Alpha model frozen position check (#1142)

- Add frozen position check inside `generate_rebalance_trades_and_triggers` so we do not try to trade on a frozen position (increase/decrease)
-

pyproject.toml

@@ -19,7 +19,7 @@ python = ">=3.11,<=3.12"
 trading-strategy = {path = "deps/trading-strategy", develop = true}
 # trading-strategy = "^0.22.6"
 requests = "^2.27.1"
-matplotlib = "^3.6.0"
+matplotlib = ">=3.5"
 jupyterlab = "^4.0.7"
 pandas = "<3"
 pandas-ta = "^0.3.14b"  # Unmaintained, still stick to old Pandas

tests/backtest/test_backtest_credit_flow.py

@@ -200,7 +200,7 @@ def test_backtest_credit_flow(
     credit_positions = [p for p in portfolio.get_all_positions() if p.is_credit_supply()]
     assert len(credit_positions) == 10
     total_interest_gained = sum(p.get_total_profit_usd() for p in credit_positions)
-    assert total_interest_gained == pytest.approx(76.8234503286251)
+    assert total_interest_gained == pytest.approx(76.8234503286251, rel=0.01)
 
     interest_metrics = calculate_credit_metrics(state)
     assert isinstance(interest_metrics, pd.DataFrame)

tests/mainnet_fork/test_enzyme_credit_position.py

@@ -187,6 +187,7 @@ def environment(
         "PATH": os.environ["PATH"],  # Needs forge
         "ONE_DELTA": "true",
         "MAX_CYCLES": "3",  # Run decide_trades() 2 times
+        "MAX_DATA_DELAY_MINUTES": "36000",
     }
     return environment
 

tradeexecutor/analysis/pair.py

@@ -91,14 +91,17 @@ def display_strategy_universe(
 
         if show_price:
             try:
-                data["price"], data["price_at"] = strategy_universe.data_universe.candles.get_price_with_tolerance(
+                data["price"], data["last_price_at"] = strategy_universe.data_universe.candles.get_price_with_tolerance(
                     pair=pair.internal_id,
                     when=candle_now,
                     tolerance=tolerance,
                 )
+                candles = strategy_universe.data_universe.candles.get_candles_by_pair(pair.internal_id)
+                data["first_price_at"] = candles.index[0]
             except CandleSampleUnavailable:
                 data["price"] = "<not avail>"
-                data["price_at"] = "-"
+                data["first_price_at"] = "-"
+                data["last_price_at"] = "-"
 
         if show_volume:
             try:

tradeexecutor/backtest/grid_search.py

@@ -451,10 +451,11 @@ def __eq__(self, other):
         return self.combination == other.combination
 
     def __repr__(self) -> str:
-        cagr = self.get_cagr()
-        sharpe = self.get_sharpe()
-        max_drawdown = self.get_max_drawdown()
-        return f"<GridSearchResult\n  {self.combination.get_all_parameters_label()}\n  CAGR: {cagr*100:.2f}% Sharpe: {sharpe:.2f} Max drawdown:{max_drawdown*100:.2f}%\n>"
+        cagr = self.get_cagr() or 0
+        sharpe = self.get_sharpe() or 0
+        sortino = self.get_sortino() or 0
+        max_drawdown = self.get_max_drawdown() or 0
+        return f"<GridSearchResult\n  {self.combination.get_all_parameters_label()}\n  CAGR: {cagr*100:.2f}%, Sharpe: {sharpe:.2f}, Sortino: {sortino:.2f}, Max drawdown:{max_drawdown*100:.2f}%\n>"
 
     def get_label(self) -> str:
         """Get name for this result for charts.

tradeexecutor/backtest/optimiser.py

@@ -241,6 +241,14 @@ def get_filtered_count(self) -> int:
         """
         return len([r for r in self.results if r.filtered])
 
+    def find_best(self, sort_key: Callable, reverse=True) -> OptimiserSearchResult | None:
+        """"""
+        if len(self.results) == 0:
+            return None
+        sorted_results = self.results.sorted(sort_key, reverse=reverse)
+        return sorted_results[0]
+
+
 
 class ObjectiveWrapper:
     """Middleware between Optimiser and TS frameworks.

tradeexecutor/cli/commands/start.py

@@ -167,6 +167,8 @@ def start(
         else:
             name = "Unnamed backtest"
 
+    assert asset_management_mode, f"ASSET_MANAGEMENT_MODE must given, options are: {[member.name for member in AssetManagementMode]}"
+
     if not log_level:
         if asset_management_mode == AssetManagementMode.backtest:
             log_level = logging.WARNING

tradeexecutor/strategy/alpha_model.py

@@ -1180,6 +1180,8 @@ def generate_rebalance_trades_and_triggers(
                 s.flags.add(TradingPairSignalFlags.max_adjust_too_small)
             return []
 
+        frozen_pairs = {p.pair for p in position_manager.state.portfolio.frozen_positions.values()}
+
         #  TODO: Break this massive for if spagetti to sub-functions
         for signal in self.iterate_signals():
 
@@ -1217,6 +1219,10 @@ def generate_rebalance_trades_and_triggers(
                         signal.normalised_weight,
                         dollar_diff)
 
+            if signal.pair in frozen_pairs:
+                logger.warning("Does not generate trades for a pair with frozen positions: %s", signal.pair)
+                continue
+
             if individual_rebalance_min_threshold:
                 trade_size = abs(dollar_diff)