Yuxuan Yan
91 lines
3.2 KiB
Python
91 lines
3.2 KiB
Python
#!/usr/bin/env python3
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"""End-to-end pipeline: HS300 universe -> reversal signal -> cross-sectional IC
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-> multi-stock backtest (AlphaStrategy + PercentSizer) -> reports.
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Note: this runs the first 30 HS300 constituents to keep runtime manageable.
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Downloading daily bars for the full ~300 names takes roughly 10 minutes.
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"""
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import logging
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import pandas as pd
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from analysis.report import generate_report
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from backtest.config import BacktestConfig
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from backtest.runner import BacktestRunner
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from data.downloader import download_batch
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from data.universe import SYMBOLS
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from eval.metrics import evaluate_cross_sectional
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from portfolio.builder import ThresholdBuilder
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from signals.reversal import ReversalSignal
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from strategies.alpha_strategy import AlphaStrategy
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logging.basicConfig(level=logging.INFO, format="%(asctime)s [%(levelname)s] %(message)s")
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logger = logging.getLogger(__name__)
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def main():
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symbols = SYMBOLS[:30]
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start, end = "2023-01-01", "2024-12-31"
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initial_cash = 1_000_000
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# 1-2. Download daily data for the universe.
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data = download_batch(symbols, start, end)
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data = {s: df for s, df in data.items() if df is not None and not df.empty}
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logger.info(f"Downloaded {len(data)}/{len(symbols)} symbols")
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# 3. Compute the reversal signal per stock.
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signal = ReversalSignal(lookback=5)
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signal_series: dict[str, pd.Series] = {}
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forward_returns: dict[str, pd.Series] = {}
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for sym, df in data.items():
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idx = pd.to_datetime(df["date"])
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sig = signal.compute(df)
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sig.index = idx
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signal_series[sym] = sig
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fwd = df["close"].pct_change().shift(-1) # next-day return
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fwd.index = idx
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forward_returns[sym] = fwd
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# 4. Cross-sectional IC evaluation.
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signals_df = pd.DataFrame(signal_series)
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returns_df = pd.DataFrame(forward_returns)
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signal_eval = evaluate_cross_sectional(signals_df, returns_df)
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# 5. Attach the signal column to each DataFrame and build feeds.
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config = BacktestConfig(
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symbols=list(data.keys()),
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start_date=start,
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end_date=end,
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initial_cash=initial_cash,
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sizer_percent=0.95,
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)
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runner = BacktestRunner(config)
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builder = ThresholdBuilder(buy_threshold=0.02, sell_threshold=-0.02, size_pct=0.95)
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for sym, df in data.items():
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df = df.copy()
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df["signal"] = signal.compute(df).values
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runner.add_signal_data(df, name=sym)
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# 6. Run the multi-stock backtest.
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results = runner.run_prepared(AlphaStrategy, {"builder": builder})
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# 7. Reports.
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artifacts = generate_report(
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results, signal_eval, output_dir="reports/", initial_cash=initial_cash
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)
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# 8. Print summary.
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print("\nSIGNAL IC")
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print("=" * 50)
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print(f"IC mean / std / IR: {signal_eval['ic_mean']:.4f} / "
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f"{signal_eval['ic_std']:.4f} / {signal_eval['ir']:.4f}")
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print(f"Rank IC mean / std / IR: {signal_eval['rank_ic_mean']:.4f} / "
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f"{signal_eval['rank_ic_std']:.4f} / {signal_eval['rank_ir']:.4f}")
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print(f"Hit rate: {signal_eval['hit_rate']:.2%}")
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print(f"Periods: {signal_eval['n_periods']}")
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print(f"\nReports written to: {artifacts}")
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if __name__ == "__main__":
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main()
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