DaM
f85c522f22
- Implemented portfolio engine with risk-based allocation (50/50) - Added equity-based metrics for system-level evaluation - Validated portfolio against standalone strategies - Reduced max drawdown and volatility at system level - Quantitative decision closed before paper trading phase
59 lines
1.4 KiB
Python
59 lines
1.4 KiB
Python
# dam_test.py
|
|
"""
|
|
Script para probar cositas
|
|
"""
|
|
import os
|
|
import sys
|
|
from dotenv import load_dotenv
|
|
from pathlib import Path
|
|
import pandas as pd
|
|
|
|
# Añadir raíz del proyecto al path
|
|
sys.path.insert(0, str(Path(__file__).parent.parent))
|
|
|
|
from src.data.storage import StorageManager
|
|
from src.core.walk_forward import WalkForwardValidator
|
|
from src.strategies import MovingAverageCrossover
|
|
|
|
def setup_environment():
|
|
"""Carga variables de entorno"""
|
|
env_path = Path(__file__).parent.parent / 'config' / 'secrets.env'
|
|
load_dotenv(dotenv_path=env_path)
|
|
|
|
def dam_test():
|
|
# 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'),
|
|
)
|
|
|
|
data = storage.load_ohlcv(
|
|
symbol='BTC/USDT',
|
|
timeframe='1h',
|
|
start_date=None,
|
|
end_date=None,
|
|
use_cache=False
|
|
)
|
|
|
|
wf = WalkForwardValidator(
|
|
strategy_class=MovingAverageCrossover,
|
|
param_grid={},
|
|
data=data,
|
|
train_window=pd.Timedelta(days=365),
|
|
test_window=pd.Timedelta(days=90),
|
|
)
|
|
|
|
windows = wf._generate_windows()
|
|
|
|
print(f"Ventanas generadas: {len(windows)}")
|
|
for w in windows[:3]:
|
|
print(w)
|
|
|
|
if __name__ == "__main__":
|
|
dam_test() |