236 lines
7.7 KiB
Python
236 lines
7.7 KiB
Python
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"""
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Walk-forward analysis engine.
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Splits backtest period into rolling train/test windows and runs
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the existing BacktestEngine (or DailyBacktestEngine) on each test window.
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Train window results are used for validation only (no parameter optimisation yet).
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"""
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import logging
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from dataclasses import dataclass
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from datetime import date
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from decimal import Decimal
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from typing import List
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from dateutil.relativedelta import relativedelta
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from sqlalchemy.orm import Session
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from app.models.backtest import (
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Backtest,
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BacktestResult,
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BacktestEquityCurve,
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WalkForwardResult,
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)
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from app.services.backtest.engine import BacktestEngine
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from app.services.backtest.metrics import MetricsCalculator
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logger = logging.getLogger(__name__)
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@dataclass
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class Window:
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index: int
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train_start: date
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train_end: date
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test_start: date
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test_end: date
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class WalkForwardEngine:
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"""
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Walk-forward analysis using existing BacktestEngine.
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Parameters
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----------
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train_months : int – length of in-sample (training) window
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test_months : int – length of out-of-sample (test) window
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step_months : int – how far the window slides each iteration
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"""
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def __init__(self, db: Session):
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self.db = db
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# ------------------------------------------------------------------
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# public
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# ------------------------------------------------------------------
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def run(
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self,
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backtest_id: int,
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train_months: int = 12,
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test_months: int = 3,
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step_months: int = 3,
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) -> List[WalkForwardResult]:
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backtest = self.db.query(Backtest).get(backtest_id)
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if not backtest:
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raise ValueError(f"Backtest {backtest_id} not found")
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windows = self._generate_windows(
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start=backtest.start_date,
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end=backtest.end_date,
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train_months=train_months,
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test_months=test_months,
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step_months=step_months,
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)
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if not windows:
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raise ValueError(
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"기간이 너무 짧아 walk-forward 윈도우를 생성할 수 없습니다. "
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f"최소 {train_months + test_months}개월 필요"
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)
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# Delete previous walk-forward results for this backtest
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self.db.query(WalkForwardResult).filter(
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WalkForwardResult.backtest_id == backtest_id
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).delete()
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self.db.flush()
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engine = BacktestEngine(self.db)
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results: List[WalkForwardResult] = []
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for win in windows:
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logger.info(
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f"Walk-forward window {win.index}: "
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f"test {win.test_start} ~ {win.test_end}"
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)
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test_return, test_sharpe, test_mdd = self._run_window(
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engine, backtest, win
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)
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wf = WalkForwardResult(
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backtest_id=backtest_id,
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window_index=win.index,
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train_start=win.train_start,
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train_end=win.train_end,
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test_start=win.test_start,
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test_end=win.test_end,
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test_return=test_return,
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test_sharpe=test_sharpe,
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test_mdd=test_mdd,
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)
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self.db.add(wf)
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results.append(wf)
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self.db.commit()
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return results
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# ------------------------------------------------------------------
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# window generation
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# ------------------------------------------------------------------
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@staticmethod
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def _generate_windows(
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start: date,
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end: date,
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train_months: int,
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test_months: int,
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step_months: int,
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) -> List[Window]:
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windows: List[Window] = []
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idx = 0
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cursor = start
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while True:
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train_start = cursor
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train_end = train_start + relativedelta(months=train_months) - relativedelta(days=1)
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test_start = train_end + relativedelta(days=1)
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test_end = test_start + relativedelta(months=test_months) - relativedelta(days=1)
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if test_end > end:
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# Allow partial last window if test_start is before end
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if test_start <= end:
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test_end = end
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else:
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break
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windows.append(Window(
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index=idx,
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train_start=train_start,
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train_end=train_end,
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test_start=test_start,
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test_end=test_end,
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))
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idx += 1
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cursor += relativedelta(months=step_months)
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return windows
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# ------------------------------------------------------------------
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# single window execution
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# ------------------------------------------------------------------
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def _run_window(
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self,
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engine: BacktestEngine,
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backtest: Backtest,
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win: Window,
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) -> tuple:
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"""Run backtest on the test window and return (return, sharpe, mdd)."""
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try:
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trading_days = engine._get_trading_days(win.test_start, win.test_end)
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if not trading_days:
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return (Decimal("0"), Decimal("0"), Decimal("0"))
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benchmark_prices = engine._load_benchmark_prices(
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backtest.benchmark, win.test_start, win.test_end
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)
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strategy = engine._create_strategy(
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backtest.strategy_type,
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backtest.strategy_params or {},
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backtest.top_n,
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)
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from app.services.backtest.portfolio import VirtualPortfolio
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from app.schemas.strategy import UniverseFilter
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portfolio = VirtualPortfolio(backtest.initial_capital)
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rebalance_dates = engine._generate_rebalance_dates(
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win.test_start, win.test_end, backtest.rebalance_period,
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)
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initial_benchmark = benchmark_prices.get(trading_days[0], Decimal("1"))
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if initial_benchmark == 0:
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initial_benchmark = Decimal("1")
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equity_curve: List[Decimal] = []
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benchmark_curve: List[Decimal] = []
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for trading_date in trading_days:
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prices = engine._get_prices_for_date(trading_date)
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names = engine._get_stock_names()
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if trading_date in rebalance_dates:
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target_stocks = strategy.run(
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universe_filter=UniverseFilter(),
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top_n=backtest.top_n,
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base_date=trading_date,
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)
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target_tickers = [s.ticker for s in target_stocks.stocks]
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portfolio.rebalance(
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target_tickers=target_tickers,
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prices=prices,
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names=names,
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commission_rate=backtest.commission_rate,
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slippage_rate=backtest.slippage_rate,
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)
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portfolio_value = portfolio.get_value(prices)
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benchmark_value = benchmark_prices.get(trading_date, initial_benchmark)
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normalized_benchmark = (
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benchmark_value / initial_benchmark * backtest.initial_capital
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)
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equity_curve.append(Decimal(str(portfolio_value)))
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benchmark_curve.append(Decimal(str(normalized_benchmark)))
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if len(equity_curve) < 2:
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return (Decimal("0"), Decimal("0"), Decimal("0"))
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metrics = MetricsCalculator.calculate_all(equity_curve, benchmark_curve)
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return (metrics.total_return, metrics.sharpe_ratio, metrics.mdd)
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except Exception as e:
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logger.warning(f"Walk-forward window {win.index} failed: {e}")
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return (Decimal("0"), Decimal("0"), Decimal("0"))
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