Merge branch 'master' into feature/fix_auto_close

Author: kernc

.flake8

@@ -28,3 +28,5 @@ python code goes here
 <!-- screenshots, code snippets, ... -->
 
 - Backtesting version: 0.?.?   <!-- From backtesting.__version__ -->
+- `bokeh.__version__`:
+- OS:

.github/issue_template.md

@@ -8,62 +8,49 @@ jobs:
   build:
     name: Build
     runs-on: ubuntu-18.04
-
     strategy:
       matrix:
-        python-version: [3.6, 3.7]
+        python-version: [3.7, '3.10']
         include:
-          - python-version: 3.8
+          - python-version: 3.9
             test-type: lint
-          - python-version: 3.8
+          - python-version: 3.9
             test-type: docs
 
     steps:
-      - name: Set up Python ${{ matrix.python-version }}
-        uses: actions/setup-python@v2
+      - uses: actions/setup-python@v4
         with:
           python-version: ${{ matrix.python-version }}
-
-      - uses: actions/cache@v2
-        name: Set up caches
+      - uses: actions/cache@v3
         with:
           path: ~/.cache/pip
           key: ${{ runner.os }}-py${{ matrix.python-version }}
-
-      - name: Checkout repo
-        uses: actions/checkout@v2
+      - uses: actions/checkout@v3
         with:
           fetch-depth: 3
       - name: Fetch tags
         run: git fetch --depth=1 origin +refs/tags/*:refs/tags/*
 
-      - name: Install dependencies
-        run: |
-          pip install -U pip setuptools wheel
-          pip install -U --pre .[test]
-
-      - name: Install lint dependencies
-        if: matrix.test-type == 'lint'
-        run: pip install -U .[dev]
-
-      - name: Install docs dependencies
-        if: matrix.test-type == 'docs'
-        run: pip install -e .[doc,test]  # -e provides _version.py for pdoc
-
-      - name: Test w/ Coverage, Lint
-        if: matrix.test-type == 'lint'
+      - run: pip install -U pip setuptools wheel
+      - if: matrix.test-type == 'lint'
+        run: pip install -U --pre bokeh pandas 'numpy<1.24' && pip install -U .[dev]
+      - if: matrix.test-type == 'docs'
+        run: pip install -e .[doc]  # -e provides _version.py for pdoc
+      - run: pip install -U .[test]
+
+      - if: matrix.test-type == 'lint'
+        run: ruff backtesting
+      - if: matrix.test-type == 'lint'
+        run: mypy backtesting
+      - if: matrix.test-type == 'lint'
         env: { BOKEH_BROWSER: none }
-        run: |
-          flake8
-          mypy backtesting
-          time catchsegv coverage run -m backtesting.test
-          bash <(curl -s https://codecov.io/bash)
+        run: time catchsegv coverage run -m backtesting.test
+      - if: matrix.test-type == 'lint'
+        run: bash <(curl -s https://codecov.io/bash)
 
-      - name: Test
-        if: '! matrix.test-type'
+      - if: '! matrix.test-type'
         env: { BOKEH_BROWSER: none }
         run: time catchsegv python -m backtesting.test
 
-      - name: Test docs
-        if: matrix.test-type == 'docs'
+      - if: matrix.test-type == 'docs'
         run: time catchsegv doc/build.sh

.github/workflows/ci.yml

@@ -3,12 +3,19 @@ What's New
 
 These were the major changes contributing to each release:
 
-=======
 ### 0.x.x
 
-### 0.3.3
 * new param on "run()" to manage if trades should be close at end, or not. (#273)
 
+
+### 0.3.3
+(2021-12-13)
+
+* Fix random generation with recent NumPy.
+* Fix Pandas deprecation warnings.
+* Replace Bokeh 3.0 deprecations.
+
+
 ### 0.3.2
 (2021-08-03)
 

CHANGELOG.md

@@ -10,13 +10,19 @@ have been fixed already.
 To have your issue dealt with promptly, it's best to construct a
 [minimal working example] that exposes the issue in a clear and
 reproducible manner. Make sure to understand
-[how to report bugs effectively][bugs].
+[how to report bugs effectively][bugs] and how to
+[craft useful bug reports][bugs2] in Python.
 
-Show verbatim code in [fenced code blocks], and use the
-preview function!
+In case of bugs, please submit full tracebacks
+
+Wrap verbatim example code/traceback in [fenced code blocks],
+and use the preview function!
+
+Many thanks from the maintainers!
 
 [minimal working example]: https://en.wikipedia.org/wiki/Minimal_working_example
 [bugs]: https://www.chiark.greenend.org.uk/~sgtatham/bugs.html
+[bugs2]: https://matthewrocklin.com/blog/work/2018/02/28/minimal-bug-reports
 [fenced code blocks]: https://www.markdownguide.org/extended-syntax/#fenced-code-blocks
 
 

CONTRIBUTING.md

@@ -10,11 +10,7 @@ Backtesting.py
 
 Backtest trading strategies with Python.
 
-[**Project website**](https://kernc.github.io/backtesting.py)
-
-[Documentation]
-
-[![Star](https://i.imgur.com/LSI6p6O.png)](#top) the project if you use it.
+[**Project website**](https://kernc.github.io/backtesting.py) + [Documentation]
 
 [Documentation]: https://kernc.github.io/backtesting.py/doc/backtesting/
 
@@ -83,6 +79,7 @@ Avg. Trade Duration          32 days 00:00:00
 Profit Factor                            2.13
 Expectancy [%]                           6.91
 SQN                                      1.78
+Kelly Criterion                        0.6134
 _strategy              SmaCross(n1=10, n2=20)
 _equity_curve                          Equ...
 _trades                       Size  EntryB...
@@ -92,6 +89,7 @@ dtype: object
 
 Find more usage examples in the [documentation].
 
+
 Features
 --------
 * Simple, well-documented API
@@ -103,6 +101,17 @@ Features
 * Detailed results
 * Interactive visualizations
 
+![xkcd.com/1570](https://imgs.xkcd.com/comics/engineer_syllogism.png)
+
+
+Bugs
+----
+Before reporting bugs or posting to the
+[discussion board](https://github.com/kernc/backtesting.py/discussions),
+please read [contributing guidelines](CONTRIBUTING.md), particularly the section
+about crafting useful bug reports and ```` ``` ````-fencing your code. We thank you!
+
+
 Alternatives
 ------------
 See [alternatives.md] for a list of alternative Python

README.md

@@ -1,4 +1,7 @@
 """
+
+![xkcd.com/1570](https://imgs.xkcd.com/comics/engineer_syllogism.png)
+
 ## Manuals
 
 * [**Quick Start User Guide**](../examples/Quick Start User Guide.html)
@@ -12,7 +15,7 @@
 
 These tutorials are also available as live Jupyter notebooks:
 [![Binder](https://mybinder.org/badge_logo.svg)][binder]
-[![Google Colab](https://colab.research.google.com/assets/colab-badge.svg)][colab]
+[![Google Colab](https://colab.research.google.com/assets/colab-badge.png)][colab]
 <br>In Colab, you might have to `!pip install backtesting`.
 
 [binder]: \
@@ -50,10 +53,10 @@
 # API Reference Documentation
 """
 try:
-    from ._version import version as __version__  # noqa: F401
+    from ._version import version as __version__
 except ImportError:
     __version__ = '?.?.?'  # Package not installed
 
-from .backtesting import Backtest, Strategy  # noqa: F401
 from . import lib  # noqa: F401
 from ._plotting import set_bokeh_output  # noqa: F401
+from .backtesting import Backtest, Strategy  # noqa: F401

backtesting/__init__.py

@@ -16,7 +16,7 @@
     tomato as BEAR_COLOR
 )
 from bokeh.plotting import figure as _figure
-from bokeh.models import (
+from bokeh.models import (  # type: ignore
     CrosshairTool,
     CustomJS,
     ColumnDataSource,
@@ -25,10 +25,13 @@
     HoverTool,
     Range1d,
     DatetimeTickFormatter,
-    FuncTickFormatter,
     WheelZoomTool,
     LinearColorMapper,
 )
+try:
+    from bokeh.models import CustomJSTickFormatter
+except ImportError:  # Bokeh < 3.0
+    from bokeh.models import FuncTickFormatter as CustomJSTickFormatter  # type: ignore
 from bokeh.io import output_notebook, output_file, show
 from bokeh.io.state import curstate
 from bokeh.layouts import gridplot
@@ -85,7 +88,7 @@ def colorgen():
 def lightness(color, lightness=.94):
     rgb = np.array([color.r, color.g, color.b]) / 255
     h, _, s = rgb_to_hls(*rgb)
-    rgb = np.array(hls_to_rgb(h, lightness, s)) * 255
+    rgb = np.array(hls_to_rgb(h, lightness, s)) * 255.
     return RGB(*rgb)
 
 
@@ -138,10 +141,10 @@ def _weighted_returns(s, trades=trades):
         return ((df['Size'].abs() * df['ReturnPct']) / df['Size'].abs().sum()).sum()
 
     def _group_trades(column):
-        def f(s, new_index=df.index.astype(np.int64), bars=trades[column]):
+        def f(s, new_index=pd.Index(df.index.view(int)), bars=trades[column]):
             if s.size:
                 # Via int64 because on pandas recently broken datetime
-                mean_time = int(bars.loc[s.index].view('i8').mean())
+                mean_time = int(bars.loc[s.index].view(int).mean())
                 new_bar_idx = new_index.get_loc(mean_time, method='nearest')
                 return new_bar_idx
         return f
@@ -209,19 +212,19 @@ def plot(*, results: pd.Series,
     new_bokeh_figure = partial(
         _figure,
         x_axis_type='linear',
-        plot_width=plot_width,
-        plot_height=400,
+        width=plot_width,
+        height=400,
         tools="xpan,xwheel_zoom,box_zoom,undo,redo,reset,save",
         active_drag='xpan',
         active_scroll='xwheel_zoom')
 
     pad = (index[-1] - index[0]) / 20
 
-    fig_ohlc = new_bokeh_figure(
-        x_range=Range1d(index[0], index[-1],
-                        min_interval=10,
-                        bounds=(index[0] - pad,
-                                index[-1] + pad)) if index.size > 1 else None)
+    _kwargs = dict(x_range=Range1d(index[0], index[-1],
+                                   min_interval=10,
+                                   bounds=(index[0] - pad,
+                                           index[-1] + pad))) if index.size > 1 else {}
+    fig_ohlc = new_bokeh_figure(**_kwargs)
     figs_above_ohlc, figs_below_ohlc = [], []
 
     source = ColumnDataSource(df)
@@ -242,10 +245,10 @@ def plot(*, results: pd.Series,
     trades_cmap = factor_cmap('returns_positive', colors_darker, ['0', '1'])
 
     if is_datetime_index:
-        fig_ohlc.xaxis.formatter = FuncTickFormatter(
+        fig_ohlc.xaxis.formatter = CustomJSTickFormatter(
             args=dict(axis=fig_ohlc.xaxis[0],
-                      formatter=DatetimeTickFormatter(days=['%d %b', '%a %d'],
-                                                      months=['%m/%Y', "%b'%y"]),
+                      formatter=DatetimeTickFormatter(days='%a, %d %b',
+                                                      months='%m/%Y'),
                       source=source),
             code='''
 this.labels = this.labels || formatter.doFormat(ticks
@@ -254,7 +257,7 @@ def plot(*, results: pd.Series,
 return this.labels[index] || "";
         ''')
 
-    NBSP = '\N{NBSP}' * 4
+    NBSP = '\N{NBSP}' * 4  # noqa: E999
     ohlc_extreme_values = df[['High', 'Low']].copy(deep=False)
     ohlc_tooltips = [
         ('x, y', NBSP.join(('$index',
@@ -266,7 +269,7 @@ def plot(*, results: pd.Series,
         ('Volume', '@Volume{0,0}')]
 
     def new_indicator_figure(**kwargs):
-        kwargs.setdefault('plot_height', 90)
+        kwargs.setdefault('height', 90)
         fig = new_bokeh_figure(x_range=fig_ohlc.x_range,
                                active_scroll='xwheel_zoom',
                                active_drag='xpan',
@@ -331,7 +334,7 @@ def _plot_equity_section(is_return=False):
         source.add(equity, source_key)
         fig = new_indicator_figure(
             y_axis_label=yaxis_label,
-            **({} if plot_drawdown else dict(plot_height=110)))
+            **({} if plot_drawdown else dict(height=110)))
 
         # High-watermark drawdown dents
         fig.patch('index', 'equity_dd',
@@ -622,7 +625,7 @@ def __eq__(self, other):
     if plot_volume:
         custom_js_args.update(volume_range=fig_volume.y_range)
 
-    fig_ohlc.x_range.js_on_change('end', CustomJS(args=custom_js_args,
+    fig_ohlc.x_range.js_on_change('end', CustomJS(args=custom_js_args,  # type: ignore
                                                   code=_AUTOSCALE_JS_CALLBACK))
 
     plots = figs_above_ohlc + [fig_ohlc] + figs_below_ohlc
@@ -647,7 +650,7 @@ def __eq__(self, other):
 
         f.add_tools(linked_crosshair)
         wheelzoom_tool = next(wz for wz in f.tools if isinstance(wz, WheelZoomTool))
-        wheelzoom_tool.maintain_focus = False
+        wheelzoom_tool.maintain_focus = False  # type: ignore
 
     kwargs = {}
     if plot_width is None:
@@ -659,7 +662,7 @@ def __eq__(self, other):
         toolbar_location='right',
         toolbar_options=dict(logo=None),
         merge_tools=True,
-        **kwargs
+        **kwargs  # type: ignore
     )
     show(fig, browser=None if open_browser else 'none')
     return fig
@@ -694,8 +697,8 @@ def plot_heatmaps(heatmap: pd.Series, agg: Union[Callable, str], ncols: int,
                       y_range=level2,
                       x_axis_label=name1,
                       y_axis_label=name2,
-                      plot_width=plot_width // ncols,
-                      plot_height=plot_width // ncols,
+                      width=plot_width // ncols,
+                      height=plot_width // ncols,
                       tools='box_zoom,reset,save',
                       tooltips=[(name1, '@' + name1),
                                 (name2, '@' + name2),
@@ -716,7 +719,7 @@ def plot_heatmaps(heatmap: pd.Series, agg: Union[Callable, str], ncols: int,
         plots.append(fig)
 
     fig = gridplot(
-        plots,
+        plots,  # type: ignore
         ncols=ncols,
         toolbar_options=dict(logo=None),
         toolbar_location='above',