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backtest.py

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+"""
+backtest.py — Haber duygusunu piyasa fiyatıyla eşleştirip backtest eder.
+
+Akış:
+  1. Haberleri al (news_feed varsa onu, yoksa RSS yedeği)
+  2. Her habere model etiketi ver (Bullish / Neutral / Bearish)
+  3. Haber yayın zamanındaki Binance mumuyla eşleştir (giriş fiyatı)
+  4. Belirlenen ufuklarda (1s, 4s, 24s) ileri getiriyi hesapla
+  5. İsabet oranı, ortalama getiri, equity eğrisi ve haber bazlı tablo üret
+
+Not: Sinyal, haber yayınlandıktan sonraki İLK mumun açılışıyla işleme girer
+(look-ahead yok). Komisyon + kayma (bps) her işlemden düşülür.
+"""
+
+import html
+import json
+import math
+import re
+import time
+import urllib.request
+import xml.etree.ElementTree as ET
+from datetime import datetime, timezone
+from email.utils import parsedate_to_datetime
+
+BINANCE_HOSTS = [
+    "https://api.binance.com",
+    "https://data-api.binance.vision",
+]
+
+RSS_FEEDS = [
+    "https://www.coindesk.com/arc/outboundfeeds/rss/",
+    "https://cointelegraph.com/rss",
+    "https://decrypt.co/feed",
+]
+
+HORIZONS = {"1 saat": 1, "4 saat": 4, "24 saat": 24}
+
+_UA = {"User-Agent": "Mozilla/5.0 (GoshawkVortex-Backtest)"}
+
+
+# ------------------------------------------------------------
+# HTTP yardımcıları
+# ------------------------------------------------------------
+
+def _get(url, timeout=12):
+    req = urllib.request.Request(url, headers=_UA)
+    with urllib.request.urlopen(req, timeout=timeout) as r:
+        return r.read()
+
+
+# ------------------------------------------------------------
+# HABER KAYNAĞI
+# ------------------------------------------------------------
+
+def fetch_rss_news(limit=120):
+    """Yedek haber kaynağı. Her öğe: {title, ts (epoch sn), source}."""
+    items = []
+    for url in RSS_FEEDS:
+        try:
+            root = ET.fromstring(_get(url))
+        except Exception:
+            continue
+        for it in root.iter("item"):
+            title = (it.findtext("title") or "").strip()
+            pub = it.findtext("pubDate")
+            if not title or not pub:
+                continue
+            try:
+                ts = parsedate_to_datetime(pub).astimezone(timezone.utc).timestamp()
+            except Exception:
+                continue
+            items.append({
+                "title": html.unescape(re.sub(r"<[^>]+>", "", title)),
+                "ts": ts,
+                "source": url.split("/")[2],
+            })
+    items.sort(key=lambda x: x["ts"], reverse=True)
+    return items[:limit]
+
+
+# ------------------------------------------------------------
+# FİYAT VERİSİ (Binance)
+# ------------------------------------------------------------
+
+def fetch_klines(symbol, start_ms, end_ms, interval="1h"):
+    """Binance mum verisi. Satır: [open_time_ms, open, high, low, close]."""
+    out, cursor, last_err = [], int(start_ms), None
+    while cursor < end_ms:
+        data = None
+        for host in BINANCE_HOSTS:
+            url = (f"{host}/api/v3/klines?symbol={symbol}&interval={interval}"
+                   f"&startTime={cursor}&endTime={int(end_ms)}&limit=1000")
+            try:
+                data = json.loads(_get(url))
+                break
+            except Exception as e:  # noqa: BLE001
+                last_err = e
+        if data is None:
+            raise RuntimeError(f"Fiyat verisi alınamadı ({symbol}): {last_err}")
+        if not data:
+            break
+        for k in data:
+            out.append([int(k[0]), float(k[1]), float(k[2]), float(k[3]), float(k[4])])
+        nxt = int(data[-1][0]) + 3_600_000
+        if nxt <= cursor:
+            break
+        cursor = nxt
+        if len(data) < 1000:
+            break
+    return out
+
+
+# ------------------------------------------------------------
+# EŞLEŞTİRME + BACKTEST ÇEKİRDEĞİ (ağ gerektirmez, test edilebilir)
+# ------------------------------------------------------------
+
+def _candle_index(candles, ts_ms):
+    """ts'den SONRA açılan ilk mumun indeksi (look-ahead yok)."""
+    lo, hi = 0, len(candles)
+    while lo < hi:
+        mid = (lo + hi) // 2
+        if candles[mid][0] > ts_ms:
+            hi = mid
+        else:
+            lo = mid + 1
+    return lo if lo < len(candles) else None
+
+
+def direction_of(label, score=None, threshold=0.0):
+    """Bullish → +1, Bearish → -1, Neutral → 0."""
+    l = (label or "").strip().lower()
+    if l.startswith("bull"):
+        return 1
+    if l.startswith("bear"):
+        return -1
+    return 0
+
+
+def match_and_evaluate(signals, candles_by_symbol, horizon_h=4,
+                       fee_bps=10, slippage_bps=5, long_only=False):
+    """
+    signals: [{title, ts, symbol, label, score}]
+    candles_by_symbol: {symbol: [[open_ms, o, h, l, c], ...]} (1s mumlar)
+    Döner: trades listesi.
+    """
+    cost = 2 * (fee_bps + slippage_bps) / 10_000  # gir + çık
+    trades = []
+    for s in signals:
+        d = direction_of(s["label"])
+        if d == 0 or (long_only and d < 0):
+            continue
+        candles = candles_by_symbol.get(s["symbol"])
+        if not candles:
+            continue
+        i = _candle_index(candles, int(s["ts"] * 1000))
+        if i is None or i + horizon_h >= len(candles):
+            continue  # ufuk henüz dolmadı → değerlendirilemez
+        entry = candles[i][1]                 # sonraki mumun açılışı
+        exit_ = candles[i + horizon_h][1]     # ufuk sonundaki açılış
+        if entry <= 0:
+            continue
+        raw = (exit_ / entry - 1) * d
+        ret = raw - cost
+        trades.append({
+            "ts": s["ts"], "symbol": s["symbol"], "title": s["title"],
+            "label": s["label"], "dir": d, "entry": entry, "exit": exit_,
+            "ret": ret, "win": ret > 0,
+        })
+    trades.sort(key=lambda t: t["ts"])
+    return trades
+
+
+def summarize(trades):
+    n = len(trades)
+    if n == 0:
+        return {"n": 0}
+    rets = [t["ret"] for t in trades]
+    wins = sum(1 for t in trades if t["win"])
+    mean = sum(rets) / n
+    var = sum((r - mean) ** 2 for r in rets) / (n - 1) if n > 1 else 0.0
+    std = math.sqrt(var)
+    equity, peak, mdd, eq = 1.0, 1.0, 0.0, [1.0]
+    for r in rets:
+        equity *= (1 + r)          # işlemler sırayla, eşit ağırlık
+        peak = max(peak, equity)
+        mdd = max(mdd, (peak - equity) / peak)
+        eq.append(equity)
+    gross_win = sum(r for r in rets if r > 0)
+    gross_loss = -sum(r for r in rets if r < 0)
+    return {
+        "n": n,
+        "win_rate": wins / n,
+        "mean": mean,
+        "total": equity - 1,
+        "std": std,
+        "t_stat": (mean / (std / math.sqrt(n))) if std > 0 and n > 1 else 0.0,
+        "profit_factor": (gross_win / gross_loss) if gross_loss > 0 else float("inf"),
+        "max_dd": mdd,
+        "equity": eq,
+        "best": max(rets), "worst": min(rets),
+    }
+
+
+# ------------------------------------------------------------
+# ÜST SEVİYE: haberleri çek → etiketle → fiyatla → raporla
+# ------------------------------------------------------------
+
+def _symbol_for(asset):
+    a = (asset or "").upper().replace("/", "").replace("-", "")
+    if not a or a == "ALL":
+        return None
+    return a if a.endswith(("USDT", "USDC")) else a + "USDT"
+
+
+def collect_signals(classify_fn, detect_fn, asset="ALL", max_news=60,
+                    news_fn=None, log=None):
+    """Haberleri çekip varlıklara ve duygu etiketine bağlar."""
+    news = (news_fn or fetch_rss_news)(max_news * 3)
+    want = _symbol_for(asset)
+    signals = []
+    for n in news:
+        if len(signals) >= max_news:
+            break
+        try:
+            assets = detect_fn(n["title"]) or []
+        except Exception:
+            assets = []
+        # detect_assets çıktısı str veya (str, ...) olabilir → normalize et
+        syms = []
+        for a in assets:
+            a = a[0] if isinstance(a, (tuple, list)) and a else a
+            sym = _symbol_for(str(a))
+            if sym:
+                syms.append(sym)
+        if want:
+            if want not in syms:
+                continue
+            syms = [want]
+        if not syms:
+            continue
+        try:
+            label, score = classify_fn(n["title"])
+        except Exception as e:  # noqa: BLE001
+            if log is not None:
+                log.append(f"Etiketleme hatası: {e}")
+            continue
+        signals.append({"title": n["title"], "ts": n["ts"], "symbol": syms[0],
+                        "label": label, "score": score,
+                        "source": n.get("source", "")})
+    return signals
+
+
+def run_backtest(classify_fn, detect_fn, asset="ALL", max_news=60,
+                 horizon_label="4 saat", fee_bps=10, slippage_bps=5,
+                 long_only=False, news_fn=None, price_fn=None):
+    """Tam akış. Döner: (signals, trades, summary, notes)."""
+    notes = []
+    horizon_h = HORIZONS.get(horizon_label, 4)
+    signals = collect_signals(classify_fn, detect_fn, asset, max_news,
+                              news_fn=news_fn, log=notes)
+    if not signals:
+        return [], [], {"n": 0}, notes + ["Eşleşen haber bulunamadı."]
+
+    price_fn = price_fn or fetch_klines
+    candles = {}
+    t0 = min(s["ts"] for s in signals) * 1000 - 3_600_000
+    t1 = max(time.time() * 1000, max(s["ts"] for s in signals) * 1000)
+    for sym in sorted({s["symbol"] for s in signals}):
+        try:
+            candles[sym] = price_fn(sym, t0, t1 + horizon_h * 3_600_000)
+        except Exception as e:  # noqa: BLE001
+            notes.append(str(e))
+
+    trades = match_and_evaluate(signals, candles, horizon_h, fee_bps,
+                                slippage_bps, long_only)
+    skipped = sum(1 for s in signals if direction_of(s["label"]) != 0) - len(trades)
+    if skipped > 0:
+        notes.append(f"{skipped} sinyal atlandı (ufuk henüz dolmadı veya fiyat yok).")
+    return signals, trades, summarize(trades), notes
+
+
+# ------------------------------------------------------------
+# HTML RAPOR (uygulamanın koyu temasına uygun)
+# ------------------------------------------------------------
+
+def _pct(x, d=2):
+    return f"{x * 100:+.{d}f}%"
+
+
+def _equity_svg(eq, w=640, h=140):
+    if len(eq) < 2:
+        return ""
+    lo, hi = min(eq), max(eq)
+    span = (hi - lo) or 1.0
+    pts = " ".join(
+        f"{i * w / (len(eq) - 1):.1f},{h - (v - lo) / span * (h - 12) - 6:.1f}"
+        for i, v in enumerate(eq)
+    )
+    base = h - (1.0 - lo) / span * (h - 12) - 6
+    color = "#22c55e" if eq[-1] >= 1 else "#ef4444"
+    return (f"<svg viewBox='0 0 {w} {h}' style='width:100%;height:{h}px'>"
+            f"<line x1='0' x2='{w}' y1='{base:.1f}' y2='{base:.1f}' "
+            f"stroke='#334155' stroke-dasharray='4 4'/>"
+            f"<polyline fill='none' stroke='{color}' stroke-width='2.5' points='{pts}'/></svg>")
+
+
+def build_report_html(signals, trades, s, notes, horizon_label, asset):
+    box = ("padding:18px;border-radius:16px;margin-top:14px;color:#dbeafe;"
+           "background:rgba(10,18,32,.82);border:1px solid rgba(96,165,250,.18)")
+    if not s.get("n"):
+        msg = "<br>".join(html.escape(n) for n in notes) or "İşlem üretilemedi."
+        return f"<div style='{box}'>Backtest sonucu yok.<br><small>{msg}</small></div>"
+
+    def card(label, val, color="#e2e8f0"):
+        return (f"<div style='flex:1;min-width:120px;padding:12px;border-radius:12px;"
+                f"background:#0f1a2c'><div style='font-size:11px;color:#8295ad;"
+                f"letter-spacing:1px'>{label}</div><div style='font-size:22px;"
+                f"font-weight:800;color:{color}'>{val}</div></div>")
+
+    up, dn = "#22c55e", "#ef4444"
+    pf = "∞" if s["profit_factor"] == float("inf") else f"{s['profit_factor']:.2f}"
+    cards = "".join([
+        card("İŞLEM", s["n"]),
+        card("İSABET", f"{s['win_rate'] * 100:.0f}%", up if s["win_rate"] > .5 else dn),
+        card("ORT. GETİRİ", _pct(s["mean"]), up if s["mean"] > 0 else dn),
+        card("TOPLAM", _pct(s["total"]), up if s["total"] > 0 else dn),
+        card("PROFIT FACTOR", pf),
+        card("MAX DD", f"-{s['max_dd'] * 100:.1f}%", dn),
+        card("t-İSTATİSTİĞİ", f"{s['t_stat']:.2f}"),
+    ])
+
+    rows = []
+    for t in reversed(trades[-60:]):
+        c = up if t["ret"] > 0 else dn
+        when = datetime.fromtimestamp(t["ts"], tz=timezone.utc).strftime("%d.%m %H:%M")
+        arrow = "▲" if t["dir"] > 0 else "▼"
+        rows.append(
+            f"<tr><td>{when}</td><td>{t['symbol'].replace('USDT', '')}</td>"
+            f"<td>{arrow} {html.escape(t['label'])}</td>"
+            f"<td style='max-width:360px'>{html.escape(t['title'][:110])}</td>"
+            f"<td>{t['entry']:,.2f}</td><td>{t['exit']:,.2f}</td>"
+            f"<td style='color:{c};font-weight:700'>{_pct(t['ret'])}</td></tr>")
+
+    caveat = ""
+    if s["n"] < 30:
+        caveat = ("<div style='margin-top:10px;color:#eab308;font-size:12px'>"
+                  f"⚠️ Yalnızca {s['n']} işlem var; bu örneklem istatistiksel olarak "
+                  "güvenilir sonuç vermek için küçük. t-istatistiği |2| altındaysa "
+                  "sonuç şansla açıklanabilir.</div>")
+    note_html = "".join(f"<div style='color:#8295ad;font-size:12px'>• {html.escape(n)}</div>"
+                        for n in notes)
+    th = "text-align:left;color:#8295ad;font-size:11px;padding:6px 8px"
+    return f"""
+<div style='{box}'>
+  <div style='font-weight:800;letter-spacing:2px;font-size:15px'>HABER → FİYAT BACKTEST</div>
+  <div style='color:#8295ad;font-size:12px;margin:5px 0 14px'>
+    Varlık: {html.escape(asset)} • Ufuk: {horizon_label} • Giriş: haberden sonraki ilk mum açılışı
+  </div>
+  <div style='display:flex;gap:10px;flex-wrap:wrap'>{cards}</div>
+  <div style='margin-top:16px'>{_equity_svg(s['equity'])}</div>
+  {caveat}{note_html}
+</div>
+<div style='{box};overflow-x:auto'>
+  <table style='width:100%;border-collapse:collapse;font-size:12px'>
+    <tr><th style='{th}'>Zaman (UTC)</th><th style='{th}'>Parite</th><th style='{th}'>Sinyal</th>
+        <th style='{th}'>Haber</th><th style='{th}'>Giriş</th><th style='{th}'>Çıkış</th>
+        <th style='{th}'>Getiri</th></tr>
+    {''.join(rows)}
+  </table>
+</div>"""