Initial strategy32 research and live runtime

scripts/run_backtest.py

@@ -0,0 +1,139 @@
+from __future__ import annotations
+
+import argparse
+import json
+import sys
+from pathlib import Path
+
+import pandas as pd
+
+PACKAGE_PARENT = Path(__file__).resolve().parents[2]
+if str(PACKAGE_PARENT) not in sys.path:
+    sys.path.insert(0, str(PACKAGE_PARENT))
+
+from strategy29.backtest.window_analysis import evaluate_window_result, slice_bundle
+from strategy32.backtest.simulator import Strategy32Backtester
+from strategy32.config import PROFILE_V5_BASELINE, PROFILE_V7_DEFAULT, build_strategy32_config
+from strategy32.data import (
+    build_strategy32_market_bundle_from_specs,
+    build_strategy32_price_frames_from_specs,
+    resolve_strategy32_pair_specs,
+)
+
+
+DEFAULT_WINDOWS = [365, 1095, 1825]
+
+
+def _slice_price_frames(
+    prices: dict[str, pd.DataFrame],
+    start: pd.Timestamp,
+    end: pd.Timestamp,
+) -> dict[str, pd.DataFrame]:
+    sliced: dict[str, pd.DataFrame] = {}
+    for symbol, df in prices.items():
+        frame = df.loc[(df["timestamp"] >= start) & (df["timestamp"] <= end)].copy()
+        if not frame.empty:
+            sliced[symbol] = frame.reset_index(drop=True)
+    return sliced
+
+
+def parse_args() -> argparse.Namespace:
+    parser = argparse.ArgumentParser(description="Run Strategy32 backtest on Binance data")
+    parser.add_argument("--profile", default=PROFILE_V7_DEFAULT, choices=[PROFILE_V5_BASELINE, PROFILE_V7_DEFAULT])
+    parser.add_argument("--symbols", default="")
+    parser.add_argument("--windows", default=",".join(str(days) for days in DEFAULT_WINDOWS))
+    parser.add_argument("--warmup-days", type=int, default=90)
+    parser.add_argument("--timeframe", default="4h")
+    parser.add_argument("--out", default="/tmp/strategy32_backtest_v0.json")
+    return parser.parse_args()
+
+
+def main() -> None:
+    args = parse_args()
+    strategy_config = build_strategy32_config(args.profile)
+    if args.symbols:
+        strategy_config.symbols = [symbol.strip().upper() for symbol in args.symbols.split(",") if symbol.strip()]
+        strategy_config.auto_discover_symbols = False
+    strategy_config.timeframe = args.timeframe
+    strategy_config.warmup_days = args.warmup_days
+    windows = [int(token.strip()) for token in args.windows.split(",") if token.strip()]
+
+    end = pd.Timestamp.utcnow()
+    if end.tzinfo is None:
+        end = end.tz_localize("UTC")
+    else:
+        end = end.tz_convert("UTC")
+    start = end - pd.Timedelta(days=max(windows) + strategy_config.warmup_days + 14)
+
+    specs = resolve_strategy32_pair_specs(
+        symbols=strategy_config.symbols,
+        auto_discover_symbols=strategy_config.auto_discover_symbols,
+        quote_assets=strategy_config.quote_assets,
+        excluded_base_assets=strategy_config.excluded_base_assets,
+        min_quote_volume_24h=strategy_config.discovery_min_quote_volume_24h,
+    )
+    bundle, latest_completed_bar, accepted_symbols, rejected_symbols, quote_by_symbol = build_strategy32_market_bundle_from_specs(
+        specs=specs,
+        start=start,
+        end=end,
+        timeframe=strategy_config.timeframe,
+        max_staleness_days=strategy_config.max_symbol_staleness_days,
+    )
+    accepted_specs = [spec for spec in specs if spec.base_symbol in set(accepted_symbols)]
+    execution_prices, _, execution_accepted, execution_rejected, _ = build_strategy32_price_frames_from_specs(
+        specs=accepted_specs,
+        start=start,
+        end=end,
+        timeframe=strategy_config.execution_refinement_timeframe,
+        max_staleness_days=strategy_config.max_symbol_staleness_days,
+    )
+
+    results = {}
+    for days in windows:
+        label = "1y" if days == 365 else "3y" if days == 1095 else "5y" if days == 1825 else f"{days}d"
+        eval_end = latest_completed_bar
+        eval_start = eval_end - pd.Timedelta(days=days)
+        raw_start = eval_start - pd.Timedelta(days=strategy_config.warmup_days)
+        sliced = slice_bundle(bundle, raw_start, eval_end)
+        execution_slice = _slice_price_frames(
+            execution_prices,
+            raw_start - pd.Timedelta(hours=24),
+            eval_end,
+        )
+        result = Strategy32Backtester(
+            strategy_config,
+            sliced,
+            trade_start=eval_start,
+            execution_prices=execution_slice,
+        ).run()
+        metrics = evaluate_window_result(result, eval_start=eval_start, bars_per_day=6)
+        metrics["engine_pnl"] = result.engine_pnl
+        metrics["total_trades"] = result.total_trades
+        metrics["rejection_summary"] = result.metadata.get("rejection_summary", {})
+        results[label] = metrics
+
+    payload = {
+        "strategy": "strategy32",
+        "profile": args.profile,
+        "auto_discover_symbols": strategy_config.auto_discover_symbols,
+        "latest_completed_bar": str(latest_completed_bar),
+        "warmup_days": strategy_config.warmup_days,
+        "requested_symbols": [] if strategy_config.auto_discover_symbols else strategy_config.symbols,
+        "accepted_symbols": accepted_symbols,
+        "rejected_symbols": rejected_symbols,
+        "execution_refinement_timeframe": strategy_config.execution_refinement_timeframe,
+        "execution_refinement_symbols": execution_accepted,
+        "execution_refinement_rejected": execution_rejected,
+        "quote_by_symbol": quote_by_symbol,
+        "timeframe": strategy_config.timeframe,
+        "results": results,
+    }
+    target = Path(args.out)
+    target.parent.mkdir(parents=True, exist_ok=True)
+    target.write_text(json.dumps(payload, indent=2), encoding="utf-8")
+    print(json.dumps(payload, indent=2))
+    print(f"Wrote {target}")
+
+
+if __name__ == "__main__":
+    main()