progress

src/pt_backtest.py

@@ -1,28 +1,112 @@
-from abc import ABC, abstractmethod
-import sys
 
-from typing import Any, Dict, List, Optional
+from typing import Any, Dict, List
 
 import pandas as pd
-import numpy as np
 
-# ============= statsmodels ===================
-from statsmodels.tsa.vector_ar.vecm import VECM
-
-from backtest_configs import CRYPTO_CONFIG
-from strategies import StaticFitStrategy
+from strategies import SlidingFitStrategy, StaticFitStrategy
 from tools.data_loader import load_market_data
 from tools.trading_pair import TradingPair
 from results import BacktestResult
 
-NanoPerMin = 1e9
-UNSET_FLOAT: float = sys.float_info.max
-UNSET_INT: int = sys.maxsize
+
+# ------------------------ Configuration ------------------------
+# Default configuration
+CRYPTO_CONFIG: Dict = {
+    "security_type": "CRYPTO",
+    # --- Data retrieval
+    "data_directory": "./data/crypto",
+    "datafiles": [
+        "20250519.mktdata.ohlcv.db",
+        # "20250520.mktdata.ohlcv.db",
+        # "20250521.mktdata.ohlcv.db",
+        # "20250522.mktdata.ohlcv.db",
+        # "20250523.mktdata.ohlcv.db",
+        # "20250524.mktdata.ohlcv.db",
+        # "20250525.mktdata.ohlcv.db",
+    ],
+    "db_table_name": "bnbspot_ohlcv_1min",
+    # ----- Instruments
+    "exchange_id": "BNBSPOT",
+    "instrument_id_pfx": "PAIR-",
+    "instruments": [
+        "BTC-USDT",
+        "BCH-USDT",
+        "ETH-USDT",
+        "LTC-USDT",
+        "XRP-USDT",
+        "ADA-USDT",
+        "SOL-USDT",
+        "DOT-USDT",
+    ],
+    "trading_hours": {
+        "begin_session": "00:00:00",
+        "end_session": "23:59:00",
+        "timezone": "UTC",
+    },
+    # ----- Model Settings
+    "price_column": "close",
+    "min_required_points": 30,
+    "zero_threshold": 1e-10,
+
+    "dis-equilibrium_open_trshld": 2.0,
+    "dis-equilibrium_close_trshld": 0.5,
+
+    # "training_minutes": 120,
+    "training_minutes": 120,
+    # ----- Validation
+    "funding_per_pair": 2000.0,  # USD
+}
+
+# ========================== EQUITIES
+EQT_CONFIG: Dict = {
+    # --- Data retrieval
+    "security_type": "EQUITY",
+    "data_directory": "./data/equity",
+    "datafiles": [
+        "20250508.alpaca_sim_md.db",
+        # "20250509.alpaca_sim_md.db",
+        # "20250512.alpaca_sim_md.db",
+        # "20250513.alpaca_sim_md.db",
+        # "20250514.alpaca_sim_md.db",
+        # "20250515.alpaca_sim_md.db",
+        # "20250516.alpaca_sim_md.db",
+        # "20250519.alpaca_sim_md.db",
+        # "20250520.alpaca_sim_md.db"
+    ],
+    "db_table_name": "md_1min_bars",
+    # ----- Instruments
+    "exchange_id": "ALPACA",
+    "instrument_id_pfx": "STOCK-",
+    "instruments": [
+        "COIN",
+        "GBTC",
+        "HOOD",
+        "MSTR",
+        "PYPL",
+    ],
+    "trading_hours": {
+        "begin_session": "9:30:00",
+        "end_session": "16:00:00",
+        "timezone": "America/New_York",
+    },
+    # ----- Model Settings
+    "price_column": "close",
+    "min_required_points": 30,
+    "zero_threshold": 1e-10,
+    "dis-equilibrium_open_trshld": 2.0,
+    "dis-equilibrium_close_trshld": 0.5,
+    "training_minutes": 120,
+    # ----- Validation
+    "funding_per_pair": 2000.0,
+}
 
 
-CONFIG = CRYPTO_CONFIG
-# CONFIG = EQT_CONFIG
+# CONFIG = CRYPTO_CONFIG
+CONFIG = EQT_CONFIG
+STRATEGY = StaticFitStrategy()
 
+# CONFIG = CRYPTO_CONFIG
+# STRATEGY = SlidingFitStrategy()
 
 def run_all_pairs(config: Dict, datafile: str, price_column: str, bt_result: BacktestResult) -> None:
 
@@ -44,12 +128,11 @@ def run_all_pairs(config: Dict, datafile: str, price_column: str, bt_result: Bac
             )
             pairs.append(pair)
         return pairs
- 
+
 
     pairs_trades = []
-    strategy = StaticFitStrategy()
     for pair in _create_pairs(config):
-        single_pair_trades = strategy.run_pair(pair=pair, config=CONFIG, bt_result=bt_result)
+        single_pair_trades = STRATEGY.run_pair(pair=pair, config=CONFIG, bt_result=bt_result)
         if single_pair_trades is not None and len(single_pair_trades) > 0:
             pairs_trades.append(single_pair_trades)
     # Check if result_list has any data before concatenating
@@ -99,9 +182,10 @@ def main() -> None:
 
     # BacktestResults.print_results_summary(all_results)
     bt_results.calculate_returns(all_results)
+
     # Print grand totals
     bt_results.print_grand_totals()
     bt_results.print_outstanding_positions()
-    
+
 if __name__ == "__main__":
     main()