uses: abatilo/[email protected]
+        with:
+          poetry-version: ${{ matrix.poetry-version }}
+      - name: Install dependencies
+        run: poetry install
+      - name: Run tests
+        run: poetry run python -m unittest
+#         run: poetry run pytest --cov=./ --cov-report=xml
+#       - name: Upload coverage to Codecov
+#         uses: codecov/codecov-action@v2
+  code-quality:
+    strategy:
+      fail-fast: false
+      matrix:
+        python-version: ['3.10']
+        poetry-version: ['1.3.1']
+        os: [ubuntu-latest]
+    runs-on: ${{ matrix.os }}
+    steps:
+      - uses: actions/checkout@v3
+      - uses: actions/setup-python@v3
+        with:
+          python-version: ${{ matrix.python-version }}
+      - name: Run image
+        uses: abatilo/[email protected]
+        with:
+          poetry-version: ${{ matrix.poetry-version }}
+      - name: Install dependencies
+        run: poetry install --with dev
+      - name: Run black
+        run: poetry run black . --check
+      - name: Run isort
+        run: poetry run isort . --check-only --profile black
+#       - name: Run flake8
+#         run: poetry run flake8 .
+#       - name: Run bandit
+#         run: poetry run bandit .
+#       - name: Run saftey
+#         run: poetry run safety check

.readthedocs.yaml

@@ -10,3 +10,9 @@ build:
   os: ubuntu-22.04
   tools:
     python: "3.10"
+
+  jobs:
+    post_install:
+      - pip install poetry==1.3.1
+      - poetry config virtualenvs.create false
+      - poetry install --with doc 

.vscode/launch.json

@@ -5,22 +5,23 @@
     "version": "0.2.0",
     "configurations": [
         {
-            "name": "Python: Current File",
+            "name": "Python: Unittest",
             "type": "python",
             "request": "launch",
-            "program": "${file}",
-            "console": "integratedTerminal",
-            "justMyCode": false,
-            "env": {"PYTHONPATH": "."}
+            "module": "unittest",
+            "justMyCode": true
         },
         {
-            "name": "Test Strat Runner",
+            "name": "Python: Current File",
             "type": "python",
             "request": "launch",
-            "program": "${workspaceFolder}/tests/test_strategy_runner.py",
+            "program": "${file}",
             "console": "integratedTerminal",
             "justMyCode": false,
-            "env": {"PYTHONPATH": "."}
-        }
+            "env": {
+                "PYTHONPATH": "."
+            }
+        },
+
     ]
 }

README.md

@@ -10,11 +10,7 @@ There are some basic tests but use at your own peril. It's not production level
 
 ## Core dependencies
 
-The core module uses pandas.
-
-## Other dependencies
-
-The portfolio optimisation module uses scipy.
+The core module uses pandas and scipy.
 
 ## Installation
 

docs/conf.py

@@ -3,8 +3,8 @@
 # For the full list of built-in configuration values, see the documentation:
 # https://www.sphinx-doc.org/en/master/usage/configuration.html
 
-import sys
 import os
+import sys
 
 # ensure project path avaliable to sphinx
 sys.path.insert(0, os.path.abspath(".."))
@@ -13,22 +13,21 @@
 # -- Project information -----------------------------------------------------
 # https://www.sphinx-doc.org/en/master/usage/configuration.html#project-information
 
-project = 'yabte'
-copyright = '2023, Blair Azzopardi'
-author = 'Blair Azzopardi'
+project = "yabte"
+copyright = "2023, Blair Azzopardi"
+author = "Blair Azzopardi"
 
 # -- General configuration ---------------------------------------------------
 # https://www.sphinx-doc.org/en/master/usage/configuration.html#general-configuration
 
-extensions = ['sphinx.ext.autodoc',  'sphinx.ext.mathjax', 'sphinx.ext.viewcode']
-
-templates_path = ['_templates']
-exclude_patterns = ['_build', 'Thumbs.db', '.DS_Store']
+extensions = ["sphinx.ext.autodoc", "sphinx.ext.mathjax", "sphinx.ext.viewcode"]
 
+templates_path = ["_templates"]
+exclude_patterns = ["_build", "Thumbs.db", ".DS_Store"]
 
 
 # -- Options for HTML output -------------------------------------------------
 # https://www.sphinx-doc.org/en/master/usage/configuration.html#options-for-html-output
 
-html_theme = 'sphinx_rtd_theme'
-html_static_path = ['_static']
+html_theme = "sphinx_rtd_theme"
+html_static_path = ["_static"]

notebooks/Portfolio_Optimization.ipynb

@@ -15,7 +15,13 @@
     "import numpy.linalg as la\n",
     "import matplotlib.pyplot as plt\n",
     "\n",
-    "from yabte.backtest import Strategy, StrategyRunner, PositionalBasketOrder, OrderSizeType, Book\n",
+    "from yabte.backtest import (\n",
+    "    Strategy,\n",
+    "    StrategyRunner,\n",
+    "    PositionalBasketOrder,\n",
+    "    OrderSizeType,\n",
+    "    Book,\n",
+    ")\n",
     "import yabte.utilities.pandas_extension\n",
     "from yabte.portopt.hierarchical_risk_parity import hrp\n",
     "from yabte.portopt.minimum_variance import minimum_variance\n",
@@ -53,6 +59,7 @@
    "source": [
     "# run strategy for each portfolio optimization scheme\n",
     "\n",
+    "\n",
     "class PortfolioOptimizationStrat(Strategy):\n",
     "    def init(self):\n",
     "        data = self.data\n",
@@ -84,11 +91,11 @@
     "        p[\"weights\"] = None\n",
     "        if cd:\n",
     "            closes = self.data.loc[:, (slice(None), \"Close\")].droplevel(axis=1, level=1)\n",
-    "            returns = closes.price.log_returns\n",
+    "            returns = closes.prc.log_returns\n",
     "            Sigma = returns.cov()\n",
     "            R = returns.corr()\n",
     "            sigma = returns.std()\n",
-    "            mu = closes.price.capm_returns()\n",
+    "            mu = closes.prc.capm_returns()\n",
     "\n",
     "            match p.weight_scheme:\n",
     "                case \"HRP\":\n",
@@ -178,13 +185,13 @@
     "            + df_combined.loc[:, (slice(None), \"Close\")]\n",
     "            .mean(axis=1)\n",
     "            .to_frame()\n",
-    "            .price.log_returns.loc[first_date:, :]\n",
+    "            .prc.log_returns.loc[first_date:, :]\n",
     "            .iloc[1:, :]\n",
     "        ).cumprod(),\n",
     "    ]\n",
     ")\n",
     "market.columns = [\"MARKET\"]\n",
-    "pd.concat([df.loc[first_date:, :], market], axis=1).plot()\n"
+    "pd.concat([df.loc[first_date:, :], market], axis=1).plot()"
    ]
   },
   {
@@ -205,9 +212,11 @@
    ],
    "source": [
     "# plot the weightings for each scheme\n",
-    "fig, axs = plt.subplots(3, 1, figsize=(1*6, 3*4), sharex=True)\n",
+    "fig, axs = plt.subplots(3, 1, figsize=(1 * 6, 3 * 4), sharex=True)\n",
     "for ix, scheme in enumerate(schemes):\n",
-    "    srs[ix].trade_history.pivot_table(index=\"ts\", values=\"quantity\", columns=\"asset_name\").cumsum().plot(ax=axs[ix], title=scheme)"
+    "    srs[ix].trade_history.pivot_table(\n",
+    "        index=\"ts\", values=\"quantity\", columns=\"asset_name\"\n",
+    "    ).cumsum().plot(ax=axs[ix], title=scheme)"
    ]
   },
   {

notebooks/Readme_Example.ipynb

@@ -27,6 +27,7 @@
     "\n",
     "data_dir = Path(inspect.getfile(Strategy)).parents[2] / \"tests/data/nasdaq\"\n",
     "\n",
+    "\n",
     "class SMAXO(Strategy):\n",
     "    def init(self):\n",
     "        # enhance data with simple moving averages\n",
@@ -97,8 +98,12 @@
     "for symbol, scol, lcol in [(\"GOOG\", \"red\", \"green\"), (\"MSFT\", \"blue\", \"yellow\")]:\n",
     "    long_ix = th.query(f\"asset_name == '{symbol}' and quantity > 0\").ts\n",
     "    short_ix = th.query(f\"asset_name == '{symbol}' and quantity < 0\").ts\n",
-    "    bvh.loc[long_ix].rename(columns={\"PrimaryBook\": f\"{symbol} Short\"}).plot(color=scol, marker=\"v\", markersize=5, linestyle=\"None\", ax=ax)\n",
-    "    bvh.loc[short_ix].rename(columns={\"PrimaryBook\": f\"{symbol} Long\"}).plot(color=lcol, marker=\"^\", markersize=5, linestyle=\"None\", ax=ax)\n"
+    "    bvh.loc[long_ix].rename(columns={\"PrimaryBook\": f\"{symbol} Short\"}).plot(\n",
+    "        color=scol, marker=\"v\", markersize=5, linestyle=\"None\", ax=ax\n",
+    "    )\n",
+    "    bvh.loc[short_ix].rename(columns={\"PrimaryBook\": f\"{symbol} Long\"}).plot(\n",
+    "        color=lcol, marker=\"^\", markersize=5, linestyle=\"None\", ax=ax\n",
+    "    )"
    ]
   },
   {