release: v0.4.0

examples/bench_mega_all_symbols.py

@@ -0,0 +1,59 @@
+"""Benchmark: all symbols, Arrow IPC store (bars_1m + bars_1h).
+
+Usage:
+    python examples/bench_mega_all_symbols.py
+"""
+import os
+import time
+import manifoldbt as mbt
+from manifoldbt.indicators import ema, close
+from manifoldbt.helpers import time_range, Slippage, Interval
+
+# -- Strategy -------------------------------------------------------------------
+fast = ema(close, 12)
+slow = ema(close, 200)
+trend = fast - slow
+
+strategy = (
+    mbt.Strategy.create("ema_crossover_all")
+    .signal("trend", trend)
+    .size(mbt.when(trend > 0.0, 0.5, 0.0))
+)
+
+# -- Config: 21 crypto symbols, 3 years, 1h bars --------------------------------
+# SOL (3) starts 2024 only — excluded
+universe = [s for s in range(1, 23) if s != 3]
+start, end = time_range("2022-01-01", "2025-01-01")
+
+config = mbt.BacktestConfig(
+    universe=universe,
+    time_range_start=start,
+    time_range_end=end,
+    bar_interval=Interval.minutes(60),
+    precise=True,
+    initial_capital=100_000,
+    execution=mbt.ExecutionConfig(
+        allow_short=False,
+        max_position_pct=0.05,
+        position_sizing_mode="FractionOfInitialCapital",
+    ),
+    fees=mbt.FeeConfig.binance_perps(),
+    slippage=Slippage.fixed_bps(2),
+    warmup_bars=30,
+)
+
+# -- Run -----------------------------------------------------------------------
+root = os.path.join(os.path.dirname(__file__), "..")
+data_root = os.path.abspath(os.path.join(root, "data"))
+metadata_db = os.path.abspath(os.path.join(root, "metadata", "metadata.sqlite"))
+
+store = mbt.DataStore(data_root=data_root, metadata_db=metadata_db, arrow_dir=os.path.join(data_root, "mega"))
+
+t0 = time.perf_counter()
+result = mbt.run(strategy, config, store)
+elapsed = time.perf_counter() - t0
+
+print(result.profile_summary())
+print(f"\nWall clock: {elapsed:.3f}s")
+print(f"Trades: {result.trade_count}")
+print(f"Symbols: {len(universe)}")