feat: add selectable daily backtest cadence

2026-07-17 14:41:24 +02:00
parent bc50ba9136
commit 65a462271c
12 changed files with 550 additions and 37 deletions
@@ -0,0 +1,179 @@
+"""Run the four production cadence/lockdown arms on one offline snapshot.
+
+The command executes the complete backtest once weekly and once daily. Each
+backtest contains two otherwise identical live-policy portfolio arms: no
+post-stop lockdown and the production five-session lockdown. It writes both
+full reports plus one compact four-arm comparison report.
+"""
+
+from __future__ import annotations
+
+import argparse
+import asyncio
+import json
+import os
+import sys
+from datetime import datetime
+from pathlib import Path
+
+from sqlalchemy.ext.asyncio import AsyncSession, async_sessionmaker, create_async_engine
+
+ROOT = Path(__file__).resolve().parents[1]
+if str(ROOT) not in sys.path:
+    sys.path.insert(0, str(ROOT))
+
+
+def _parse_args() -> argparse.Namespace:
+    parser = argparse.ArgumentParser(description=__doc__)
+    parser.add_argument(
+        "snapshot",
+        help="SQLite snapshot created by scripts/create_backtest_snapshot.py.",
+    )
+    parser.add_argument(
+        "--out-dir",
+        default="reports",
+        help="Directory for the weekly, daily, and comparison JSON reports.",
+    )
+    parser.add_argument(
+        "--prefix",
+        default=None,
+        help="Output prefix. Defaults to backtest-cadence-<timestamp>.",
+    )
+    parser.add_argument(
+        "--workers",
+        type=int,
+        default=None,
+        help="Override worker count; on a powerful offline PC use CPU count minus one.",
+    )
+    parser.add_argument(
+        "--allow-spawn",
+        action="store_true",
+        help="Enable multiprocessing spawn for the offline Windows run.",
+    )
+    parser.add_argument("--quiet", action="store_true", help="Hide ticker progress.")
+    return parser.parse_args()
+
+
+def _sqlite_url(path: Path) -> str:
+    return f"sqlite+aiosqlite:///{path.resolve().as_posix()}"
+
+
+def _write_json(path: Path, payload: dict) -> None:
+    path.write_text(json.dumps(payload, indent=2) + "\n", encoding="utf-8")
+
+
+def _comparison_arms(report: dict) -> list[dict]:
+    comparison = report.get("production_cadence_comparison") or {}
+    arms = list(comparison.get("arms") or [])
+    if len(arms) != 2:
+        cadence = (report.get("params") or {}).get("entry_cadence", "unknown")
+        raise RuntimeError(
+            f"Expected two live comparison arms for {cadence}; found {len(arms)}"
+        )
+    return arms
+
+
+def _print_arm(row: dict) -> None:
+    print(
+        f"  {row['arm']}: Sharpe {row.get('sharpe')}, "
+        f"CAGR {row.get('cagr_pct')}%, DD {row.get('max_drawdown_pct')}%, "
+        f"trades {row.get('trades')}, skipped cooldown {row.get('skipped_cooldown', 0)}"
+    )
+
+
+async def _main() -> None:
+    args = _parse_args()
+    snapshot = Path(args.snapshot)
+    if not snapshot.exists():
+        raise SystemExit(f"Snapshot not found: {snapshot}")
+
+    os.environ["BACKTEST_SNAPSHOT_OFFLINE"] = "1"
+    if args.allow_spawn:
+        os.environ["BACKTEST_ALLOW_SPAWN"] = "1"
+
+    from app.config import settings
+    from app.services.backtest_service import run_backtest
+
+    if args.workers is not None:
+        settings.backtest_workers = args.workers
+
+    out_dir = Path(args.out_dir)
+    out_dir.mkdir(parents=True, exist_ok=True)
+    prefix = args.prefix or f"backtest-cadence-{datetime.now():%Y%m%d-%H%M%S}"
+
+    engine = create_async_engine(_sqlite_url(snapshot), pool_pre_ping=True)
+    Session = async_sessionmaker(engine, class_=AsyncSession, expire_on_commit=False)
+    reports: dict[str, dict] = {}
+    try:
+        async with Session() as db:
+            for cadence in ("weekly", "daily"):
+                last_progress: tuple[int, int] | None = None
+
+                def progress(done: int, total: int, symbol: str) -> None:
+                    nonlocal last_progress
+                    if args.quiet or last_progress == (done, total):
+                        return
+                    last_progress = (done, total)
+                    label = f" {symbol}" if symbol else ""
+                    print(
+                        f"{cadence} progress: {done}/{total}{label}",
+                        end="\r",
+                    )
+
+                reports[cadence] = await run_backtest(
+                    db,
+                    progress_cb=progress,
+                    target_model="production_gtl",
+                    cadence=cadence,
+                )
+                if not args.quiet:
+                    print("")
+                _write_json(out_dir / f"{prefix}-{cadence}.json", reports[cadence])
+    finally:
+        await engine.dispose()
+
+    arms = [
+        *_comparison_arms(reports["weekly"]),
+        *_comparison_arms(reports["daily"]),
+    ]
+    expected = {
+        "prod_live_setup_weekly",
+        "prod_live_setup_daily",
+        "cooldown_5_weekly",
+        "cooldown_5_daily",
+    }
+    if {row.get("arm") for row in arms} != expected:
+        raise RuntimeError("The generated cadence report does not contain all four arms")
+    arm_order = {
+        "prod_live_setup_weekly": 0,
+        "prod_live_setup_daily": 1,
+        "cooldown_5_weekly": 2,
+        "cooldown_5_daily": 3,
+    }
+    arms.sort(key=lambda row: arm_order[str(row["arm"])])
+
+    comparison = {
+        "generated_at": datetime.now().astimezone().isoformat(),
+        "snapshot": str(snapshot.resolve()),
+        "target_model": "production_gtl",
+        "arms": arms,
+        "full_reports": {
+            cadence: str((out_dir / f"{prefix}-{cadence}.json").resolve())
+            for cadence in ("weekly", "daily")
+        },
+        "note": (
+            "All four arms use the same snapshot, activation settings, target model, "
+            "live Admin exit policy, fees, sizing, and portfolio constraints. Within "
+            "each cadence pair, only the five-session post-stop lockdown differs."
+        ),
+    }
+    comparison_path = out_dir / f"{prefix}-comparison.json"
+    _write_json(comparison_path, comparison)
+
+    print(f"Comparison written: {comparison_path}")
+    for row in arms:
+        _print_arm(row)
+
+
+if __name__ == "__main__":
+    asyncio.run(_main())