momentum devandClaude Opus 4.8
007cd95c79
Snapshot before the DuckDB->PostgreSQL migration. data/, archive/, the 232MB rebuild zip, the Windows .venv, and .env are excluded via .gitignore. Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
69 lines
2.4 KiB
Python
69 lines
2.4 KiB
Python
"""Run intraday backtests against bars stored in the research database.
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python backtest_cli.py --symbol SNDL --date 2026-06-10
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python backtest_cli.py --date 2026-06-10 # all in-band symbols
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"""
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from __future__ import annotations
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import argparse
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import sys
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from datetime import date
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from research import query as rq
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from research.multi_schema import open_research_db
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from strategy.backtest.engine import BacktestEngine
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def main(argv: list[str] | None = None) -> int:
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parser = argparse.ArgumentParser(description=__doc__)
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parser.add_argument("--symbol", help="single symbol (default: scan session)")
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parser.add_argument("--date", required=True, help="session date YYYY-MM-DD")
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parser.add_argument("--price-min", type=float, default=1.0)
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parser.add_argument("--price-max", type=float, default=20.0)
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parser.add_argument("--equity", type=float, default=100_000.0)
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args = parser.parse_args(argv)
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session_date = date.fromisoformat(args.date)
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con = open_research_db("market")
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engine = BacktestEngine(equity=args.equity)
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if args.symbol:
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symbols = [args.symbol.upper()]
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else:
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rows = rq.query_session_symbols(
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con, session_date, price_min=args.price_min, price_max=args.price_max
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)
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symbols = [r["symbol"] for r in rows]
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if not symbols:
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print(f"no symbols with minute bars on {session_date} in "
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f"[{args.price_min}, {args.price_max}] — run fetch_minute_bars.py first")
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return 1
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total_pnl = 0.0
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total_trades = 0
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for symbol in symbols:
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bars = rq.query_minute_bars(con, symbol, session_date)
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if bars.empty:
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print(f"{symbol}: no bars")
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continue
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result = engine.run(
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bars,
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symbol,
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previous_close=rq.query_previous_close(con, symbol, session_date),
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avg_daily_volume=rq.query_avg_daily_volume(con, symbol, session_date),
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)
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s = result.summary()
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total_pnl += s["total_pnl"]
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total_trades += s["trades"]
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print(f"{symbol:>6} trades={s['trades']:<3} win_rate={s['win_rate']:<6} "
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f"pnl={s['total_pnl']:>9.2f} signals={s['signals']} evals={s['evaluations']}")
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print(f"\nTOTAL trades={total_trades} pnl={total_pnl:.2f}")
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con.close()
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return 0
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if __name__ == "__main__":
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sys.exit(main())
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