Remove deprecated modules and files related to the backtesting framework, including backtest.py, cli.py, config.py, data.py, intrabar.py, logging_utils.py, market_costs.py, metrics.py, trade.py, and supertrend indicators. Introduce a new structure for the backtesting engine with improved organization and functionality, including a CLI handler, data manager, and reporting capabilities. Update dependencies in pyproject.toml to support the new architecture.

2026-01-12 21:11:39 +08:00
parent c4aa965a98
commit 44fac1ed25
37 changed files with 5253 additions and 393 deletions
--- a/strategies/factory.py
+++ b/strategies/factory.py
@@ -0,0 +1,128 @@
+"""
+Strategy factory for creating strategy instances with their parameters.
+
+Centralizes strategy creation and parameter configuration.
+"""
+from dataclasses import dataclass, field
+from typing import Any
+
+import numpy as np
+
+from strategies.base import BaseStrategy
+
+
+@dataclass
+class StrategyConfig:
+    """
+    Configuration for a strategy including default and grid parameters.
+    
+    Attributes:
+        strategy_class: The strategy class to instantiate
+        default_params: Parameters for single backtest runs
+        grid_params: Parameters for grid search optimization
+    """
+    strategy_class: type[BaseStrategy]
+    default_params: dict[str, Any] = field(default_factory=dict)
+    grid_params: dict[str, Any] = field(default_factory=dict)
+
+
+def _build_registry() -> dict[str, StrategyConfig]:
+    """
+    Build the strategy registry lazily to avoid circular imports.
+    
+    Returns:
+        Dictionary mapping strategy names to their configurations
+    """
+    # Import here to avoid circular imports
+    from strategies.examples import MaCrossStrategy, RsiStrategy
+    from strategies.supertrend import MetaSupertrendStrategy
+    
+    return {
+        "rsi": StrategyConfig(
+            strategy_class=RsiStrategy,
+            default_params={
+                'period': 14, 
+                'rsi_lower': 30, 
+                'rsi_upper': 70
+            },
+            grid_params={
+                'period': np.arange(10, 25, 2),
+                'rsi_lower': [20, 30, 40],
+                'rsi_upper': [60, 70, 80]
+            }
+        ),
+        "macross": StrategyConfig(
+            strategy_class=MaCrossStrategy,
+            default_params={
+                'fast_window': 10, 
+                'slow_window': 20
+            },
+            grid_params={
+                'fast_window': np.arange(5, 20, 5),
+                'slow_window': np.arange(20, 60, 10)
+            }
+        ),
+        "meta_st": StrategyConfig(
+            strategy_class=MetaSupertrendStrategy,
+            default_params={
+                'period1': 12, 'multiplier1': 3.0,
+                'period2': 10, 'multiplier2': 1.0,
+                'period3': 11, 'multiplier3': 2.0
+            },
+            grid_params={
+                'multiplier1': [2.0, 3.0, 4.0],
+                'period1': [10, 12, 14],
+                'period2': 11, 'multiplier2': 2.0,
+                'period3': 12, 'multiplier3': 1.0
+            }
+        ),
+    }
+
+
+# Module-level cache for the registry
+_REGISTRY_CACHE: dict[str, StrategyConfig] | None = None
+
+
+def get_registry() -> dict[str, StrategyConfig]:
+    """Get the strategy registry, building it on first access."""
+    global _REGISTRY_CACHE
+    if _REGISTRY_CACHE is None:
+        _REGISTRY_CACHE = _build_registry()
+    return _REGISTRY_CACHE
+
+
+def get_strategy_names() -> list[str]:
+    """
+    Get list of available strategy names.
+    
+    Returns:
+        List of strategy name strings
+    """
+    return list(get_registry().keys())
+
+
+def get_strategy(name: str, is_grid: bool = False) -> tuple[BaseStrategy, dict[str, Any]]:
+    """
+    Create a strategy instance with appropriate parameters.
+    
+    Args:
+        name: Strategy identifier (e.g., 'rsi', 'macross', 'meta_st')
+        is_grid: If True, return grid search parameters
+        
+    Returns:
+        Tuple of (strategy instance, parameters dict)
+        
+    Raises:
+        KeyError: If strategy name is not found in registry
+    """
+    registry = get_registry()
+    
+    if name not in registry:
+        available = ", ".join(registry.keys())
+        raise KeyError(f"Unknown strategy '{name}'. Available: {available}")
+    
+    config = registry[name]
+    strategy = config.strategy_class()
+    params = config.grid_params if is_grid else config.default_params
+    
+    return strategy, params.copy()