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import asyncio
import sys
from decimal import Decimal
from pathlib import Path
import click
# Add service source paths so we can import strategy-engine and backtester
_ROOT = Path(__file__).resolve().parents[5]
sys.path.insert(0, str(_ROOT / "services" / "strategy-engine" / "src"))
sys.path.insert(0, str(_ROOT / "services" / "strategy-engine"))
sys.path.insert(0, str(_ROOT / "services" / "backtester" / "src"))
@click.group()
def backtest():
"""Backtesting commands."""
pass
@backtest.command()
@click.option("--strategy", required=True, help="Strategy name to backtest")
@click.option("--symbol", required=True, help="Trading symbol (e.g. AAPL)")
@click.option("--timeframe", default="1h", show_default=True, help="Candle timeframe")
@click.option("--balance", default=10000.0, show_default=True, help="Initial balance in USD")
@click.option(
"--output",
"output_format",
type=click.Choice(["text", "csv", "json"]),
default="text",
show_default=True,
help="Output format",
)
@click.option("--file", "file_path", default=None, help="Save output to file")
def run(strategy, symbol, timeframe, balance, output_format, file_path):
"""Run a backtest for a strategy."""
try:
from strategy_engine.plugin_loader import load_strategies
from backtester.engine import BacktestEngine
from backtester.reporter import format_report, export_csv, export_json
from shared.db import Database
from shared.config import Settings
from shared.models import Candle
except ImportError as e:
click.echo(f"Error: Could not import required modules: {e}", err=True)
sys.exit(1)
strategies_dir = _ROOT / "services" / "strategy-engine" / "strategies"
strategies = load_strategies(strategies_dir)
matched = [s for s in strategies if s.name == strategy]
if not matched:
available = [s.name for s in strategies]
click.echo(f"Error: Strategy '{strategy}' not found. Available: {available}", err=True)
sys.exit(1)
strat = matched[0]
async def _run():
settings = Settings()
db = Database(settings.database_url.get_secret_value())
await db.connect()
try:
candle_rows = await db.get_candles(symbol, timeframe, limit=500)
if not candle_rows:
click.echo(f"Error: No candles found for {symbol} {timeframe}", err=True)
sys.exit(1)
candles = []
for row in reversed(candle_rows): # get_candles returns DESC, we need ASC
candles.append(
Candle(
symbol=row["symbol"],
timeframe=row["timeframe"],
open_time=row["open_time"],
open=row["open"],
high=row["high"],
low=row["low"],
close=row["close"],
volume=row["volume"],
)
)
engine = BacktestEngine(strat, Decimal(str(balance)))
result = engine.run(candles)
if output_format == "csv":
output = export_csv(result)
elif output_format == "json":
output = export_json(result)
else:
output = format_report(result)
if file_path:
Path(file_path).write_text(output)
click.echo(f"Report saved to {file_path}")
else:
click.echo(output)
finally:
await db.close()
asyncio.run(_run())
@backtest.command("walk-forward")
@click.option("--strategy", required=True, help="Strategy name")
@click.option("--symbol", required=True, help="Trading symbol")
@click.option("--timeframe", default="1h", show_default=True, help="Candle timeframe")
@click.option("--balance", default=10000.0, show_default=True, help="Initial balance")
@click.option("--windows", default=5, show_default=True, help="Number of walk-forward windows")
def walk_forward(strategy, symbol, timeframe, balance, windows):
"""Run walk-forward analysis to detect overfitting."""
try:
from strategy_engine.plugin_loader import load_strategies
from backtester.walk_forward import WalkForwardEngine
from shared.db import Database
from shared.config import Settings
from shared.models import Candle
except ImportError as e:
click.echo(f"Error: Could not import required modules: {e}", err=True)
sys.exit(1)
strategies_dir = _ROOT / "services" / "strategy-engine" / "strategies"
strategies = load_strategies(strategies_dir)
matched = [s for s in strategies if s.name == strategy]
if not matched:
click.echo(f"Error: Strategy '{strategy}' not found.", err=True)
sys.exit(1)
strategy_cls = type(matched[0])
async def _run():
settings = Settings()
db = Database(settings.database_url.get_secret_value())
await db.connect()
try:
rows = await db.get_candles(symbol, timeframe, limit=2000)
if not rows:
click.echo(f"Error: No candles found for {symbol} {timeframe}", err=True)
sys.exit(1)
candles = [
Candle(
symbol=r["symbol"],
timeframe=r["timeframe"],
open_time=r["open_time"],
open=r["open"],
high=r["high"],
low=r["low"],
close=r["close"],
volume=r["volume"],
)
for r in reversed(rows)
]
param_grid = [{}] # Default params — extend as needed
engine = WalkForwardEngine(
strategy_factory=strategy_cls,
param_grid=param_grid,
initial_balance=Decimal(str(balance)),
num_windows=windows,
)
result = engine.run(candles)
click.echo(f"Walk-Forward Analysis: {result.strategy_name}")
click.echo(f"Windows: {result.num_windows}")
click.echo(f"In-sample profit: {result.in_sample_profit_pct:.2f}%")
click.echo(f"Out-of-sample profit: {result.out_of_sample_profit_pct:.2f}%")
click.echo(f"Efficiency ratio: {result.efficiency_ratio:.2f}")
if result.efficiency_ratio > 0.5:
click.echo("-> Strategy appears robust (ratio > 0.5)")
else:
click.echo("-> WARNING: Possible overfitting (ratio < 0.5)")
finally:
await db.close()
asyncio.run(_run())
|
