mirror of
https://github.com/RomySaputraSihananda/ares.git
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romysaputrasihananda
ddd8c98af5
STOP_OUT_PCT env var (default 0.0 = Exness standard: stop at $0 equity). - During open trade: checks worst-case equity (candle.low/high) each candle - Before new trade: checks balance > stop_out_balance - Prints STOP-OUT event in trade log and MARGIN CALL banner in summary Portfolio simulator updated: checks combined balance vs stop-out level. Findings: 1% risk — never margin-called at any stop-out level 5% XAUUSDm — MARGIN CALL at STOP_OUT_PCT=0.2 (balance hit $88.99 < $120) 5% XAGUSDm/BTC/Oil — survive 20% stop-out (lower early drawdown) Portfolio 4 pairs — no margin call at 20% stop-out (diversification) Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
89 lines
2.9 KiB
Python
89 lines
2.9 KiB
Python
#!/usr/bin/env python3
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"""
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Portfolio simulator — combines trade logs from multiple Ares backtest runs
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into a single compounding account, sorted chronologically by open time.
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Usage: python3 scripts/portfolio_sim.py < combined_trades.txt
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Env: STOP_OUT_PCT=0.0 (fraction of initial balance, e.g. 0.2 = stop at $120 on $600)
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"""
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import sys
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import os
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import re
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from decimal import Decimal
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TRADE_RE = re.compile(
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r'\[(\d{4}-\d{2}-\d{2} \d{2}:\d{2}) \S+\].*?pnl=([+-]?\d+\.\d+) bal=(\d+\.\d+)'
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)
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def parse_trades(lines):
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trades = []
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for line in lines:
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m = TRADE_RE.search(line)
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if not m:
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continue
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open_time = m.group(1)
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pnl_abs = Decimal(m.group(2))
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bal_after = Decimal(m.group(3))
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bal_before = bal_after - pnl_abs
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if bal_before <= 0:
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continue
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pnl_ratio = pnl_abs / bal_before
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trades.append((open_time, pnl_ratio))
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return trades
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def simulate(trades, start_balance=Decimal("600"), stop_out_pct=Decimal("0.0")):
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trades_sorted = sorted(trades, key=lambda t: t[0])
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stop_out_bal = start_balance * stop_out_pct
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balance = start_balance
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peak = balance
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max_dd = Decimal("0")
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wins = losses = 0
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margin_called = False
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for open_time, pnl_ratio in trades_sorted:
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if balance <= stop_out_bal:
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print(f" *** MARGIN CALL at {open_time}: balance ${balance:.2f} ≤ stop-out ${stop_out_bal:.2f} ***")
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margin_called = True
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break
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pnl = balance * pnl_ratio
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balance += pnl
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if balance > peak:
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peak = balance
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dd = balance - peak
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if dd < max_dd:
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max_dd = dd
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if pnl >= 0:
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wins += 1
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else:
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losses += 1
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total = wins + losses
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wr = wins / total * 100 if total else 0
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ret = (balance - start_balance) / start_balance * 100
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print("─" * 47)
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print(f" Combined Portfolio (all pairs)")
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print("─" * 47)
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print(f" Stop-out level : {float(stop_out_pct)*100:.0f}% of initial (${stop_out_bal:.2f})")
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print(f" Trades : {total} (W={wins} L={losses} WR={wr:.1f}%)")
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print(f" Start balance : ${start_balance:,.2f}")
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print(f" Final balance : ${balance:,.2f}")
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print(f" Total return : {ret:+,.1f}%")
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print(f" Max drawdown : ${max_dd:,.2f} ({float(max_dd/peak)*100:.1f}% of peak)")
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if margin_called:
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print(f" *** MARGIN CALL triggered ***")
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print("─" * 47)
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if __name__ == "__main__":
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lines = sys.stdin.readlines()
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trades = parse_trades(lines)
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start_bal = Decimal(os.environ.get("BACKTEST_BALANCE", "600"))
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stop_out_pct = Decimal(os.environ.get("STOP_OUT_PCT", "0.0"))
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if not trades:
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print("No trades found in input.")
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sys.exit(1)
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simulate(trades, start_balance=start_bal, stop_out_pct=stop_out_pct)
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