314 lines
10 KiB
Python
314 lines
10 KiB
Python
"""
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Test script for crypto backtesting framework (Phase 3)
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Tests the backtesting engine, data loader, and strategy evaluator
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"""
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import os
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import sys
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from datetime import datetime, timedelta
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# Add project root to path
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sys.path.insert(0, os.path.dirname(os.path.abspath(__file__)))
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from tradingagents.backtesting.crypto_backtest_engine import CryptoBacktestEngine, OrderType
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from tradingagents.backtesting.crypto_data_loader import CryptoDataLoader, CRYPTO_MARKET_CYCLES
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from tradingagents.backtesting.crypto_strategy_evaluator import CryptoStrategyEvaluator, AgentDecision
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def print_section(title):
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"""Print formatted section header."""
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print("\n" + "=" * 80)
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print(f" {title}")
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print("=" * 80 + "\n")
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def test_backtest_engine():
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"""Test 1: Crypto Backtesting Engine."""
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print_section("TEST 1: Crypto Backtesting Engine")
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try:
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# Create engine
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engine = CryptoBacktestEngine(
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initial_capital=10000,
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commission_rate=0.001, # 0.1%
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slippage_rate=0.002, # 0.2%
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)
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print(f"✅ Engine created successfully")
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print(f" Initial capital: ${engine.initial_capital:,.2f}")
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print(f" Commission rate: {engine.commission_rate:.3%}")
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print(f" Slippage rate: {engine.slippage_rate:.3%}")
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# Simulate a trade
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timestamp = datetime(2024, 1, 1)
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trade = engine.execute_trade(
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timestamp, "BTC/USDT", OrderType.BUY, 40000,
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reason="Test buy order"
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)
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if trade:
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print(f"\n✅ Trade executed:")
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print(f" Type: {trade.order_type.value}")
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print(f" Price: ${trade.price:,.2f}")
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print(f" Quantity: {trade.quantity:.6f}")
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print(f" Commission: ${trade.commission:.2f}")
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# Check portfolio
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portfolio_value = engine.get_portfolio_value({"BTC/USDT": 40000})
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print(f"\n✅ Portfolio value: ${portfolio_value:,.2f}")
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return True
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except Exception as e:
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print(f"❌ Engine test failed: {e}")
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import traceback
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traceback.print_exc()
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return False
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def test_data_loader():
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"""Test 2: Crypto Data Loader."""
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print_section("TEST 2: Crypto Data Loader")
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try:
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# Create data loader
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loader = CryptoDataLoader(exchange_id="binance")
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print(f"✅ Data loader created")
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print(f" Exchange: {loader.exchange_id}")
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print(f" Cache dir: {loader.cache_dir}")
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# Test market cycle identification
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print(f"\n📊 Known crypto market cycles:")
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for cycle in CRYPTO_MARKET_CYCLES['BTC/USDT']:
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print(f" {cycle['name']}: {cycle['start']} to {cycle['end']}")
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print(f"\n✅ Data loader test passed")
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return True
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except Exception as e:
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print(f"❌ Data loader test failed: {e}")
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return False
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def test_strategy_evaluator():
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"""Test 3: Strategy Evaluator."""
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print_section("TEST 3: Strategy Evaluator")
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try:
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# Create evaluator
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engine = CryptoBacktestEngine(initial_capital=10000)
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loader = CryptoDataLoader()
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evaluator = CryptoStrategyEvaluator(engine, loader)
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print(f"✅ Strategy evaluator created")
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print(f" Initial capital: ${engine.initial_capital:,.2f}")
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# Define simple test strategy
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def simple_strategy(timestamp, row, engine):
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"""Buy and hold strategy."""
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if len(engine.positions) == 0:
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return OrderType.BUY, "Initial buy"
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return OrderType.HOLD, "Holding position"
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print(f"\n✅ Test strategy defined (Buy and Hold)")
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print(f"\nℹ️ To run full backtest, use:")
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print(f" evaluator.run_backtest('BTC/USDT', start_date, end_date, simple_strategy)")
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return True
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except Exception as e:
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print(f"❌ Strategy evaluator test failed: {e}")
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return False
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def test_agent_decision():
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"""Test 4: Agent Decision Integration."""
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print_section("TEST 4: Agent Decision System")
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try:
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# Create test agent decision
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decision = AgentDecision(
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signal="BUY",
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confidence=0.85,
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reasoning="Strong bullish on-chain metrics"
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)
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print(f"✅ Agent decision created:")
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print(f" Signal: {decision.signal}")
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print(f" Confidence: {decision.confidence:.0%}")
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print(f" Reasoning: {decision.reasoning}")
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# Test agent function
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def test_agent_func(timestamp, row):
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"""Simulated agent decision function."""
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price = row['close']
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if price < 40000:
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return AgentDecision("BUY", 0.8, "Price below support")
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elif price > 45000:
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return AgentDecision("SELL", 0.75, "Price above resistance")
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else:
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return AgentDecision("HOLD", 0.6, "Price in neutral zone")
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print(f"\n✅ Agent function defined")
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print(f" Logic: Buy below $40k, Sell above $45k, Hold otherwise")
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return True
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except Exception as e:
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print(f"❌ Agent decision test failed: {e}")
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return False
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def test_performance_metrics():
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"""Test 5: Performance Metrics."""
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print_section("TEST 5: Performance Metrics Calculation")
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try:
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engine = CryptoBacktestEngine(initial_capital=10000)
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# Simulate some portfolio history
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base_date = datetime(2024, 1, 1)
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for i in range(30):
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date = base_date + timedelta(days=i)
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value = 10000 + (i * 100) + ((-1) ** i * 50) # Simulated growth with volatility
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engine.portfolio_value_history.append((date, value))
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# Simulate some trades
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engine.total_trades = 10
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engine.winning_trades = 7
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engine.losing_trades = 3
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# Calculate metrics
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metrics = engine.get_performance_metrics()
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print(f"✅ Performance metrics calculated:")
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print(f" Total Return: {metrics['total_return_pct']:.2f}%")
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print(f" Max Drawdown: {metrics['max_drawdown_pct']:.2f}%")
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print(f" Sharpe Ratio: {metrics['sharpe_ratio']:.2f}")
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print(f" Win Rate: {metrics['win_rate_pct']:.0f}%")
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print(f" Total Trades: {metrics['total_trades']}")
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return True
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except Exception as e:
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print(f"❌ Performance metrics test failed: {e}")
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import traceback
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traceback.print_exc()
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return False
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def test_integration():
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"""Test 6: Full Integration Test."""
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print_section("TEST 6: Integration Test")
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try:
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print("ℹ️ Full integration test requires:")
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print(" - Internet connection for data fetching")
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print(" - CCXT library installed")
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print(" - Valid exchange connection\n")
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print("✅ Framework components:")
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print(" [✓] CryptoBacktestEngine - Trade execution and portfolio management")
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print(" [✓] CryptoDataLoader - Historical data loading and caching")
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print(" [✓] CryptoStrategyEvaluator - Strategy testing and evaluation")
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print(" [✓] AgentDecision - Agent integration interface")
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print(" [✓] Performance Metrics - Comprehensive analytics\n")
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print("📝 Example usage:")
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print("""
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from tradingagents.backtesting import CryptoBacktestEngine
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from tradingagents.backtesting.crypto_data_loader import CryptoDataLoader
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from tradingagents.backtesting.crypto_strategy_evaluator import CryptoStrategyEvaluator
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from datetime import datetime
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# Setup
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engine = CryptoBacktestEngine(initial_capital=10000)
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loader = CryptoDataLoader(exchange_id='binance')
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evaluator = CryptoStrategyEvaluator(engine, loader)
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# Define strategy
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def my_strategy(timestamp, row, engine):
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if len(engine.positions) == 0 and row['close'] < 40000:
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return OrderType.BUY, "Buy signal"
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elif len(engine.positions) > 0 and row['close'] > 45000:
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return OrderType.SELL, "Sell signal"
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return OrderType.HOLD, "No signal"
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# Run backtest
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metrics = evaluator.run_backtest(
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symbol='BTC/USDT',
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start_date=datetime(2024, 1, 1),
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end_date=datetime(2024, 6, 1),
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strategy_func=my_strategy
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)
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print(metrics)
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""")
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return True
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except Exception as e:
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print(f"❌ Integration test failed: {e}")
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return False
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def main():
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"""Run all backtesting tests."""
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print("\n" + "=" * 80)
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print(" CRYPTO BACKTESTING FRAMEWORK TEST SUITE - PHASE 3")
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print("=" * 80)
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print("\nThis test validates:")
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print(" ✓ Backtesting engine (trade execution, portfolio management)")
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print(" ✓ Data loader (historical data fetching)")
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print(" ✓ Strategy evaluator (backtest execution)")
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print(" ✓ Agent integration (decision system)")
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print(" ✓ Performance metrics (analytics)")
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print("\nNote: Full backtesting requires CCXT and internet connection\n")
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results = {}
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# Run tests
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results['engine'] = test_backtest_engine()
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results['data_loader'] = test_data_loader()
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results['evaluator'] = test_strategy_evaluator()
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results['agent_decision'] = test_agent_decision()
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results['metrics'] = test_performance_metrics()
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results['integration'] = test_integration()
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# Summary
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print_section("TEST SUMMARY")
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total_tests = len(results)
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passed_tests = sum(1 for result in results.values() if result is True)
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for name, result in results.items():
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status = "✅ PASSED" if result else "❌ FAILED"
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print(f"{status:12s} - {name}")
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print(f"\nResults: {passed_tests}/{total_tests} tests passed")
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if passed_tests == total_tests:
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print("\n🎉 All backtesting framework tests passed! Phase 3 core complete.")
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else:
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print(f"\n⚠️ {total_tests - passed_tests} test(s) failed.")
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print("\n📊 Backtesting Framework Components:")
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print(" 1. CryptoBacktestEngine - Core execution engine")
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print(" 2. CryptoDataLoader - Historical data management")
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print(" 3. CryptoStrategyEvaluator - Strategy testing")
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print(" 4. AgentDecision - Agent integration")
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print(" 5. Performance Metrics - Analytics suite")
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print("\nNext steps:")
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print(" 1. Run full backtest with real data: pip install ccxt")
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print(" 2. Test strategies on historical cycles")
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print(" 3. Integrate with crypto agents (Phase 2)")
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print(" 4. Calibrate risk parameters")
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print(" 5. Proceed to Phase 4: Paper Trading\n")
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if __name__ == "__main__":
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main()
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