Claude
29000a2bba
aggregateOos() aus runWalkForward herausgezogen und exportiert; beide Walk-Forward-Varianten (Donchian + Rotation) nutzen dieselbe OOS-Logik. Neues Script rotation-walkforward.ts mit identischem Report-Format und Persistenz in backtest_runs (kind='rotation-walkforward'). package.json: "rotation"-Script ergänzt. Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>
110 lines
4.0 KiB
TypeScript
110 lines
4.0 KiB
TypeScript
import { PAIRS, type Candle, type Pair } from '../types';
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import { getCandles, getCoverage } from '../market/candle-store';
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import { buildWindows, aggregateOos } from '../backtest/walkforward';
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import { runRotationBacktest, type RotationConfig } from '../backtest/rotation';
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import { computeMetrics } from '../backtest/metrics';
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import { DEFAULT_EXEC } from '../engine/portfolio';
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import { db, sql } from '../db/client';
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import { backtestRuns } from '../db/schema';
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// --- Feste A-priori-Parameter (kein Grid, kein Overfitting möglich) ---
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const LOOKBACK_BARS = 180; // 30 Tage × 6 Bars/Tag auf 4h-TF
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const START_CAPITAL = 1000;
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const EXEC = DEFAULT_EXEC;
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const candles15ByPair = new Map<Pair, Candle[]>();
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let dataFrom = 0;
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let dataTo = Number.MAX_SAFE_INTEGER;
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for (const pair of PAIRS) {
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const cov = await getCoverage(pair);
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if (!cov.from || !cov.to) throw new Error(`Keine Candles für ${pair} — erst 'bun run backfill' ausführen.`);
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candles15ByPair.set(pair, await getCandles(pair));
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dataFrom = Math.max(dataFrom, cov.from.getTime());
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dataTo = Math.min(dataTo, cov.to.getTime());
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console.log(`${pair}: ${cov.count} Candles (${cov.from.toISOString()} → ${cov.to.toISOString()})`);
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}
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console.log(`\nMomentum-Rotation (fix: lookback 30d, weekly, top-1, long-only)`);
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console.log(`Walk-Forward über ${((dataTo - dataFrom) / 86400000).toFixed(0)} Tage…\n`);
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const windows = buildWindows(dataFrom, dataTo);
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type WindowResult = {
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window: { trainFrom: number; trainTo: number; testFrom: number; testTo: number };
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trainMetrics: ReturnType<typeof computeMetrics>;
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testMetrics: ReturnType<typeof computeMetrics>;
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testTrades: import('../engine/portfolio').ClosedTrade[];
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testEquityCurve: import('../backtest/metrics').EquityPoint[];
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};
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const results: WindowResult[] = [];
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for (const [wi, w] of windows.entries()) {
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const trainCfg: RotationConfig = {
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startCapital: START_CAPITAL,
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exec: EXEC,
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lookbackBars: LOOKBACK_BARS,
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tradeFrom: w.trainFrom,
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tradeTo: w.trainTo,
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};
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const testCfg: RotationConfig = {
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startCapital: START_CAPITAL,
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exec: EXEC,
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lookbackBars: LOOKBACK_BARS,
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tradeFrom: w.testFrom,
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tradeTo: w.testTo,
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};
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const trainResult = runRotationBacktest(candles15ByPair, trainCfg);
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const trainMetrics = computeMetrics(trainResult.trades, trainResult.equityCurve, START_CAPITAL);
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const testResult = runRotationBacktest(candles15ByPair, testCfg);
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const testMetrics = computeMetrics(testResult.trades, testResult.equityCurve, START_CAPITAL);
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results.push({
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window: w,
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trainMetrics,
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testMetrics,
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testTrades: testResult.trades,
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testEquityCurve: testResult.equityCurve,
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});
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console.log(
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`Fenster ${wi + 1}/${windows.length}: Train-PF ${trainMetrics.profitFactor.toFixed(2)} ` +
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`→ Test-PF ${testMetrics.profitFactor.toFixed(2)} bei ${testMetrics.trades} Trades`,
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);
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}
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// OOS-Aggregat (gemeinsame Logik aus walkforward.ts)
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const { oosMetrics, oosEquityCurve, gate } = aggregateOos(results, START_CAPITAL);
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console.log('\n========== OOS-GESAMTERGEBNIS ==========');
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const m = oosMetrics;
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console.log(`Trades: ${m.trades} | WinRate: ${(m.winRate * 100).toFixed(1)}% | PF: ${m.profitFactor.toFixed(2)}`);
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console.log(`TotalPnl: ${m.totalPnl.toFixed(2)} USDT | MaxDD: ${(m.maxDrawdownPct * 100).toFixed(1)}% | AvgR: ${m.avgR.toFixed(2)}`);
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console.log('\n========== DEPLOY-GATE ==========');
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for (const c of gate.checks) {
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console.log(`${c.pass ? '✅' : '❌'} ${c.name}: ${Number.isFinite(c.value) ? c.value.toFixed(2) : c.value}`);
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}
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console.log(`\n→ GATE ${gate.pass ? 'BESTANDEN' : 'NICHT BESTANDEN'}`);
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// Persistenz
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await db.insert(backtestRuns).values({
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kind: 'rotation-walkforward',
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config: { startCapital: START_CAPITAL, exec: EXEC, lookbackBars: LOOKBACK_BARS } as any,
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result: {
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gate,
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oosMetrics,
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oosEquityCurve,
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windows: results.map((r) => ({
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window: r.window,
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trainMetrics: r.trainMetrics,
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testMetrics: r.testMetrics,
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})),
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} as any,
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});
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console.log('Run in backtest_runs gespeichert.');
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await sql.end();
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