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94 lines
2.9 KiB
Python
94 lines
2.9 KiB
Python
"""2D Parameter Sweep Heatmap -- EMA crossover t-stat(alpha).
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Demonstrates:
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- param() in indicator periods (engine re-compiles per combo)
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- run_sweep_lite() for Cartesian grid search
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- Heatmap visualization with mbt.plot.heatmap_2d()
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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/08_sweep_2d_heatmap.py
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"""
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import time
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import manifoldbt as mbt
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from manifoldbt.indicators import close, ema
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from manifoldbt.helpers import time_range, Slippage, Interval
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from _bootstrap import open_store, plots_available
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# -- Strategy (single definition, param() in periods) ------------------------
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# The sweep sets both periods for every combo. The defaults are what a plain
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# mbt.run(strategy, ...) or a diagnostic uses: without one, a period has no
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# value outside the sweep.
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fast = ema(close, mbt.param("fast", default=20))
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slow = ema(close, mbt.param("slow", default=100))
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signal = mbt.when(fast > slow, 0.25, mbt.when(fast < slow, -0.25, 0.0))
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strategy = (
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mbt.Strategy.create("ema_cross")
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.signal("fast", fast)
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.signal("slow", slow)
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.size(signal)
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)
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# -- Config -------------------------------------------------------------------
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start, end = time_range("2021-01-01", "2026-01-01")
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config = mbt.BacktestConfig(
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universe={"binance": ["BTC-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(1),
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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=80,
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output_resolution=Interval.days(1),
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)
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# -- Run ----------------------------------------------------------------------
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if __name__ == "__main__":
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store = open_store()
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fast_values = list(range(5, 1000, 5))
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slow_values = list(range(10, 5000, 5))
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print(f"Running 2D sweep ({len(fast_values)*len(slow_values)} combos)...")
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t0 = time.perf_counter()
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batch = mbt.run_sweep_lite(
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strategy,
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{"fast": fast_values, "slow": slow_values},
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config,
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store,
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)
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elapsed = time.perf_counter() - t0
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# run_sweep_lite iterates sorted keys: fast (outer) × slow (inner)
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# Reshape into grid[slow][fast] for heatmap (y=slow, x=fast)
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metric_grid = [[0.0] * len(fast_values) for _ in slow_values]
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idx = 0
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for fi, f_val in enumerate(fast_values):
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for si, s_val in enumerate(slow_values):
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metric_grid[si][fi] = batch[idx].metrics.get("tstat_alpha", 0.0)
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idx += 1
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print(f"\n{len(batch)} combos in {elapsed:.2f}s")
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if not plots_available():
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raise SystemExit(0)
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mbt.plot.heatmap_2d({
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"x_param": "fast",
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"y_param": "slow",
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"x_values": fast_values,
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"y_values": slow_values,
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"metric": "t-stat(alpha)",
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"metric_grid": metric_grid,
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})
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