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Orderbook feature pipeline and strategy #238

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Orderbook feature pipeline and strategy

Orderbook feature pipeline and strategy #238

Workflow file for this run

.github/workflows/test.yml at 2c1a7f6
name: Auto Test
on:
push:
branches: [main, develop, "feature/**", "claude/**"]
pull_request:
branches: [main, develop]
env:
GIT_LFS_SKIP_SMUDGE: "1"
TALIB_VERSION: "0.6.4"
TALIB_CACHE_VERSION: "1"
PYTHON_VERSION: "3.11"
jobs:
# ---------------------------------------------------------------------------
# Job 1: Lint & import checks (fast, no data needed)
# ---------------------------------------------------------------------------
lint:
name: Lint & Syntax Check
runs-on: ubuntu-latest
steps:
- uses: actions/checkout@v4
with:
lfs: false
- uses: actions/setup-python@v5
with:
python-version: ${{ env.PYTHON_VERSION }}
- name: Install minimal dependencies
run: |
pip install --upgrade pip
pip install pyflakes
- name: Check Python syntax (all project modules)
run: pyflakes alpha/ strategy/ portfolio/ user_data/strategies/ dataset/
# ---------------------------------------------------------------------------
# Job 2: Unit tests
# ---------------------------------------------------------------------------
unit-tests:
name: Unit Tests
runs-on: ubuntu-latest
steps:
- uses: actions/checkout@v4
with:
submodules: recursive
lfs: false
- uses: actions/setup-python@v5
with:
python-version: ${{ env.PYTHON_VERSION }}
- uses: ./.github/actions/setup-talib
with:
talib-version: ${{ env.TALIB_VERSION }}
cache-version: ${{ env.TALIB_CACHE_VERSION }}
- name: Cache pip packages
uses: actions/cache@v4
with:
path: ~/.cache/pip
key: pip-${{ env.PYTHON_VERSION }}-${{ hashFiles('requirements.txt') }}
restore-keys: pip-${{ env.PYTHON_VERSION }}-
- name: Install dependencies
run: |
pip install --upgrade pip "setuptools<75" wheel
pip install -r requirements.txt
pip install -r requirements-ml.txt
pip install scipy pytest
pip install -e .
- name: Generate synthetic test data
run: portbench generate-data
- name: Run unit tests
run: pytest tests/ -v --tb=short
# ---------------------------------------------------------------------------
# Job 3: Strategy import validation
# ---------------------------------------------------------------------------
strategy-import:
name: Strategy Import Validation
runs-on: ubuntu-latest
steps:
- uses: actions/checkout@v4
with:
submodules: recursive
lfs: false
- uses: actions/setup-python@v5
with:
python-version: ${{ env.PYTHON_VERSION }}
- uses: ./.github/actions/setup-talib
with:
talib-version: ${{ env.TALIB_VERSION }}
cache-version: ${{ env.TALIB_CACHE_VERSION }}
- name: Cache pip packages
uses: actions/cache@v4
with:
path: ~/.cache/pip
key: pip-${{ env.PYTHON_VERSION }}-${{ hashFiles('requirements.txt') }}
restore-keys: pip-${{ env.PYTHON_VERSION }}-
- name: Install Python dependencies
run: |
pip install --upgrade pip "setuptools<75" wheel
pip install -r requirements.txt
pip install -r requirements-ml.txt
pip install scipy
pip install -e .
- name: Validate all strategy imports
run: |
python -c "
import sys
errors = []
# Alpha modules
try:
from alpha.interface import IAlpha
print('OK: alpha.interface.IAlpha')
except Exception as e:
errors.append(f'alpha.interface: {e}')
try:
from alpha.SimpleEmaFactors import EmaAlpha
print('OK: alpha.SimpleEmaFactors.EmaAlpha')
except Exception as e:
errors.append(f'alpha.SimpleEmaFactors: {e}')
# Trading strategies
try:
from strategy.EmaCrossStrategy import EmaCrossStrategy
print('OK: strategy.EmaCrossStrategy')
except Exception as e:
errors.append(f'strategy.EmaCrossStrategy: {e}')
try:
from strategy.MacdAdxStrategy import MacdAdxStrategy
print('OK: strategy.MacdAdxStrategy')
except Exception as e:
errors.append(f'strategy.MacdAdxStrategy: {e}')
# Portfolio strategies
try:
from user_data.strategies.ONS import ONS_Portfolio
print('OK: user_data.strategies.ONS.ONS_Portfolio')
except Exception as e:
errors.append(f'user_data.strategies.ONS: {e}')
try:
from user_data.strategies.inv_vol import InverseVolatilityPortfolio
print('OK: user_data.strategies.inv_vol.InverseVolatilityPortfolio')
except Exception as e:
errors.append(f'user_data.strategies.inv_vol: {e}')
try:
from user_data.strategies.min_var import MinimumVariancePortfolio
print('OK: user_data.strategies.min_var.MinimumVariancePortfolio')
except Exception as e:
errors.append(f'user_data.strategies.min_var: {e}')
try:
from user_data.strategies.best_single_asset import BestSingleAssetPortfolio
print('OK: user_data.strategies.best_single_asset.BestSingleAssetPortfolio')
except Exception as e:
errors.append(f'user_data.strategies.best_single_asset: {e}')
# Portfolio pipeline
try:
from portfolio.PortfolioManagement import run_portfolio
print('OK: portfolio.PortfolioManagement.run_portfolio')
except Exception as e:
errors.append(f'portfolio.PortfolioManagement: {e}')
if errors:
print(f'\nFAILED: {len(errors)} import error(s):')
for err in errors:
print(f' - {err}')
sys.exit(1)
else:
print(f'\nAll imports passed.')
"
# ---------------------------------------------------------------------------
# Job 4: Portfolio pipeline smoke test
# ---------------------------------------------------------------------------
portfolio-pipeline:
name: Portfolio Pipeline Smoke Test
runs-on: ubuntu-latest
steps:
- uses: actions/checkout@v4
with:
submodules: recursive
lfs: false
- uses: actions/setup-python@v5
with:
python-version: ${{ env.PYTHON_VERSION }}
- uses: ./.github/actions/setup-talib
with:
talib-version: ${{ env.TALIB_VERSION }}
cache-version: ${{ env.TALIB_CACHE_VERSION }}
- name: Cache pip packages
uses: actions/cache@v4
with:
path: ~/.cache/pip
key: pip-${{ env.PYTHON_VERSION }}-${{ hashFiles('requirements.txt') }}
restore-keys: pip-${{ env.PYTHON_VERSION }}-
- name: Install Python dependencies
run: |
pip install --upgrade pip "setuptools<75" wheel
pip install -r requirements.txt
pip install scipy
pip install -e .
- name: Generate synthetic test data
run: portbench generate-data
- name: Run standalone portfolio pipeline
run: portbench portfolio
# ---------------------------------------------------------------------------
# Job 5: Backtest smoke tests
# ---------------------------------------------------------------------------
backtest-smoke:
name: Backtest Smoke Tests
runs-on: ubuntu-latest
steps:
- uses: actions/checkout@v4
with:
submodules: recursive
lfs: false
- uses: actions/setup-python@v5
with:
python-version: ${{ env.PYTHON_VERSION }}
- uses: ./.github/actions/setup-talib
with:
talib-version: ${{ env.TALIB_VERSION }}
cache-version: ${{ env.TALIB_CACHE_VERSION }}
- name: Cache pip packages
uses: actions/cache@v4
with:
path: ~/.cache/pip
key: pip-${{ env.PYTHON_VERSION }}-${{ hashFiles('requirements.txt') }}
restore-keys: pip-${{ env.PYTHON_VERSION }}-
- name: Install Python dependencies
run: |
pip install --upgrade pip "setuptools<75" wheel
pip install -r requirements.txt
pip install scipy
pip install -e .
- name: Generate synthetic test data
run: portbench generate-data
# ── Trading strategies ──
- name: Backtest EmaCrossStrategy (crypto, 1d)
run: |
portbench backtesting \
--strategy EmaCrossStrategy \
--strategy-path ./strategy \
--timeframe 1d \
--timerange 20250501-20250601 \
--pairs BTC/USDT ETH/USDT
- name: Backtest EmaCrossStrategy (crypto, 4h)
run: |
portbench backtesting \
--strategy EmaCrossStrategy \
--strategy-path ./strategy \
--timeframe 4h \
--timerange 20250501-20250601 \
--pairs BTC/USDT ETH/USDT SOL/USDT XRP/USDT
- name: Backtest MacdAdxStrategy (stocks, 1d)
run: |
portbench backtesting \
--strategy MacdAdxStrategy \
--strategy-path ./strategy \
--timeframe 1d \
--timerange 20250501-20250601 \
--pairs AAPL/USD MSFT/USD
- name: Backtest RsiBollingerStrategy (stocks, 4h)
run: |
portbench backtesting \
--strategy RsiBollingerStrategy \
--strategy-path ./strategy \
--timeframe 4h \
--timerange 20250501-20250601 \
--pairs AAPL/USD MSFT/USD NVDA/USD GOOG/USD
- name: Backtest IchimokuCloudStrategy (crypto, 1d)
run: |
portbench backtesting \
--strategy IchimokuCloudStrategy \
--strategy-path ./strategy \
--timeframe 1d \
--timerange 20250501-20250601 \
--pairs BTC/USDT ETH/USDT
- name: Backtest StochasticCciStrategy (stocks, 1d)
run: |
portbench backtesting \
--strategy StochasticCciStrategy \
--strategy-path ./strategy \
--timeframe 1d \
--timerange 20250501-20250601 \
--pairs AAPL/USD MSFT/USD
- name: Backtest EmaCrossStrategy (indices, 1d)
run: |
portbench backtesting \
--strategy EmaCrossStrategy \
--strategy-path ./strategy \
--timeframe 1d \
--timerange 20250501-20250601 \
--pairs DJI/USD FTSE/USD GSPC/USD
- name: Backtest MacdAdxStrategy (mixed assets, 1d)
run: |
portbench backtesting \
--strategy MacdAdxStrategy \
--strategy-path ./strategy \
--timeframe 1d \
--timerange 20250501-20250601 \
--pairs BTC/USDT ETH/USDT AAPL/USD MSFT/USD DJI/USD
# ── Portfolio strategies ──
- name: Backtest ONS_Portfolio (mixed, 5m, short range)
run: |
portbench backtesting \
--strategy ONS_Portfolio \
--strategy-path ./user_data/strategies \
--timeframe 5m \
--timerange 20260101-20260103 \
--pairs BTC/USDT ETH/USDT AAPL/USD \
--dry-run-wallet 1000000
- name: Backtest ONS_Portfolio (crypto, 4h)
run: |
portbench backtesting \
--strategy ONS_Portfolio \
--strategy-path ./user_data/strategies \
--timeframe 4h \
--timerange 20260101-20260131 \
--pairs BTC/USDT ETH/USDT SOL/USDT XRP/USDT \
--dry-run-wallet 1000000
- name: Backtest InverseVolatilityPortfolio (stocks, 5m)
run: |
portbench backtesting \
--strategy InverseVolatilityPortfolio \
--strategy-path ./user_data/strategies \
--timeframe 5m \
--timerange 20260101-20260103 \
--pairs AAPL/USD MSFT/USD NVDA/USD GOOG/USD \
--dry-run-wallet 1000000
- name: Backtest MinimumVariancePortfolio (crypto, 5m)
run: |
portbench backtesting \
--strategy MinimumVariancePortfolio \
--strategy-path ./user_data/strategies \
--timeframe 5m \
--timerange 20260101-20260103 \
--pairs BTC/USDT ETH/USDT SOL/USDT \
--dry-run-wallet 1000000
- name: Backtest BestSingleAssetPortfolio (stocks, 1d)
run: |
portbench backtesting \
--strategy BestSingleAssetPortfolio \
--strategy-path ./user_data/strategies \
--timeframe 1d \
--timerange 20240101-20260131 \
--pairs AAPL/USD MSFT/USD NVDA/USD GOOG/USD \
--dry-run-wallet 1000000
- name: Backtest ExponentialGradientPortfolio (mixed, 5m)
run: |
portbench backtesting \
--strategy ExponentialGradientPortfolio \
--strategy-path ./user_data/strategies \
--timeframe 5m \
--timerange 20260101-20260103 \
--pairs BTC/USDT ETH/USDT AAPL/USD DJI/USD \
--dry-run-wallet 1000000
- name: Backtest MaxSharpePortfolio (crypto, 5m)
run: |
portbench backtesting \
--strategy MaxSharpePortfolio \
--strategy-path ./user_data/strategies \
--timeframe 5m \
--timerange 20260101-20260103 \
--pairs BTC/USDT ETH/USDT SOL/USDT XRP/USDT \
--dry-run-wallet 1000000
- name: Backtest RiskParityPortfolio (indices, 1d)
run: |
portbench backtesting \
--strategy RiskParityPortfolio \
--strategy-path ./user_data/strategies \
--timeframe 1d \
--timerange 20240101-20260131 \
--pairs DJI/USD FTSE/USD GSPC/USD \
--dry-run-wallet 1000000
- name: Backtest ONS_Portfolio (indices, 4h)
run: |
portbench backtesting \
--strategy ONS_Portfolio \
--strategy-path ./user_data/strategies \
--timeframe 4h \
--timerange 20260101-20260131 \
--pairs DJI/USD FTSE/USD GSPC/USD \
--dry-run-wallet 1000000
# ── Polymarket strategies ──
- name: Backtest PolymarketMomentumStrategy (5m)
run: |
portbench backtesting \
--strategy PolymarketMomentumStrategy \
--strategy-path ./strategy \
--timeframe 5m \
--timerange 20240901-20241001 \
--pairs TRUMP-WIN-YES/USDT BTC-100K-YES/USDT ETH-10K-NO/USDT
- name: Backtest PolymarketMeanReversionStrategy (4h)
run: |
portbench backtesting \
--strategy PolymarketMeanReversionStrategy \
--strategy-path ./strategy \
--timeframe 4h \
--timerange 20240901-20250101 \
--pairs TRUMP-WIN-YES/USDT FED-RATE-CUT-YES/USDT SPX-6000-YES/USDT
- name: Backtest PolymarketPortfolio (5m)
run: |
portbench backtesting \
--strategy PolymarketPortfolio \
--strategy-path ./user_data/strategies \
--timeframe 5m \
--timerange 20260101-20260103 \
--pairs TRUMP-WIN-YES/USDT BTC-100K-YES/USDT ETH-10K-YES/USDT \
--dry-run-wallet 1000000