moen0
41 lines
1.3 KiB
Python
41 lines
1.3 KiB
Python
from data.loader import load_candles, resample_candles
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from engine.backtester import run_backtest
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from strategies.ict_strategy import ICTStrategy
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import time
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candles_1m = load_candles("data/2023gj.csv")
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candles_5m = resample_candles(candles_1m, period=5)
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strategy = ICTStrategy(
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session="london",
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lookback=7,
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ob_max_age=50,
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atr_mult=2.5,
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use_liquidity_sweep=True,
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sweep_lookback=5,
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)
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total_start = time.perf_counter()
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for rr in [1.0, 1.5, 2.0, 2.5, 3.0]:
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t0 = time.perf_counter()
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trades = run_backtest(candles_5m, strategy, 10000, risk_reward=rr)
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elapsed = time.perf_counter() - t0
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if not trades:
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print(f"RR={rr}: No trades ({elapsed:.2f}s)")
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continue
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total_pnl = sum(t.pnl for t in trades)
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winners = [t for t in trades if t.pnl > 0]
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losers = [t for t in trades if t.pnl <= 0]
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wr = len(winners) / len(trades) * 100
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avg_win = sum(t.pnl for t in winners) / len(winners) if winners else 0
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avg_loss = sum(t.pnl for t in losers) / len(losers) if losers else 0
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print(
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f"RR={rr}: Trades={len(trades)}, WR={wr:.1f}%, PnL={total_pnl:.2f}, "
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f"AvgW={avg_win:.3f}, AvgL={avg_loss:.3f}, Time={elapsed:.2f}s"
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)
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total_elapsed = time.perf_counter() - total_start
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print(f"Total run time: {total_elapsed:.2f}s")
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