bruteforce save entire backtest to transit-json

clojure-quant · Oct 12, 2024 · bc6af81 · bc6af81
1 parent bdc9126
commit bc6af81
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Showing 3 changed files with 47 additions and 13 deletions.
diff --git a/deps.edn b/deps.edn
@@ -1,6 +1,6 @@
 {:paths ["src" "resources"]
  :deps {org.clojure/clojure    {:mvn/version "1.11.3"}
-        metosin/malli {:mvn/version "0.16.0"}
+        metosin/malli {:mvn/version "0.16.0"} ; roundtrip schemas
         de.otto/nom {:mvn/version "0.3.0"}
         tick/tick {:mvn/version "0.6.2"}
         org.pinkgorilla/timbre {:mvn/version "0.0.7"}

diff --git a/dev/src/dev/algo_bollinger_bruteforce.clj b/dev/src/dev/algo_bollinger_bruteforce.clj
@@ -62,15 +62,14 @@
                  :label "brute1"})
     print-table)
 
-; | [0 :asset] | [2 :day :atr-n] |            :target | :trades |
-; |------------+-----------------+--------------------+---------|
-; |    BTCUSDT |              50 | 0.6040295470644278 |     126 |
-; |    BTCUSDT |              20 | 0.6040295470644278 |     126 |
-; |    ETHUSDT |              50 | 0.4967416107940467 |     131 |
-; |    ETHUSDT |              20 | 0.4967416107940467 |     131 |
-
-(-> ".data/bruteforce/brute1.edn"
-    slurp
-    read-string)
+; | [0 :asset] | [2 :day :atr-n] |            :target | :trades |    :id |
+; |------------+-----------------+--------------------+---------+--------|
+; |    BTCUSDT |              50 | 0.5196291340803781 |     128 | ckdJDj |
+; |    BTCUSDT |              20 | 0.5196291340803781 |     128 | qQsof9 |
+; |    ETHUSDT |              50 |  0.471267441188845 |     134 | JNSsjP |
+; |    ETHUSDT |              20 |  0.471267441188845 |     134 | BWR3q4 |
 
+(bf/show-available ".data/bruteforce/")
+;; => ("brute1")
 
+(bf/load-label ".data/bruteforce/" "brute1")
diff --git a/src/quanta/trade/bruteforce.clj b/src/quanta/trade/bruteforce.clj
@@ -60,6 +60,13 @@
         ds-safe (nippy->ds fname-nippy)]
     (ds->transit-json-file fname-transit ds-safe)))
 
+(defn save-backtest [report-dir id backtest]
+  (let [fname-nippy (str report-dir id "-backtest.nippy.gz")
+        fname-transit (str report-dir id "-backtest.transit-json")
+        _ (ds->nippy fname-nippy backtest)
+        ds-safe (nippy->ds fname-nippy)]
+    (ds->transit-json-file fname-transit ds-safe)))
+
 (defn create-algo-task [dag-env algo cell-id dt variations target-fn show-fn report-dir]
   ; needs to throw so it can fail.
   (m/via m/cpu
@@ -72,7 +79,8 @@
            (when report-dir
              (spit (str report-dir id "-result.edn") (pr-str report))
              (spit (str report-dir id "-raw.txt") (with-out-str (println result)))
-             (save-ds report-dir id (:roundtrip-ds result)))
+             (save-ds report-dir id (:roundtrip-ds result))
+             (save-backtest report-dir id result))
            report)))
 
 (defn safe-algo-one [x]
@@ -105,10 +113,13 @@
    "
   [dag-env {:keys [algo cell-id variations dt
                    target-fn show-fn
-                   label data-dir]
+                   label
+                   template-id
+                   data-dir]
             :or {show-fn (fn [result] {})
                  cell-id :backtest
                  dt (t/instant)
+                 template-id nil
                  data-dir ".data/bruteforce/"}}]
   ; from: https://github.com/leonoel/missionary/wiki/Rate-limiting#bounded-blocking-execution
   ; When using (via blk ,,,) It's important to remember that the blocking thread pool 
@@ -134,8 +145,32 @@
         (let [report-filename (str data-dir label ".edn")]
           (spit report-filename
                 (pprint-str {:label label
+                             :template-id template-id
                              :calculated (t/instant)
                              :algo (safe-algo algo)
                              :variations variations
                              :result result}))))
       result)))
+
+(defn cut-extension [filename]
+  (subs filename 0 (- (count filename) 4)))
+
+;; exploration
+
+(defn show-available
+  "returns a seq of labels, this are templates that have been bruteforced 
+   with :label set; the results can be explored in quanta-studio."
+  [dir]
+  (->> (fs/list-dir dir  "*.edn")
+       (map fs/file-name)
+       (map cut-extension)))
+
+(defn load-label
+  "loads template-label summary for a previously generated bruteforce.
+   dir must have / in the end"
+  [dir label]
+  (-> (str dir label ".edn")
+      slurp
+      read-string))
+
+