From 810cd4c8f77bc1bcfc2577d9b7ea13d65967b997 Mon Sep 17 00:00:00 2001 From: Mikko Ohtamaa Date: Tue, 21 Jan 2025 14:46:06 +0100 Subject: [PATCH] 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) - --- deps/trading-strategy | 2 +- deps/web3-ethereum-defi | 2 +- poetry.lock | 994 ++++++++++++------ pyproject.toml | 2 +- tests/backtest/test_backtest_credit_flow.py | 2 +- .../test_enzyme_credit_position.py | 1 + tradeexecutor/analysis/pair.py | 7 +- tradeexecutor/backtest/grid_search.py | 9 +- tradeexecutor/backtest/optimiser.py | 8 + tradeexecutor/cli/commands/start.py | 2 + tradeexecutor/strategy/alpha_model.py | 6 + 11 files changed, 682 insertions(+), 353 deletions(-) diff --git a/deps/trading-strategy b/deps/trading-strategy index 2fbc083c6..b4f7cca19 160000 --- a/deps/trading-strategy +++ b/deps/trading-strategy @@ -1 +1 @@ -Subproject commit 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Finance API" optional = false python-versions = "*" files = [ - {file = "yfinance-0.2.51-py2.py3-none-any.whl", hash = "sha256:d5cc7a970bb4bb43e4deee853514cbaa3c2b070a0dee6b2861c1ab5076f21dc1"}, - {file = "yfinance-0.2.51.tar.gz", hash = "sha256:7902cc9b23699a51efa50f1cc7a965220a56beccc00d189f929b4c7c5c189a60"}, + {file = "yfinance-0.2.52-py2.py3-none-any.whl", hash = "sha256:3ca150da85f56b999687e13b72304338499a417d5bad6af9da2aa13821992bd7"}, + {file = "yfinance-0.2.52.tar.gz", hash = "sha256:d2c2ed9bc935596934cba99fca0f05beaa8384648f78105c77754e92f11bf72f"}, ] [package.dependencies] @@ -7101,13 +7409,13 @@ tqdm = ">=4.66.2" [[package]] name = "zope-deprecation" -version = "5.0" +version = "5.1" description = "Zope Deprecation Infrastructure" optional = false -python-versions = ">= 3.7" +python-versions = ">=3.9" files = [ - {file = "zope.deprecation-5.0-py3-none-any.whl", hash = "sha256:28c2ee983812efb4676d33c7a8c6ade0df191c1c6d652bbbfe6e2eeee067b2d4"}, - {file = "zope.deprecation-5.0.tar.gz", hash = "sha256:b7c32d3392036b2145c40b3103e7322db68662ab09b7267afe1532a9d93f640f"}, + {file = "zope.deprecation-5.1-py3-none-any.whl", hash = "sha256:60f957b964d8f947a4a592c647d51ce0f4f844d1f041657956ddde0d9fa9a76a"}, + {file = "zope_deprecation-5.1.tar.gz", hash = "sha256:46bed4611fb53edc731aadeb64b28308bcb848f4cc150c60c948d078f7108721"}, ] [package.dependencies] @@ -7293,4 +7601,4 @@ web-server = ["WebTest", "openapi-core", "pyramid", "pyramid-openapi3", "waitres [metadata] lock-version = "2.0" python-versions = ">=3.11,<=3.12" -content-hash = "de34da19dc553c4e08c6dfa73711e4d7871e274a205a89fa3aed748ae166efe6" +content-hash = "c20e5a65fa8a4b18e19f996bf73fadd006a82a03adb5c838a7d72b0767f5d27d" diff --git a/pyproject.toml b/pyproject.toml index c9616e9e5..675f8119e 100644 --- a/pyproject.toml +++ b/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 diff --git a/tests/backtest/test_backtest_credit_flow.py b/tests/backtest/test_backtest_credit_flow.py index fb1b474d0..44d8de8ac 100644 --- a/tests/backtest/test_backtest_credit_flow.py +++ b/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) diff --git a/tests/mainnet_fork/test_enzyme_credit_position.py b/tests/mainnet_fork/test_enzyme_credit_position.py index 0f831de4f..c1aa6e371 100644 --- a/tests/mainnet_fork/test_enzyme_credit_position.py +++ b/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 diff --git a/tradeexecutor/analysis/pair.py b/tradeexecutor/analysis/pair.py index 0709e60fc..6635c1d06 100644 --- a/tradeexecutor/analysis/pair.py +++ b/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"] = "" - data["price_at"] = "-" + data["first_price_at"] = "-" + data["last_price_at"] = "-" if show_volume: try: diff --git a/tradeexecutor/backtest/grid_search.py b/tradeexecutor/backtest/grid_search.py index 282a042ff..31955d9fb 100644 --- a/tradeexecutor/backtest/grid_search.py +++ b/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"" + 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"" def get_label(self) -> str: """Get name for this result for charts. diff --git a/tradeexecutor/backtest/optimiser.py b/tradeexecutor/backtest/optimiser.py index 658cb96b6..4547e9ed6 100644 --- a/tradeexecutor/backtest/optimiser.py +++ b/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. diff --git a/tradeexecutor/cli/commands/start.py b/tradeexecutor/cli/commands/start.py index 397c8f34d..cfc6f3f42 100644 --- a/tradeexecutor/cli/commands/start.py +++ b/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 diff --git a/tradeexecutor/strategy/alpha_model.py b/tradeexecutor/strategy/alpha_model.py index 2d9acebd4..d80e35ddb 100644 --- a/tradeexecutor/strategy/alpha_model.py +++ b/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)