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feat(backtest): add walk-forward OOS validation to backtest_signal_ftmo

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Split IS (2020-2023) and OOS (2024-2026) periods with independent FTMO
simulations. Strategy acceptance now requires OOS sharpe > 0 and
OOS monthly return > 0 to prevent overfitting. OOS metrics stored in
strategy JSON summary and CSV reports.

Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
This commit is contained in:
TPTBusiness
2026-04-19 12:53:00 +02:00
parent 5bc517c3bc
commit 7232ebf89d
4 changed files with 263 additions and 36 deletions
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scripts/predix_rebacktest_unified.py
+46 -1
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@@ -204,6 +204,8 @@ def main() -> None:
help="Write a CSV report to this path")
parser.add_argument("--txn-cost-bps", type=float, default=2.14,
help="Transaction cost bps (default 2.14 ≈ 2.35 pip EUR/USD)")
parser.add_argument("--write-back", action="store_true",
help="Overwrite summary field in strategy JSON files with new results")
args = parser.parse_args()
console.print(f"[dim]Log: {_log_file_path}[/dim]")
@@ -238,6 +240,42 @@ def main() -> None:
bt = rebacktest_one(data, close, args.txn_cost_bps)
if args.write_back and bt.get("status") == "ok":
data["summary"] = {
"sharpe": bt.get("sharpe"),
"max_drawdown": bt.get("max_drawdown"),
"win_rate": bt.get("win_rate"),
"monthly_return_pct": bt.get("monthly_return_pct"),
"real_ic": data.get("summary", {}).get("real_ic"),
"real_n_trades": bt.get("n_trades"),
"total_return": bt.get("total_return"),
"annualized_return": bt.get("annualized_return"),
"ftmo_daily_loss_hit": bt.get("ftmo_daily_loss_hit"),
"ftmo_total_loss_hit": bt.get("ftmo_total_loss_hit"),
"trading_style": data.get("summary", {}).get("trading_style"),
"engine": "ftmo_v2",
"txn_cost_bps": args.txn_cost_bps,
# Walk-forward OOS
"is_sharpe": bt.get("is_sharpe"),
"is_monthly_return_pct": bt.get("is_monthly_return_pct"),
"oos_sharpe": bt.get("oos_sharpe"),
"oos_monthly_return_pct": bt.get("oos_monthly_return_pct"),
"oos_max_drawdown": bt.get("oos_max_drawdown"),
"oos_win_rate": bt.get("oos_win_rate"),
"oos_n_trades": bt.get("oos_n_trades"),
"oos_start": bt.get("oos_start"),
}
data["sharpe_ratio"] = bt.get("sharpe")
data["max_drawdown"] = bt.get("max_drawdown")
data["win_rate"] = bt.get("win_rate")
data["total_return"] = bt.get("total_return")
data["reevaluation_status"] = "ftmo_v2"
try:
import json as _json
f.write_text(_json.dumps(data, indent=2, ensure_ascii=False))
except Exception as _e:
logging.warning(f"write-back failed for {f.name}: {_e}")
row = {
"file": f.name,
"name": name,
@@ -251,10 +289,17 @@ def main() -> None:
"new_dd": bt.get("max_drawdown"),
"new_trades": bt.get("n_trades"),
"new_total_return": bt.get("total_return"),
"new_monthly_pct": bt.get("monthly_return_pct"),
"new_annual_return_cagr": None,
"data_quality": bt.get("data_quality_flag"),
# OOS walk-forward
"is_sharpe": bt.get("is_sharpe"),
"is_monthly_pct": bt.get("is_monthly_return_pct"),
"oos_sharpe": bt.get("oos_sharpe"),
"oos_monthly_pct": bt.get("oos_monthly_return_pct"),
"oos_dd": bt.get("oos_max_drawdown"),
"oos_trades": bt.get("oos_n_trades"),
}
# annualized CAGR is not in forward_returns wrapper; use annual_return_pct/100 proxy
if "annualized_return" in bt:
row["new_annual_return_cagr"] = bt["annualized_return"]
rows.append(row)