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1519 lines (1278 loc) · 56.9 KB
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"""
Lean Backtest CLI - Comprehensive Backtest Manager
===================================================
Features:
- Full statistics parsing (like QuantConnect web)
- Configurable via YAML (no hardcode)
- Audit trail & validation
- Report generation
- Compare backtests
"""
import json
import os
import sys
import subprocess
import shutil
from pathlib import Path
from datetime import datetime
from typing import Dict, Any, List, Optional, Tuple
from dataclasses import dataclass, field
import csv
# Optional imports
try:
import yaml
HAS_YAML = True
except ImportError:
HAS_YAML = False
try:
from rich.console import Console
from rich.table import Table
from rich.panel import Panel
from rich.progress import Progress, SpinnerColumn, TextColumn
from rich import box
HAS_RICH = True
except ImportError:
HAS_RICH = False
# Paths
LEAN_DIR = Path(__file__).parent
CONFIG_DIR = LEAN_DIR / "config"
DEFAULT_CONFIG = CONFIG_DIR / "backtest_config.yaml"
console = Console() if HAS_RICH else None
# ============================================================
# Configuration Manager
# ============================================================
@dataclass
class BacktestConfig:
"""Backtest configuration - loaded from YAML"""
project_name: str = ""
language: str = "python"
start_date: str = "2020-01-01"
end_date: str = "2023-12-31"
starting_capital: float = 100000
currency: str = "USD"
account_type: str = "margin"
leverage: float = 1.0
resolution: str = "minute"
benchmark: str = "SPY"
save_trades: bool = True
save_orders: bool = True
generate_report: bool = True
export_csv: bool = True
# Validation thresholds
min_sharpe: float = 0.5
max_drawdown: float = 0.30
min_trades: int = 10
min_win_rate: float = 0.40
min_psr: float = 0.50
@classmethod
def from_yaml(cls, path: Path) -> "BacktestConfig":
"""Load config from YAML file"""
if not HAS_YAML:
return cls()
if not path.exists():
return cls()
with open(path, encoding="utf-8") as f:
data = yaml.safe_load(f)
config = cls()
if data:
# Project
if "project" in data:
config.project_name = data["project"].get("name", "")
config.language = data["project"].get("language", "python")
# Period
if "period" in data:
config.start_date = data["period"].get("start_date", "2020-01-01")
config.end_date = data["period"].get("end_date", "2023-12-31")
# Account
if "account" in data:
config.starting_capital = data["account"].get("starting_capital", 100000)
config.currency = data["account"].get("currency", "USD")
config.account_type = data["account"].get("account_type", "margin")
config.leverage = data["account"].get("leverage", 1.0)
# Data
if "data" in data:
config.resolution = data["data"].get("resolution", "minute")
# Benchmark
if "benchmark" in data:
config.benchmark = data["benchmark"].get("symbol", "SPY")
# Output
if "output" in data:
config.save_trades = data["output"].get("save_trades", True)
config.save_orders = data["output"].get("save_orders", True)
config.generate_report = data["output"].get("generate_report", True)
config.export_csv = data["output"].get("export_csv", True)
# Validation
if "validation" in data:
config.min_sharpe = data["validation"].get("min_sharpe", 0.5)
config.max_drawdown = data["validation"].get("max_drawdown", 0.30)
config.min_trades = data["validation"].get("min_trades", 10)
config.min_win_rate = data["validation"].get("min_win_rate", 0.40)
config.min_psr = data["validation"].get("min_psr", 0.50)
return config
# ============================================================
# Backtest Result Parser
# ============================================================
@dataclass
class TradeStatistics:
"""Trade-level statistics"""
total_trades: int = 0
winning_trades: int = 0
losing_trades: int = 0
win_rate: float = 0.0
loss_rate: float = 0.0
avg_win: float = 0.0
avg_loss: float = 0.0
largest_win: float = 0.0
largest_loss: float = 0.0
profit_factor: float = 0.0
profit_loss_ratio: float = 0.0
avg_trade_duration: str = "00:00:00"
max_consecutive_wins: int = 0
max_consecutive_losses: int = 0
max_drawdown: float = 0.0
total_fees: float = 0.0
@dataclass
class PortfolioStatistics:
"""Portfolio-level statistics"""
start_equity: float = 0.0
end_equity: float = 0.0
net_profit: float = 0.0
net_profit_pct: float = 0.0
cagr: float = 0.0
sharpe_ratio: float = 0.0
sortino_ratio: float = 0.0
psr: float = 0.0 # Probabilistic Sharpe Ratio
treynor_ratio: float = 0.0
information_ratio: float = 0.0
alpha: float = 0.0
beta: float = 0.0
drawdown: float = 0.0
annual_std: float = 0.0
annual_var: float = 0.0
var_95: float = 0.0
var_99: float = 0.0
tracking_error: float = 0.0
portfolio_turnover: float = 0.0
expectancy: float = 0.0
@dataclass
class RuntimeStatistics:
"""Runtime statistics (banner stats)"""
equity: str = "$0"
fees: str = "$0"
holdings: str = "$0"
net_profit: str = "$0"
psr: str = "0%"
returns: str = "0%"
unrealized: str = "$0"
volume: str = "$0"
@dataclass
class BacktestState:
"""Backtest execution state"""
start_time: str = ""
end_time: str = ""
status: str = ""
runtime_error: str = ""
log_count: int = 0
order_count: int = 0
insight_count: int = 0
hostname: str = ""
@dataclass
class AlgorithmConfig:
"""Algorithm configuration"""
name: str = ""
account_currency: str = "USD"
start_date: str = ""
end_date: str = ""
trading_days_per_year: int = 252
parameters: Dict[str, Any] = field(default_factory=dict)
@dataclass
class BacktestResult:
"""Complete backtest result"""
backtest_id: str = ""
project_name: str = ""
backtest_dir: Path = None
# Statistics
statistics: Dict[str, str] = field(default_factory=dict)
trade_stats: TradeStatistics = field(default_factory=TradeStatistics)
portfolio_stats: PortfolioStatistics = field(default_factory=PortfolioStatistics)
runtime_stats: RuntimeStatistics = field(default_factory=RuntimeStatistics)
# State & Config
state: BacktestState = field(default_factory=BacktestState)
algo_config: AlgorithmConfig = field(default_factory=AlgorithmConfig)
# Orders
orders: List[Dict] = field(default_factory=list)
# Rolling window
rolling_window: Dict[str, Any] = field(default_factory=dict)
# Validation
validation_passed: bool = False
validation_issues: List[str] = field(default_factory=list)
class BacktestResultParser:
"""Parse Lean backtest result files"""
def __init__(self, backtest_dir: Path):
self.backtest_dir = backtest_dir
self.result = BacktestResult(backtest_dir=backtest_dir)
def parse(self) -> BacktestResult:
"""Parse all result files"""
# Find main result JSON
json_files = list(self.backtest_dir.glob("*.json"))
main_json = None
summary_json = None
order_events_json = None
for f in json_files:
name = f.name
if "-summary.json" in name:
summary_json = f
elif "-order-events.json" in name:
order_events_json = f
elif "-alpha-results.json" not in name and "data-monitor" not in name:
if not name.startswith("data-"):
main_json = f
# Parse summary (preferred) or main JSON
if summary_json and summary_json.exists():
self._parse_summary(summary_json)
elif main_json and main_json.exists():
self._parse_main(main_json)
# Parse order events
if order_events_json and order_events_json.exists():
self._parse_orders(order_events_json)
# Extract backtest ID from filename
if main_json:
self.result.backtest_id = main_json.stem.split("-")[0]
return self.result
def _parse_summary(self, path: Path):
"""Parse summary JSON file"""
with open(path, encoding="utf-8") as f:
data = json.load(f)
# Statistics (display format)
if "statistics" in data:
self.result.statistics = data["statistics"]
self._extract_portfolio_stats_from_display(data["statistics"])
# Runtime statistics
if "runtimeStatistics" in data:
rs = data["runtimeStatistics"]
self.result.runtime_stats = RuntimeStatistics(
equity=rs.get("Equity", "$0"),
fees=rs.get("Fees", "$0"),
holdings=rs.get("Holdings", "$0"),
net_profit=rs.get("Net Profit", "$0"),
psr=rs.get("Probabilistic Sharpe Ratio", "0%"),
returns=rs.get("Return", "0%"),
unrealized=rs.get("Unrealized", "$0"),
volume=rs.get("Volume", "$0")
)
# State
if "state" in data:
s = data["state"]
self.result.state = BacktestState(
start_time=s.get("StartTime", ""),
end_time=s.get("EndTime", ""),
status=s.get("Status", ""),
runtime_error=s.get("RuntimeError", ""),
log_count=int(s.get("LogCount", 0)),
order_count=int(s.get("OrderCount", 0)),
insight_count=int(s.get("InsightCount", 0)),
hostname=s.get("Hostname", "")
)
# Algorithm config
if "algorithmConfiguration" in data:
ac = data["algorithmConfiguration"]
self.result.algo_config = AlgorithmConfig(
name=ac.get("name", ""),
account_currency=ac.get("accountCurrency", "USD"),
start_date=ac.get("startDate", ""),
end_date=ac.get("endDate", ""),
trading_days_per_year=ac.get("tradingDaysPerYear", 252),
parameters=ac.get("parameters", {})
)
# Total performance
if "totalPerformance" in data:
tp = data["totalPerformance"]
if "tradeStatistics" in tp:
self._parse_trade_stats(tp["tradeStatistics"])
if "portfolioStatistics" in tp:
self._parse_portfolio_stats(tp["portfolioStatistics"])
# Rolling window
if "rollingWindow" in data:
self.result.rolling_window = data["rollingWindow"]
def _parse_main(self, path: Path):
"""Parse main result JSON (fallback)"""
with open(path, encoding="utf-8") as f:
data = json.load(f)
if "rollingWindow" in data:
self.result.rolling_window = data["rollingWindow"]
# Extract latest period stats
for period, stats in data["rollingWindow"].items():
if "portfolioStatistics" in stats:
self._parse_portfolio_stats(stats["portfolioStatistics"])
break
def _parse_orders(self, path: Path):
"""Parse order events JSON"""
with open(path, encoding="utf-8") as f:
self.result.orders = json.load(f)
def _parse_trade_stats(self, data: Dict):
"""Parse trade statistics"""
self.result.trade_stats = TradeStatistics(
total_trades=int(data.get("totalNumberOfTrades", 0)),
winning_trades=int(data.get("numberOfWinningTrades", 0)),
losing_trades=int(data.get("numberOfLosingTrades", 0)),
win_rate=float(data.get("winRate", 0)),
loss_rate=float(data.get("lossRate", 0)),
avg_win=float(data.get("averageProfit", 0)),
avg_loss=float(data.get("averageLoss", 0)),
largest_win=float(data.get("largestProfit", 0)),
largest_loss=float(data.get("largestLoss", 0)),
profit_factor=float(data.get("profitFactor", 0)),
profit_loss_ratio=float(data.get("profitLossRatio", 0)),
avg_trade_duration=data.get("averageTradeDuration", "00:00:00"),
max_consecutive_wins=int(data.get("maxConsecutiveWinningTrades", 0)),
max_consecutive_losses=int(data.get("maxConsecutiveLosingTrades", 0)),
max_drawdown=float(data.get("maximumClosedTradeDrawdown", 0)),
total_fees=float(data.get("totalFees", 0))
)
def _parse_portfolio_stats(self, data: Dict):
"""Parse portfolio statistics"""
self.result.portfolio_stats = PortfolioStatistics(
start_equity=float(data.get("startEquity", 0)),
end_equity=float(data.get("endEquity", 0)),
net_profit_pct=float(data.get("totalNetProfit", 0)),
cagr=float(data.get("compoundingAnnualReturn", 0)),
sharpe_ratio=float(data.get("sharpeRatio", 0)),
sortino_ratio=float(data.get("sortinoRatio", 0)),
psr=float(data.get("probabilisticSharpeRatio", 0)),
treynor_ratio=float(data.get("treynorRatio", 0)),
information_ratio=float(data.get("informationRatio", 0)),
alpha=float(data.get("alpha", 0)),
beta=float(data.get("beta", 0)),
drawdown=float(data.get("drawdown", 0)),
annual_std=float(data.get("annualStandardDeviation", 0)),
annual_var=float(data.get("annualVariance", 0)),
var_95=float(data.get("valueAtRisk95", 0)),
var_99=float(data.get("valueAtRisk99", 0)),
tracking_error=float(data.get("trackingError", 0)),
portfolio_turnover=float(data.get("portfolioTurnover", 0)),
expectancy=float(data.get("expectancy", 0))
)
# Calculate net profit
self.result.portfolio_stats.net_profit = (
self.result.portfolio_stats.end_equity -
self.result.portfolio_stats.start_equity
)
def _extract_portfolio_stats_from_display(self, stats: Dict[str, str]):
"""Extract numeric values from display statistics"""
def parse_pct(s: str) -> float:
return float(s.replace("%", "").replace(",", "")) / 100 if s else 0
def parse_num(s: str) -> float:
return float(s.replace("$", "").replace(",", "").replace("%", "")) if s else 0
ps = self.result.portfolio_stats
ps.start_equity = parse_num(stats.get("Start Equity", "0"))
ps.end_equity = parse_num(stats.get("End Equity", "0"))
ps.net_profit = ps.end_equity - ps.start_equity
ps.net_profit_pct = parse_pct(stats.get("Net Profit", "0%"))
ps.cagr = parse_pct(stats.get("Compounding Annual Return", "0%"))
ps.sharpe_ratio = parse_num(stats.get("Sharpe Ratio", "0"))
ps.sortino_ratio = parse_num(stats.get("Sortino Ratio", "0"))
ps.psr = parse_pct(stats.get("Probabilistic Sharpe Ratio", "0%"))
ps.drawdown = parse_pct(stats.get("Drawdown", "0%"))
ps.alpha = parse_num(stats.get("Alpha", "0"))
ps.beta = parse_num(stats.get("Beta", "0"))
ps.annual_std = parse_num(stats.get("Annual Standard Deviation", "0"))
ps.portfolio_turnover = parse_pct(stats.get("Portfolio Turnover", "0%"))
# ============================================================
# Validation & Audit
# ============================================================
class BacktestValidator:
"""Validate backtest results against thresholds"""
def __init__(self, config: BacktestConfig):
self.config = config
def validate(self, result: BacktestResult) -> Tuple[bool, List[str]]:
"""Validate backtest result, return (passed, issues)"""
issues = []
ps = result.portfolio_stats
ts = result.trade_stats
# Sharpe Ratio check
if ps.sharpe_ratio < self.config.min_sharpe:
issues.append(
f"Sharpe Ratio ({ps.sharpe_ratio:.2f}) < minimum ({self.config.min_sharpe})"
)
# Drawdown check
if ps.drawdown > self.config.max_drawdown:
issues.append(
f"Drawdown ({ps.drawdown:.1%}) > maximum ({self.config.max_drawdown:.1%})"
)
# Trade count check
if ts.total_trades < self.config.min_trades:
issues.append(
f"Total trades ({ts.total_trades}) < minimum ({self.config.min_trades})"
)
# Win rate check (only if trades exist)
if ts.total_trades > 0 and ts.win_rate < self.config.min_win_rate:
issues.append(
f"Win rate ({ts.win_rate:.1%}) < minimum ({self.config.min_win_rate:.1%})"
)
# PSR check
if ps.psr < self.config.min_psr:
issues.append(
f"PSR ({ps.psr:.1%}) < minimum ({self.config.min_psr:.1%})"
)
# Check for runtime errors
if result.state.runtime_error:
issues.append(f"Runtime error: {result.state.runtime_error}")
passed = len(issues) == 0
result.validation_passed = passed
result.validation_issues = issues
return passed, issues
# ============================================================
# Report Generator
# ============================================================
class ReportGenerator:
"""Generate backtest reports"""
def __init__(self, result: BacktestResult, config: BacktestConfig):
self.result = result
self.config = config
def generate_text_report(self) -> str:
"""Generate text report"""
lines = []
r = self.result
ps = r.portfolio_stats
ts = r.trade_stats
lines.append("=" * 60)
lines.append("LEAN BACKTEST REPORT")
lines.append("=" * 60)
lines.append(f"Project: {r.project_name}")
lines.append(f"Backtest ID: {r.backtest_id}")
lines.append(f"Status: {r.state.status}")
lines.append(f"Period: {r.algo_config.start_date} to {r.algo_config.end_date}")
lines.append("")
# Runtime Statistics (Banner)
lines.append("-" * 60)
lines.append("RUNTIME STATISTICS")
lines.append("-" * 60)
rs = r.runtime_stats
lines.append(f" Equity: {rs.equity}")
lines.append(f" Return: {rs.returns}")
lines.append(f" Net Profit: {rs.net_profit}")
lines.append(f" Fees: {rs.fees}")
lines.append(f" Holdings: {rs.holdings}")
lines.append(f" Unrealized: {rs.unrealized}")
lines.append(f" Volume: {rs.volume}")
lines.append(f" PSR: {rs.psr}")
lines.append("")
# Performance Metrics
lines.append("-" * 60)
lines.append("PERFORMANCE METRICS")
lines.append("-" * 60)
lines.append(f" Start Equity: ${ps.start_equity:,.2f}")
lines.append(f" End Equity: ${ps.end_equity:,.2f}")
lines.append(f" Net Profit: ${ps.net_profit:,.2f} ({ps.net_profit_pct:.2%})")
lines.append(f" CAGR: {ps.cagr:.2%}")
lines.append(f" Sharpe Ratio: {ps.sharpe_ratio:.3f}")
lines.append(f" Sortino Ratio: {ps.sortino_ratio:.3f}")
lines.append(f" Probabilistic Sharpe: {ps.psr:.2%}")
lines.append(f" Treynor Ratio: {ps.treynor_ratio:.3f}")
lines.append(f" Information Ratio: {ps.information_ratio:.3f}")
lines.append("")
# Risk Metrics
lines.append("-" * 60)
lines.append("RISK METRICS")
lines.append("-" * 60)
lines.append(f" Max Drawdown: {ps.drawdown:.2%}")
lines.append(f" Annual Std Dev: {ps.annual_std:.2%}")
lines.append(f" Annual Variance: {ps.annual_var:.4f}")
lines.append(f" VaR 95%: {ps.var_95:.2%}")
lines.append(f" VaR 99%: {ps.var_99:.2%}")
lines.append(f" Alpha: {ps.alpha:.4f}")
lines.append(f" Beta: {ps.beta:.4f}")
lines.append(f" Tracking Error: {ps.tracking_error:.4f}")
lines.append(f" Portfolio Turnover: {ps.portfolio_turnover:.2%}")
lines.append("")
# Trade Statistics
lines.append("-" * 60)
lines.append("TRADE STATISTICS")
lines.append("-" * 60)
lines.append(f" Total Trades: {ts.total_trades}")
lines.append(f" Winning Trades: {ts.winning_trades}")
lines.append(f" Losing Trades: {ts.losing_trades}")
lines.append(f" Win Rate: {ts.win_rate:.2%}")
lines.append(f" Loss Rate: {ts.loss_rate:.2%}")
lines.append(f" Avg Win: ${ts.avg_win:,.2f}")
lines.append(f" Avg Loss: ${ts.avg_loss:,.2f}")
lines.append(f" Largest Win: ${ts.largest_win:,.2f}")
lines.append(f" Largest Loss: ${ts.largest_loss:,.2f}")
lines.append(f" Profit Factor: {ts.profit_factor:.2f}")
lines.append(f" P/L Ratio: {ts.profit_loss_ratio:.2f}")
lines.append(f" Max Consecutive Wins: {ts.max_consecutive_wins}")
lines.append(f" Max Consecutive Losses: {ts.max_consecutive_losses}")
lines.append(f" Avg Trade Duration: {ts.avg_trade_duration}")
lines.append(f" Total Fees: ${ts.total_fees:,.2f}")
lines.append("")
# Validation
lines.append("-" * 60)
lines.append("VALIDATION")
lines.append("-" * 60)
if r.validation_passed:
lines.append(" [PASS] All validation checks PASSED")
else:
lines.append(" [FAIL] Validation FAILED:")
for issue in r.validation_issues:
lines.append(f" - {issue}")
lines.append("")
# Orders Summary
if r.orders:
lines.append("-" * 60)
lines.append("ORDERS SUMMARY")
lines.append("-" * 60)
lines.append(f" Total Order Events: {len(r.orders)}")
filled = [o for o in r.orders if o.get("status") == "filled"]
lines.append(f" Filled Orders: {len(filled)}")
if filled:
total_volume = sum(
abs(o.get("fillQuantity", 0) * o.get("fillPrice", 0))
for o in filled
)
total_fees = sum(o.get("orderFeeAmount", 0) for o in filled)
lines.append(f" Total Volume: ${total_volume:,.2f}")
lines.append(f" Total Fees: ${total_fees:,.2f}")
lines.append("")
lines.append("=" * 60)
lines.append(f"Generated: {datetime.now().isoformat()}")
lines.append("=" * 60)
return "\n".join(lines)
def export_csv(self, output_path: Path):
"""Export statistics to CSV"""
ps = self.result.portfolio_stats
ts = self.result.trade_stats
rows = [
["Metric", "Value"],
["Project", self.result.project_name],
["Backtest ID", self.result.backtest_id],
["Status", self.result.state.status],
["Start Date", self.result.algo_config.start_date],
["End Date", self.result.algo_config.end_date],
["", ""],
["PERFORMANCE", ""],
["Start Equity", ps.start_equity],
["End Equity", ps.end_equity],
["Net Profit", ps.net_profit],
["Net Profit %", ps.net_profit_pct],
["CAGR", ps.cagr],
["Sharpe Ratio", ps.sharpe_ratio],
["Sortino Ratio", ps.sortino_ratio],
["PSR", ps.psr],
["Treynor Ratio", ps.treynor_ratio],
["Information Ratio", ps.information_ratio],
["", ""],
["RISK", ""],
["Max Drawdown", ps.drawdown],
["Annual Std Dev", ps.annual_std],
["VaR 95%", ps.var_95],
["VaR 99%", ps.var_99],
["Alpha", ps.alpha],
["Beta", ps.beta],
["", ""],
["TRADES", ""],
["Total Trades", ts.total_trades],
["Win Rate", ts.win_rate],
["Loss Rate", ts.loss_rate],
["Profit Factor", ts.profit_factor],
["Total Fees", ts.total_fees],
["", ""],
["VALIDATION", ""],
["Passed", self.result.validation_passed],
]
with open(output_path, "w", newline="", encoding="utf-8") as f:
writer = csv.writer(f)
writer.writerows(rows)
# ============================================================
# CLI Display Functions
# ============================================================
def print_banner():
"""Print CLI banner"""
if HAS_RICH:
console.print(Panel.fit(
"[bold cyan]Lean Backtest CLI[/bold cyan]\n"
"[dim]Comprehensive Backtest Analysis & Audit[/dim]",
border_style="cyan"
))
else:
print("=" * 50)
print(" LEAN BACKTEST CLI")
print(" Comprehensive Backtest Analysis & Audit")
print("=" * 50)
def print_result_summary(result: BacktestResult):
"""Print backtest result summary"""
if HAS_RICH:
_print_result_rich(result)
else:
_print_result_plain(result)
def _print_result_rich(result: BacktestResult):
"""Print result using Rich library"""
ps = result.portfolio_stats
ts = result.trade_stats
rs = result.runtime_stats
# Runtime Statistics Table (Banner)
runtime_table = Table(title="Runtime Statistics", box=box.ROUNDED)
runtime_table.add_column("Metric", style="cyan")
runtime_table.add_column("Value", style="green")
runtime_table.add_row("Equity", rs.equity)
runtime_table.add_row("Return", rs.returns)
runtime_table.add_row("Net Profit", rs.net_profit)
runtime_table.add_row("Fees", rs.fees)
runtime_table.add_row("Holdings", rs.holdings)
runtime_table.add_row("Unrealized", rs.unrealized)
runtime_table.add_row("Volume", rs.volume)
runtime_table.add_row("PSR", rs.psr)
console.print(runtime_table)
console.print()
# Performance Table
perf_table = Table(title="Performance Metrics", box=box.ROUNDED)
perf_table.add_column("Metric", style="cyan")
perf_table.add_column("Value", style="green")
perf_table.add_row("Start Equity", f"${ps.start_equity:,.2f}")
perf_table.add_row("End Equity", f"${ps.end_equity:,.2f}")
perf_table.add_row("Net Profit", f"${ps.net_profit:,.2f} ({ps.net_profit_pct:.2%})")
perf_table.add_row("CAGR", f"{ps.cagr:.2%}")
perf_table.add_row("Sharpe Ratio", f"{ps.sharpe_ratio:.3f}")
perf_table.add_row("Sortino Ratio", f"{ps.sortino_ratio:.3f}")
perf_table.add_row("PSR", f"{ps.psr:.2%}")
perf_table.add_row("Treynor Ratio", f"{ps.treynor_ratio:.3f}")
perf_table.add_row("Information Ratio", f"{ps.information_ratio:.3f}")
console.print(perf_table)
console.print()
# Risk Table
risk_table = Table(title="Risk Metrics", box=box.ROUNDED)
risk_table.add_column("Metric", style="cyan")
risk_table.add_column("Value", style="yellow")
risk_table.add_row("Max Drawdown", f"{ps.drawdown:.2%}")
risk_table.add_row("Annual Std Dev", f"{ps.annual_std:.2%}")
risk_table.add_row("VaR 95%", f"{ps.var_95:.2%}")
risk_table.add_row("VaR 99%", f"{ps.var_99:.2%}")
risk_table.add_row("Alpha", f"{ps.alpha:.4f}")
risk_table.add_row("Beta", f"{ps.beta:.4f}")
risk_table.add_row("Tracking Error", f"{ps.tracking_error:.4f}")
risk_table.add_row("Portfolio Turnover", f"{ps.portfolio_turnover:.2%}")
console.print(risk_table)
console.print()
# Trade Statistics Table
trade_table = Table(title="Trade Statistics", box=box.ROUNDED)
trade_table.add_column("Metric", style="cyan")
trade_table.add_column("Value", style="magenta")
trade_table.add_row("Total Trades", str(ts.total_trades))
trade_table.add_row("Winning Trades", str(ts.winning_trades))
trade_table.add_row("Losing Trades", str(ts.losing_trades))
trade_table.add_row("Win Rate", f"{ts.win_rate:.2%}")
trade_table.add_row("Loss Rate", f"{ts.loss_rate:.2%}")
trade_table.add_row("Avg Win", f"${ts.avg_win:,.2f}")
trade_table.add_row("Avg Loss", f"${ts.avg_loss:,.2f}")
trade_table.add_row("Profit Factor", f"{ts.profit_factor:.2f}")
trade_table.add_row("Max Consecutive Wins", str(ts.max_consecutive_wins))
trade_table.add_row("Max Consecutive Losses", str(ts.max_consecutive_losses))
trade_table.add_row("Total Fees", f"${ts.total_fees:,.2f}")
console.print(trade_table)
console.print()
# Validation Status
if result.validation_passed:
console.print(Panel("[bold green]✓ VALIDATION PASSED[/bold green]", border_style="green"))
else:
issues_text = "\n".join([f"• {i}" for i in result.validation_issues])
console.print(Panel(
f"[bold red]✗ VALIDATION FAILED[/bold red]\n\n{issues_text}",
border_style="red"
))
def _print_result_plain(result: BacktestResult):
"""Print result without Rich"""
ps = result.portfolio_stats
ts = result.trade_stats
rs = result.runtime_stats
print("\n" + "=" * 50)
print("RUNTIME STATISTICS")
print("=" * 50)
print(f" Equity: {rs.equity}")
print(f" Return: {rs.returns}")
print(f" Net Profit: {rs.net_profit}")
print(f" Fees: {rs.fees}")
print(f" PSR: {rs.psr}")
print("\n" + "-" * 50)
print("PERFORMANCE METRICS")
print("-" * 50)
print(f" Start Equity: ${ps.start_equity:,.2f}")
print(f" End Equity: ${ps.end_equity:,.2f}")
print(f" Net Profit: ${ps.net_profit:,.2f} ({ps.net_profit_pct:.2%})")
print(f" CAGR: {ps.cagr:.2%}")
print(f" Sharpe Ratio: {ps.sharpe_ratio:.3f}")
print(f" Sortino Ratio: {ps.sortino_ratio:.3f}")
print(f" PSR: {ps.psr:.2%}")
print("\n" + "-" * 50)
print("RISK METRICS")
print("-" * 50)
print(f" Max Drawdown: {ps.drawdown:.2%}")
print(f" Annual Std Dev: {ps.annual_std:.2%}")
print(f" VaR 95%: {ps.var_95:.2%}")
print(f" VaR 99%: {ps.var_99:.2%}")
print(f" Alpha: {ps.alpha:.4f}")
print(f" Beta: {ps.beta:.4f}")
print("\n" + "-" * 50)
print("TRADE STATISTICS")
print("-" * 50)
print(f" Total Trades: {ts.total_trades}")
print(f" Win Rate: {ts.win_rate:.2%}")
print(f" Profit Factor: {ts.profit_factor:.2f}")
print(f" Total Fees: ${ts.total_fees:,.2f}")
print("\n" + "-" * 50)
print("VALIDATION")
print("-" * 50)
if result.validation_passed:
print(" ✓ All checks PASSED")
else:
print(" ✗ FAILED:")
for issue in result.validation_issues:
print(f" - {issue}")
# ============================================================
# Backtest Runner
# ============================================================
class LeanBacktestRunner:
"""Run and manage Lean backtests"""
def __init__(self, config: BacktestConfig):
self.config = config
self.lean_dir = LEAN_DIR
def check_prerequisites(self) -> Tuple[bool, List[str]]:
"""Check if all prerequisites are met"""
issues = []
# Check lean CLI
if not shutil.which("lean"):
issues.append("Lean CLI not installed (pip install lean)")
# Check Docker
try:
result = subprocess.run(
"docker info", shell=True, capture_output=True, timeout=5
)
if result.returncode != 0:
issues.append("Docker not running")
except:
issues.append("Docker check failed")
# Check Docker image
try:
result = subprocess.run(
'docker images quantconnect/lean --format "{{.Repository}}"',
shell=True, capture_output=True, text=True, timeout=5
)
if "quantconnect/lean" not in result.stdout:
issues.append("Docker image not found (docker pull quantconnect/lean:latest)")
except:
pass
return len(issues) == 0, issues
def list_projects(self) -> List[Dict[str, Any]]:
"""List all Lean projects"""
projects = []
for item in self.lean_dir.iterdir():
if item.is_dir() and (item / "main.py").exists():
# Get latest backtest
backtests_dir = item / "backtests"
latest_backtest = None
if backtests_dir.exists():
backtest_dirs = sorted(backtests_dir.iterdir(), reverse=True)
if backtest_dirs:
latest_backtest = backtest_dirs[0].name
projects.append({
"name": item.name,
"path": str(item),
"latest_backtest": latest_backtest
})
return projects
def list_backtests(self, project_name: str) -> List[Dict[str, Any]]:
"""List all backtests for a project"""
backtests = []
project_dir = self.lean_dir / project_name
backtests_dir = project_dir / "backtests"
if not backtests_dir.exists():
return backtests
for bt_dir in sorted(backtests_dir.iterdir(), reverse=True):
if bt_dir.is_dir():
# Find summary JSON
summary_files = list(bt_dir.glob("*-summary.json"))
status = "unknown"
if summary_files:
try:
with open(summary_files[0], encoding="utf-8") as f:
data = json.load(f)
status = data.get("state", {}).get("Status", "unknown")
except:
pass
backtests.append({
"name": bt_dir.name,
"path": str(bt_dir),
"status": status
})
return backtests
def run_backtest(self, project_name: str, timeout: int = 600) -> Tuple[bool, str, Optional[Path]]:
"""Run backtest for a project"""
project_dir = self.lean_dir / project_name
if not project_dir.exists():
return False, f"Project '{project_name}' not found", None
print(f"\nRunning backtest for {project_name}...")
print("(This may take several minutes...)\n")
try:
result = subprocess.run(
f'lean backtest "{project_name}"',
shell=True,
capture_output=True,
text=True,
timeout=timeout,
cwd=str(self.lean_dir)
)
# Find latest backtest directory
backtests_dir = project_dir / "backtests"
if backtests_dir.exists():
backtest_dirs = sorted(backtests_dir.iterdir(), reverse=True)
if backtest_dirs:
return result.returncode == 0, result.stdout + result.stderr, backtest_dirs[0]
return result.returncode == 0, result.stdout + result.stderr, None
except subprocess.TimeoutExpired:
return False, f"Backtest timeout ({timeout}s)", None
except Exception as e:
return False, str(e), None
def parse_backtest(self, backtest_dir: Path) -> BacktestResult:
"""Parse backtest results"""
parser = BacktestResultParser(backtest_dir)
result = parser.parse()
# Run validation
validator = BacktestValidator(self.config)
validator.validate(result)
return result
def generate_report(self, result: BacktestResult, output_dir: Optional[Path] = None) -> Path:
"""Generate backtest report"""
if output_dir is None:
output_dir = result.backtest_dir
generator = ReportGenerator(result, self.config)
# Text report
report_text = generator.generate_text_report()
report_path = output_dir / "audit_report.txt"
report_path.write_text(report_text, encoding="utf-8")
# CSV export
if self.config.export_csv:
csv_path = output_dir / "statistics.csv"
generator.export_csv(csv_path)
return report_path
# ============================================================
# Compare Backtests
# ============================================================
def compare_backtests(results: List[BacktestResult]) -> None:
"""Compare multiple backtest results"""
if len(results) < 2:
print("Need at least 2 backtests to compare")
return