feat: phase 1 — data downloader, backtrader runner, SMA strategy

Co-Authored-By: Claude Opus 4.7 <noreply@anthropic.com>
2026-06-07 09:21:16 +08:00
parent 338c912029
commit fd86190e9a
19 changed files with 456 additions and 0 deletions
@@ -0,0 +1,46 @@
+"""Performance analysis and reporting for backtest results."""
+from typing import Any
+
+
+def print_results(results: list, initial_cash: float = 1_000_000.0) -> dict[str, Any]:
+    """Print and return key performance metrics from a backtrader run result."""
+    if not results:
+        print("No results to report.")
+        return {}
+
+    result = results[0]
+    report = {}
+
+    # Sharpe ratio
+    sharpe = result.analyzers.sharpe.get_analysis()
+    report["sharpe"] = sharpe.get("sharperatio", "N/A")
+
+    # Drawdown
+    dd = result.analyzers.drawdown.get_analysis()
+    report["max_drawdown"] = dd.get("max", {}).get("drawdown", "N/A")
+    report["max_drawdown_len"] = dd.get("max", {}).get("len", "N/A")
+
+    # Returns
+    rets = result.analyzers.returns.get_analysis()
+    report["total_return"] = rets.get("rtot", "N/A")
+    report["avg_return"] = rets.get("ravg", "N/A")
+
+    # Trades
+    trades = result.analyzers.trades.get_analysis()
+    report["total_trades"] = trades.get("total", {}).get("total", 0)
+    report["won_trades"] = trades.get("won", {}).get("total", 0)
+    report["lost_trades"] = trades.get("lost", {}).get("total", 0)
+
+    # Print
+    print("=" * 50)
+    print("BACKTEST RESULTS")
+    print("=" * 50)
+    print(f"Sharpe Ratio:        {report['sharpe']}")
+    print(f"Total Return:        {report['total_return']:.4%}" if isinstance(report['total_return'], float) else f"Total Return:        {report['total_return']}")
+    print(f"Max Drawdown:        {report['max_drawdown']:.2%}" if isinstance(report['max_drawdown'], float) else f"Max Drawdown:        {report['max_drawdown']}")
+    print(f"Max DD Length:       {report['max_drawdown_len']}")
+    print(f"Total Trades:        {report['total_trades']}")
+    print(f"Won/Lost:            {report['won_trades']}/{report['lost_trades']}")
+    print("=" * 50)
+
+    return report