import pandas as pd import numpy as np import ta import vectorbt as vbt from sklearn.ensemble import RandomForestClassifier from strategies.base import BaseStrategy from engine.market import MarketType from engine.data_manager import DataManager from engine.logging_config import get_logger logger = get_logger(__name__) class RegimeReversionStrategy(BaseStrategy): """ ML-Based Regime Detection & Mean Reversion Strategy. Logic: 1. Tracks the BTC/ETH Spread and its Z-Score (24h window). 2. Uses a Random Forest model to predict if an extreme Z-Score will revert profitably. 3. Features: Spread Technicals (RSI, ROC) + On-Chain Flows (Inflow, Funding). 4. Entry: When Model Probability > 0.5. 5. Exit: Z-Score reversion to 0 or SL/TP. Walk-Forward Training: - Trains on first `train_ratio` of data (default 70%) - Generates signals only for remaining test period (30%) - Eliminates look-ahead bias for realistic backtest results """ def __init__(self, model_path: str = "data/regime_model.pkl", horizon: int = 96, # 4 Days based on research z_window: int = 24, stop_loss: float = 0.06, # 6% to survive 2% avg MAE take_profit: float = 0.05, # Swing target train_ratio: float = 0.7 # Walk-forward: train on first 70% ): super().__init__() self.model_path = model_path self.horizon = horizon self.z_window = z_window self.stop_loss = stop_loss self.take_profit = take_profit self.train_ratio = train_ratio # Default Strategy Config self.default_market_type = MarketType.PERPETUAL self.default_leverage = 1 self.dm = DataManager() self.model = None self.feature_cols = None self.train_end_idx = None # Will store the training cutoff point def run(self, close, **kwargs): """ Execute the strategy logic. We assume this strategy is run on ETH-USDT (the active asset). We will fetch BTC-USDT internally to calculate the spread. """ # 1. Identify Context # We need BTC data aligned with the incoming ETH 'close' series start_date = close.index.min() end_date = close.index.max() logger.info("Fetching BTC context data...") try: # Load BTC data (Context) - Must match the timeframe of the backtest # Research was done on 1h candles, so strategy should be run on 1h df_btc = self.dm.load_data("okx", "BTC-USDT", "1h", MarketType.SPOT) # Align BTC to ETH (close) df_btc = df_btc.reindex(close.index, method='ffill') btc_close = df_btc['close'] except Exception as e: logger.error(f"Failed to load BTC context: {e}") empty = self.create_empty_signals(close) return empty, empty, empty, empty # 2. Construct DataFrames for Feature Engineering # We need volume/high/low for features, but 'run' signature primarily gives 'close'. # kwargs might have high/low/volume if passed by Backtester.run_strategy eth_vol = kwargs.get('volume') if eth_vol is None: logger.warning("Volume data missing. Feature calculation might fail.") # Fallback or error handling eth_vol = pd.Series(0, index=close.index) # Construct dummy dfs for prepare_features # We only really need Close and Volume for the current feature set df_a = pd.DataFrame({'close': btc_close, 'volume': df_btc['volume']}) df_b = pd.DataFrame({'close': close, 'volume': eth_vol}) # 3. Load On-Chain Data (CryptoQuant) # We use the saved CSV for training/inference # In a live setting, this would query the API for recent data cq_df = None try: cq_path = "data/cq_training_data.csv" cq_df = pd.read_csv(cq_path, index_col='timestamp', parse_dates=True) if cq_df.index.tz is None: cq_df.index = cq_df.index.tz_localize('UTC') except Exception: logger.warning("CryptoQuant data not found. Running without on-chain features.") # 4. Calculate Features features = self.prepare_features(df_a, df_b, cq_df) # 5. Walk-Forward Split # Train on first `train_ratio` of data, test on remainder n_samples = len(features) train_size = int(n_samples * self.train_ratio) train_features = features.iloc[:train_size] test_features = features.iloc[train_size:] train_end_date = train_features.index[-1] test_start_date = test_features.index[0] logger.info( f"Walk-Forward Split: Train={len(train_features)} bars " f"(until {train_end_date.strftime('%Y-%m-%d')}), " f"Test={len(test_features)} bars " f"(from {test_start_date.strftime('%Y-%m-%d')})" ) # 6. Train Model on Training Period ONLY if self.model is None: logger.info("Training Regime Model on training period only...") self.model, self.feature_cols = self.train_model(train_features) # 7. Predict on TEST Period ONLY # Use valid columns only X_test = test_features[self.feature_cols].fillna(0) X_test = X_test.replace([np.inf, -np.inf], 0) # Predict Probabilities for test period probs = self.model.predict_proba(X_test)[:, 1] # 8. Generate Entry Signals (TEST period only) # If Z > 1 (Spread High, ETH Expensive) -> Short ETH # If Z < -1 (Spread Low, ETH Cheap) -> Long ETH short_signal_test = (probs > 0.5) & (test_features['z_score'].values > 1.0) long_signal_test = (probs > 0.5) & (test_features['z_score'].values < -1.0) # Create full-length signal series (False for training period) long_entries = pd.Series(False, index=close.index) short_entries = pd.Series(False, index=close.index) # Map test signals to their correct indices test_idx = test_features.index for i, idx in enumerate(test_idx): if idx in close.index: long_entries.loc[idx] = bool(long_signal_test[i]) short_entries.loc[idx] = bool(short_signal_test[i]) # 9. Generate Exits # Exit when Z-Score crosses back through 0 (mean reversion complete) z_reindexed = features['z_score'].reindex(close.index, fill_value=0) # Exit Long when Z > 0, Exit Short when Z < 0 long_exits = z_reindexed > 0 short_exits = z_reindexed < 0 # Log signal counts for verification n_long = long_entries.sum() n_short = short_entries.sum() logger.info(f"Generated {n_long} long signals, {n_short} short signals (test period only)") return long_entries, long_exits, short_entries, short_exits def prepare_features(self, df_btc, df_eth, cq_df=None): """Replicate research feature engineering""" # Align common = df_btc.index.intersection(df_eth.index) df_a = df_btc.loc[common].copy() df_b = df_eth.loc[common].copy() # Spread spread = df_b['close'] / df_a['close'] # Z-Score rolling_mean = spread.rolling(window=self.z_window).mean() rolling_std = spread.rolling(window=self.z_window).std() z_score = (spread - rolling_mean) / rolling_std # Technicals spread_rsi = ta.momentum.RSIIndicator(spread, window=14).rsi() spread_roc = spread.pct_change(periods=5) * 100 spread_change_1h = spread.pct_change(periods=1) # Volume vol_ratio = df_b['volume'] / df_a['volume'] vol_ratio_ma = vol_ratio.rolling(window=12).mean() # Volatility ret_a = df_a['close'].pct_change() ret_b = df_b['close'].pct_change() vol_a = ret_a.rolling(window=self.z_window).std() vol_b = ret_b.rolling(window=self.z_window).std() vol_spread_ratio = vol_b / vol_a features = pd.DataFrame(index=spread.index) features['spread'] = spread features['z_score'] = z_score features['spread_rsi'] = spread_rsi features['spread_roc'] = spread_roc features['spread_change_1h'] = spread_change_1h features['vol_ratio'] = vol_ratio features['vol_ratio_rel'] = vol_ratio / vol_ratio_ma features['vol_diff_ratio'] = vol_spread_ratio # CQ Merge if cq_df is not None: cq_aligned = cq_df.reindex(features.index, method='ffill') if 'btc_funding' in cq_aligned.columns and 'eth_funding' in cq_aligned.columns: cq_aligned['funding_diff'] = cq_aligned['eth_funding'] - cq_aligned['btc_funding'] if 'btc_inflow' in cq_aligned.columns and 'eth_inflow' in cq_aligned.columns: cq_aligned['inflow_ratio'] = cq_aligned['eth_inflow'] / (cq_aligned['btc_inflow'] + 1) features = features.join(cq_aligned) return features.dropna() def train_model(self, train_features): """ Train Random Forest on training data only. This method receives ONLY the training subset of features, ensuring no look-ahead bias. The model learns from historical patterns and is then applied to unseen test data. Args: train_features: DataFrame containing features for training period only """ threshold = 0.005 horizon = self.horizon # Define targets using ONLY training data # For Short Spread (Z > 1): Did spread drop below target within horizon? future_min = train_features['spread'].rolling(window=horizon).min().shift(-horizon) target_short = train_features['spread'] * (1 - threshold) success_short = (train_features['z_score'] > 1.0) & (future_min < target_short) # For Long Spread (Z < -1): Did spread rise above target within horizon? future_max = train_features['spread'].rolling(window=horizon).max().shift(-horizon) target_long = train_features['spread'] * (1 + threshold) success_long = (train_features['z_score'] < -1.0) & (future_max > target_long) targets = np.select([success_short, success_long], [1, 1], default=0) # Build model model = RandomForestClassifier( n_estimators=300, max_depth=5, min_samples_leaf=30, class_weight={0: 1, 1: 3}, random_state=42 ) # Exclude non-feature columns exclude = ['spread'] cols = [c for c in train_features.columns if c not in exclude] # Clean features X_train = train_features[cols].fillna(0) X_train = X_train.replace([np.inf, -np.inf], 0) # Remove rows with NaN targets (from rolling window at end of training period) valid_mask = ~np.isnan(targets) & ~np.isinf(targets) # Also check for rows where future data doesn't exist (shift created NaNs) valid_mask = valid_mask & (future_min.notna().values) & (future_max.notna().values) X_train_clean = X_train[valid_mask] targets_clean = targets[valid_mask] logger.info(f"Training on {len(X_train_clean)} valid samples (removed {len(X_train) - len(X_train_clean)} with incomplete future data)") model.fit(X_train_clean, targets_clean) return model, cols