ignatz
/
okx-codex-trader


			
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							from html import escape
from pathlib import Path

import numpy as np
import pandas as pd
from backtesting import Strategy
from backtesting.lib import FractionalBacktest, crossover

from okx_codex_trader.models import Candle


def render_report_html(
    *,
    symbol: str,
    bar: str,
    leverage: int,
    stats: dict[str, object],
    trades: list[dict[str, object]],
    plot_filename: str,
) -> str:
    stat_cards = "".join(
        f"""
        <div class="card">
          <div class="label">{escape(str(label))}</div>
          <div class="value">{escape(str(value))}</div>
        </div>
        """
        for label, value in stats.items()
    )
    trade_rows = "".join(
        f"""
        <tr>
          <td>{escape(str(trade["side"]))}</td>
          <td>{escape(str(trade["entry_time"]))}</td>
          <td>{escape(str(trade["exit_time"]))}</td>
          <td>{escape(str(trade["entry_price"]))}</td>
          <td>{escape(str(trade["exit_price"]))}</td>
          <td>{escape(str(trade["pnl"]))}</td>
          <td>{escape(str(trade["return_pct"]))}</td>
        </tr>
        """
        for trade in trades
    )
    return f"""<!DOCTYPE html>
<html lang="en">
<head>
  <meta charset="utf-8">
  <meta name="viewport" content="width=device-width, initial-scale=1">
  <title>{escape(symbol)} Backtest Report</title>
  <style>
    body {{ font-family: Inter, system-ui, sans-serif; margin: 0; background: #f5f1e8; color: #1f1c18; }}
    .page {{ max-width: 1280px; margin: 0 auto; padding: 32px 24px 48px; }}
    .hero {{ display: flex; justify-content: space-between; gap: 24px; align-items: end; margin-bottom: 24px; }}
    .hero h1 {{ margin: 0; font-size: 36px; }}
    .meta {{ color: #5f564b; }}
    .stats {{ display: grid; grid-template-columns: repeat(4, minmax(0, 1fr)); gap: 12px; margin-bottom: 24px; }}
    .card {{ background: #fffdf8; border: 1px solid #d8cdbd; border-radius: 16px; padding: 16px; }}
    .label {{ font-size: 12px; letter-spacing: .08em; text-transform: uppercase; color: #7a6f62; margin-bottom: 8px; }}
    .value {{ font-size: 28px; font-weight: 700; }}
    .layout {{ display: grid; grid-template-columns: 1.1fr .9fr; gap: 16px; }}
    .panel {{ background: #fffdf8; border: 1px solid #d8cdbd; border-radius: 18px; padding: 18px; }}
    table {{ width: 100%; border-collapse: collapse; font-size: 14px; }}
    th, td {{ text-align: left; padding: 10px 8px; border-bottom: 1px solid #ece3d6; }}
    th {{ color: #6b6258; font-size: 12px; text-transform: uppercase; letter-spacing: .08em; }}
    iframe {{ width: 100%; height: 720px; border: 0; border-radius: 14px; background: white; }}
    @media (max-width: 960px) {{
      .stats, .layout {{ grid-template-columns: 1fr; }}
      iframe {{ height: 520px; }}
    }}
  </style>
</head>
<body>
  <div class="page">
    <div class="hero">
      <div>
        <div class="meta">Journal-first backtest report</div>
        <h1>{escape(symbol)}</h1>
      </div>
      <div class="meta">Bar: {escape(bar)} · Leverage: {escape(str(leverage))}x</div>
    </div>
    <div class="stats">{stat_cards}</div>
    <div class="layout">
      <section class="panel">
        <h2>Trade Journal</h2>
        <table>
          <thead>
            <tr>
              <th>Side</th>
              <th>Entry Time</th>
              <th>Exit Time</th>
              <th>Entry</th>
              <th>Exit</th>
              <th>PnL</th>
              <th>Return %</th>
            </tr>
          </thead>
          <tbody>{trade_rows}</tbody>
        </table>
      </section>
      <section class="panel">
        <h2>Chart</h2>
        <iframe src="/files/{escape(plot_filename)}" title="Backtest Plot"></iframe>
      </section>
    </div>
  </div>
</body>
</html>"""


def generate_backtest_report(
    *,
    candles: list[Candle],
    leverage: int,
    output_file: Path,
    symbol: str,
    bar: str,
) -> dict[str, object]:
    output_file.parent.mkdir(parents=True, exist_ok=True)
    plot_file = output_file.with_name(output_file.stem + ".plot.html")

    frame = pd.DataFrame(
        {
            "Open": [candle.open for candle in candles],
            "High": [candle.high for candle in candles],
            "Low": [candle.low for candle in candles],
            "Close": [candle.close for candle in candles],
            "Volume": [candle.volume for candle in candles],
        },
        index=pd.to_datetime([candle.ts for candle in candles], unit="ms", utc=True),
    )

    class SmaCross(Strategy):
        n1 = 10
        n2 = 20

        def init(self):
            close = self.data.Close.s
            self.sma1 = self.I(
                lambda values: np.array(pd.Series(values).rolling(self.n1).mean().to_list(), dtype=float),
                close,
            )
            self.sma2 = self.I(
                lambda values: np.array(pd.Series(values).rolling(self.n2).mean().to_list(), dtype=float),
                close,
            )

        def next(self):
            if crossover(self.sma1, self.sma2):
                self.position.close()
                self.buy()
            elif crossover(self.sma2, self.sma1):
                self.position.close()
                self.sell()

    backtest = FractionalBacktest(
        frame,
        SmaCross,
        cash=10_000,
        commission=0.0,
        margin=1 / leverage,
        trade_on_close=False,
        exclusive_orders=True,
        hedging=False,
        finalize_trades=False,
    )
    stats = backtest.run()
    backtest.plot(filename=str(plot_file), open_browser=False)

    summary = {
        "Return [%]": round(float(stats["Return [%]"]), 2),
        "Win Rate [%]": round(float(stats["Win Rate [%]"]), 2),
        "Max. Drawdown [%]": round(float(stats["Max. Drawdown [%]"]), 2),
        "# Trades": int(stats["# Trades"]),
    }
    trades_frame = stats["_trades"]
    trades = [
        {
            "side": "Long" if float(row["Size"]) > 0 else "Short",
            "entry_time": row["EntryTime"].strftime("%Y-%m-%d %H:%M"),
            "exit_time": row["ExitTime"].strftime("%Y-%m-%d %H:%M"),
            "entry_price": round(float(row["EntryPrice"]), 4),
            "exit_price": round(float(row["ExitPrice"]), 4),
            "pnl": round(float(row["PnL"]), 4),
            "return_pct": round(float(row["ReturnPct"]) * 100, 2),
        }
        for _, row in trades_frame.iterrows()
    ]
    output_file.write_text(
        render_report_html(
            symbol=symbol,
            bar=bar,
            leverage=leverage,
            stats=summary,
            trades=trades,
            plot_filename=plot_file.name,
        )
    )
    return {
        "report_file": str(output_file),
        "plot_file": str(plot_file),
        "trade_count": int(stats["# Trades"]),
        "total_return": round(float(stats["Return [%]"]) / 100, 6),
    }