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62 lines
2.4 KiB
Python
62 lines
2.4 KiB
Python
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"""S7 Tight — Full dataset validation for GBP_USD and EUR_USD."""
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import os, sys, io, time
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sys.stdout = io.TextIOWrapper(sys.stdout.buffer, encoding='utf-8', errors='replace')
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sys.path.insert(0, os.path.dirname(os.path.dirname(__file__)))
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import pandas as pd
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from src.indicators.technical import compute_all_indicators
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from src.backtester.engine import Backtester
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from src.strategies_pkg.s7_liquidity_sweep import S7_Liquidity_Sweep
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PROCESSED_DIR = os.path.join(os.path.dirname(os.path.dirname(__file__)), "data", "processed")
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RESULTS_DIR = os.path.join(os.path.dirname(os.path.dirname(__file__)), "results", "phase1")
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os.makedirs(RESULTS_DIR, exist_ok=True)
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TRAIN_RATIO = 0.70
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for pair in ["GBP_USD", "EUR_USD"]:
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print(f"\n{'#' * 70}")
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print(f"# S7 Tight — {pair} FULL DATASET")
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print(f"{'#' * 70}")
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fp = os.path.join(PROCESSED_DIR, f"{pair}_H1.csv")
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df = pd.read_csv(fp, index_col=0, parse_dates=True)
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df.index.name = "timestamp"
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df = compute_all_indicators(df)
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htf = df.copy()
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print(f" Data: {len(df)} H1 bars, {df.index[0].date()} to {df.index[-1].date()}")
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split_idx = int(len(df) * TRAIN_RATIO)
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splits = {
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"FULL": (df, htf),
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"TRAIN": (df.iloc[:split_idx], htf.iloc[:split_idx]),
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"TEST": (df.iloc[split_idx:], htf.iloc[split_idx:]),
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}
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for phase, (d, h) in splits.items():
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t0 = time.time()
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bt = Backtester(data=d, strategy=S7_Liquidity_Sweep(), pair=pair,
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starting_equity=100_000.0, htf_data=h)
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r = bt.run()
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tl = bt.get_trade_log_df()
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elapsed = time.time() - t0
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n = r.get("total_trades", 0)
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wr = r.get("win_rate_pct", 0)
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pf = r.get("profit_factor", 0)
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pnl = r.get("total_pnl_pips", 0)
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pnl_d = r.get("total_pnl_dollars", 0)
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dd = r.get("max_drawdown_pct", 0)
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aw = r.get("avg_win_pips", 0)
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al = r.get("avg_loss_pips", 0)
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rr = aw / al if al > 0 else 0
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exp = pnl / n if n > 0 else 0
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print(f" {phase:>5}: {n:>3} trades | WR {wr:>5.1f}% | PF {pf:>5.2f} | "
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f"PnL {pnl:>+8.1f}p (${pnl_d:>+10,.2f}) | DD {dd:>6.2f}% | "
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f"AvgW {aw:>5.1f} / AvgL {al:>5.1f} | RR {rr:>4.2f} | "
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f"Exp {exp:>+6.2f}p ({elapsed:.0f}s)")
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if len(tl) > 0:
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tl.to_csv(os.path.join(RESULTS_DIR, f"S7T_{pair}_FULL_{phase}_trades.csv"), index=False)
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