aszerW
09ecac9e56
- Reproduce historical results:ca933e4code achieves 43.20% annual return - Attribution analysis: crash filter simplification (+4pp) + data extension (+2pp) - Start year traversal: 2020-2025, all years show 34-57% annual return - Compareca933e4vs HEAD (cabfee2) across different start years - Add test_start_year_analysis.py for reproducibility
113 lines
3.8 KiB
Python
113 lines
3.8 KiB
Python
"""
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Test different start years with select_num=1
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"""
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import os
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import sys
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import yaml
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from pathlib import Path
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from datetime import datetime
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PROJECT_ROOT = Path(__file__).parent.parent
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sys.path.insert(0, str(PROJECT_ROOT))
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from dotenv import load_dotenv
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load_dotenv(PROJECT_ROOT / '.env')
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from rotation.config_loader import load_rotation_config
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from rotation.simple_rotation import SimpleRotationStrategy
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def run_test(start_date: str, select_num: int) -> dict:
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"""Run backtest with specified start date and select_num."""
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config_path = PROJECT_ROOT / 'rotation' / 'config_simple.yaml'
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with open(config_path, 'r') as f:
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config = yaml.safe_load(f)
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config['backtest']['start_date'] = start_date
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config['rotation']['select_num'] = select_num
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temp_config_path = PROJECT_ROOT / 'rotation' / 'temp_config.yaml'
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with open(temp_config_path, 'w') as f:
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yaml.dump(config, f)
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try:
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strategy = SimpleRotationStrategy(str(temp_config_path))
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result = strategy.run()
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return result['metrics']
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finally:
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if temp_config_path.exists():
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temp_config_path.unlink()
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def main():
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select_num = 1
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years = [2020, 2021, 2022, 2023, 2024, 2025]
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print(f"\n{'='*80}")
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print(f"Testing select_num={select_num} with different start years")
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print(f"{'='*80}")
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results = []
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for year in years:
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start_date = f"{year}-01-01"
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print(f"\nTesting start_date={start_date}...")
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try:
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metrics = run_test(start_date, select_num)
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results.append({
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'start_year': year,
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'start_date': start_date,
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'select_num': select_num,
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'total_return': metrics.get('total_return', 0),
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'annual_return': metrics.get('annual_return', 0),
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'max_drawdown': metrics.get('max_drawdown', 0),
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'sharpe_ratio': metrics.get('sharpe_ratio', 0),
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'rebalance_count': metrics.get('rebalance_count', 0),
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'win_rate': metrics.get('win_rate', 0),
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})
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print(f" Total Return: {metrics.get('total_return', 0)*100:.2f}%")
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print(f" Annual Return: {metrics.get('annual_return', 0)*100:.2f}%")
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print(f" Max Drawdown: {metrics.get('max_drawdown', 0)*100:.2f}%")
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print(f" Sharpe Ratio: {metrics.get('sharpe_ratio', 0):.3f}")
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print(f" Rebalance Count: {metrics.get('rebalance_count', 0)}")
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except Exception as e:
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print(f" Error: {e}")
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results.append({
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'start_year': year,
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'start_date': start_date,
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'select_num': select_num,
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'error': str(e)
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})
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# Print summary table
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print(f"\n{'='*80}")
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print(f"SUMMARY TABLE (select_num={select_num})")
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print(f"{'='*80}")
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print(f"{'Start Year':<12} {'Total Return':<15} {'Annual Return':<15} {'Max Drawdown':<15} {'Sharpe':<10} {'Rebal':<8}")
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print(f"{'-'*80}")
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for r in results:
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if 'error' in r:
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print(f"{r['start_year']:<12} {'ERROR':<15}")
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else:
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print(f"{r['start_year']:<12} {r['total_return']*100:>13.2f}% {r['annual_return']*100:>13.2f}% {r['max_drawdown']*100:>13.2f}% {r['sharpe_ratio']:>9.3f} {r['rebalance_count']:>7}")
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# Save results to YAML
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output_path = PROJECT_ROOT / 'rotation' / 'results' / 'start_year_analysis.yaml'
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output_path.parent.mkdir(exist_ok=True)
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with open(output_path, 'w') as f:
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yaml.dump({
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'select_num': select_num,
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'test_date': datetime.now().isoformat(),
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'results': results
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}, f, default_flow_style=False)
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print(f"\nResults saved to: {output_path}")
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if __name__ == '__main__':
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main()
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