forked from artemium/428-backtester
99de26e7f0
Ship SampleStrategy and Integral workflow scripts without proprietary V15 logic, Pine, or run results. Co-authored-by: Cursor <cursoragent@cursor.com>
106 lines
3.9 KiB
Markdown
106 lines
3.9 KiB
Markdown
# 428 Backtester — Integral (Freqtrade)
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Local Freqtrade scaffold for backtesting on **Binance Futures BTC/USDT:USDT**, **15m** (+ **6h** informative data), built around the Integral workflow.
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No Jupyter. Reports come from Freqtrade CLI + HTML plots (`plot-profit`, trade chart).
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Ship a **SampleStrategy** by default. Drop your own strategy under `user_data/strategies/` and point scripts at it with `STRATEGY=YourClassName`.
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## Requirements
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- **Preferred:** Docker + Docker Compose (`freqtradeorg/freqtrade:stable_plot`)
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- **Fallback:** Python 3.12 venv with `freqtrade` + `plotly` (scripts use this automatically if Docker is missing)
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- ~2+ GB disk for OHLCV history
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### Local venv setup (no Docker)
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```bash
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/opt/homebrew/opt/python@3.12/bin/python3.12 -m venv .venv
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source .venv/bin/activate
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pip install -U pip 'freqtrade[hyperopt]' plotly
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```
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## Quick start
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```bash
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# 1) Download futures candles (15m + 6h). Default timerange from 2024-07-01.
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./scripts/download_data.sh
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# 2) Run baseline backtest (SampleStrategy; full history from 2024-07-01)
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./scripts/backtest.sh
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# 3) Hyperopt buy/sell params on in-sample range (default 20240701-20260101)
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./scripts/hyperopt.sh
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# EPOCHS=200 LOSS=SharpeHyperOptLossDaily ./scripts/hyperopt.sh
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# 4) Apply best epoch params, then OOS backtest (default 20260101-)
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./scripts/apply_hyperopt_params.sh
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TIMERANGE=20260101- ./scripts/backtest.sh
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# 5) Equity + trade charts (pick a shorter range for readable plots)
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TIMERANGE=20250101-20250201 ./scripts/plot.sh
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```
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Scripts auto-detect Docker; if absent they use `.venv/bin/freqtrade`.
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### Your strategy
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```bash
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# Place YourStrategy.py in user_data/strategies/
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STRATEGY=YourStrategy ./scripts/backtest.sh
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STRATEGY=YourStrategy ./scripts/hyperopt.sh
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```
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Or set `"strategy": "YourStrategy"` in `user_data/config.json` / `docker-compose.yml`.
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### Custom timerange
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```bash
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TIMERANGE=20240101-20250601 ./scripts/download_data.sh
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TIMERANGE=20240101-20250601 ./scripts/backtest.sh
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```
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### Direct docker compose
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```bash
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docker compose run --rm freqtrade download-data \
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--config /freqtrade/user_data/config.json \
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--trading-mode futures -t 15m 6h -p BTC/USDT:USDT --timerange 20240701-
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docker compose run --rm freqtrade backtesting \
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--config /freqtrade/user_data/config.json \
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--strategy SampleStrategy --timeframe 15m --timerange 20240701-
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```
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## Project layout
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| Path | Role |
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|------|------|
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| [`user_data/strategies/SampleStrategy.py`](user_data/strategies/SampleStrategy.py) | Placeholder strategy (replace with yours) |
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| [`user_data/config.json`](user_data/config.json) | Binance futures dry-run / backtest config |
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| [`scripts/`](scripts/) | download / backtest / hyperopt / plot helpers |
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| [`docker-compose.yml`](docker-compose.yml) | `freqtradeorg/freqtrade:stable_plot` |
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## Optimization
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Primary tool: **Freqtrade Hyperopt** (Optuna TPE) over strategy `IntParameter` / `DecimalParameter` spaces.
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Default split used by scripts:
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- **IS / hyperopt:** `TIMERANGE=20240701-20260101`
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- **OOS backtest:** `TIMERANGE=20260101-`
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```bash
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./scripts/hyperopt.sh # IS search
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./scripts/apply_hyperopt_params.sh # write user_data/strategies/<Strategy>.json
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TIMERANGE=20260101- ./scripts/backtest.sh # OOS with best params
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# Defaults again: remove the JSON override
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rm -f user_data/strategies/SampleStrategy.json
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```
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If optimizable params change `populate_indicators` (not only entry/exit columns), keep `--analyze-per-epoch` (default in `hyperopt.sh`). Without it every epoch can repeat the baseline result.
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## Notes
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- **Fees / funding:** `config.json` sets `fee: 0.0005` (5 bps). Funding rates download with futures data when available; treat equity as approximate.
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- **Private logic:** proprietary strategies and run artifacts stay local (see `.gitignore`). Do not commit them to this repo.
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