mazex/backtest-cpp-py
1
0
Fork 0
Code Issues Pull Requests Actions Packages Projects Releases Wiki Activity

refactor: reorganize sidebar flow and add build/download UI

Browse Source
This commit is contained in:
mazex
2025-03-20 12:40:47 +02:00
parent a7b7f3d206
commit 443a376e4b
2 changed files with 110 additions and 100 deletions
Download Patch File Download Diff File Expand all files Collapse all files
Justfile
+6 -6
View File
@@ -1,22 +1,22 @@
# Event-Driven Backtesting Engine
# Usage: just <command>
# Download OHLCV data
download sym="AAPL,MSFT" start="2015-01-01" end="2024-01-01":
uv run python scripts/download_data.py {{sym}} --start {{start}} --end {{end}}
app:
uv run streamlit run app.py
# Compile C++ core
build:
cmake -B build -DCMAKE_BUILD_TYPE=Release
cmake --build build -j4
# Download OHLCV data
download sym="AAPL,MSFT" start="2015-01-01" end="2024-01-01":
uv run python scripts/download_data.py {{sym}} --start {{start}} --end {{end}}
# Run C++ core directly (CLI)
run-cpp sym="AAPL,MSFT" fast="20" slow="50" capital="100000":
./build/backtest data {{sym}} {{fast}} {{slow}} {{capital}}
# Launch Streamlit (choose engine in sidebar)
app:
uv run streamlit run app.py
# Full workflow: download → build → run C++ → launch UI
all sym="AAPL,MSFT":
app.py
+104 -94
View File
@@ -1,10 +1,11 @@
"""
Event-Driven Backtesting Engine
================================
Single Streamlit entry point.
Sidebar lets you choose between:
- Python engine (strategies package, runs inline)
- C++ core (compiled binary, reads results/*.csv)
Single Streamlit entry point — controls everything:
- Data download (yfinance -> CSV)
- C++ build (cmake)
- Engine selection (Python / C++)
- Backtest execution + visualization
"""
from __future__ import annotations
@@ -46,11 +47,10 @@ div.stButton > button {
font-weight: 600; width: 100%;
}
div.stButton > button:hover { background: #3A82D0; }
div.stButton > button:disabled { background: #2a2a3a; color: #555; }
</style>
""", unsafe_allow_html=True)
# ── Constants ─────────────────────────────────────────────────────────────────
BG = "#0E1117"
PANEL = "#161B22"
BLUE = "#4C9BE8"
@@ -60,8 +60,8 @@ GRID = "#21262D"
GREEN = "#2ECC71"
CORE_BINARY = "./build/backtest"
# ── Helpers ───────────────────────────────────────────────────────────────────
DATA_DIR = "data"
RESULTS_DIR = "results"
def _base_layout(**kw) -> dict:
return dict(
@@ -76,11 +76,17 @@ def _base_layout(**kw) -> dict:
def fmt_pct(v: float) -> str: return f"{v:.2%}"
def fmt_f(v: float) -> str: return f"{v:.2f}"
def load_benchmark(ticker: str, start: str, end: str, ref_value: float) -> pd.Series | None:
def data_exists(symbols: list[str]) -> bool:
return all(os.path.isfile(f"{DATA_DIR}/{s}.csv") for s in symbols)
def binary_exists() -> bool:
return os.path.isfile(CORE_BINARY)
def load_benchmark(ticker: str, start: str, end: str, ref: float) -> pd.Series | None:
try:
raw = yf.download(ticker, start=start, end=end, auto_adjust=True, progress=False)
bench = raw["Close"].squeeze()
return (bench / bench.iloc[0] * ref_value)
b = raw["Close"].squeeze()
return b / b.iloc[0] * ref
except Exception:
return None
@@ -99,8 +105,6 @@ def compute_performance(equity: pd.Series, initial_capital: float) -> dict:
max_dd=max_dd, volatility=vol, calmar=calmar,
drawdown=drawdown, returns=returns)
# ── Plots (shared by both engines) ───────────────────────────────────────────
def plot_equity(equity: pd.Series, bench: pd.Series | None, trades: pd.DataFrame) -> go.Figure:
fig = go.Figure()
fig.add_trace(go.Scatter(x=equity.index, y=equity,
@@ -148,15 +152,14 @@ def plot_returns_dist(returns: pd.Series) -> go.Figure:
def render_results(equity: pd.Series, perf: dict, trades: pd.DataFrame,
bench_ticker: str, initial_capital: float):
start_str = equity.index[0].strftime("%Y-%m-%d")
end_str = equity.index[-1].strftime("%Y-%m-%d")
bench = load_benchmark(bench_ticker, start_str, end_str, equity.iloc[0])
# KPIs
st.markdown("### Performance Summary")
bench = load_benchmark(bench_ticker,
equity.index[0].strftime("%Y-%m-%d"),
equity.index[-1].strftime("%Y-%m-%d"),
equity.iloc[0])
bench_perf = compute_performance(bench.reindex(equity.index, method="ffill"), equity.iloc[0]) \
if bench is not None else None
st.markdown("### Performance Summary")
cols = st.columns(6)
kpis = [
("Total Return", fmt_pct(perf["total_return"]),
@@ -176,22 +179,18 @@ def render_results(equity: pd.Series, perf: dict, trades: pd.DataFrame,
col.metric(label, val, delta)
st.markdown("---")
tab1, tab2, tab3, tab4 = st.tabs(["📈 Equity Curve", "📉 Drawdown", "📊 Returns", "📋 Trades"])
with tab1:
st.plotly_chart(plot_equity(equity, bench, trades), width='stretch')
with tab2:
c1, c2 = st.columns([3, 2])
with c1:
st.plotly_chart(plot_drawdown(perf["drawdown"]), width='stretch')
with c2:
st.plotly_chart(plot_rolling_sharpe(perf["returns"]), width='stretch')
with tab3:
st.plotly_chart(plot_returns_dist(perf["returns"]), width='stretch')
with tab4:
if not trades.empty:
df = trades.copy()
@@ -209,14 +208,9 @@ def render_results(equity: pd.Series, perf: dict, trades: pd.DataFrame,
with st.sidebar:
st.markdown("## 📈 Backtester")
st.markdown("---")
engine = st.radio("Engine", ["Python (strategies)", "C++ (core)"],
help="Python runs inline. C++ requires a compiled binary.")
use_cpp = engine.startswith("C++")
st.markdown("---")
st.markdown("#### Data")
st.markdown("#### 1. Data")
raw_symbols = st.text_input("Symbols", value="AAPL, MSFT")
symbols = [s.strip().upper() for s in raw_symbols.split(",") if s.strip()]
col1, col2 = st.columns(2)
@@ -225,66 +219,95 @@ with st.sidebar:
with col2:
end = st.date_input("End", value=pd.Timestamp("2024-01-01"))
st.markdown("#### Strategy - SMA Crossover")
if data_exists(symbols):
st.success(f"Data ready: {', '.join(symbols)}")
else:
missing = [s for s in symbols if not os.path.isfile(f"{DATA_DIR}/{s}.csv")]
st.warning(f"Missing: {', '.join(missing)}")
download_btn = st.button("⬇ Download data")
st.markdown("---")
st.markdown("#### 2. Engine")
engine = st.radio("Engine", ["Python (strategies)", "C++ (core)"], label_visibility="collapsed")
use_cpp = engine.startswith("C++")
if use_cpp:
if binary_exists():
st.success("Binary ready: `./build/backtest`")
else:
st.warning("Binary not built yet.")
build_btn = st.button("🔨 Build C++ core")
else:
build_btn = False
st.markdown("---")
st.markdown("#### 3. Strategy")
fast_window = st.slider("Fast window", 5, 100, 20, step=5)
slow_window = st.slider("Slow window", 20, 300, 50, step=10)
if fast_window >= slow_window:
st.warning("Fast window must be < slow window.")
st.markdown("#### Portfolio")
st.warning("Fast must be < slow.")
initial_capital = st.number_input("Capital ($)", min_value=10_000,
max_value=10_000_000, value=100_000, step=10_000)
benchmark = st.text_input("Benchmark", value="SPY").strip().upper()
if use_cpp:
st.markdown("#### C++ binary")
binary_path = st.text_input("Binary path", value=CORE_BINARY)
data_dir = st.text_input("Data dir", value="data")
results_dir = st.text_input("Results dir", value="results")
binary_ok = os.path.isfile(binary_path)
if not binary_ok:
st.error(f"Binary not found: `{binary_path}`")
st.code("cmake -B build -DCMAKE_BUILD_TYPE=Release\ncmake --build build -j4",
language="bash")
st.markdown("---")
run_btn = st.button(
"▶ Run backtest",
disabled=(fast_window >= slow_window) or (use_cpp and not binary_ok)
can_run = (
data_exists(symbols)
and fast_window < slow_window
and (not use_cpp or binary_exists())
)
# architecture note
if use_cpp:
st.markdown("""
<div style='margin-top:1rem;font-size:0.72rem;color:#555;line-height:1.7'>
<b style='color:#8B949E'>core/ (C++17)</b><br>
std::variant + std::visit<br>
fills at next bar open<br>
exports results/*.csv
</div>""", unsafe_allow_html=True)
else:
st.markdown("""
<div style='margin-top:1rem;font-size:0.72rem;color:#555;line-height:1.7'>
<b style='color:#8B949E'>strategies/ (Python)</b><br>
queue.Queue dispatch<br>
yfinance data feed<br>
runs inline
</div>""", unsafe_allow_html=True)
run_btn = st.button("▶ Run backtest", disabled=not can_run)
# ── Main area ─────────────────────────────────────────────────────────────────
engine_label = "C++ core" if use_cpp else "Python strategies"
st.markdown("# 📈 Event-Driven Backtesting Engine")
st.markdown(
f"**Engine:** {engine_label} - "
f"**Engine:** {'C++ core' if use_cpp else 'Python strategies'} - "
f"**SMA** ({fast_window}/{slow_window}) - "
f"**Symbols:** {', '.join(symbols)} - "
f"**Capital:** ${initial_capital:,.0f}"
)
st.markdown("---")
# ── Download ──────────────────────────────────────────────────────────────────
if download_btn:
cmd = ["python", "scripts/download_data.py"] + symbols + [
"--start", str(start), "--end", str(end), "--outdir", DATA_DIR]
with st.status("Downloading data...", expanded=True) as status:
proc = subprocess.run(cmd, capture_output=True, text=True)
st.code(proc.stdout + proc.stderr, language="bash")
status.update(
label="Download complete." if proc.returncode == 0 else "Download failed.",
state="complete" if proc.returncode == 0 else "error")
st.stop()
# ── Build ─────────────────────────────────────────────────────────────────────
if build_btn:
with st.status("Building C++ core...", expanded=True) as status:
cfg = subprocess.run(["cmake", "-B", "build", "-DCMAKE_BUILD_TYPE=Release"],
capture_output=True, text=True)
bld = subprocess.run(["cmake", "--build", "build", "-j4"],
capture_output=True, text=True)
st.code(cfg.stdout + cfg.stderr + bld.stdout + bld.stderr, language="bash")
ok = cfg.returncode == 0 and bld.returncode == 0
status.update(label="Build complete." if ok else "Build failed.",
state="complete" if ok else "error")
st.stop()
# ── Idle ──────────────────────────────────────────────────────────────────────
if not run_btn:
st.info("Configure parameters in the sidebar, then click **▶ Run backtest**.")
steps = []
if not data_exists(symbols):
steps.append("- Click **⬇ Download data**")
if use_cpp and not binary_exists():
steps.append("- Click **🔨 Build C++ core**")
if fast_window >= slow_window:
steps.append("- Fix fast/slow windows")
st.info("Ready - click **▶ Run backtest**." if not steps
else "Before running:\n" + "\n".join(steps))
st.stop()
# ── Python engine ─────────────────────────────────────────────────────────────
@@ -293,49 +316,37 @@ if not use_cpp:
try:
from strategies import run_backtest
equity, perf, trade_log = run_backtest(
symbols, str(start), str(end), initial_capital, fast_window, slow_window
)
symbols, str(start), str(end), initial_capital, fast_window, slow_window)
trades = pd.DataFrame(trade_log) if trade_log else pd.DataFrame()
except Exception as e:
st.error(f"Python engine error: {e}")
st.stop()
render_results(equity, perf, trades, benchmark, initial_capital)
# ── C++ engine ────────────────────────────────────────────────────────────────
else:
sym_arg = ",".join(symbols)
cmd = [binary_path, data_dir, sym_arg,
cmd = [CORE_BINARY, DATA_DIR, ",".join(symbols),
str(fast_window), str(slow_window), str(int(initial_capital))]
st.code(" ".join(cmd), language="bash")
try:
with st.status("Running C++ core...", expanded=False) as status:
proc = subprocess.run(cmd, capture_output=True, text=True, timeout=120)
except subprocess.TimeoutExpired:
st.error("C++ engine timed out after 120s.")
st.stop()
except FileNotFoundError:
st.error(f"Binary not found: `{binary_path}`")
st.stop()
status.update(
label="C++ core finished." if proc.returncode == 0 else "C++ core failed.",
state="complete" if proc.returncode == 0 else "error")
if proc.returncode != 0:
st.code(proc.stderr, language="bash")
st.stop()
if proc.returncode != 0:
st.error("C++ engine failed.")
st.code(proc.stderr, language="bash")
st.stop()
# show C++ stdout (perf table)
with st.expander("C++ engine output", expanded=False):
st.code(proc.stdout, language="bash")
# load results
equity_path = os.path.join(results_dir, "equity.csv")
trades_path = os.path.join(results_dir, "trades.csv")
perf_path = os.path.join(results_dir, "performance.csv")
equity_path = os.path.join(RESULTS_DIR, "equity.csv")
trades_path = os.path.join(RESULTS_DIR, "trades.csv")
perf_path = os.path.join(RESULTS_DIR, "performance.csv")
if not os.path.exists(equity_path):
st.error(f"No equity.csv found in `{results_dir}/`.")
st.error(f"No equity.csv in `{RESULTS_DIR}/`.")
st.stop()
equity = pd.read_csv(equity_path, index_col="date", parse_dates=True)["equity"]
@@ -361,5 +372,4 @@ else:
drawdown = drawdown,
returns = returns,
)
render_results(equity, perf, trades, benchmark, initial_capital)