zhutoutoutousan
116 lines
3.4 KiB
Python
116 lines
3.4 KiB
Python
"""
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Backtest XAUUSD ONNX Model
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This script backtests a trained ONNX model for XAUUSD.
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Make sure you have trained the model first using train_onnx_model.py
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"""
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import sys
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import os
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from datetime import datetime, timedelta
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import MetaTrader5 as mt5
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# Add paths
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current_dir = os.path.dirname(os.path.abspath(__file__))
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backtest_dir = os.path.join(os.path.dirname(current_dir), 'backtesting', 'MT5')
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sys.path.insert(0, backtest_dir)
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from backtest_engine import BacktestEngine
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from onnx_backtest_strategy import ONNXBacktestStrategy
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from performance_analyzer import PerformanceAnalyzer
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def main():
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"""Run backtest for XAUUSD ONNX model."""
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print("="*60)
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print("XAUUSD ONNX Model Backtest")
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print("="*60)
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# Configuration
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symbol = 'XAUUSD'
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timeframe = mt5.TIMEFRAME_H1
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model_path = 'models/XAUUSD_H1_model.onnx'
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scaler_path = 'models/XAUUSD_H1_scaler.pkl'
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initial_balance = 10000.0
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# Check if model exists
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if not os.path.exists(model_path):
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print(f"\nERROR: Model not found: {model_path}")
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print("Please train the model first using:")
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print(" python train_onnx_model.py --symbol XAUUSD --timeframe H1")
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return
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if not os.path.exists(scaler_path):
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print(f"\nWARNING: Scaler not found: {scaler_path}")
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print("Will use default normalization (may affect accuracy)")
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scaler_path = None
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# Backtest date range
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end_date = datetime.now()
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start_date = end_date - timedelta(days=180) # Last 6 months
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print(f"\nModel: {model_path}")
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print(f"Symbol: {symbol}")
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print(f"Timeframe: H1")
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print(f"Date Range: {start_date.date()} to {end_date.date()}")
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print(f"Initial Balance: ${initial_balance:,.2f}\n")
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# Create strategy
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try:
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strategy = ONNXBacktestStrategy(
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symbol=symbol,
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timeframe=timeframe,
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model_path=model_path,
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scaler_path=scaler_path,
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initial_balance=initial_balance,
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prediction_threshold=0.0001, # 0.01% minimum change
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min_confidence=0.3, # 30% minimum confidence
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lot_size=0.1,
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stop_loss_pips=50,
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take_profit_pips=100
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)
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except Exception as e:
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print(f"ERROR: Failed to create strategy: {e}")
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import traceback
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traceback.print_exc()
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return
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# Initialize MT5
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if not mt5.initialize():
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print("ERROR: Failed to initialize MT5")
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print("Make sure MetaTrader 5 is running and you're logged in.")
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return
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try:
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# Run backtest
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print("Running backtest...\n")
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engine = BacktestEngine(strategy, start_date, end_date)
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results = engine.run()
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# Analyze results
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print("\n" + "="*60)
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print("Performance Analysis")
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print("="*60)
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analyzer = PerformanceAnalyzer(results)
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analyzer.generate_report('onnx_xauusd_backtest')
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print("\n" + "="*60)
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print("Backtest Completed!")
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print("="*60)
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print(f"\nResults saved to: onnx_xauusd_backtest/")
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except Exception as e:
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print(f"\nERROR: Backtest failed: {e}")
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import traceback
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traceback.print_exc()
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finally:
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mt5.shutdown()
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if __name__ == '__main__':
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try:
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main()
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except KeyboardInterrupt:
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print("\n\nInterrupted by user")
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