kuns/trade-kuns
2
0
Fork 0
Code Issues Pull Requests Actions Packages Projects Releases Wiki Activity

feat: --fixed Flag — Walk-Forward ohne Grid-Suche (fixe Spec-Default-Parameter)

Browse Source
This commit is contained in:
Claude
2026-06-09 22:03:31 +00:00
parent cdf5b133a9
commit 8e838c4a66
2 changed files with 10 additions and 4 deletions
Download Patch File Download Diff File Expand all files Collapse all files

5
src/server/backtest/walkforward.ts
View File

@@ -112,16 +112,17 @@ export function runWalkForward(
dataFrom: number,
dataTo: number,
onProgress?: (msg: string) => void,
grid: StrategyParams[] = PARAM_GRID,
): WalkForwardResult {
const windows = buildWindows(dataFrom, dataTo);
const results: WindowResult[] = [];
for (const [wi, w] of windows.entries()) {
let bestParams = PARAM_GRID[0];
let bestParams = grid[0];
let bestMetrics: Metrics | null = null;
let bestEligible = false;
for (const params of PARAM_GRID) {
for (const params of grid) {
const r = runBacktest(candles15ByPair, { ...baseCfg, params, tradeFrom: w.trainFrom, tradeTo: w.trainTo });
const m = computeMetrics(r.trades, r.equityCurve, baseCfg.startCapital);
const eligible = m.trades >= 5;

9
src/server/scripts/walkforward.ts
View File

@@ -1,6 +1,7 @@
import { PAIRS, type Candle, type Pair } from '../types';
import { getCandles, getCoverage } from '../market/candle-store';
import { runWalkForward } from '../backtest/walkforward';
import { DEFAULT_PARAMS } from '../strategy/donchian-trend';
import { DEFAULT_RISK } from '../engine/sizing';
import { DEFAULT_EXEC } from '../engine/portfolio';
import { db, sql } from '../db/client';
@@ -20,11 +21,15 @@ for (const pair of PAIRS) {
}
const allowShort = process.argv.includes('--shorts');
// --fixed: keine Grid-Suche — fixe A-priori-Parameter (Spec-Defaults). Kein Overfitting
// durch Parameterwahl möglich; Train-Metriken dienen nur noch der Ratio-Diagnose.
const fixed = process.argv.includes('--fixed');
const grid = fixed ? [DEFAULT_PARAMS] : undefined;
const baseCfg = { startCapital: 1000, risk: DEFAULT_RISK, exec: DEFAULT_EXEC, maxPositions: 4, allowShort };
console.log(`Shorts: ${allowShort ? 'AN' : 'AUS'}`);
console.log(`Shorts: ${allowShort ? 'AN' : 'AUS'} | Parameter: ${fixed ? 'FIX (Spec-Defaults)' : 'Grid-Suche'}`);
console.log(`\nWalk-Forward über ${((dataTo - dataFrom) / 86400000).toFixed(0)} Tage…\n`);
const result = runWalkForward(candles15ByPair, baseCfg, dataFrom, dataTo, (msg) => console.log(msg));
const result = runWalkForward(candles15ByPair, baseCfg, dataFrom, dataTo, (msg) => console.log(msg), grid);
console.log('\n========== OOS-GESAMTERGEBNIS ==========');
const m = result.oosMetrics;