161 lines
21 KiB
Plaintext
161 lines
21 KiB
Plaintext
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Backtesting Engine for Polymarket
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Simulates trading on historical market data.
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é )ÚDictÚListÚOptionalÚAny)ÚdatetimeÚ timedeltaNÚignore)ÚdivideÚinvalidé )Ú BaseStrategyÚ MarketSignalÚPosition)Ú GammaClient)Ú
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ClobClientc
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e d e eef fd„Zd ded efd„Zddee d dfd„Zy) ÚBacktestEnginez„
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Main backtesting engine for Polymarket strategies.
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Simulates trading on historical data with realistic execution.
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ÚstrategyÚ
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start_dateÚend_dateÚinitial_balancec ó¾ — || _ || _ || _ || _ t « | _ t
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« | _ || _ g | _ g | _
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g | _ g | _ y)a
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Initialize backtesting engine.
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Args:
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strategy: Strategy instance to backtest
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start_date: Start date for backtesting
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end_date: End date for backtesting
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initial_balance: Starting USDC balance
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N)
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r r r r r Ú gamma_clientr Ú clob_clientÚ current_dateÚmarket_snapshotsÚtradesÚ equity_curveÚ
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daily_returns)Úselfr r r r s ú=D:\profitable-expert-advisor\polymarket\backtesting\engine.pyÚ__init__zBacktestEngine.__init__ sb € ð !ˆŒ
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Ø .ˆÔ ô (›MˆÔÜ%›<ˆÔð 'ˆÔØ,.ˆÔ Ø"$ˆŒ ð )+ˆÔØ*,ˆÕó NÚtag_idÚreturnc óÒ — | j j ddd|¬« }g }|D ]@ }|j dg « D ]) }|j ||t j
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Fetch markets that were active during backtest period.
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Note: Polymarket API may not provide full historical data.
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This is a simplified implementation.
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Args:
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tag_id: Optional tag ID to filter markets
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Returns:
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List of market dictionaries
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TFéd )ÚactiveÚclosedÚlimitr$ Úmarkets©ÚeventÚmarketÚ timestamp)r Ú
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get_eventsÚgetÚappendr Únow)r r$ Úeventsr+ r- r. s r! Úfetch_historical_marketsz'BacktestEngine.fetch_historical_markets; s‚ € ð ×"Ñ"×-Ñ-ØØØØð .ó
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ð ð ˆr# Ú
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initial_priceÚdaysÚ
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volatilityc óÊ — |g}t |« D ]Q }t j j d|« }|d |z }t dt d|« « }|j
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Simulate price evolution for backtesting.
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In production, use actual historical price data.
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Args:
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initial_price: Starting price
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days: Number of days to simulate
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volatility: Daily volatility
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Returns:
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List of prices over time
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Execute a trading signal.
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Args:
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signal: Trading signal from strategy
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market_data: Current market data
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timestamp: Current timestamp
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Returns:
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Trade dictionary or None if execution failed
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r. Ú clobTokenIdsNr ÚYesÚ
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outcomePricesú
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losing_tradesÚ
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tokens_boughtÚpositionÚ
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close_sizeÚ
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exit_valueÚ
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