Add real historical backtesting with Hyperliquid mainnet candle data
backtests/historical_runner.py: Fetches real 1h candles from Hyperliquid
mainnet API (candleSnapshot endpoint). Runs all 7 strategies against
actual BTC price history (721 candles, 30 days, $63,024→$63,605).
Each strategy's signal logic operates on real OHLCV data with
configurable fee tiers. Saves to backtests/results/historical/.
Results on 30d BTC data at VIP0:
Mean Reversion: +93.87% net (Sharpe 0.94)
Order Book Imbalance: +54.31% net (Sharpe 1.03)
Avellaneda-Stoikov: -1.02% net (Sharpe -0.13)
Iceberg Detection: -33.20% net
Momentum Breakout: -54.72% net
Server: Added /api/backtests/historical (list) and
/api/backtest/historical/{name} (full data) endpoints.
Dashboard: Added "Historical" tab with "Real Data" badge. Cards show
coin + mainnet source. Click opens the same detail panel with fee
tier dropdown and equity chart.
This commit is contained in:
ramseshk
@@ -28,6 +28,7 @@ from fastapi.responses import FileResponse, JSONResponse
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import sys
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sys.path.insert(0, str(Path(__file__).resolve().parent.parent))
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from config.fee_tiers import get_perp_fees, PERPS_TIERS, STAKING_TIERS, STRATEGY_FEE_MODELS
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from common.risk import risk_summary
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import uvicorn
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# ═══════════════════════════════════════════════════════════
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@@ -37,6 +38,7 @@ import uvicorn
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METRICS_FILE = "/tmp/ftdt-metrics.json"
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PAPER_METRICS_FILE = "/tmp/ftdt-paper-metrics.json"
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BACKTEST_DIR = "/home/debian/ftdt-quant-lab/backtests/results"
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HISTORICAL_DIR = "/home/debian/ftdt-quant-lab/backtests/results/historical"
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STATIC_DIR = Path(__file__).parent / "static"
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# Ensure backtest dir exists
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@@ -257,6 +259,47 @@ async def recalc_backtest(name: str, fee_tier: int = 0, staking_tier: str = "non
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})
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@app.get("/api/backtests/historical")
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async def list_historical_backtests():
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"""List historical (real data) backtest results."""
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results = []
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d = HISTORICAL_DIR
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if os.path.isdir(d):
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for fname in sorted(os.listdir(d), reverse=True):
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if fname.endswith(".json"):
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fpath = os.path.join(d, fname)
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try:
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with open(fpath) as f:
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data = json.load(f)
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results.append({
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"name": fname.replace(".json", ""),
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"strategy": data.get("strategy", "unknown"),
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"coin": data.get("coin", "?"),
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"start": data.get("start_time"),
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"end": data.get("end_time"),
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"sharpe": data.get("sharpe", 0),
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"sortino": data.get("sortino", 0),
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"pnl_pct": data.get("pnl_pct", 0),
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"max_dd": data.get("max_dd", 0),
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"win_rate": data.get("win_rate", 0),
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"total_trades": data.get("total_trades", 0),
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"data_source": "Hyperliquid Mainnet",
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})
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except (json.JSONDecodeError, IOError):
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pass
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return JSONResponse(results)
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@app.get("/api/backtest/historical/{name}")
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async def get_historical_backtest(name: str):
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"""Get full historical backtest result."""
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fpath = os.path.join(HISTORICAL_DIR, f"{name}.json")
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if os.path.exists(fpath):
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with open(fpath) as f:
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return JSONResponse(json.load(f))
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return JSONResponse({"error": "not found"}, status_code=404)
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@app.get("/api/backtest/{name}/csv")
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async def get_backtest_csv(name: str):
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"""Download backtest trades as CSV."""
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@@ -280,6 +323,48 @@ async def get_backtest_csv(name: str):
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)
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@app.get("/api/risk")
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async def get_risk_metrics():
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"""Compute risk analytics from the latest paper metrics."""
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paper = read_paper_metrics()
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equity_history = paper.get("equity_history", [])
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strategy_equity = paper.get("strategy_equity", {})
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if not equity_history:
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return JSONResponse({"error": "no equity history available"}, status_code=404)
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summary = risk_summary(equity_history, strategy_equity)
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# Build a compact correlation text summary for the frontend
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corr = summary.get("correlation", {})
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corr_summary = []
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names = sorted(corr.keys())
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for i, n1 in enumerate(names):
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for n2 in names[i + 1:]:
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val = corr.get(n1, {}).get(n2, 0)
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if abs(val) > 0.3: # only show meaningful correlations
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corr_summary.append({
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"pair": f"{n1} ↔ {n2}",
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"correlation": round(val, 3),
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"level": "high" if abs(val) > 0.7 else "medium",
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})
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corr_summary.sort(key=lambda x: -abs(x["correlation"]))
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return JSONResponse({
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"portfolio": {
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"var_95": summary["var_95"],
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"cvar_95": summary["cvar_95"],
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"max_drawdown": summary["max_drawdown"],
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"calmar_ratio": summary["calmar_ratio"],
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"sharpe": summary["sharpe"],
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"sortino": summary["sortino"],
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"num_observations": summary["num_observations"],
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},
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"per_strategy": summary.get("per_strategy", {}),
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"correlation_summary": corr_summary,
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"correlation_matrix": corr,
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})
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# ═══════════════════════════════════════════════════════════
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# Static
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# ═══════════════════════════════════════════════════════════
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@@ -76,6 +76,19 @@ body{background:var(--bg);color:var(--hi);font-family:var(--f);min-height:100vh;
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footer{text-align:center;padding:30px;font-size:10px;color:#2a2a35}
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footer a{color:#3f3f4a;text-decoration:none}footer a:hover{color:var(--tx)}
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/* Risk Analytics panel — collapsible */
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.risk-wrap{max-width:1440px;margin:0 auto 20px;padding:0 24px}
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.risk-toggle{display:flex;align-items:center;gap:8px;cursor:pointer;background:none;border:1px solid var(--ln);border-radius:var(--ra);color:var(--tx);font-family:var(--f);font-size:11px;font-weight:600;padding:10px 16px;text-transform:uppercase;letter-spacing:.5px;transition:all .15s}
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.risk-toggle:hover{color:var(--hi);border-color:var(--hr)}
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.risk-toggle .arrow{display:inline-block;transition:transform .2s;font-size:10px}
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.risk-toggle.open .arrow{transform:rotate(90deg)}
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.risk-panel{display:none;background:var(--srf);border:1px solid var(--ln);border-radius:var(--ra);padding:16px;margin-top:8px}
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.risk-panel.show{display:block}
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.risk-corr{font-family:var(--m);font-size:10px;color:var(--tx);line-height:1.8;margin-top:12px;padding:10px;background:rgba(0,0,0,.2);border-radius:6px;max-height:200px;overflow-y:auto}
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.risk-corr .corr-high{color:var(--rd)}
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.risk-corr .corr-med{color:var(--am)}
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.risk-corr .corr-low{color:var(--tx)}
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@media(max-width:768px){
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.topbar{padding:10px 14px;flex-direction:column;align-items:flex-start}
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.tabs{padding:0 14px;top:88px;overflow-x:auto;white-space:nowrap}
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@@ -104,6 +117,7 @@ footer a{color:#3f3f4a;text-decoration:none}footer a:hover{color:var(--tx)}
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<button class="tab on" id="tl-live" onclick="switchTab('live')">Live<span class="badge test">Testnet</span></button>
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<button class="tab" id="tl-paper" onclick="switchTab('paper')">Paper<span class="badge main">$100K Mainnet</span></button>
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<button class="tab" id="tl-backtest" onclick="switchTab('backtest')">Backtest</button>
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<button class="tab" id="tl-historical" onclick="switchTab('historical')">Historical<span class="badge main">Real Data</span></button>
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</div>
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<!-- Main -->
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<div class="main-wrap">
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@@ -118,7 +132,19 @@ footer a{color:#3f3f4a;text-decoration:none}footer a:hover{color:var(--tx)}
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<div class="panel" id="pnl-backtest">
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<div class="sgrid" id="bt-sgrid"></div>
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</div>
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<div class="panel" id="pnl-historical">
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<div class="sgrid" id="hist-sgrid"></div>
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</div>
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</div>
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<!-- Risk Analytics -->
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<div class="risk-wrap">
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<button class="risk-toggle" onclick="toggleRisk()" id="risk-btn"><span class="arrow">▶</span> Risk Analytics</button>
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<div class="risk-panel" id="risk-panel">
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<div class="stats-row" id="risk-stats" style="margin-bottom:12px"></div>
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<div class="risk-corr" id="risk-corr"></div>
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</div>
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</div>
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<footer><a href="https://git.ftdt.io/rams/ftdt-quant-lab" target="_blank">rams/ftdt-quant-lab</a> · 12 strategies · $100K paper · Hyperliquid</footer>
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<!-- Detail Overlay -->
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@@ -193,6 +219,7 @@ function switchTab(t){
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if(t==='live'&&lastData)renLive(lastData);
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if(t==='paper'&&lastPaper)renPaper(lastPaper);
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if(t==='backtest')loadBT();
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if(t==='historical')loadHistBT();
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}
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// ═══════════ Render strategy cards ═══════════
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@@ -375,6 +402,43 @@ function loadBT(){
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// ═══════════ Init ═══════════
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initDetChart();connect();loadBT();
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// ═══════════ Risk Analytics ═══════════
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function toggleRisk(){
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var p=document.getElementById('risk-panel'),b=document.getElementById('risk-btn');
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p.classList.toggle('show');b.classList.toggle('open');
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if(p.classList.contains('show')&&!p.dataset.loaded){loadRisk();p.dataset.loaded='1'}
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}
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function loadRisk(){
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fetch('/cv/api/risk').then(function(r){return r.json()}).then(function(d){
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if(d.error){document.getElementById('risk-stats').innerHTML='<div style="color:var(--tx);padding:8px">'+d.error+'</div>';return}
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var pf=d.portfolio||{};
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document.getElementById('risk-stats').innerHTML=
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'<div class="stat"><div class="lbl">VaR 95%</div><div class="val dn">'+(pf.var_95*100).toFixed(2)+'%</div></div>'+
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'<div class="stat"><div class="lbl">CVaR 95%</div><div class="val dn">'+(pf.cvar_95*100).toFixed(2)+'%</div></div>'+
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'<div class="stat"><div class="lbl">Max DD</div><div class="val dn">'+(pf.max_drawdown*100).toFixed(2)+'%</div></div>'+
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'<div class="stat"><div class="lbl">Calmar</div><div class="val '+(pf.calmar_ratio>=0?'up':'dn')+'">'+pf.calmar_ratio.toFixed(2)+'</div></div>'+
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'<div class="stat"><div class="lbl">Sharpe</div><div class="val '+(pf.sharpe>=0?'up':'dn')+'">'+pf.sharpe.toFixed(2)+'</div></div>'+
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'<div class="stat"><div class="lbl">Sortino</div><div class="val">'+pf.sortino.toFixed(2)+'</div></div>';
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// Correlation summary
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var cs=d.correlation_summary||[];
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var ch='<div style="font-size:10px;color:var(--tx);text-transform:uppercase;letter-spacing:.5px;margin-bottom:6px">Strategy Correlations (|ρ| > 0.3)</div>';
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if(cs.length===0){ch+='<span style="color:var(--tx)">No significant correlations found — strategies are well-diversified.</span>'}
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else{for(var i=0;i<cs.length;i++){var c=cs[i],cls=c.level==='high'?'corr-high':'corr-med';ch+='<div><span class="'+cls+'">ρ='+(c.correlation>=0?'+':'')+c.correlation.toFixed(3)+'</span> '+c.pair+'</div>'}}
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document.getElementById('risk-corr').innerHTML=ch;
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// Mark loaded + store timestamp
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window._riskLoaded=Date.now();
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}).catch(function(e){document.getElementById('risk-stats').innerHTML='<div style="color:var(--rd);padding:8px">Failed: '+e.message+'</div>'})
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}
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// Auto-refresh risk panel when paper data updates (throttled to every 30s)
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var _origRenPaper=renPaper;
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renPaper=function(d){
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_origRenPaper(d);
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var p=document.getElementById('risk-panel');
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if(p&&p.classList.contains('show')&&(!window._riskLoaded||Date.now()-window._riskLoaded>30000)){
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loadRisk();
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}
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};
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</script>
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</body>
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</html>
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