Harwinder
6d235061b9
- data_provider: new fetch_historical() that paginates /time_series in 5000-bar chunks (1 credit/chunk) for arbitrary date ranges. Tolerates the API's "no data on specified dates" boundary error gracefully when prior chunks succeeded — that error is just the marker that we walked past the symbol's earliest available bar. - seed_history.py: one-shot CLI that downloads OHLCV for the configured pairs/TFs into history/<PAIR>_<TF>.csv. Skips existing files unless --force. - backtest.py: walk-forward replay through SignalAggregator with strict no-look-ahead semantics. Each bar is only visible to the engine after it has fully closed (`df.index + interval <= as_of`). Trade simulation is first-touch (SL vs TP1) with worst-case (SL first if both touched same bar), spread cost deducted from R, max-hold timeout, no-overlap. Reports per-grade win-rate / avg-R / profit-factor / max-DD, plus optional matplotlib equity + by-grade plots. - requirements: add matplotlib (lazy-imported, only needed for --plot). - .gitignore: history/ and backtest_results/ regenerable, kept untracked. Co-Authored-By: Claude Opus 4.7 <noreply@anthropic.com>
713 lines
26 KiB
Python
713 lines
26 KiB
Python
#!/usr/bin/env python3
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"""
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Walk-forward backtest harness for the Forex signal engine.
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Replays historical OHLCV (loaded from history/<PAIR>_<TF>.csv) through
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the existing SignalAggregator with strict no-look-ahead semantics: at
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each primary-TF bar close, the engine sees only bars that have *fully
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closed by that moment* — never the bar still in formation.
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Trade simulation: first-touch (SL vs TP1) on the primary timeframe,
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worst-case if both touched in the same bar (assume SL first), with
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per-pip spread cost deducted from the final R-multiple.
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Outputs:
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backtest_results/trades.csv — every simulated trade
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backtest_results/summary.txt — per-grade win rate / avg R / PF
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backtest_results/equity.png — cumulative R curve (if --plot)
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backtest_results/by_grade.png — win rate by grade (if --plot)
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Usage:
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python backtest.py --primary M15 --pairs EURUSD
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python backtest.py --primary H1 --pairs EURUSD GBPUSD USDJPY --plot
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python backtest.py --primary M15 --grades A+ A
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"""
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from __future__ import annotations
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import argparse
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import logging
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import sys
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from dataclasses import dataclass, field
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from pathlib import Path
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from typing import Dict, List, Optional, Tuple
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import pandas as pd
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from config import PlatformConfig, SignalStrength, Timeframe, MAJOR_PAIRS
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from data_provider import DataUnavailableError, ForexDataProvider
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from signal_aggregator import SignalAggregator, SignalReport
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logger = logging.getLogger(__name__)
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HISTORY_DIR = Path("history")
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RESULTS_DIR = Path("backtest_results")
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_TF_MAP = {
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"M1": Timeframe.M1, "M5": Timeframe.M5,
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"M15": Timeframe.M15, "M30": Timeframe.M30,
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"H1": Timeframe.H1, "H4": Timeframe.H4,
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"D1": Timeframe.D1, "W1": Timeframe.W1,
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}
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_TF_INTERVAL = {
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Timeframe.M1: pd.Timedelta(minutes=1),
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Timeframe.M5: pd.Timedelta(minutes=5),
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Timeframe.M15: pd.Timedelta(minutes=15),
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Timeframe.M30: pd.Timedelta(minutes=30),
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Timeframe.H1: pd.Timedelta(hours=1),
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Timeframe.H4: pd.Timedelta(hours=4),
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Timeframe.D1: pd.Timedelta(days=1),
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Timeframe.W1: pd.Timedelta(weeks=1),
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}
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# Confirmation TFs per primary — same shape Telegram bot uses
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_TF_CONFIRMATIONS: Dict[Timeframe, List[Timeframe]] = {
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Timeframe.M15: [Timeframe.H1, Timeframe.D1],
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Timeframe.M30: [Timeframe.H1, Timeframe.D1],
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Timeframe.H1: [Timeframe.M15, Timeframe.D1],
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Timeframe.H4: [Timeframe.H1, Timeframe.D1],
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Timeframe.D1: [Timeframe.H4],
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}
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# ══════════════════════════════════════════════════════════════════════
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# Stub news engine (no historical news data — returns neutral)
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# ══════════════════════════════════════════════════════════════════════
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class _StubFundamentalContext:
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"""Placeholder — backtest doesn't replay news, so context is empty."""
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pass
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class StubNewsEngine:
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"""
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Drop-in for `NewsEngine` in backtest mode. Returns neutral sentiment
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and 'clear' event risk for every call. The signal aggregator's news
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adjustments thus become no-ops, isolating the test to pure technicals.
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"""
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def get_fundamental_context(self):
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return _StubFundamentalContext()
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def get_event_risk_level(self, symbol, context):
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return ("clear", "")
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def get_pair_sentiment(self, symbol, context):
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return (0.0, "")
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# ══════════════════════════════════════════════════════════════════════
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# Backtest data provider (slices history at "as of" timestamp)
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# ══════════════════════════════════════════════════════════════════════
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class BacktestProvider(ForexDataProvider):
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"""
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Replaces network fetches with in-memory slices of preloaded OHLCV.
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`set_time(ts)` sets the cut-off; `fetch_ohlcv` returns only bars whose
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*close* time is ≤ ts. Bars that are still in formation (open ≤ ts but
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close > ts) are excluded — this is the no-look-ahead guarantee.
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"""
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def __init__(
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self,
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config: PlatformConfig,
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history: Dict[Tuple[str, Timeframe], pd.DataFrame],
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):
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super().__init__(config)
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self._history = history
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self._current_ts: Optional[pd.Timestamp] = None
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def set_time(self, ts: pd.Timestamp) -> None:
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if ts.tzinfo is None:
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ts = ts.tz_localize("UTC")
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self._current_ts = ts
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def fetch_ohlcv(
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self,
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symbol: str,
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timeframe: Timeframe,
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lookback_days: Optional[int] = None,
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) -> pd.DataFrame:
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df = self._history.get((symbol, timeframe))
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if df is None:
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raise DataUnavailableError(
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f"No history loaded for {symbol} {timeframe.value}. "
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f"Run seed_history.py with --tfs including this TF."
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)
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if self._current_ts is not None:
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interval = _TF_INTERVAL[timeframe]
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df = df[df.index + interval <= self._current_ts]
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if df.empty:
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raise DataUnavailableError(
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f"No bars before {self._current_ts} for {symbol} {timeframe.value}"
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)
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return df
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def prefetch_batch(self, symbols, timeframes, lookback_days=None):
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return # no-op: data is in memory
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def get_spread_estimate(self, symbol: str) -> float:
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# Backtest doesn't need a live spread estimate; return a fixed value
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# so the aggregator's spread field is filled but does not affect SL/TP.
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return 0.0
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# ══════════════════════════════════════════════════════════════════════
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# History loader
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# ══════════════════════════════════════════════════════════════════════
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def load_history(
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pairs: List[str],
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timeframes: List[Timeframe],
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history_dir: Path = HISTORY_DIR,
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) -> Dict[Tuple[str, Timeframe], pd.DataFrame]:
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"""
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Load CSVs produced by seed_history.py into a dict keyed by (symbol, tf).
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Drops CSVs that are missing — caller decides whether to abort or continue
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with reduced TF coverage.
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"""
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history: Dict[Tuple[str, Timeframe], pd.DataFrame] = {}
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missing: List[str] = []
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for symbol in pairs:
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for tf in timeframes:
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csv_p = history_dir / f"{symbol.replace('=X', '')}_{tf.value}.csv"
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if not csv_p.exists():
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missing.append(str(csv_p))
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continue
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df = pd.read_csv(csv_p, index_col="Datetime", parse_dates=["Datetime"])
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if df.index.tz is None:
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df.index = df.index.tz_localize("UTC")
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history[(symbol, tf)] = df.sort_index()
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logger.info(
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f"loaded {symbol} {tf.value}: {len(df):,} bars "
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f"({df.index.min().date()} → {df.index.max().date()})"
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)
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if missing:
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logger.warning(f"missing CSVs ({len(missing)}): {missing[:5]}…")
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return history
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# ══════════════════════════════════════════════════════════════════════
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# Trade record + first-touch simulator
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# ══════════════════════════════════════════════════════════════════════
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@dataclass
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class Trade:
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symbol: str
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pair_display: str
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primary_tf: str
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grade: str
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direction: str
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entry_time: pd.Timestamp
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entry_price: float
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sl: float
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tp1: float
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tp2: float
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risk_pips: float
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reward_pips: float
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score: float
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confidence: float
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regime: str
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mtf_aligned: bool
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# Filled by simulation
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exit_time: Optional[pd.Timestamp] = None
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exit_price: float = 0.0
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outcome: str = "OPEN" # WIN_TP1, LOSS_SL, TIMEOUT, INVALID
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bars_held: int = 0
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r_multiple: float = 0.0 # net R after spread cost
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def simulate_trade(
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trade: Trade,
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forward_bars: pd.DataFrame,
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max_bars: int,
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spread_pips: float,
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) -> Trade:
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"""
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First-touch simulation on the primary timeframe.
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Conservatives:
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- If both SL and TP1 touch within the same bar, assume SL first.
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- Spread cost (entry + exit round-trip) is deducted from final R.
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- TP2 is recorded but not used in this baseline simulation — we cap at
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TP1 to keep the R-multiple math clean. Extend with breakeven-trail
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management later if needed.
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"""
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if trade.risk_pips <= 0:
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trade.outcome = "INVALID"
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return trade
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spread_r = spread_pips / trade.risk_pips
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bars_examined = 0
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for ts, bar in forward_bars.iterrows():
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bars_examined += 1
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if bars_examined > max_bars:
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break
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bar_high = bar["High"]
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bar_low = bar["Low"]
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if trade.direction == "BUY":
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sl_hit = bar_low <= trade.sl
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tp_hit = bar_high >= trade.tp1
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else:
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sl_hit = bar_high >= trade.sl
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tp_hit = bar_low <= trade.tp1
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if sl_hit:
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trade.outcome = "LOSS_SL"
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trade.exit_time = ts
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trade.exit_price = trade.sl
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trade.bars_held = bars_examined
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trade.r_multiple = -1.0 - spread_r
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return trade
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if tp_hit:
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trade.outcome = "WIN_TP1"
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trade.exit_time = ts
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trade.exit_price = trade.tp1
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trade.bars_held = bars_examined
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# TP1 sits at risk × RR away from entry → R = reward_pips / risk_pips
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trade.r_multiple = (trade.reward_pips / trade.risk_pips) - spread_r
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return trade
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# Timeout — exit at last seen close
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if bars_examined == 0:
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trade.outcome = "INVALID"
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return trade
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last_idx = bars_examined - 1
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last = forward_bars.iloc[last_idx]
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last_ts = forward_bars.index[last_idx]
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if trade.direction == "BUY":
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pnl_price = last["Close"] - trade.entry_price
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else:
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pnl_price = trade.entry_price - last["Close"]
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sl_distance_price = abs(trade.entry_price - trade.sl)
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pnl_r = pnl_price / sl_distance_price if sl_distance_price > 0 else 0.0
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trade.outcome = "TIMEOUT"
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trade.exit_time = last_ts
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trade.exit_price = float(last["Close"])
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trade.bars_held = bars_examined
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trade.r_multiple = pnl_r - spread_r
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return trade
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# ══════════════════════════════════════════════════════════════════════
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# Backtester (the replay loop)
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# ══════════════════════════════════════════════════════════════════════
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class Backtester:
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def __init__(
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self,
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primary_tf: Timeframe,
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pairs: List[str],
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history: Dict[Tuple[str, Timeframe], pd.DataFrame],
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target_grades: List[str],
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max_hold_bars: int = 100,
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spread_pips: float = 1.0,
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warmup_bars: int = 250,
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):
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self.primary_tf = primary_tf
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self.pairs = pairs
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self.history = history
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self.target_grades = set(target_grades)
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self.max_hold_bars = max_hold_bars
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self.spread_pips = spread_pips
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self.warmup_bars = warmup_bars
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self.confirmation_tfs = _TF_CONFIRMATIONS.get(primary_tf, [])
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def _build_config(self, symbol: str) -> PlatformConfig:
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cfg = PlatformConfig()
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cfg.primary_timeframe = self.primary_tf
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cfg.confirmation_timeframes = list(self.confirmation_tfs)
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cfg.watch_pairs = [symbol]
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return cfg
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def _make_aggregator(self, config: PlatformConfig, provider: BacktestProvider) -> SignalAggregator:
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agg = SignalAggregator(config, data_provider=provider)
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# Replace live news engine with neutral stub (no historical news data)
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agg.news_engine = StubNewsEngine()
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return agg
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def run(self) -> List[Trade]:
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trades: List[Trade] = []
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provider = BacktestProvider(PlatformConfig(), self.history)
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for symbol in self.pairs:
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primary_df = self.history.get((symbol, self.primary_tf))
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if primary_df is None or primary_df.empty:
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logger.warning(f"{symbol}: no primary {self.primary_tf.value} data, skipping")
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continue
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config = self._build_config(symbol)
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aggregator = self._make_aggregator(config, provider)
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interval = _TF_INTERVAL[self.primary_tf]
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timestamps = primary_df.index
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n_total = len(timestamps)
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print(f"\n📊 {symbol} {self.primary_tf.value}: "
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f"{n_total:,} bars, warmup={self.warmup_bars}")
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open_until: Optional[pd.Timestamp] = None # block overlapping entries
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n_signals = 0
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for i, bar_open_ts in enumerate(timestamps):
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if i < self.warmup_bars:
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continue
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if open_until is not None and bar_open_ts < open_until:
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continue # previous trade still open — skip
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# Run engine "as if it's now this bar's close"
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bar_close_ts = bar_open_ts + interval
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provider.set_time(bar_close_ts)
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try:
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report = aggregator.analyze_pair(symbol)
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except DataUnavailableError:
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continue
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except Exception as e:
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logger.debug(f"engine error at {bar_open_ts}: {e}")
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continue
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if report.signal_quality not in self.target_grades:
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continue
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if report.trade_setup is None:
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continue
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if report.final_signal == SignalStrength.NEUTRAL:
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continue
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ts = report.trade_setup
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trade = Trade(
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symbol = symbol,
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pair_display = report.display_name,
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primary_tf = self.primary_tf.value,
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grade = report.signal_quality,
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direction = ts.direction,
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entry_time = bar_open_ts,
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entry_price = ts.entry_price,
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sl = ts.stop_loss,
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tp1 = ts.take_profit_1,
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tp2 = ts.take_profit_2,
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risk_pips = ts.risk_pips,
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reward_pips = ts.reward_pips,
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score = report.final_score,
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confidence = report.final_confidence,
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regime = report.market_regime,
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mtf_aligned = report.mtf_agreement,
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)
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# Forward window for simulation
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forward = primary_df.iloc[i + 1 : i + 1 + self.max_hold_bars]
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if forward.empty:
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continue
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trade = simulate_trade(
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trade,
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forward,
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max_bars=self.max_hold_bars,
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spread_pips=self.spread_pips,
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)
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trades.append(trade)
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n_signals += 1
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if trade.exit_time is not None:
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open_until = trade.exit_time
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if n_signals % 25 == 0:
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print(f" [{i:>6}/{n_total}] {n_signals} trades so far "
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f"(latest: {trade.grade} {trade.direction} {trade.outcome} "
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f"R={trade.r_multiple:+.2f})")
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print(f" ✅ {symbol}: {n_signals} trades")
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return trades
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# ══════════════════════════════════════════════════════════════════════
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# Reporting
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# ══════════════════════════════════════════════════════════════════════
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def trades_to_dataframe(trades: List[Trade]) -> pd.DataFrame:
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rows = [
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{
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"entry_time": t.entry_time,
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"exit_time": t.exit_time,
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"symbol": t.symbol,
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"pair": t.pair_display,
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"tf": t.primary_tf,
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"grade": t.grade,
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"direction": t.direction,
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"entry": t.entry_price,
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"sl": t.sl,
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"tp1": t.tp1,
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"exit_price": t.exit_price,
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"outcome": t.outcome,
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"bars_held": t.bars_held,
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"r_multiple": t.r_multiple,
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"score": t.score,
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"confidence": t.confidence,
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"regime": t.regime,
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"mtf_aligned": t.mtf_aligned,
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"risk_pips": t.risk_pips,
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"reward_pips": t.reward_pips,
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}
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for t in trades
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]
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return pd.DataFrame(rows)
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def summarize(df: pd.DataFrame) -> str:
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"""Per-grade win rate / average R / profit factor summary."""
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if df.empty:
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return "No trades recorded."
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lines: List[str] = []
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lines.append("=" * 78)
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lines.append(f"BACKTEST SUMMARY ({len(df)} trades)")
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lines.append(f" Date range: {df['entry_time'].min()} → {df['entry_time'].max()}")
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lines.append("=" * 78)
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lines.append("")
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overall = _grade_block("ALL", df)
|
||
lines.append(overall)
|
||
lines.append("")
|
||
|
||
for grade in ["A+", "A", "B", "C", "D"]:
|
||
sub = df[df["grade"] == grade]
|
||
if sub.empty:
|
||
continue
|
||
lines.append(_grade_block(grade, sub))
|
||
lines.append("")
|
||
|
||
# Per-pair breakdown
|
||
lines.append("─" * 78)
|
||
lines.append("PER-PAIR SUMMARY")
|
||
lines.append("─" * 78)
|
||
by_pair = df.groupby("pair").agg(
|
||
trades=("r_multiple", "count"),
|
||
win_rate=("r_multiple", lambda s: (s > 0).mean() * 100),
|
||
avg_r=("r_multiple", "mean"),
|
||
total_r=("r_multiple", "sum"),
|
||
).round(2)
|
||
lines.append(by_pair.to_string())
|
||
lines.append("")
|
||
|
||
# Per-direction
|
||
lines.append("─" * 78)
|
||
lines.append("BY DIRECTION")
|
||
lines.append("─" * 78)
|
||
by_dir = df.groupby("direction").agg(
|
||
trades=("r_multiple", "count"),
|
||
win_rate=("r_multiple", lambda s: (s > 0).mean() * 100),
|
||
avg_r=("r_multiple", "mean"),
|
||
).round(2)
|
||
lines.append(by_dir.to_string())
|
||
lines.append("")
|
||
|
||
return "\n".join(lines)
|
||
|
||
|
||
def _grade_block(label: str, sub: pd.DataFrame) -> str:
|
||
n = len(sub)
|
||
wins = (sub["r_multiple"] > 0).sum()
|
||
losses = (sub["r_multiple"] <= 0).sum()
|
||
win_rate = wins / n * 100 if n else 0.0
|
||
avg_r = sub["r_multiple"].mean()
|
||
sum_r = sub["r_multiple"].sum()
|
||
|
||
gross_win = sub.loc[sub["r_multiple"] > 0, "r_multiple"].sum()
|
||
gross_loss = -sub.loc[sub["r_multiple"] <= 0, "r_multiple"].sum()
|
||
profit_factor = (gross_win / gross_loss) if gross_loss > 0 else float("inf")
|
||
|
||
# Equity-curve drawdown (in R)
|
||
cum = sub["r_multiple"].cumsum()
|
||
running_peak = cum.cummax()
|
||
drawdown = (cum - running_peak).min()
|
||
|
||
return (
|
||
f"{label:>4}: {n:>4} trades | "
|
||
f"win {win_rate:5.1f}% ({wins}W/{losses}L) | "
|
||
f"avg R {avg_r:+.3f} | total R {sum_r:+.2f} | "
|
||
f"PF {profit_factor:.2f} | maxDD {drawdown:.2f}R"
|
||
)
|
||
|
||
|
||
def plot_results(df: pd.DataFrame, out_dir: Path) -> None:
|
||
"""Generate equity curve and per-grade bar chart. Requires matplotlib."""
|
||
try:
|
||
import matplotlib
|
||
matplotlib.use("Agg") # headless
|
||
import matplotlib.pyplot as plt
|
||
except ImportError:
|
||
print("⚠️ matplotlib not installed — skipping plots. "
|
||
"pip install matplotlib")
|
||
return
|
||
|
||
if df.empty:
|
||
return
|
||
|
||
df = df.sort_values("entry_time").reset_index(drop=True)
|
||
df["cum_r"] = df["r_multiple"].cumsum()
|
||
|
||
# Equity curve
|
||
fig, ax = plt.subplots(figsize=(11, 5))
|
||
ax.plot(df["entry_time"], df["cum_r"], linewidth=1.5)
|
||
ax.axhline(0, color="gray", linewidth=0.5)
|
||
ax.fill_between(df["entry_time"], df["cum_r"], 0,
|
||
where=df["cum_r"] >= 0, alpha=0.2, color="green")
|
||
ax.fill_between(df["entry_time"], df["cum_r"], 0,
|
||
where=df["cum_r"] < 0, alpha=0.2, color="red")
|
||
ax.set_title(f"Cumulative R ({len(df)} trades, total {df['cum_r'].iloc[-1]:+.2f}R)")
|
||
ax.set_xlabel("Trade entry time")
|
||
ax.set_ylabel("Cumulative R (1R = risked amount per trade)")
|
||
ax.grid(True, alpha=0.3)
|
||
fig.tight_layout()
|
||
fig.savefig(out_dir / "equity.png", dpi=120)
|
||
plt.close(fig)
|
||
|
||
# Win rate by grade
|
||
grades = ["A+", "A", "B", "C", "D"]
|
||
grade_stats = []
|
||
for g in grades:
|
||
sub = df[df["grade"] == g]
|
||
if sub.empty:
|
||
continue
|
||
wr = (sub["r_multiple"] > 0).mean() * 100
|
||
avg_r = sub["r_multiple"].mean()
|
||
grade_stats.append((g, len(sub), wr, avg_r))
|
||
|
||
if grade_stats:
|
||
fig, (ax1, ax2) = plt.subplots(1, 2, figsize=(11, 4.5))
|
||
labels = [f"{g}\n(n={n})" for g, n, _, _ in grade_stats]
|
||
wrs = [w for _, _, w, _ in grade_stats]
|
||
avgs = [r for _, _, _, r in grade_stats]
|
||
|
||
ax1.bar(labels, wrs, color=["#16a34a", "#22c55e", "#84cc16", "#eab308", "#f97316"][:len(labels)])
|
||
ax1.axhline(50, linestyle="--", color="gray", linewidth=0.8)
|
||
ax1.set_ylabel("Win rate (%)")
|
||
ax1.set_title("Win rate by grade")
|
||
for i, w in enumerate(wrs):
|
||
ax1.text(i, w + 1, f"{w:.0f}%", ha="center", fontsize=9)
|
||
|
||
ax2.bar(labels, avgs, color=["#16a34a", "#22c55e", "#84cc16", "#eab308", "#f97316"][:len(labels)])
|
||
ax2.axhline(0, color="black", linewidth=0.5)
|
||
ax2.set_ylabel("Average R per trade")
|
||
ax2.set_title("Average R by grade")
|
||
for i, a in enumerate(avgs):
|
||
ax2.text(i, a + (0.02 if a >= 0 else -0.05), f"{a:+.2f}",
|
||
ha="center", fontsize=9)
|
||
|
||
fig.tight_layout()
|
||
fig.savefig(out_dir / "by_grade.png", dpi=120)
|
||
plt.close(fig)
|
||
|
||
|
||
# ══════════════════════════════════════════════════════════════════════
|
||
# CLI
|
||
# ══════════════════════════════════════════════════════════════════════
|
||
|
||
def main() -> int:
|
||
parser = argparse.ArgumentParser(
|
||
description="Walk-forward backtest of the Forex signal engine.",
|
||
)
|
||
parser.add_argument("--primary", default="M15",
|
||
help="Primary timeframe (default M15)")
|
||
parser.add_argument("--pairs", nargs="+", default=None,
|
||
help="Pairs to test (default: all majors)")
|
||
parser.add_argument("--grades", nargs="+", default=["A+", "A"],
|
||
help='Grades to take (default "A+ A")')
|
||
parser.add_argument("--history-dir", default=str(HISTORY_DIR))
|
||
parser.add_argument("--out-dir", default=str(RESULTS_DIR))
|
||
parser.add_argument("--max-hold-bars", type=int, default=100,
|
||
help="Max bars to hold a trade before timeout (default 100)")
|
||
parser.add_argument("--spread-pips", type=float, default=1.0,
|
||
help="Round-trip spread cost in pips (default 1.0)")
|
||
parser.add_argument("--warmup-bars", type=int, default=250,
|
||
help="Bars to skip at start so indicators stabilize (default 250)")
|
||
parser.add_argument("--plot", action="store_true",
|
||
help="Generate equity / by-grade PNGs (needs matplotlib)")
|
||
parser.add_argument("-v", "--verbose", action="store_true")
|
||
args = parser.parse_args()
|
||
|
||
logging.basicConfig(
|
||
level=logging.INFO if args.verbose else logging.WARNING,
|
||
format="%(asctime)s [%(levelname)s] %(message)s",
|
||
datefmt="%H:%M:%S",
|
||
)
|
||
|
||
primary_tf = _TF_MAP[args.primary.upper()]
|
||
confirmations = _TF_CONFIRMATIONS.get(primary_tf, [])
|
||
needed_tfs = [primary_tf] + confirmations
|
||
|
||
pairs = args.pairs if args.pairs else MAJOR_PAIRS
|
||
pairs = [p if p.endswith("=X") else f"{p}=X" for p in pairs]
|
||
|
||
history_dir = Path(args.history_dir)
|
||
out_dir = Path(args.out_dir)
|
||
out_dir.mkdir(parents=True, exist_ok=True)
|
||
|
||
print(f"🔬 Backtest: primary={primary_tf.value} "
|
||
f"confirmations={[t.value for t in confirmations]}")
|
||
print(f" Pairs: {[p.replace('=X','') for p in pairs]}")
|
||
print(f" Grades: {args.grades}")
|
||
print(f" History dir: {history_dir}/")
|
||
print(f" Results dir: {out_dir}/")
|
||
print()
|
||
|
||
history = load_history(pairs, needed_tfs, history_dir=history_dir)
|
||
if not history:
|
||
print(f"❌ No history loaded from {history_dir}/. "
|
||
f"Run: python seed_history.py --tfs {' '.join(t.value for t in needed_tfs)}")
|
||
return 1
|
||
|
||
bt = Backtester(
|
||
primary_tf = primary_tf,
|
||
pairs = pairs,
|
||
history = history,
|
||
target_grades = args.grades,
|
||
max_hold_bars = args.max_hold_bars,
|
||
spread_pips = args.spread_pips,
|
||
warmup_bars = args.warmup_bars,
|
||
)
|
||
|
||
trades = bt.run()
|
||
|
||
if not trades:
|
||
print("\n❌ No trades emitted. Try lowering --grades (e.g., 'B') or "
|
||
"check that primary+confirmation TFs are in history/.")
|
||
return 0
|
||
|
||
df = trades_to_dataframe(trades)
|
||
df.to_csv(out_dir / "trades.csv", index=False)
|
||
|
||
summary = summarize(df)
|
||
(out_dir / "summary.txt").write_text(summary)
|
||
|
||
print("\n" + summary)
|
||
print(f"\n📁 trades.csv → {out_dir/'trades.csv'}")
|
||
print(f"📁 summary.txt → {out_dir/'summary.txt'}")
|
||
|
||
if args.plot:
|
||
plot_results(df, out_dir)
|
||
print(f"📈 equity.png → {out_dir/'equity.png'}")
|
||
print(f"📈 by_grade.png → {out_dir/'by_grade.png'}")
|
||
|
||
return 0
|
||
|
||
|
||
if __name__ == "__main__":
|
||
sys.exit(main())
|