Trading-Bot/scripts/research/compare_stops.py

# scripts/research/compare_stops.py
import os
import sys
from pathlib import Path
from dotenv import load_dotenv
from datetime import datetime, timedelta
import pandas as pd
import matplotlib.pyplot as plt
from loguru import logger

# Añadir raíz del proyecto al path
sys.path.insert(0, str(Path(__file__).parent.parent.parent))

from src.utils.logger import log
from src.data.storage import StorageManager
from src.core.engine import Engine
from src.strategies import MovingAverageCrossover
from src.risk.sizing.fixed import FixedPositionSizer
from src.risk.stops.fixed_stop import FixedStop
from src.risk.stops.trailing_stop import TrailingStop
from src.risk.stops.atr_stop import ATRStop

# --------------------------------------------------
# Configuración común
# --------------------------------------------------
SYMBOL = "BTC/USDT"
TIMEFRAME = "1d"
DAYS_BACK = 180

INITIAL_CAPITAL = 10_000
COMISSION = 0.001
SLIPPAGE = 0.0005

# Estrategia
STRATEGY = MovingAverageCrossover(
    fast_period=10,
    slow_period=30,
    ma_type='ema',
    use_adx=False,
    adx_threshold=20
)

# Position sizing fijo (para aislar el efecto del stop)
POSITION_SIZER = FixedPositionSizer(0.95)

# Stops a comparar
STOPS = {
    "Fixed 2%": FixedStop(0.02),
    "Trailing 2%": TrailingStop(0.02),
    "ATR 14 x 2.0": ATRStop(atr_period=14, multiplier=2.0),
}

def setup_environment():
    """Carga variables de entorno"""
    env_path = Path(__file__).parent.parent.parent / 'config' / 'secrets.env'
    load_dotenv(dotenv_path=env_path)

def load_data():
    """
    Carga datos desde la base de datos
    """
    # Setup
    setup_environment()

    # Cargar datos
    storage = StorageManager(
        db_host=os.getenv("DB_HOST"),
        db_port=int(os.getenv("DB_PORT", 5432)),
        db_name=os.getenv("DB_NAME"),
        db_user=os.getenv("DB_USER"),
        db_password=os.getenv("DB_PASSWORD"),
    )

    end_date = datetime.now()
    start_date = end_date - timedelta(DAYS_BACK)

    data = storage.load_ohlcv(
        symbol=SYMBOL,
        timeframe=TIMEFRAME,
        start_date=None,
        end_date=None,
        use_cache=False,
    )

    storage.close()

    if data.empty:
        raise RuntimeError("No se cargaron datos")
    
    return data

def run():
    log.info("=" * 80)
    log.info("🧪 COMPARACIÓN DE STOPS (Research)")
    log.info("=" * 80)

    data = load_data()

    log.info(f"Símbolo: {SYMBOL}")
    log.info(f"Timeframe: {TIMEFRAME}")
    log.info(f"Velas: {len(data)}")
    log.info(f"Periodo: {data.index[0]} → {data.index[-1]}")
    print()

    results = {}

    # --------------------------------------------------
    # Ejecutar backtest por cada stop
    # --------------------------------------------------
    for name, stop in STOPS.items():
        log.info(f"▶️ Ejecutando con stop: {name}")

        # Silenciar logs del engine (solo warnings o errores)
        logger.disable("src.backtest.engine")

        engine = Engine(
            strategy=STRATEGY,
            initial_capital=INITIAL_CAPITAL,
            commission=COMISSION,
            slippage=SLIPPAGE,
            position_sizer=POSITION_SIZER,
            stop_loss=stop,
        )

        res = engine.run(data)

        results[name] = res

        logger.enable("src.backtest.engine")

        log.info(
            f"Trades: {res['total_trades']:>4} | "
            f"Max DD: {res['max_drawdown_pct']:>7.2f}% | "
            f"Return: {res['total_return_pct']:>7.2f}%"
        )
        print()

    print("\n" + "=" * 70)
    print("📊 RESUMEN COMPARATIVO DE STOPS")
    print("=" * 70)

    for name, res in results.items():
        print(
            f"{name:<15} | "
            f"Trades: {res['total_trades']:>4} | "
            f"Max DD: {res['max_drawdown_pct']:>7.2f}% | "
            f"Return: {res['total_return_pct']:>7.2f}%"
        )

    print("=" * 70)


    # --------------------------------------------------
    # Plot equity curves (comparativa visual)
    # --------------------------------------------------
    plt.figure(figsize=(14, 7))

    for name, res in results.items():
        plt.plot(
            res["timestamps"],
            res["equity_curve"],
            label=name,
        )

    plt.title(f"Equity Curve Comparison – {SYMBOL} {TIMEFRAME}")
    plt.xlabel("Time")
    plt.ylabel("Equity")
    plt.legend()
    plt.grid(alpha=0.3)
    plt.tight_layout()

    # --------------------------------------------------
    # Guardar gráfico
    # --------------------------------------------------
    output_dir = Path(__file__).parent / "output"
    output_dir.mkdir(parents=True, exist_ok=True)

    output_path = output_dir / f"equity_comparison_{SYMBOL.replace('/', '_')}_{TIMEFRAME}.png"

    plt.savefig(output_path, dpi=150)
    plt.close()

    log.success(f"📈 Equity curve guardada en: {output_path}")

if __name__ == "__main__":
    run()