-
Notifications
You must be signed in to change notification settings - Fork 3
Expand file tree
/
Copy pathtest_strategy2_final_output.log
More file actions
72 lines (72 loc) · 8.1 KB
/
test_strategy2_final_output.log
File metadata and controls
72 lines (72 loc) · 8.1 KB
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
2025-10-29 10:28:59.976 | INFO | __main__:run_strategy2_test:92 - ================================================================================
2025-10-29 10:28:59.976 | INFO | __main__:run_strategy2_test:93 - STRATEGY 2 TEST: Simplified Momentum (No SMA, No Volume)
2025-10-29 10:28:59.976 | INFO | __main__:run_strategy2_test:94 - ================================================================================
2025-10-29 10:28:59.999 | INFO | src.api.alpaca_client:__init__:64 - Alpaca client initialized successfully (paper=True)
2025-10-29 10:29:00.000 | INFO | src.strategies.base:__init__:69 - Strategy 'SimplifiedMomentumStrategy' initialized with parameters: {'rsi_period': 14, 'ema_fast': 12, 'ema_slow': 26, 'macd_signal': 9, 'macd_histogram_threshold': 0.0005, 'position_size': 0.15, 'stop_loss_pct': 0.02, 'take_profit_pct': 0.03, 'min_holding_period': 10, 'use_trailing_stop': True, 'trailing_stop_pct': 0.015}
2025-10-29 10:29:00.000 | INFO | __main__:run_strategy2_test:114 - Strategy: SimplifiedMomentumStrategy
2025-10-29 10:29:00.000 | INFO | __main__:run_strategy2_test:115 - Parameters: {'rsi_period': 14, 'ema_fast': 12, 'ema_slow': 26, 'macd_signal': 9, 'macd_histogram_threshold': 0.0005, 'position_size': 0.15, 'stop_loss_pct': 0.02, 'take_profit_pct': 0.03, 'min_holding_period': 10, 'use_trailing_stop': True, 'trailing_stop_pct': 0.015}
2025-10-29 10:29:00.000 | INFO | __main__:run_strategy2_test:123 -
Backtest Period: 2025-05-02 to 2025-10-29
2025-10-29 10:29:00.000 | INFO | __main__:run_strategy2_test:124 - Symbols: ['AAPL', 'MSFT', 'GOOGL', 'AMZN', 'NVDA']
2025-10-29 10:29:00.000 | INFO | __main__:run_strategy2_test:125 - Initial Capital: $100,000.00
2025-10-29 10:29:00.000 | INFO | __main__:run_strategy2_test:128 -
Loading market data and generating signals...
2025-10-29 10:29:00.917 | INFO | src.api.alpaca_client:get_historical_bars:144 - Fetched 123 bars for AAPL
2025-10-29 10:29:00.943 | INFO | src.strategies.momentum_simplified:generate_signals:275 - SIMPLIFIED SHORT: RSI=46.0, MACD_hist=-0.59650
2025-10-29 10:29:00.960 | INFO | src.strategies.momentum_simplified:generate_signals:275 - SIMPLIFIED SHORT: RSI=39.4, MACD_hist=-0.44044
2025-10-29 10:29:00.991 | INFO | src.strategies.momentum_simplified:generate_signals:275 - SIMPLIFIED SHORT: RSI=32.1, MACD_hist=-1.37752
2025-10-29 10:29:00.994 | INFO | src.strategies.momentum_simplified:generate_signals:309 - Generated 6 signals for Simplified Momentum strategy
2025-10-29 10:29:00.995 | INFO | __main__:run_strategy2_test:153 - AAPL: 123 bars, 6 signals
2025-10-29 10:29:01.159 | INFO | src.api.alpaca_client:get_historical_bars:144 - Fetched 123 bars for MSFT
2025-10-29 10:29:01.175 | INFO | src.strategies.momentum_simplified:generate_signals:275 - SIMPLIFIED SHORT: RSI=48.0, MACD_hist=-2.57638
2025-10-29 10:29:01.188 | INFO | src.strategies.momentum_simplified:generate_signals:267 - SIMPLIFIED LONG: RSI=60.0, MACD_hist=1.45650
2025-10-29 10:29:01.196 | INFO | src.strategies.momentum_simplified:generate_signals:275 - SIMPLIFIED SHORT: RSI=49.0, MACD_hist=-1.00897
2025-10-29 10:29:01.202 | INFO | src.strategies.momentum_simplified:generate_signals:309 - Generated 6 signals for Simplified Momentum strategy
2025-10-29 10:29:01.203 | INFO | __main__:run_strategy2_test:153 - MSFT: 123 bars, 6 signals
2025-10-29 10:29:01.375 | INFO | src.api.alpaca_client:get_historical_bars:144 - Fetched 123 bars for GOOGL
2025-10-29 10:29:01.396 | INFO | src.strategies.momentum_simplified:generate_signals:275 - SIMPLIFIED SHORT: RSI=42.5, MACD_hist=-0.61474
2025-10-29 10:29:01.398 | INFO | src.strategies.momentum_simplified:generate_signals:267 - SIMPLIFIED LONG: RSI=51.8, MACD_hist=0.32430
2025-10-29 10:29:01.431 | INFO | src.strategies.momentum_simplified:generate_signals:275 - SIMPLIFIED SHORT: RSI=36.6, MACD_hist=-2.23586
2025-10-29 10:29:01.442 | INFO | src.strategies.momentum_simplified:generate_signals:309 - Generated 6 signals for Simplified Momentum strategy
2025-10-29 10:29:01.442 | INFO | __main__:run_strategy2_test:153 - GOOGL: 123 bars, 6 signals
2025-10-29 10:29:01.604 | INFO | src.api.alpaca_client:get_historical_bars:144 - Fetched 123 bars for AMZN
2025-10-29 10:29:01.623 | INFO | src.strategies.momentum_simplified:generate_signals:275 - SIMPLIFIED SHORT: RSI=37.7, MACD_hist=-1.16541
2025-10-29 10:29:01.628 | INFO | src.strategies.momentum_simplified:generate_signals:267 - SIMPLIFIED LONG: RSI=50.5, MACD_hist=0.58457
2025-10-29 10:29:01.632 | INFO | src.strategies.momentum_simplified:generate_signals:275 - SIMPLIFIED SHORT: RSI=49.1, MACD_hist=-0.20874
2025-10-29 10:29:01.643 | INFO | src.strategies.momentum_simplified:generate_signals:267 - SIMPLIFIED LONG: RSI=51.7, MACD_hist=0.34807
2025-10-29 10:29:01.644 | INFO | src.strategies.momentum_simplified:generate_signals:309 - Generated 7 signals for Simplified Momentum strategy
2025-10-29 10:29:01.645 | INFO | __main__:run_strategy2_test:153 - AMZN: 123 bars, 7 signals
2025-10-29 10:29:01.802 | INFO | src.api.alpaca_client:get_historical_bars:144 - Fetched 123 bars for NVDA
2025-10-29 10:29:01.826 | INFO | src.strategies.momentum_simplified:generate_signals:275 - SIMPLIFIED SHORT: RSI=44.2, MACD_hist=-1.17611
2025-10-29 10:29:01.840 | INFO | src.strategies.momentum_simplified:generate_signals:275 - SIMPLIFIED SHORT: RSI=49.7, MACD_hist=-0.16754
2025-10-29 10:29:01.851 | INFO | src.strategies.momentum_simplified:generate_signals:267 - SIMPLIFIED LONG: RSI=62.6, MACD_hist=0.32694
2025-10-29 10:29:01.857 | INFO | src.strategies.momentum_simplified:generate_signals:309 - Generated 6 signals for Simplified Momentum strategy
2025-10-29 10:29:01.858 | INFO | __main__:run_strategy2_test:153 - NVDA: 123 bars, 6 signals
2025-10-29 10:29:01.858 | INFO | __main__:run_strategy2_test:159 -
================================================================================
2025-10-29 10:29:01.858 | INFO | __main__:run_strategy2_test:160 - STRATEGY 2 RESULTS: Simplified Momentum
2025-10-29 10:29:01.858 | INFO | __main__:run_strategy2_test:161 - ================================================================================
2025-10-29 10:29:01.859 | INFO | __main__:run_strategy2_test:165 -
Signal Generation:
2025-10-29 10:29:01.859 | INFO | __main__:run_strategy2_test:166 - Total Signals: 31
2025-10-29 10:29:01.859 | INFO | __main__:run_strategy2_test:167 - Entry Signals: 16
2025-10-29 10:29:01.859 | INFO | __main__:run_strategy2_test:168 - Exit Signals: 15
2025-10-29 10:29:01.859 | INFO | __main__:run_strategy2_test:170 -
Performance Metrics:
2025-10-29 10:29:01.859 | INFO | __main__:run_strategy2_test:171 - Total Return: -25.71%
2025-10-29 10:29:01.859 | INFO | __main__:run_strategy2_test:172 - Sharpe Ratio: -0.38
2025-10-29 10:29:01.859 | INFO | __main__:run_strategy2_test:173 - Max Drawdown: 36.09%
2025-10-29 10:29:01.859 | INFO | __main__:run_strategy2_test:174 - Win Rate: 26.67%
2025-10-29 10:29:01.859 | INFO | __main__:run_strategy2_test:176 -
Trade Statistics:
2025-10-29 10:29:01.859 | INFO | __main__:run_strategy2_test:177 - Total Trades: 15
2025-10-29 10:29:01.859 | INFO | __main__:run_strategy2_test:178 - Winning Trades: 4
2025-10-29 10:29:01.860 | INFO | __main__:run_strategy2_test:179 - Losing Trades: 11
2025-10-29 10:29:01.860 | INFO | __main__:run_strategy2_test:180 - Avg Win: 4.73%
2025-10-29 10:29:01.860 | INFO | __main__:run_strategy2_test:181 - Avg Loss: -4.06%
2025-10-29 10:29:01.860 | INFO | __main__:run_strategy2_test:182 - Profit Factor: 0.42
2025-10-29 10:29:01.884 | INFO | __main__:run_strategy2_test:223 -
Results saved to: /mnt/c/Users/DaviCastroSamora/Documents/SamoraDC/RustAlgorithmTrading/data/backtest_results/strategy2_simplified.json
2025-10-29 10:29:01.902 | INFO | __main__:create_summary_report:341 - Summary report saved to: /mnt/c/Users/DaviCastroSamora/Documents/SamoraDC/RustAlgorithmTrading/docs/strategy_comparison/strategy2_results.md
2025-10-29 10:29:01.903 | INFO | __main__:<module>:351 -
✅ Strategy 2 test complete!