Heuristic Strategy Optimizer

Description

The Heuristic Strategy Optimizer is a comprehensive tool for optimizing and testing heuristic-based trading strategies. It leverages Backtrader for historical data simulation, DEAP for genetic algorithm-based optimization, and a flexible plugin-based system for extensibility. The optimizer supports external plugins using Python's built-in plugin system, allowing users to integrate custom trading strategies and optimizers seamlessly.

Installation Instructions

To install and set up the heuristic strategy optimizer, follow these steps:

1. Clone the Repository:

   git clone https://github.com/harveybc/heuristic-strategy.git
   cd heuristic-strategy

2. Add the cloned directory to the Windows or Linux PYTHONPATH environment variable:

   In Windows, a restart of the command prompt may be required for the PYTHONPATH variable to be usable. Confirm the directory is correctly added by running:

   • On Windows:

     echo %PYTHONPATH%

   • On Linux:

     echo $PYTHONPATH

   If the cloned repo directory appears in the PYTHONPATH, continue to the next step.

3. Create and Activate a Virtual Environment (Anaconda is required):

   • Using conda:

     conda create --name strategy-env python=3.9
     conda activate strategy-env

4. Install Dependencies:

   pip install --upgrade pip
   pip install -r requirements.txt

5. Build the Package:

   python -m build

6. Install the Package:

   pip install .

7. (Optional) Run the optimizer:

   • On Windows, run:

     heuristic_strategy.bat --load_config examples\config\phase_1\phase_1_strategy_config.json

   • On Linux, run:

     sh heuristic_strategy.sh --load_config examples/config/phase_1/phase_1_strategy_config.json

8. (Optional) Run Tests:

   • On Windows:

     set_env.bat
     pytest

   • On Linux:

     sh ./set_env.sh
     pytest

9. (Optional) Generate Documentation:

   pdoc --html -o docs app

10. (Optional) Install Nvidia CUDA GPU support: Refer to: Readme - CUDA

Usage

Example configuration JSON files are located in examples/config. For a list of parameters available via CLI or in a config JSON file, use:

heuristic_strategy.bat --help

After executing the optimization pipeline, the optimizer generates multiple output files:

• output_file: CSV file with results of the optimized strategy
• results_file: CSV file containing aggregated results for multiple iterations
• performance_plot_file: PNG image displaying strategy performance over time
• parameter_plot_file: PNG image visualizing the evolution of strategy parameters

The application supports several command-line arguments to control its behavior, for example:

heuristic_strategy.bat --load_config examples/config/phase_1/phase_1_strategy_config.json --generations 100 --population 50

Directory Structure

heuristic-strategy/
│
├── app/                                 # Main application package
│   ├── __init__.py                      # Package initialization
│   ├── cli.py                           # Command-line interface handling
│   ├── config.py                        # Default configuration values
│   ├── config_handler.py                # Configuration management
│   ├── config_merger.py                 # Configuration merging logic
│   ├── data_handler.py                   # Data loading and saving functions
│   ├── data_processor.py                 # Core data processing pipeline
│   ├── main.py                           # Application entry point
│   ├── plugin_loader.py                  # Dynamic plugin loading system
│   ├── backtester.py                      # Backtesting utilities
│   ├── optimizer.py                      # Optimization logic using DEAP
│   └── plugins/                          # Plugin directory
│       ├── strategy_plugin_basic.py      # Basic trading strategy
│       ├── strategy_plugin_moving_avg.py # Moving Average trading strategy
│       ├── strategy_plugin_rsi.py        # RSI-based trading strategy
│       └── strategy_plugin_custom.py     # Custom trading strategy template
│
├── tests/                               # Test suite directory
│   ├── __init__.py                     # Test package initialization
│   ├── conftest.py                     # pytest configuration
│   ├── acceptance_tests/               # User acceptance tests
│   ├── integration_tests/              # Integration test modules
│   ├── system_tests/                   # System-wide test cases
│   └── unit_tests/                      # Unit test modules
│
├── examples/                            # Example files directory
│   ├── config/                          # Example configuration files
│   ├── data/                            # Example trading data
│   ├── results/                         # Example output results
│   └── scripts/                         # Example execution scripts
│       └── run_phase_1.bat              # Phase 1 execution script
│
├── concatenate_csv.py                   # CSV file manipulation utility
├── setup.py                             # Package installation script
├── heuristic_strategy.bat               # Windows execution script
├── heuristic_strategy.sh                # Linux execution script
├── set_env.bat                          # Windows environment setup
├── set_env.sh                           # Linux environment setup
├── requirements.txt                     # Python dependencies
├── LICENSE.txt                          # Project license
└── README_CUDA.md                       # GPU acceleration instructions

This updated repository follows the same structure and functionality as the original predictor repository, while adapting the focus towards heuristic trading strategy optimization.