Update

2026-02-13 08:03:25 +01:00
parent 09c2f54c71
commit 98a87a69ca
134 changed files with 20003 additions and 253 deletions
@@ -0,0 +1,120 @@
+"""
+Quick Backtest Script for ONNX Model
+
+Simple script to quickly backtest the trained ONNX model with default parameters.
+"""
+
+import os
+import sys
+from datetime import datetime, timedelta
+import MetaTrader5 as mt5
+
+# Add paths
+current_dir = os.path.dirname(os.path.abspath(__file__))
+backtest_dir = os.path.join(os.path.dirname(current_dir), 'backtesting', 'MT5')
+sys.path.insert(0, backtest_dir)
+
+from backtest_engine import BacktestEngine
+from onnx_backtest_strategy import ONNXBacktestStrategy
+from performance_analyzer import PerformanceAnalyzer
+
+
+def main():
+    """Run quick backtest."""
+    print("="*60)
+    print("XAUUSD ONNX Model Quick Backtest")
+    print("="*60)
+    
+    # Configuration
+    symbol = 'XAUUSD'
+    timeframe = mt5.TIMEFRAME_H1
+    model_path = 'models/XAUUSD_H1_model.onnx'
+    scaler_path = 'models/XAUUSD_H1_scaler.pkl'
+    initial_balance = 10000.0
+    
+    # Check if model exists
+    if not os.path.exists(model_path):
+        print(f"\nERROR: Model not found: {model_path}")
+        print("Please train the model first using:")
+        print("  python train_onnx_model.py --symbol XAUUSD --timeframe H1")
+        return
+    
+    # Backtest date range
+    end_date = datetime.now()
+    start_date = end_date - timedelta(days=180)  # Last 6 months
+    
+    print(f"\nModel: {model_path}")
+    print(f"Symbol: {symbol}")
+    print(f"Timeframe: H1")
+    print(f"Date Range: {start_date.date()} to {end_date.date()}")
+    print(f"Initial Balance: ${initial_balance:,.2f}\n")
+    
+    # Adjusted parameters (more relaxed to generate trades)
+    print("Strategy Parameters (Adjusted for Testing):")
+    print("  Prediction Threshold: 0.00005 (0.005%) - LOWERED")
+    print("  Min Confidence: 0.1 (10%) - LOWERED")
+    print("  Stop Loss: 50 pips")
+    print("  Take Profit: 100 pips")
+    print("  Lot Size: 0.1\n")
+    
+    # Initialize MT5
+    if not mt5.initialize():
+        print("ERROR: Failed to initialize MT5")
+        print("Make sure MetaTrader 5 is running and you're logged in.")
+        return
+    
+    try:
+        # Create strategy with relaxed parameters
+        strategy = ONNXBacktestStrategy(
+            symbol=symbol,
+            timeframe=timeframe,
+            model_path=model_path,
+            scaler_path=scaler_path,
+            initial_balance=initial_balance,
+            prediction_threshold=0.00005,  # Lowered from 0.0001
+            min_confidence=0.1,  # Lowered from 0.3
+            lot_size=0.1,
+            stop_loss_pips=50,
+            take_profit_pips=100
+        )
+        
+        # Run backtest
+        print("Running backtest...\n")
+        engine = BacktestEngine(strategy, start_date, end_date)
+        results = engine.run()
+        
+        # Analyze results
+        print("\n" + "="*60)
+        print("Performance Summary")
+        print("="*60)
+        
+        analyzer = PerformanceAnalyzer(results)
+        metrics = analyzer.metrics
+        
+        print(f"\nTotal Return: {metrics.get('total_return_pct', 0):.2f}%")
+        print(f"Max Drawdown: {metrics.get('max_drawdown_pct', 0):.2f}%")
+        print(f"Profit Factor: {metrics.get('profit_factor', 0):.2f}")
+        print(f"Win Rate: {metrics.get('win_rate_pct', 0):.2f}%")
+        print(f"Total Trades: {metrics.get('total_trades', 0)}")
+        print(f"Final Balance: ${metrics.get('final_balance', initial_balance):,.2f}")
+        
+        # Generate report
+        analyzer.generate_report('onnx_xauusd_quick_backtest')
+        
+        print("\n" + "="*60)
+        print("Backtest Completed!")
+        print("="*60)
+        print(f"\nResults saved to: onnx_xauusd_quick_backtest/")
+        print("\nTo optimize parameters, run:")
+        print("  python optimize_onnx_params.py")
+        
+    except Exception as e:
+        print(f"\nERROR: Backtest failed: {e}")
+        import traceback
+        traceback.print_exc()
+    finally:
+        mt5.shutdown()
+
+
+if __name__ == '__main__':
+    main()