Change to combine metrics function

Author: MDUYN

investing_algorithm_framework/app/app.py

@@ -17,7 +17,7 @@
     BACKTESTING_START_DATE, BACKTESTING_END_DATE, APP_MODE, MarketCredential, \
     AppMode, BacktestDateRange, DATABASE_DIRECTORY_NAME, DataSource, \
     BACKTESTING_INITIAL_AMOUNT, SNAPSHOT_INTERVAL, Backtest, \
-    PortfolioConfiguration, SnapshotInterval, DataType, \
+    PortfolioConfiguration, SnapshotInterval, DataType, combine_backtests, \
     PortfolioProvider, OrderExecutor, ImproperlyConfigured, \
     DataProvider, INDEX_DATETIME, tqdm, BacktestPermutationTest, \
     LAST_SNAPSHOT_DATETIME, BACKTESTING_FLAG
@@ -929,14 +929,9 @@ def run_vector_backtests(
                         )
 
             for strategy in backtests_ordered_by_strategy:
-                # Merge all backtests for the same strategy
-                main_backtest = Backtest()
-                strategy_backtests = backtests_ordered_by_strategy[strategy]
-
-                for backtest in strategy_backtests:
-                    main_backtest = main_backtest.merge(backtest)
-
-                backtests.append(main_backtest)
+                backtests.append(
+                    combine_backtests(backtests_ordered_by_strategy[strategy])
+                )
 
         return backtests
 

investing_algorithm_framework/domain/backtesting/combine_backtests.py

@@ -1,7 +1,6 @@
 from typing import List
 
-from investing_algorithm_framework.domain.backtesting import Backtest, \
-    BacktestDateRange
+from investing_algorithm_framework.domain.backtesting import Backtest
 from investing_algorithm_framework.domain.backtesting import \
     BacktestSummaryMetrics
 
@@ -30,16 +29,13 @@ def safe_weighted_mean(values, weights):
 
 def combine_backtests(
     backtests: List[Backtest],
-    backtest_date_range: BacktestDateRange = None
 ) -> Backtest:
     """
     Combine multiple backtests into a single backtest by aggregating
     their results.
 
     Args:
         backtests (List[Backtest]): List of Backtest instances to combine.
-        backtest_date_range (BacktestDateRange, optional): The date range
-            for the combined backtest.
 
     Returns:
         Backtest: A new Backtest instance representing the combined results.
@@ -49,19 +45,11 @@ def combine_backtests(
 
     for backtest in backtests:
         backtest_metric = None
-        backtest_run = None
+        backtest_run = backtest.backtest_runs[0] \
+            if len(backtest.backtest_runs) > 0 else None
 
-        if backtest_date_range is not None:
-            backtest_metric = \
-                backtest.get_backtest_metrics(backtest_date_range)
-            backtest_run = \
-                backtest.get_backtest_run(backtest_date_range)
-        else:
-            backtest_run = backtest.backtest_runs[0] \
-                if len(backtest.backtest_runs) > 0 else None
-
-            if backtest_run is not None:
-                backtest_metric = backtest_run.backtest_metrics
+        if backtest_run is not None:
+            backtest_metric = backtest_run.backtest_metrics
 
         if backtest_metric is not None:
             backtest_metrics.append(backtest_metric)
@@ -196,16 +184,24 @@ def combine_backtests(
     )
 
     metadata = None
+    risk_free_rate = None
 
     # Get first non-empty metadata
     for backtest in backtests:
         if backtest.metadata:
             metadata = backtest.metadata
             break
 
+    # Get the first risk-free rate
+    for backtest in backtests:
+        if backtest.risk_free_rate is not None:
+            risk_free_rate = backtest.risk_free_rate
+            break
+
     backtest = Backtest(
         backtest_summary=summary,
         metadata=metadata,
+        risk_free_rate=risk_free_rate,
         backtest_runs=backtest_runs
     )
     return backtest