first version

cmd/backtest/main.go

@@ -0,0 +1,133 @@
+package main
+
+import (
+	"flag"
+	"fmt"
+	"os"
+
+	"github.com/shopspring/decimal"
+
+	"overnight-trading-bot/internal/backtest"
+	"overnight-trading-bot/internal/domain"
+)
+
+func main() {
+	if err := run(); err != nil {
+		fmt.Fprintf(os.Stderr, "%v\n", err)
+		os.Exit(1)
+	}
+}
+
+func run() error {
+	candlesPath := flag.String("candles", "", "CSV with columns instrument_uid,trade_date,open,high,low,close,volume_lots")
+	minuteCandlesPath := flag.String("minute-candles", "", "optional minute CSV with the same columns; trade_date may be RFC3339")
+	outputDir := flag.String("out", "./backtest_out", "output directory")
+	useMinuteModel := flag.Bool("use-minute-model", false, "require minute candles for conservative limit-fill simulation")
+	entrySlip := flag.String("entry-slippage-bps", "8", "entry slippage in bps")
+	exitSlip := flag.String("exit-slippage-bps", "8", "exit slippage in bps")
+	commission := flag.String("commission-roundtrip-bps", "0", "roundtrip commission in bps")
+	rollingShort := flag.Int("rolling-short", 60, "short rolling window")
+	rollingLong := flag.Int("rolling-long", 252, "long rolling window")
+	ewmaLambda := flag.Float64("ewma-lambda", 0.08, "EWMA lambda")
+	minTStat := flag.String("min-tstat-60", "1.25", "minimum short-window t-stat")
+	minWinRate := flag.String("min-win-rate-60", "0.55", "minimum short-window win rate")
+	minNetEdge := flag.String("min-net-edge-bps", "10", "minimum net edge in bps")
+	minADV := flag.String("min-adv-rub", "5000000", "minimum ADV in RUB")
+	maxSpread := flag.String("max-spread-bps", "20", "maximum spread in bps")
+	maxTick := flag.String("max-tick-bps", "10", "maximum tick size in bps")
+	requireZeroCommission := flag.Bool("require-zero-commission", true, "reject trades when roundtrip commission is non-zero")
+	flag.Parse()
+	if *candlesPath == "" {
+		return fmt.Errorf("-candles is required")
+	}
+	file, err := os.Open(*candlesPath)
+	if err != nil {
+		return fmt.Errorf("open candles: %w", err)
+	}
+	defer func() {
+		_ = file.Close()
+	}()
+	candles, err := backtest.LoadCandlesCSV(file)
+	if err != nil {
+		return fmt.Errorf("load candles: %w", err)
+	}
+	var minuteCandles map[string][]domain.Candle
+	if *minuteCandlesPath != "" {
+		minuteFile, err := os.Open(*minuteCandlesPath)
+		if err != nil {
+			return fmt.Errorf("open minute candles: %w", err)
+		}
+		defer func() {
+			_ = minuteFile.Close()
+		}()
+		minuteCandles, err = backtest.LoadCandlesCSV(minuteFile)
+		if err != nil {
+			return fmt.Errorf("load minute candles: %w", err)
+		}
+	}
+	if *useMinuteModel && len(minuteCandles) == 0 {
+		return fmt.Errorf("-minute-candles is required when -use-minute-model=true")
+	}
+	entry, err := decimal.NewFromString(*entrySlip)
+	if err != nil {
+		return fmt.Errorf("entry slippage: %w", err)
+	}
+	exit, err := decimal.NewFromString(*exitSlip)
+	if err != nil {
+		return fmt.Errorf("exit slippage: %w", err)
+	}
+	comm, err := decimal.NewFromString(*commission)
+	if err != nil {
+		return fmt.Errorf("commission: %w", err)
+	}
+	tstat, err := decimal.NewFromString(*minTStat)
+	if err != nil {
+		return fmt.Errorf("min tstat: %w", err)
+	}
+	winRate, err := decimal.NewFromString(*minWinRate)
+	if err != nil {
+		return fmt.Errorf("min win rate: %w", err)
+	}
+	netEdge, err := decimal.NewFromString(*minNetEdge)
+	if err != nil {
+		return fmt.Errorf("min net edge: %w", err)
+	}
+	adv, err := decimal.NewFromString(*minADV)
+	if err != nil {
+		return fmt.Errorf("min adv: %w", err)
+	}
+	spread, err := decimal.NewFromString(*maxSpread)
+	if err != nil {
+		return fmt.Errorf("max spread: %w", err)
+	}
+	tick, err := decimal.NewFromString(*maxTick)
+	if err != nil {
+		return fmt.Errorf("max tick: %w", err)
+	}
+	engine := backtest.New(backtest.Config{
+		EntrySlippageBps:       entry,
+		ExitSlippageBps:        exit,
+		CommissionRoundtripBps: comm,
+		OutputDir:              *outputDir,
+		RollingShort:           *rollingShort,
+		RollingLong:            *rollingLong,
+		EWMALambda:             *ewmaLambda,
+		MinTStat60:             tstat,
+		MinWinRate60:           winRate,
+		MinNetEdgeBps:          netEdge,
+		MinADVRUB:              adv,
+		MaxSpreadBps:           spread,
+		MaxTickBps:             tick,
+		RequireZeroCommission:  *requireZeroCommission,
+		UseMinuteModel:         *useMinuteModel,
+	})
+	result, err := engine.RunWithMinuteCandles(candles, minuteCandles)
+	if err != nil {
+		return fmt.Errorf("run backtest: %w", err)
+	}
+	if err := result.Write(*outputDir); err != nil {
+		return fmt.Errorf("write result: %w", err)
+	}
+	fmt.Printf("backtest complete: trades=%d total_return=%.6f\n", result.Metrics.NumberOfTrades, result.Metrics.TotalReturn)
+	return nil
+}