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63 lines
1.9 KiB
Python
63 lines
1.9 KiB
Python
"""Benchmark: all symbols, Arrow IPC store (bars_1m + bars_1h).
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Usage:
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python examples/bench_mega_all_symbols.py
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"""
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import os
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import time
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import manifoldbt as mbt
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from manifoldbt.indicators import ema, close
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from manifoldbt.helpers import time_range, Slippage, Interval
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# -- Strategy -------------------------------------------------------------------
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fast = ema(close, 12)
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slow = ema(close, 200)
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trend = fast - slow
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strategy = (
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mbt.Strategy.create("ema_crossover_all")
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.signal("trend", trend)
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.size(mbt.when(trend > 0.0, 0.5, 0.0))
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)
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# -- Config: all available Binance perp symbols, 3 years, 1h bars -----------------
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universe = {"binance": [
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"BTC-USDT:perp", "ETH-USDT:perp", "LTC-USDT:perp", "BNB-USDT:perp",
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"DOT-USDT:perp", "XRP-USDT:perp", "ADA-USDT:perp", "LINK-USDT:perp",
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"DOGE-USDT:perp", "AVAX-USDT:perp",
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]}
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start, end = time_range("2022-01-01", "2025-01-01")
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config = mbt.BacktestConfig(
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universe=universe,
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time_range_start=start,
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time_range_end=end,
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bar_interval=Interval.minutes(60),
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precise=True,
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initial_capital=100_000,
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execution=mbt.ExecutionConfig(
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allow_short=False,
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max_position_pct=0.05,
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position_sizing_mode="FractionOfInitialCapital",
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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=30,
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)
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# -- Run -----------------------------------------------------------------------
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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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metadata_db = os.path.abspath(os.path.join(root, "metadata", "metadata.sqlite"))
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store = mbt.DataStore(data_root=data_root, metadata_db=metadata_db, arrow_dir=os.path.join(data_root, "mega"))
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t0 = time.perf_counter()
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result = mbt.run(strategy, config, store)
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elapsed = time.perf_counter() - t0
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print(result.profile_summary())
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print(f"\nWall clock: {elapsed:.3f}s")
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print(f"Trades: {result.trade_count}")
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print(f"Symbols: {len(universe['binance'])}")
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