41 lines
1.7 KiB
Python
41 lines
1.7 KiB
Python
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"""Run legacy dolphin_vbt_real.py champion on same data for direct comparison."""
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import sys, time
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from pathlib import Path
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sys.path.insert(0, str(Path(__file__).parent.parent))
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from dolphin_vbt_real import (
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load_all_data, run_full_backtest, Strategy, generate_grid5g_strategies
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)
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print("Loading data...")
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t0 = time.time()
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df = load_all_data()
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print(f" Loaded {len(df)} rows in {time.time()-t0:.1f}s")
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print(f" Date range: {df['timestamp'].min()} to {df['timestamp'].max()}")
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print(f" Asset columns: {len([c for c in df.columns if c.endswith('USDT')])}")
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# Get champion strategy
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strats = generate_grid5g_strategies()
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champion = strats['g_cvx3.0_max5']
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print(f"\nRunning champion strategy: {champion.name}")
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print(f" Config: cvx={champion.leverage_convexity}, max_lev={champion.max_leverage}")
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print(f" vol_filter={champion.vol_filter}, init_cash=25000")
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result = run_full_backtest(df, champion, init_cash=25000.0, seed=42, verbose=True)
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print(f"\n=== LEGACY CHAMPION RESULTS ===")
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print(f"Trades: {result['trades']}")
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print(f"Wins: {result['wins']}, WR: {result['win_rate']:.1f}%")
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print(f"PF: {result['profit_factor']:.3f}")
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print(f"ROI: {result['roi_pct']:.2f}%")
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print(f"Final capital: ${result['capital']:.2f}")
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print(f"Fees: {result['total_fees']:.2f}")
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print(f"TP exits: {result.get('tp_exits', 'N/A')}")
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print(f"Hold exits: {result.get('hold_exits', 'N/A')}")
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print(f"Stop exits: {result.get('stop_exits', 'N/A')}")
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print(f"DC confirmed: {result.get('dc_confirmed', 'N/A')}")
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print(f"DC contradicted: {result.get('dc_contradicted', 'N/A')}")
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print(f"DC neutral: {result.get('dc_neutral', 'N/A')}")
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print(f"Elapsed: {result.get('elapsed_sec', 'N/A'):.1f}s")
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