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78 lines
2.3 KiB
Python
78 lines
2.3 KiB
Python
"""Multi-Strategy Portfolio -- combine strategies with risk management.
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Demonstrates:
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- Portfolio builder with weighted strategies
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- Importing strategies from separate files
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- Risk rules (max drawdown, gross exposure cap)
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- Periodic rebalancing
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- Per-strategy breakdown
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Data: shared store — real market data from `data/` (see examples/README.md)
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Usage:
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python examples/11_portfolio.py
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"""
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import os
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import sys
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import time
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# Allow importing sibling example files as modules
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sys.path.insert(0, os.path.dirname(__file__))
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import manifoldbt as mbt
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from manifoldbt.helpers import time_range, Slippage, Interval
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# -- Import strategies from dedicated files -----------------------------------
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from importlib import import_module
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strategy_a = import_module("01_trend_following").strategy
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strategy_b = import_module("02_mean_reversion").strategy
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# -- Portfolio ----------------------------------------------------------------
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portfolio = (
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mbt.Portfolio()
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.strategy(strategy_a, weight=0.6)
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.strategy(strategy_b, weight=0.4)
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.max_drawdown(pct=20.0)
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.max_gross_exposure(pct=150.0)
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.rebalance_periodic(every_n_bars=30)
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)
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# -- Config -------------------------------------------------------------------
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start, end = time_range("2021-01-01", "2025-01-01")
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config = mbt.BacktestConfig(
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universe={"binance": ["BTC-USDT:perp", "ETH-USDT:perp"]},
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time_range_start=start,
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time_range_end=end,
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bar_interval=Interval.hours(12),
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initial_capital=10_000,
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execution=mbt.ExecutionConfig(
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allow_short=True,
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max_position_pct=0.5,
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),
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fees=mbt.FeeConfig.binance_perps(),
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slippage=Slippage.fixed_bps(2),
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warmup_bars=60,
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)
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# -- Run ----------------------------------------------------------------------
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if __name__ == "__main__":
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root = os.path.join(os.path.dirname(__file__), "..")
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data_root = os.path.abspath(os.path.join(root, "data"))
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store = mbt.DataStore(
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data_root=data_root,
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metadata_db=os.path.abspath(os.path.join(root, "metadata", "metadata.sqlite")),
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arrow_dir=os.path.join(data_root, "mega"),
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)
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print(f"Running portfolio: {portfolio}\n")
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t0 = time.perf_counter()
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result = mbt.run_portfolio(portfolio, config, store)
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elapsed = time.perf_counter() - t0
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print(result.summary())
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print(f"\nElapsed: {elapsed:.3f}s")
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mbt.plot.tearsheet(result)
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