Initial public release

2026-03-30 13:19:11 +09:00
commit 92a692b63c
116 changed files with 5822 additions and 0 deletions
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+# hydra/backtest/runner.py
+from hydra.backtest.broker import BacktestBroker
+from hydra.backtest.result import BacktestResult, compute_metrics
+from hydra.data.storage.base import OhlcvStore
+from hydra.indicator.calculator import IndicatorCalculator
+from hydra.regime.detector import RegimeDetector
+from hydra.strategy.signal import SignalGenerator
+
+_WARMUP = 210  # IndicatorCalculator._MIN_CANDLES
+
+
+class BacktestRunner:
+    def __init__(
+        self,
+        store: OhlcvStore,
+        calculator: IndicatorCalculator,
+        detector: RegimeDetector,
+        generator: SignalGenerator,
+        initial_capital: float = 10000.0,
+        trade_amount_usd: float = 100.0,
+        commission_pct: float = 0.001,
+    ):
+        self._store = store
+        self._calculator = calculator
+        self._detector = detector
+        self._generator = generator
+        self._initial_capital = initial_capital
+        self._trade_amount = trade_amount_usd
+        self._commission = commission_pct
+
+    async def run(
+        self,
+        market: str,
+        symbol: str,
+        timeframe: str,
+        since: int,
+        until: int,
+    ) -> BacktestResult:
+        if since >= until:
+            raise ValueError(f"since ({since}) must be less than until ({until})")
+
+        candles = await self._store.query(
+            market=market,
+            symbol=symbol,
+            timeframe=timeframe,
+            limit=100_000,
+            since=None,
+        )
+        # Filter to candles up to 'until'
+        candles = [c for c in candles if c.open_time <= until]
+
+        broker = BacktestBroker(
+            initial_capital=self._initial_capital,
+            trade_amount_usd=self._trade_amount,
+            commission_pct=self._commission,
+        )
+
+        # Find the first index where trading starts: open_time >= since AND index >= WARMUP
+        trading_start_idx = None
+        for i, c in enumerate(candles):
+            if c.open_time >= since and i >= _WARMUP:
+                trading_start_idx = i
+                break
+
+        if trading_start_idx is None:
+            return BacktestResult(
+                market=market,
+                symbol=symbol,
+                timeframe=timeframe,
+                since=since,
+                until=until,
+                initial_capital=self._initial_capital,
+                final_equity=self._initial_capital,
+                trades=[],
+                equity_curve=[],
+                metrics=compute_metrics([], [], self._initial_capital, self._initial_capital),
+            )
+
+        for i in range(trading_start_idx, len(candles)):
+            window = candles[i - _WARMUP + 1: i + 1]
+            indicators = self._calculator.compute(window)
+            if not indicators:
+                continue
+            candle = candles[i]
+            close = candle.close
+            indicators["close"] = close
+            regime = self._detector.detect(indicators, close)
+            signal = self._generator.generate(indicators, regime, close)
+            broker.on_signal(signal, candle)
+
+        # Close any open position at end of backtest
+        if candles:
+            last = candles[-1]
+            broker.close_open_position(
+                price=last.close, ts=last.open_time, reason="backtest_end"
+            )
+
+        trades = broker.trades
+        for t in trades:
+            t.market = market
+            t.symbol = symbol
+
+        equity_curve = broker.equity_curve
+        final_equity = broker.equity
+        metrics = compute_metrics(trades, equity_curve, self._initial_capital, final_equity)
+
+        return BacktestResult(
+            market=market,
+            symbol=symbol,
+            timeframe=timeframe,
+            since=since,
+            until=until,
+            initial_capital=self._initial_capital,
+            final_equity=round(final_equity, 6),
+            trades=trades,
+            equity_curve=equity_curve,
+            metrics=metrics,
+        )