progress

src/pt_backtest.py

@@ -10,7 +10,7 @@ from typing import Any, Dict, List, Optional
 
 import pandas as pd
 
-from tools.data_loader import load_market_data
+from tools.data_loader import get_available_instruments_from_db, load_market_data
 from tools.trading_pair import TradingPair
 from results import BacktestResult, create_result_database, store_results_in_database, store_config_in_database
 
@@ -21,40 +21,40 @@ def load_config(config_path: str) -> Dict:
     return config
 
 
-def get_available_instruments_from_db(datafile: str, config: Dict) -> List[str]:
-    """
-    Auto-detect available instruments from the database by querying distinct instrument_id values.
-    Returns instruments without the configured prefix.
-    """
-    try:
-        conn = sqlite3.connect(datafile)
+# def get_available_instruments_from_db(datafile: str, config: Dict) -> List[str]:
+#     """
+#     Auto-detect available instruments from the database by querying distinct instrument_id values.
+#     Returns instruments without the configured prefix.
+#     """
+#     try:
+#         conn = sqlite3.connect(datafile)
 
-        # Query to get distinct instrument_ids
-        query = f"""
-        SELECT DISTINCT instrument_id 
-        FROM {config['db_table_name']} 
-        WHERE exchange_id = ?
-        """
+#         # Query to get distinct instrument_ids
+#         query = f"""
+#         SELECT DISTINCT instrument_id 
+#         FROM {config['db_table_name']} 
+#         WHERE exchange_id = ?
+#         """
 
-        cursor = conn.execute(query, (config["exchange_id"],))
-        instrument_ids = [row[0] for row in cursor.fetchall()]
-        conn.close()
+#         cursor = conn.execute(query, (config["exchange_id"],))
+#         instrument_ids = [row[0] for row in cursor.fetchall()]
+#         conn.close()
 
-        # Remove the configured prefix to get instrument symbols
-        prefix = config.get("instrument_id_pfx", "")
-        instruments = []
-        for instrument_id in instrument_ids:
-            if instrument_id.startswith(prefix):
-                symbol = instrument_id[len(prefix) :]
-                instruments.append(symbol)
-            else:
-                instruments.append(instrument_id)
+#         # Remove the configured prefix to get instrument symbols
+#         prefix = config.get("instrument_id_pfx", "")
+#         instruments = []
+#         for instrument_id in instrument_ids:
+#             if instrument_id.startswith(prefix):
+#                 symbol = instrument_id[len(prefix) :]
+#                 instruments.append(symbol)
+#             else:
+#                 instruments.append(instrument_id)
 
-        return sorted(instruments)
+#         return sorted(instruments)
 
-    except Exception as e:
-        print(f"Error auto-detecting instruments from {datafile}: {str(e)}")
-        return []
+#     except Exception as e:
+#         print(f"Error auto-detecting instruments from {datafile}: {str(e)}")
+#         return []
 
 
 def resolve_datafiles(config: Dict, cli_datafiles: Optional[str] = None) -> List[str]:
@@ -100,13 +100,13 @@ def run_backtest(
     config: Dict,
     datafile: str,
     price_column: str,
-    bt_result: BacktestResult,
     strategy,
     instruments: List[str],
-) -> None:
+) -> BacktestResult:
     """
     Run backtest for all pairs using the specified instruments.
     """
+    bt_result: BacktestResult = BacktestResult(config=config)
 
     def _create_pairs(config: Dict, instruments: List[str]) -> List[TradingPair]:
         nonlocal datafile
@@ -141,13 +141,14 @@ def run_backtest(
     # Check if result_list has any data before concatenating
     if len(pairs_trades) == 0:
         print("No trading signals found for any pairs")
-        return None
+        return bt_result
 
     result = pd.concat(pairs_trades, ignore_index=True)
     result["time"] = pd.to_datetime(result["time"])
     result = result.set_index("time").sort_index()
 
     bt_result.collect_single_day_results(result)
+    return bt_result
 
 
 def main() -> None:
@@ -201,7 +202,6 @@ def main() -> None:
 
     # Initialize a dictionary to store all trade results
     all_results: Dict[str, Dict[str, Any]] = {}
-    bt_results = BacktestResult(config=config)
     
     # Store configuration in database for reference
     if args.result_db.upper() != "NONE":
@@ -232,9 +232,6 @@ def main() -> None:
     for datafile in datafiles:
         print(f"\n====== Processing {os.path.basename(datafile)} ======")
 
-        # Clear the trades for the new file
-        bt_results.clear_trades()
-
         # Determine instruments to use
         if args.instruments:
             # Use CLI-specified instruments
@@ -251,11 +248,12 @@ def main() -> None:
 
         # Process data for this file
         try:
-            run_backtest(
+            strategy.reset()
+            
+            bt_results = run_backtest(
                 config=config,
                 datafile=datafile,
                 price_column=price_column,
-                bt_result=bt_results,
                 strategy=strategy,
                 instruments=instruments,
             )
@@ -270,17 +268,18 @@ def main() -> None:
 
             print(f"Successfully processed {filename}")
 
-        except Exception as e:
-            print(f"Error processing {datafile}: {str(e)}")
+        except Exception as err:
+            print(f"Error processing {datafile}: {str(err)}")
             import traceback
 
             traceback.print_exc()
 
-    # Calculate and print results
+    # Calculate and print results using a new BacktestResult instance for aggregation
     if all_results:
-        bt_results.calculate_returns(all_results)
-        bt_results.print_grand_totals()
-        bt_results.print_outstanding_positions()
+        aggregate_bt_results = BacktestResult(config=config)
+        aggregate_bt_results.calculate_returns(all_results)
+        aggregate_bt_results.print_grand_totals()
+        aggregate_bt_results.print_outstanding_positions()
 
         if args.result_db.upper() != "NONE":
             print(f"\nResults stored in database: {args.result_db}")