feat: 전략 백테스팅 기능 추가

- Introduced a `backtest_strategy` endpoint to enable strategy backtesting with user-specified parameters.
- Implemented a generic backtesting engine allowing rebalancing, equity curve tracking, and performance metric calculations.
- Added `BacktestMixin` for strategies to support backtesting-related operations.
- Extended BAA strategy to support backtesting with ticker data download and portfolio simulation.
- Updated `urls.py` to include the new backtesting endpoint.
- Enhanced logging and error handling throughout the backtesting process.
This commit is contained in:
2026-02-08 13:54:05 +09:00
parent 3be9d8eeba
commit b64a76a8b9
6 changed files with 605 additions and 39 deletions

View File

@@ -4,17 +4,52 @@
전술적 자산배분, 리스크 패리티 등 다양한 자산에 배분하는 전략들을 포함합니다.
"""
from typing import Dict, Any
from typing import Dict, Any, List
import time
import random
from datetime import datetime, timedelta
import yfinance as yf
import pandas as pd
from ..base import BaseQuantStrategy, strategy
from ..base import BaseQuantStrategy, BacktestMixin, strategy
# BAA 전략 자산 유니버스 설정
BAA_UNIVERSE_CONFIG = {
"BAA-G12": {
"offensive": ["SPY", "QQQ", "IWM", "VGK", "EWJ", "VWO", "VNQ", "DBC", "GLD", "TLT", "HYG", "LQD"],
"defensive": ["TIP", "DBC", "BIL", "IEF", "TLT", "LQD", "BND"],
"canary": ["SPY", "VWO", "VEA", "BND"],
"offensive_top": 6,
},
"BAA-G4": {
"offensive": ["QQQ", "VWO", "VEA", "BND"],
"defensive": ["TIP", "DBC", "BIL", "IEF", "TLT", "LQD", "BND"],
"canary": ["SPY", "VWO", "VEA", "BND"],
"offensive_top": 1,
},
"BAA-G12/T3": {
"offensive": ["SPY", "QQQ", "IWM", "VGK", "EWJ", "VWO", "VNQ", "DBC", "GLD", "TLT", "HYG", "LQD"],
"defensive": ["TIP", "DBC", "BIL", "IEF", "TLT", "LQD", "BND"],
"canary": ["SPY", "VWO", "VEA", "BND"],
"offensive_top": 3,
},
"BAA-G4/T2": {
"offensive": ["QQQ", "VWO", "VEA", "BND"],
"defensive": ["TIP", "DBC", "BIL", "IEF", "TLT", "LQD", "BND"],
"canary": ["SPY", "VWO", "VEA", "BND"],
"offensive_top": 2,
},
"BAA-SPY": {
"offensive": ["SPY"],
"defensive": ["TIP", "DBC", "BIL", "IEF", "TLT", "LQD", "BND"],
"canary": ["SPY", "VWO", "VEA", "BND"],
"offensive_top": 1,
}
}
@strategy
class BoldAssetAllocation(BaseQuantStrategy):
class BoldAssetAllocation(BaseQuantStrategy, BacktestMixin):
"""Bold Asset Allocation (BAA) 전략
상대 모멘텀과 절대 모멘텀을 결합한 공격적 전술적 자산배분 전략.
@@ -118,6 +153,149 @@ class BoldAssetAllocation(BaseQuantStrategy):
print(f"Error downloading {ticker}: {e}")
return pd.Series()
# === BacktestMixin 구현 ===
def get_backtest_tickers(self, parameters: Dict[str, Any]) -> List[str]:
"""백테스트에 필요한 모든 티커 목록 반환"""
variant = parameters.get('variant', 'BAA-G12')
config = BAA_UNIVERSE_CONFIG.get(variant, BAA_UNIVERSE_CONFIG['BAA-G12'])
tickers = set()
tickers.update(config['offensive'])
tickers.update(config['defensive'])
tickers.update(config['canary'])
tickers.add('BIL') # 안전자산 대체용
return sorted(tickers)
def bulk_download_data(self, tickers: List[str], start_date, end_date) -> Dict[str, pd.Series]:
"""전체 기간 데이터 일괄 다운로드 (모멘텀 lookback 포함)"""
# 모멘텀 계산에 필요한 lookback 기간 추가 (400일)
adjusted_start = start_date - timedelta(days=400)
data_cache = {}
try:
# yfinance 일괄 다운로드
raw_data = yf.download(
tickers, start=adjusted_start, end=end_date,
progress=False, auto_adjust=True
)
if raw_data.empty:
return data_cache
for ticker in tickers:
try:
if len(tickers) == 1:
# 단일 티커: 컬럼 구조가 다름
if 'Close' in raw_data.columns:
series = raw_data['Close'].dropna()
else:
series = raw_data.dropna()
else:
# 다중 티커
if 'Close' in raw_data.columns:
series = raw_data['Close'][ticker].dropna()
else:
series = raw_data[ticker].dropna()
if not series.empty:
data_cache[ticker] = series
except (KeyError, TypeError):
continue
except Exception as e:
print(f"Error bulk downloading data: {e}")
return data_cache
def calculate_portfolio_for_date(self, parameters: Dict[str, Any], as_of_date, data_cache: Dict[str, pd.Series]) -> Dict[str, Any]:
"""특정 날짜의 포트폴리오 배분 계산 (캐시 데이터 사용)"""
variant = parameters.get('variant', 'BAA-G12')
config = BAA_UNIVERSE_CONFIG.get(variant, BAA_UNIVERSE_CONFIG['BAA-G12'])
offensive_top = parameters.get('offensive_top', config['offensive_top'])
defensive_top = parameters.get('defensive_top', 3)
breadth_param = parameters.get('breadth_param', 1)
def get_prices_from_cache(ticker):
"""캐시에서 as_of_date 이전 데이터만 슬라이싱 (미래 데이터 유출 방지)"""
if ticker not in data_cache:
return pd.Series()
series = data_cache[ticker]
# as_of_date 이전 데이터만 사용
mask = series.index <= pd.Timestamp(as_of_date)
return series[mask]
# 카나리아 유니버스 체크 (13612W 모멘텀 사용)
canary_bad_count = 0
for ticker in config['canary']:
prices = get_prices_from_cache(ticker)
if not prices.empty:
momentum = self._calculate_13612w_momentum(prices)
if momentum < 0:
canary_bad_count += 1
# 방어 모드 여부 결정
is_defensive = canary_bad_count >= breadth_param
portfolio = {}
if is_defensive:
# 방어 유니버스에서 선택
defensive_scores = {}
for ticker in config['defensive']:
prices = get_prices_from_cache(ticker)
if not prices.empty:
momentum = self._calculate_sma12_momentum(prices)
defensive_scores[ticker] = momentum
# BIL 모멘텀
bil_prices = get_prices_from_cache('BIL')
bil_momentum = self._calculate_sma12_momentum(bil_prices) if not bil_prices.empty else 0
# 상위 defensive_top개 선택
sorted_defensive = sorted(defensive_scores.items(), key=lambda x: x[1], reverse=True)
selected_assets = []
for ticker, momentum in sorted_defensive[:defensive_top]:
if momentum < bil_momentum:
selected_assets.append('BIL')
else:
selected_assets.append(ticker)
if not selected_assets:
selected_assets = ['BIL']
weight_per_asset = 1.0 / len(selected_assets)
for ticker in selected_assets:
if ticker in portfolio:
portfolio[ticker] += weight_per_asset
else:
portfolio[ticker] = weight_per_asset
else:
# 공격 유니버스에서 선택 (SMA12 상대 모멘텀)
offensive_scores = {}
for ticker in config['offensive']:
prices = get_prices_from_cache(ticker)
if not prices.empty:
momentum = self._calculate_sma12_momentum(prices)
offensive_scores[ticker] = momentum
sorted_offensive = sorted(offensive_scores.items(), key=lambda x: x[1], reverse=True)
selected_assets = [ticker for ticker, _ in sorted_offensive[:offensive_top]]
if not selected_assets:
selected_assets = ['BIL']
weight_per_asset = 1.0 / len(selected_assets)
for ticker in selected_assets:
portfolio[ticker] = weight_per_asset
return {
'mode': 'defensive' if is_defensive else 'offensive',
'portfolio_weights': portfolio
}
def _calculate_portfolio_real_data(self, parameters: Dict[str, Any]) -> Dict[str, Any]:
"""실제 데이터를 사용한 포트폴리오 계산"""
variant = parameters.get("variant", "BAA-G12")
@@ -130,41 +308,7 @@ class BoldAssetAllocation(BaseQuantStrategy):
elif isinstance(as_of_date, str):
as_of_date = datetime.strptime(as_of_date, "%Y-%m-%d")
# 자산 유니버스 정의
universe_config = {
"BAA-G12": {
"offensive": ["SPY", "QQQ", "IWM", "VGK", "EWJ", "VWO", "VNQ", "DBC", "GLD", "TLT", "HYG", "LQD"],
"defensive": ["TIP", "DBC", "BIL", "IEF", "TLT", "LQD", "BND"],
"canary": ["SPY", "VWO", "VEA", "BND"],
"offensive_top": 6,
},
"BAA-G4": {
"offensive": ["QQQ", "VWO", "VEA", "BND"],
"defensive": ["TIP", "DBC", "BIL", "IEF", "TLT", "LQD", "BND"],
"canary": ["SPY", "VWO", "VEA", "BND"],
"offensive_top": 1,
},
"BAA-G12/T3": {
"offensive": ["SPY", "QQQ", "IWM", "VGK", "EWJ", "VWO", "VNQ", "DBC", "GLD", "TLT", "HYG", "LQD"],
"defensive": ["TIP", "DBC", "BIL", "IEF", "TLT", "LQD", "BND"],
"canary": ["SPY", "VWO", "VEA", "BND"],
"offensive_top": 3,
},
"BAA-G4/T2": {
"offensive": ["QQQ", "VWO", "VEA", "BND"],
"defensive": ["TIP", "DBC", "BIL", "IEF", "TLT", "LQD", "BND"],
"canary": ["SPY", "VWO", "VEA", "BND"],
"offensive_top": 2,
},
"BAA-SPY": {
"offensive": ["SPY"],
"defensive": ["TIP", "DBC", "BIL", "IEF", "TLT", "LQD", "BND"],
"canary": ["SPY", "VWO", "VEA", "BND"],
"offensive_top": 1,
}
}
config = universe_config.get(variant, universe_config["BAA-G12"])
config = BAA_UNIVERSE_CONFIG.get(variant, BAA_UNIVERSE_CONFIG["BAA-G12"])
offensive_top = parameters.get("offensive_top", config["offensive_top"])
defensive_top = parameters.get("defensive_top", 3)
breadth_param = parameters.get("breadth_param", 1)