feat: Add backtesting parameter sweep support and related functionality

2026-06-02 08:44:10 +02:00
parent 8ef8dc801d
commit f612c8533a
6 changed files with 685 additions and 7 deletions
@@ -0,0 +1,102 @@
+from __future__ import annotations
+
+from datetime import UTC, datetime, timedelta
+
+from arbitrade.backtesting.replay import ReplayBookEvent
+from arbitrade.backtesting.sweep import (
+    PromotionCriteria,
+    SweepResult,
+    build_parameter_grid,
+    run_parameter_search,
+    split_events_time_windows,
+)
+from arbitrade.detection.graph import CurrencyGraph
+from arbitrade.exchange.models import BookLevel
+
+
+def _build_cycles() -> dict[str, list]:
+    graph = CurrencyGraph()
+    graph.add_pair("USD", "BTC", "BTC/USD")
+    graph.add_pair("BTC", "ETH", "ETH/BTC")
+    graph.add_pair("ETH", "USD", "ETH/USD")
+    return graph.index_cycles_by_pair(graph.triangular_cycles())
+
+
+def _events() -> list[ReplayBookEvent]:
+    base_time = datetime(2026, 6, 1, 12, 0, tzinfo=UTC)
+    rows: list[ReplayBookEvent] = []
+    for index in range(12):
+        tick = base_time + timedelta(seconds=index)
+        rows.extend(
+            [
+                ReplayBookEvent(
+                    occurred_at=tick,
+                    symbol="BTC/USD",
+                    bids=(BookLevel(price=99.5, volume=10.0),),
+                    asks=(BookLevel(price=100.0, volume=10.0),),
+                ),
+                ReplayBookEvent(
+                    occurred_at=tick,
+                    symbol="ETH/BTC",
+                    bids=(BookLevel(price=0.051, volume=10.0),),
+                    asks=(BookLevel(price=0.050, volume=10.0),),
+                ),
+                ReplayBookEvent(
+                    occurred_at=tick,
+                    symbol="ETH/USD",
+                    bids=(BookLevel(price=110.0, volume=10.0),),
+                    asks=(BookLevel(price=110.5, volume=10.0),),
+                ),
+            ]
+        )
+    return rows
+
+
+def test_split_events_time_windows_returns_non_empty_train_and_test() -> None:
+    train, test = split_events_time_windows(_events(), train_ratio=0.7)
+
+    assert train
+    assert test
+    assert train[-1].occurred_at <= test[0].occurred_at
+
+
+def test_build_parameter_grid_expands_combinations() -> None:
+    grid = build_parameter_grid(
+        theta_values=[0.0005, 0.001],
+        trade_capital_values=[100.0],
+        pair_universes=[["BTC/USD", "ETH/BTC", "ETH/USD"]],
+        staleness_threshold_values=[3.0, 5.0],
+    )
+
+    assert len(grid) == 4
+
+
+def test_run_parameter_search_produces_ranked_results_with_overfit_guard() -> None:
+    artifacts = run_parameter_search(
+        events=_events(),
+        cycles_by_pair=_build_cycles(),
+        parameter_grid=build_parameter_grid(
+            theta_values=[0.0005, 0.001],
+            trade_capital_values=[75.0, 100.0],
+            pair_universes=[["BTC/USD", "ETH/BTC", "ETH/USD"]],
+            staleness_threshold_values=[5.0],
+        ),
+        starting_balances={"USD": 2000.0},
+        train_ratio=0.7,
+        promotion_criteria=PromotionCriteria(
+            min_test_realized_pnl_usd=-1000.0,
+            min_test_win_rate=0.0,
+            min_test_fill_rate=0.0,
+            max_test_drawdown_usd=1_000_000.0,
+            max_generalization_gap_ratio=0.9,
+        ),
+    )
+
+    assert artifacts.results
+    assert artifacts.results[0].test_score >= artifacts.results[-1].test_score
+
+    first: SweepResult = artifacts.results[0]
+    assert first.train_event_count > 0
+    assert first.test_event_count > 0
+    assert first.generalization_gap_ratio >= 0.0
+    assert isinstance(first.promotion_ready, bool)