bug fix
This commit is contained in:
Oleg Sheynin
+44
-47
@@ -442,11 +442,13 @@ class BacktestResult:
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self,
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pair_nm: str,
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symbol: str,
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side: str,
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action: str,
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price: Any,
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disequilibrium: Optional[float] = None,
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scaled_disequilibrium: Optional[float] = None,
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timestamp: Optional[datetime] = None,
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status: Optional[str] = None,
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) -> None:
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"""Add a trade to the results tracking."""
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pair_nm = str(pair_nm)
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@@ -456,7 +458,15 @@ class BacktestResult:
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if symbol not in self.trades[pair_nm]:
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self.trades[pair_nm][symbol] = []
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self.trades[pair_nm][symbol].append(
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(action, price, disequilibrium, scaled_disequilibrium, timestamp)
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{"symbol":symbol,
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"side":side,
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"action":action,
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"price":price,
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"disequilibrium":disequilibrium,
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"scaled_disequilibrium":scaled_disequilibrium,
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"timestamp":timestamp,
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"status":status
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}
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)
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def add_outstanding_position(self, position: Dict[str, Any]) -> None:
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@@ -493,6 +503,7 @@ class BacktestResult:
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print(result)
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for row in result.itertuples():
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side = row.side
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action = row.action
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symbol = row.symbol
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price = row.price
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@@ -502,15 +513,17 @@ class BacktestResult:
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timestamp = getattr(row, "time")
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else:
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timestamp = convert_timestamp(row.Index)
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status = row.status
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self.add_trade(
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pair_nm=str(row.pair),
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action=str(action),
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symbol=str(symbol),
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side=str(side),
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action=str(action),
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price=float(str(price)),
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disequilibrium=disequilibrium,
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scaled_disequilibrium=scaled_disequilibrium,
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timestamp=timestamp,
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status=str(status) if status is not None else "?",
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)
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def print_single_day_results(self) -> None:
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@@ -553,42 +566,22 @@ class BacktestResult:
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for symbol, trades in symbols.items():
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if len(trades) == 0:
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continue
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symbol_return = 0
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symbol_trades = []
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# Process all trades sequentially for this symbol
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for i, trade in enumerate(trades):
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# Handle both old and new tuple formats
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if len(trade) == 2: # Old format: (action, price)
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action, price = trade
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disequilibrium = None
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scaled_disequilibrium = None
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timestamp = None
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else: # New format: (action, price, disequilibrium, scaled_disequilibrium, timestamp)
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action, price = trade[:2]
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disequilibrium = trade[2] if len(trade) > 2 else None
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scaled_disequilibrium = trade[3] if len(trade) > 3 else None
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timestamp = trade[4] if len(trade) > 4 else None
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symbol_trades.append((action, price, disequilibrium, scaled_disequilibrium, timestamp))
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symbol_trades = [trade for trade in trades if trade["symbol"] == symbol]
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# Calculate returns for all trade combinations
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for i in range(len(symbol_trades) - 1):
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trade1 = symbol_trades[i]
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trade2 = symbol_trades[i + 1]
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action1, price1, diseq1, scaled_diseq1, ts1 = trade1
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action2, price2, diseq2, scaled_diseq2, ts2 = trade2
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trade1 = trades[i]
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trade2 = trades[i + 1]
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# Calculate return based on action combination
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trade_return = 0
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if action1 == "BUY" and action2 == "SELL":
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if trade1["side"] == "BUY" and trade2["side"] == "SELL":
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# Long position
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trade_return = (price2 - price1) / price1 * 100
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elif action1 == "SELL" and action2 == "BUY":
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trade_return = (trade2["price"] - trade1["price"]) / trade1["price"] * 100
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elif trade1["side"] == "SELL" and trade2["side"] == "BUY":
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# Short position
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trade_return = (price1 - price2) / price1 * 100
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trade_return = (trade1["price"] - trade2["price"]) / trade1["price"] * 100
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symbol_return += trade_return
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@@ -596,13 +589,13 @@ class BacktestResult:
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pair_trades.append(
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(
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symbol,
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action1,
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price1,
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action2,
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price2,
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trade1["side"],
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trade1["price"],
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trade2["side"],
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trade2["price"],
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trade_return,
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scaled_diseq1,
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scaled_diseq2,
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trade1["scaled_disequilibrium"],
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trade2["scaled_disequilibrium"],
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i + 1, # Trade sequence number
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)
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)
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@@ -614,24 +607,28 @@ class BacktestResult:
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print(f" {pair}:")
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for (
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symbol,
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action1,
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price1,
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action2,
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price2,
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trade1["side"],
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trade1["price"],
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trade2["side"],
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trade2["price"],
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trade_return,
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scaled_diseq1,
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scaled_diseq2,
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trade1["scaled_disequilibrium"],
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trade2["scaled_disequilibrium"],
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trade_num,
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) in pair_trades:
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disequil_info = ""
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if (
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scaled_diseq1 is not None
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and scaled_diseq2 is not None
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trade1["scaled_disequilibrium"] is not None
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and trade2["scaled_disequilibrium"] is not None
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):
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disequil_info = f" | Open Dis-eq: {scaled_diseq1:.2f}, Close Dis-eq: {scaled_diseq2:.2f}"
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disequil_info = f" | Open Dis-eq: {trade1["scaled_disequilibrium"]:.2f},"
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f" Close Dis-eq: {trade2["scaled_disequilibrium"]:.2f}"
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print(
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f" {symbol} (Trade #{trade_num}): {action1} @ ${price1:.2f}, {action2} @ ${price2:.2f}, Return: {trade_return:.2f}%{disequil_info}"
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f" {symbol} (Trade #{trade_num}):"
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f" {trade1["side"]} @ ${trade1["price"]:.2f},"
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f" {trade2["side"]} @ ${trade2["price"]:.2f},"
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f" Return: {trade_return:.2f}%{disequil_info}"
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)
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print(f" Pair Total Return: {pair_return:.2f}%")
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day_return += pair_return
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