moen0
80 lines
2.6 KiB
Python
80 lines
2.6 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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from tqdm import tqdm
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# Load data once
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candles_1m = load_candles("data/data1.csv")
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candles_5m = resample_candles(candles_1m, period=5)
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# Initialize best results
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best_pnl = float("-inf")
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best_params = None
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# Generate all parameter combinations
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param_combos = []
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for session in ["london", "new_york"]:
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for lookback in [3, 5, 7, 10]:
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for ob_age in [20, 50, 80]:
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for atr in [1.0, 1.5, 2.0, 2.5]:
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for sweep in [True, False]:
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sweep_lbs = [5, 10, 15] if sweep else [0]
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for sweep_lb in sweep_lbs:
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param_combos.append({
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"session": session,
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"lookback": lookback,
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"ob_age": ob_age,
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"atr": atr,
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"sweep": sweep,
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"sweep_lb": sweep_lb
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})
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print(f"Starting optimization of {len(param_combos)} combinations on your M4 Mac...\n")
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total_start = time.perf_counter()
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# Main loop with progress bar
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for params in tqdm(param_combos, desc="Optimizing ICT Strategy", unit="backtest"):
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strategy = ICTStrategy(
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session=params["session"],
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lookback=params["lookback"],
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ob_max_age=params["ob_age"],
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atr_mult=params["atr"],
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use_liquidity_sweep=params["sweep"],
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sweep_lookback=params["sweep_lb"],
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)
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t0 = time.perf_counter()
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trades = run_backtest(candles_5m, strategy, 10000)
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elapsed = time.perf_counter() - t0
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if len(trades) < 5:
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continue
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total_pnl = sum(t.pnl for t in trades)
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wr = len([t for t in trades if t.pnl > 0]) / len(trades) * 100 if trades else 0.0
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if total_pnl > best_pnl:
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best_pnl = total_pnl
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best_params = {
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"session": params["session"],
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"lookback": params["lookback"],
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"ob_age": params["ob_age"],
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"atr": params["atr"],
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"sweep": params["sweep"],
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"sweep_lb": params["sweep_lb"],
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"trades": len(trades),
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"wr": round(wr, 2)
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}
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tqdm.write(f"New best! PnL = {total_pnl:.2f} | Params: {best_params}")
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# Final results
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total_time = time.perf_counter() - total_start
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print("\n" + "="*60)
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print("Optimization finished!")
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print(f"Total time on your M4: {total_time:.1f} seconds ({total_time/60:.1f} minutes)")
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print(f"Best params: {best_params}")
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print(f"Best PnL: {best_pnl:.2f}")
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print("="*60) |