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