ivolatility-backtesting 1.14.0__tar.gz → 1.18.0__tar.gz

{ivolatility_backtesting-1.14.0 → ivolatility_backtesting-1.18.0}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: ivolatility_backtesting
-Version: 1.14.0
+Version: 1.18.0
 Summary: A universal backtesting framework for financial strategies using the IVolatility API.
 Author-email: IVolatility <support@ivolatility.com>
 Project-URL: Homepage, https://ivolatility.com

{ivolatility_backtesting-1.14.0 → ivolatility_backtesting-1.18.0}/ivolatility_backtesting/ivolatility_backtesting.py

@@ -2234,6 +2234,10 @@ class StopLossConfig:
     
     NEW METHOD:
     - combined(): Requires BOTH pl_loss AND directional conditions
+    
+    IMPORTANT:
+    - directional(): Creates EOD directional stop (checked once per day)
+    - For INTRADAY directional stops, use INTRADAY_STOPS_CONFIG (separate system)
     """
     
     @staticmethod
@@ -2333,7 +2337,7 @@ class StopLossConfig:
     
     @staticmethod
     def directional(pct):
-        """Directional stop based on underlying movement"""
+        """EOD directional stop based on underlying movement (checked once per day)"""
         decimal = StopLossConfig._normalize_pct(pct)
         display = StopLossConfig._format_pct(pct)
         
@@ -2341,8 +2345,8 @@ class StopLossConfig:
             'enabled': True,
             'type': 'directional',
             'value': decimal,
-            'name': f'Directional {display}',
-            'description': f'Stop when underlying moves {display}'
+            'name': f'EOD Directional {display}',
+            'description': f'Stop when underlying moves {display} (checked at EOD)'
         }
     
     # ========================================================
@@ -3288,29 +3292,19 @@ def optimize_parameters(base_config, param_grid, strategy_function,
             test_config['_preloaded_options_cache'] = preloaded_options_df
         # Otherwise, data is already in base_config from preload_data_universal
         
-        # Update progress
-        if has_widgets:
-            # Use update_progress for full display with ETA, CPU, RAM
-            update_progress(
-                progress_bar, status_label, monitor,
-                current=idx,
-                total=total_combinations,
-                start_time=start_time,
-                message=f"Testing: {param_str}"
-            )
-        else:
-            if idx % max(1, total_combinations // 10) == 0:
-                print(f"[{idx}/{total_combinations}] {param_str}")
-        
-        # ═══ MODIFY run_backtest CALL (lines ~2240-2248) ═══
+        # ═══ CREATE COMPACT PARAMETER STRING EARLY (for progress display) ═══
         try:
-            # Create compact parameter string (e.g., Z1.0_E0.1_PT20)
+            # Create compact parameter string (e.g., Z1.0_E0.1_L60_DT45)
             param_parts = []
             for name, value in zip(param_names, param_combo):
                 if 'z_score_entry' in name:
                     param_parts.append(f"Z{value}")
                 elif 'z_score_exit' in name:
                     param_parts.append(f"E{value}")
+                elif 'lookback' in name:
+                    param_parts.append(f"L{value}")
+                elif 'dte' in name:
+                    param_parts.append(f"DT{value}")
                 elif 'profit_target' in name:
                     if value is None:
                         param_parts.append("PTNo")
@@ -3325,13 +3319,70 @@ def optimize_parameters(base_config, param_grid, strategy_function,
             
             compact_params = "_".join(param_parts)
             
-            # Create combo folder: c01_Z1.0_E0.1_PT20
-            combo_folder = os.path.join(results_folder, f'c{idx:02d}_{compact_params}')
-            os.makedirs(combo_folder, exist_ok=True)
+            # Create friendly string for display/logging
+            param_display = ", ".join([f"{name}={value}" for name, value in zip(param_names, param_combo)])
+
+            # Add SL prefix if provided (from notebook loop)
+            sl_prefix = test_config.get('_sl_prefix', '')
+            if sl_prefix:
+                # Format: SL3_cb1_Z1_E0.1_L60_DT45
+                combo_name = f"{sl_prefix}_cb{idx}_{compact_params}"
+                display_name = f"{sl_prefix}_{compact_params}"
+            else:
+                # Fallback: Add stop-loss to filename if enabled
+                if test_config.get('stop_loss_enabled') and 'stop_loss_config' in test_config:
+                    sl_value = test_config['stop_loss_config'].get('value', 0)
+                    combo_name = f"cb{idx}_{compact_params}_SL{int(sl_value*100)}"
+                    display_name = f"{compact_params}_SL{int(sl_value*100)}"
+                else:
+                    combo_name = f"cb{idx}_{compact_params}"
+                    display_name = compact_params
             
-            # File prefix: c01_Z1.0_E0.1_PT20
-            combo_prefix = f"c{idx:02d}_{compact_params}"
+            # -----------------------------
+            # Print combo header BEFORE running backtest (so user sees params)
+            # -----------------------------
+            print("\n" + "="*80)
+            print(f"[{idx}/{total_combinations}] {combo_name}")
+            print("="*80)
+            print(f"• Parameters : {param_display}")
+            if test_config.get('stop_loss_enabled') and 'stop_loss_config' in test_config:
+                sl_cfg = test_config['stop_loss_config']
+                sl_type = sl_cfg.get('type', 'unknown')
+                sl_value = sl_cfg.get('value')
+                if isinstance(sl_value, (int, float)):
+                    sl_value_display = f"{sl_value*100:.2f}%" if sl_type in ('pl_loss', 'fixed_pct', 'trailing', 'directional') else sl_value
+                else:
+                    sl_value_display = sl_value
+                print(f"• Stop-loss  : {sl_type} -> {sl_value_display}")
+            else:
+                print("• Stop-loss  : disabled")
+
+            intraday_cfg = test_config.get('intraday_stops', {})
+            if intraday_cfg.get('enabled', False):
+                intraday_pct = intraday_cfg.get('stop_pct')
+                pct_text = f"{intraday_pct*100:.2f}%" if isinstance(intraday_pct, (int, float)) else intraday_pct
+                print(f"• Intraday SL: enabled ({pct_text}, min_days={intraday_cfg.get('min_days_before_intraday', 'n/a')})")
+            else:
+                print("• Intraday SL: disabled")
+            print("-"*80)
+
+            # Update progress with compact name (after printing parameters)
+            if has_widgets:
+                update_progress(
+                    progress_bar, status_label, monitor,
+                    current=idx,
+                    total=total_combinations,
+                    start_time=start_time,
+                    message=f"Testing: {display_name}"
+                )
+
+            # Create combo folder: SL3_c01_Z1.0_E0.1_PT20
+            combo_folder = os.path.join(results_folder, combo_name)
+            os.makedirs(combo_folder, exist_ok=True)
             
+            # File prefix: SL3_c01_Z1.0_E0.1_PT20
+            combo_prefix = combo_name
+
             # Run backtest WITH EXPORT AND CHARTS (saved but not displayed)
             analyzer = run_backtest(
                 strategy_function,
@@ -3360,10 +3411,6 @@ def optimize_parameters(base_config, param_grid, strategy_function,
             status_symbol = "✓" if is_valid else "✗"
             status_color = "#00cc00" if is_valid else "#ff6666"
             
-            # Print combination header
-            print(f"[{idx}/{total_combinations}] {param_str}")
-            print("-" * 100)
-            
             # Print chart file if created
             if hasattr(analyzer, 'chart_file') and analyzer.chart_file:
                 print(f"Chart saved: {analyzer.chart_file}")
@@ -3400,7 +3447,7 @@ def optimize_parameters(base_config, param_grid, strategy_function,
                 resource_text = f"CPU: {cpu_pct:.0f}% | RAM: {ram_mb:.0f}MB"
                 
                 status_label.value = (
-                    f"<b style='color:{status_color}'>[{idx}/{total_combinations}] {param_str}</b><br>"
+                    f"<b style='color:{status_color}'>[{idx}/{total_combinations}] {combo_name}</b><br>"
                     f"<span style='color:#666'>{result_text}</span><br>"
                     f"<span style='color:#999;font-size:10px'>{resource_text}</span>"
                 )
@@ -3422,12 +3469,28 @@ def optimize_parameters(base_config, param_grid, strategy_function,
                 'avg_win': analyzer.metrics['avg_win'],
                 'avg_loss': analyzer.metrics['avg_loss'],
                 'volatility': analyzer.metrics['volatility'],
+                'combo_name': combo_name,
+                'combo_folder': combo_folder if export_each_combo else "",
             }
             
             results.append(result)
             
             # ═══ MEMORY CLEANUP AFTER EACH TEST ═══
             # Delete large objects to free RAM for next iteration
+            
+            # Clear references to preloaded data (prevents memory leaks)
+            if use_legacy_preload:
+                # Legacy preload method
+                if '_preloaded_lean_df' in test_config:
+                    del test_config['_preloaded_lean_df']
+                if '_preloaded_options_cache' in test_config:
+                    del test_config['_preloaded_options_cache']
+            else:
+                # Universal preloader - clear all preloaded keys
+                for key in list(test_config.keys()):
+                    if key.startswith('_preloaded_'):
+                        del test_config[key]
+            
             del analyzer, test_config
             gc.collect()
             
@@ -3623,59 +3686,132 @@ def optimize_parameters(base_config, param_grid, strategy_function,
     # ═══════════════════════════════════════════════════════════════════════════
     # NEW! FULL BACKTEST OF BEST COMBINATION WITH ALL CHARTS
     # ═══════════════════════════════════════════════════════════════════════════
-    print("\n" + "="*80)
-    print(" "*15 + "RUNNING FULL BACKTEST FOR BEST COMBINATION")
-    print("="*80)
-    print("\n📊 Creating detailed report for best combination...")
-    print(f"Parameters: {', '.join([f'{k}={v}' for k, v in best_params.items()])}\n")
-    
-    # Create config for best combination
-    best_config = base_config.copy()
-    best_config.update(best_params)
-    if use_legacy_preload:
-        best_config['_preloaded_lean_df'] = preloaded_lean_df
-        best_config['_preloaded_options_cache'] = preloaded_options_df
-    
-    # Create folder for best combination
-    best_combo_folder = os.path.join(results_folder, 'best_combination')
-    os.makedirs(best_combo_folder, exist_ok=True)
-    
-    # Run FULL backtest with ALL charts and exports
-    # Note: progress_context=None, so plt.show() will be called but fail due to renderer
-    # We'll display charts explicitly afterwards using IPython.display.Image
-    best_analyzer = run_backtest(
-        strategy_function,
-        best_config,
-        print_report=True,  # ← SHOW FULL REPORT
-        create_charts=True,  # ← CREATE ALL CHARTS
-        export_results=True,  # ← EXPORT ALL FILES
-        progress_context=None,  # ← Normal mode
-        chart_filename=os.path.join(best_combo_folder, 'equity_curve.png'),
-        export_prefix=os.path.join(best_combo_folder, 'best')
-    )
-    
-    # Save detailed metrics to optimization_metrics.csv
-    metrics_data = {
-        'metric': list(best_analyzer.metrics.keys()),
-        'value': list(best_analyzer.metrics.values())
-    }
-    metrics_df = pd.DataFrame(metrics_data)
-    metrics_path = os.path.join(results_folder, 'optimization_metrics.csv')
-    metrics_df.to_csv(metrics_path, index=False)
     
-    print(f"\n✓ Detailed metrics saved: {metrics_path}")
-    print(f"✓ Best combination results saved to: {best_combo_folder}/")
+    # Create compact parameter string for best combination
+    param_parts = []
+    for name, value in best_params.items():
+        if 'z_score_entry' in name:
+            param_parts.append(f"Z{value}")
+        elif 'z_score_exit' in name:
+            param_parts.append(f"E{value}")
+        elif 'lookback' in name:
+            param_parts.append(f"L{value}")
+        elif 'dte' in name:
+            param_parts.append(f"DT{value}")
+        elif 'stop_loss' in name:
+            param_parts.append(f"SL{int(value*100)}")
+    
+    best_params_str = "_".join(param_parts) if param_parts else "best"
+    
+    # Add SL prefix if provided (from notebook loop)
+    sl_prefix = base_config.get('_sl_prefix', '')
+    if sl_prefix:
+        best_params_str_with_prefix = f"{sl_prefix}_{best_params_str}"
+    else:
+        best_params_str_with_prefix = best_params_str
     
-    # ═══════════════════════════════════════════════════════════════════════════
-    # DISPLAY CHARTS FOR BEST COMBINATION IN NOTEBOOK
-    # ═══════════════════════════════════════════════════════════════════════════
-    try:
-        # Charts are displayed in the notebook, not here
-        chart_file = os.path.join(best_combo_folder, 'equity_curve.png')
+    metrics_path = os.path.join(results_folder, 'optimization_metrics.csv')
+
+    best_combo_name = best_result.get('combo_name', '')
+    best_combo_folder_recorded = best_result.get('combo_folder', '')
+
+    if export_each_combo and best_combo_name and best_combo_folder_recorded and os.path.exists(best_combo_folder_recorded):
+        print("\n" + "="*80)
+        print(" "*15 + "USING EXISTING ARTIFACTS FOR BEST COMBINATION")
+        print("="*80)
+        print("\n⚡ export_each_combo=True → пропускаем повторный запуск")
+        print("⚡ Используем ранее сохранённые файлы комбинации")
+        print(f"Комбинация: {best_combo_name}")
+        print(f"Путь: {best_combo_folder_recorded}")
+
+        metrics_dict = None
+        metrics_json_path = os.path.join(best_combo_folder_recorded, f"{best_combo_name}_metrics.json")
+        if os.path.exists(metrics_json_path):
+            try:
+                import json
+                with open(metrics_json_path, 'r') as mj:
+                    metrics_dict = json.load(mj)
+            except Exception as e:
+                print(f"⚠ Не удалось загрузить {metrics_json_path}: {e}")
+
+        if metrics_dict is None:
+            metrics_dict = {
+                'total_return': best_result['total_return'],
+                'sharpe': best_result['sharpe'],
+                'sortino': best_result.get('sortino'),
+                'calmar': best_result.get('calmar'),
+                'max_drawdown': best_result['max_drawdown'],
+                'win_rate': best_result['win_rate'],
+                'profit_factor': best_result['profit_factor'],
+                'total_trades': best_result['total_trades'],
+                'avg_win': best_result['avg_win'],
+                'avg_loss': best_result['avg_loss'],
+                'volatility': best_result['volatility'],
+            }
+
+        metrics_df = pd.DataFrame({
+            'metric': list(metrics_dict.keys()),
+            'value': list(metrics_dict.values())
+        })
+        metrics_df.to_csv(metrics_path, index=False)
+        print(f"\n✓ Метрики сохранены: {metrics_path} (использованы существующие данные)")
+        print(f"✓ Артефакты лучшей комбинации: {best_combo_folder_recorded}/")
+
+        chart_file = os.path.join(best_combo_folder_recorded, 'equity_curve.png')
         if os.path.exists(chart_file):
-            print(f"\n📈 Best combination charts saved to: {chart_file}")
-    except Exception as e:
-        print(f"\n⚠ Could not display charts (saved to {best_combo_folder}/): {e}")
+            print(f"📈 График equity: {chart_file}")
+        summary_file = os.path.join(best_combo_folder_recorded, f"{best_combo_name}_summary.txt")
+        if os.path.exists(summary_file):
+            print(f"📄 Summary: {summary_file}")
+
+    else:
+        print("\n" + "="*80)
+        print(" "*15 + "RUNNING FULL BACKTEST FOR BEST COMBINATION")
+        print("="*80)
+        print("\n📊 Creating detailed report for best combination...")
+        print(f"Parameters: {', '.join([f'{k}={v}' for k, v in best_params.items()])}")
+        print(f"Files will be saved with prefix: BST_{best_params_str_with_prefix}_*\n")
+
+        # Create config for best combination
+        best_config = base_config.copy()
+        best_config.update(best_params)
+        if use_legacy_preload:
+            best_config['_preloaded_lean_df'] = preloaded_lean_df
+            best_config['_preloaded_options_cache'] = preloaded_options_df
+
+        # Create folder for best combination with parameters in name
+        best_combo_folder = os.path.join(results_folder, f'best_{best_params_str_with_prefix}')
+        os.makedirs(best_combo_folder, exist_ok=True)
+
+        # Run FULL backtest with ALL charts and exports
+        best_analyzer = run_backtest(
+            strategy_function,
+            best_config,
+            print_report=True,
+            create_charts=True,
+            export_results=True,
+            progress_context=None,
+            chart_filename=os.path.join(best_combo_folder, f'BST_{best_params_str_with_prefix}_chart.png'),
+            export_prefix=os.path.join(best_combo_folder, f'BST_{best_params_str_with_prefix}')
+        )
+
+        metrics_data = {
+            'metric': list(best_analyzer.metrics.keys()),
+            'value': list(best_analyzer.metrics.values())
+        }
+        metrics_df = pd.DataFrame(metrics_data)
+        metrics_df.to_csv(metrics_path, index=False)
+
+        print(f"\n✓ Detailed metrics saved: {metrics_path}")
+        print(f"✓ Best combination results saved to: {best_combo_folder}/")
+        print(f"   Files: BST_{best_params_str_with_prefix}_*.csv, BST_{best_params_str_with_prefix}_chart.png")
+
+        try:
+            chart_file = os.path.join(best_combo_folder, f'BST_{best_params_str_with_prefix}_chart.png')
+            if os.path.exists(chart_file):
+                print(f"\n📈 Best combination charts saved to: {chart_file}")
+        except Exception as e:
+            print(f"\n⚠ Could not display charts (saved to {best_combo_folder}/): {e}")
     
     # ═══════════════════════════════════════════════════════════════════════════
     # CREATE OPTIMIZATION COMPARISON CHARTS (save only, display in notebook manually)

{ivolatility_backtesting-1.14.0 → ivolatility_backtesting-1.18.0}/ivolatility_backtesting.egg-info/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: ivolatility_backtesting
-Version: 1.14.0
+Version: 1.18.0
 Summary: A universal backtesting framework for financial strategies using the IVolatility API.
 Author-email: IVolatility <support@ivolatility.com>
 Project-URL: Homepage, https://ivolatility.com

{ivolatility_backtesting-1.14.0 → ivolatility_backtesting-1.18.0}/pyproject.toml

@@ -4,7 +4,7 @@ build-backend = "setuptools.build_meta"
 
 [project]
 name = "ivolatility_backtesting"
-version = "1.14.0"
+version = "1.18.0"
 description = "A universal backtesting framework for financial strategies using the IVolatility API."
 readme = "README.md"
 authors = [