### lowkey_backtest — Supertrend Backtester

### Overview
Backtest a simple, long-only strategy driven by a meta Supertrend signal on aggregated OHLCV data. The script:
- Loads 1-minute BTC/USD data from `../data/btcusd_1-min_data.csv`
- Aggregates to multiple timeframes (e.g., `5min`, `15min`, `30min`, `1h`, `4h`, `1d`)
- Computes three Supertrend variants and creates a meta signal when all agree
- Executes entries/exits at the aggregated bar open price
- Applies OKX spot fee assumptions (taker by default)
- Evaluates stop-loss using intra-bar 1-minute data
- Writes detailed trade logs and a summary CSV

### Requirements
- Python 3.12+
- Dependencies: `pandas`, `numpy`, `ta`
- Package management: `uv`

Install dependencies with uv:

```bash
uv sync
# If a dependency is missing, add it explicitly and sync
uv add pandas numpy ta
uv sync
```

### Data
- Expected CSV location: `../data/btcusd_1-min_data.csv` (relative to the repo root)
- Required columns: `Timestamp`, `Open`, `High`, `Low`, `Close`, `Volume`
- `Timestamp` should be UNIX seconds; zero-volume rows are ignored

### Quickstart
Run the backtest with defaults:

```bash
uv run python main.py
```

Outputs:
- Per-run trade logs in `backtest_logs/` named like `trade_log_<TIMEFRAME>_sl<STOPLOSS>.csv`
- Run-level summary in `backtest_summary.csv`

### Configuring a Run
Adjust parameters directly in `main.py`:
- Date range (in `load_data`): `load_data('2021-11-01', '2024-10-16')`
- Timeframes to test (any subset of `"5min", "15min", "30min", "1h", "4h", "1d"`):
  - `timeframes = ["5min", "15min", "30min", "1h", "4h", "1d"]`
- Stop-loss percentages:
  - `stoplosses = [0.03, 0.05, 0.1]`
- Supertrend settings (in `add_supertrend_indicators`): `(period, multiplier)` pairs `(12, 3.0)`, `(10, 1.0)`, `(11, 2.0)`
- Fee model (in `calculate_okx_taker_maker_fee`): taker `0.0010`, maker `0.0008`

### What the Backtester Does
- Aggregation: Resamples 1-minute data to your selected timeframe using OHLCV rules
- Supertrend signals: Computes three Supertrends and derives a meta trend of `+1` (bullish) or `-1` (bearish) when all agree; otherwise `0`
- Trade logic (long-only):
  - Entry when the meta trend changes to bullish; uses aggregated bar open price
  - Exit when the meta trend changes to bearish; uses aggregated bar open price
  - Stop-loss: For each aggregated bar, scans corresponding 1-minute closes to detect stop-loss and exits using a realistic fill (threshold or next 1-minute open if gapped)
- Performance metrics: total return, max drawdown, Sharpe (daily, factor 252), win rate, number of trades, final/initial equity, and total fees

### Important: Lookahead Bias Note
The current implementation uses the meta Supertrend signal of the same bar for entries/exits, which introduces lookahead bias. To avoid this, lag the signal by one bar inside `backtest()` in `main.py`:

```python
# Replace the current line
meta_trend_signal = meta_trend

# With a one-bar lag to remove lookahead
# meta_trend_signal = np.roll(meta_trend, 1)
# meta_trend_signal[0] = 0
```

### Outputs
- `backtest_logs/trade_log_<TIMEFRAME>_sl<STOPLOSS>.csv`: trade-by-trade records including type (`buy`, `sell`, `stop_loss`, `forced_close`), timestamps, prices, balances, PnL, and fees
- `backtest_summary.csv`: one row per (timeframe, stop-loss) combination with `timeframe`, `stop_loss`, `total_return`, `max_drawdown`, `sharpe_ratio`, `win_rate`, `num_trades`, `final_equity`, `initial_equity`, `num_stop_losses`, `total_fees`

### Troubleshooting
- CSV not found: Ensure the dataset is located at `../data/btcusd_1-min_data.csv`
- Missing packages: Run `uv add pandas numpy ta` then `uv sync`
- Memory/performance: Large date ranges on 1-minute data can be heavy; narrow the date span or test fewer timeframes