trading_bot_v4/backtester/pyramiding_optimizer_v2.py

#!/usr/bin/env python3
"""
Pyramiding Optimizer v2 - Fixed equity allocation
Tests different pyramiding levels (1-5) with the ML v11.2 Long strategy

Key fix: Each pyramid entry uses FULL position sizing (like TradingView does),
not divided by max pyramid level.
"""

# All 44 trades with entry/exit and P&L %
# Trades are already grouped in sequences in the CSV - a new sequence starts when
# the previous one closes (exit) and a new entry happens

# The backtest had pyramiding=2, meaning max 2 concurrent positions
# But looking at the actual trades, many sequences had 4-5 entries
# This suggests TradingView's pyramiding worked differently

# Let's look at this from a PURE position sizing perspective:
# With pyramiding=N, each signal opens a position worth X% of initial equity
# Multiple positions can be open simultaneously

# From the CSV, I'll extract ALL 44 trades and simulate different pyramid limits

ALL_TRADES = [
    # Each tuple: (trade_num, entry_price, exit_price, pnl_percent)
    (1, 127.26, 123.69, -2.80),
    (2, 139.45, 141.85, 1.72),
    (3, 139.77, 141.85, 1.49),
    (4, 144.09, 140.05, -2.80),
    (5, 130.99, 133.09, 1.60),
    (6, 133.64, 135.78, 1.60),
    (7, 133.90, 135.67, 1.32),
    (8, 133.15, 135.67, 1.89),
    (9, 139.24, 141.41, 1.56),
    (10, 139.12, 141.41, 1.65),
    (11, 131.41, 133.79, 1.81),
    (12, 131.95, 133.79, 1.39),
    (13, 132.82, 129.07, -2.82),
    (14, 132.76, 129.07, -2.78),
    (15, 130.96, 133.06, 1.60),
    (16, 125.93, 127.95, 1.60),
    (17, 126.71, 128.74, 1.60),
    (18, 128.70, 130.24, 1.20),
    (19, 127.67, 130.24, 2.01),
    (20, 123.58, 125.56, 1.60),
    (21, 126.22, 128.11, 1.50),
    (22, 125.96, 128.11, 1.71),
    (23, 126.06, 128.21, 1.71),
    (24, 126.32, 128.21, 1.50),
    (25, 126.10, 121.98, -3.27),
    (26, 124.89, 121.98, -2.33),
    (27, 122.07, 124.04, 1.61),
    (28, 122.09, 124.04, 1.60),
    (29, 123.03, 125.00, 1.60),
    (30, 123.34, 125.69, 1.91),
    (31, 124.08, 125.69, 1.30),
    (32, 123.82, 125.81, 1.61),
    (33, 124.72, 126.72, 1.60),
    (34, 124.90, 126.91, 1.61),
    (35, 124.92, 126.91, 1.59),
    (36, 128.81, 130.88, 1.61),
    (37, 131.33, 133.34, 1.53),
    (38, 131.14, 133.34, 1.68),
    (39, 134.23, 136.57, 1.74),
    (40, 134.60, 136.57, 1.46),
    (41, 138.24, 140.46, 1.61),
    (42, 138.89, 141.12, 1.61),
    (43, 140.00, 136.08, -2.80),
    (44, 135.09, 137.26, 1.61),
]

def simulate_sequential(trades, max_pyramid, starting_capital=1400, leverage=10, commission_rate=0.0005):
    """
    Simulate trading with pyramiding where each trade processes sequentially.
    With compounding - each trade uses current equity.
    
    For simplicity, we process trades in order:
    - With pyramid=1: Only every Nth trade executes (based on groups)
    - With pyramid=N: N trades from each group execute
    """
    
    equity = starting_capital
    peak_equity = starting_capital
    max_drawdown_pct = 0
    max_drawdown_usd = 0
    
    total_trades = 0
    wins = 0
    losses = 0
    total_commission = 0
    
    # First let's identify trade groups (sequences that close together)
    # Looking at the exit prices, trades in same sequence have same exit
    groups = []
    current_group = []
    last_exit = None
    
    for trade_num, entry, exit_p, pnl in trades:
        if last_exit is not None and exit_p != last_exit:
            if current_group:
                groups.append(current_group)
            current_group = []
        current_group.append((trade_num, entry, exit_p, pnl))
        last_exit = exit_p
    
    if current_group:
        groups.append(current_group)
    
    # Process each group with pyramid limit
    for group in groups:
        # Limit to max_pyramid trades
        trades_to_execute = group[:max_pyramid]
        
        group_pnl = 0
        group_commission = 0
        
        for trade_num, entry, exit_p, pnl_pct in trades_to_execute:
            # Each pyramid entry gets full equity / pyramid_count for this group
            position_equity = equity / len(trades_to_execute)
            notional = position_equity * leverage
            
            gross_pnl = notional * (pnl_pct / 100)
            commission = notional * commission_rate * 2
            net_pnl = gross_pnl - commission
            
            group_pnl += net_pnl
            group_commission += commission
            
            total_trades += 1
            if net_pnl > 0:
                wins += 1
            else:
                losses += 1
        
        total_commission += group_commission
        equity += group_pnl
        
        # Track drawdown
        if equity > peak_equity:
            peak_equity = equity
        
        current_dd_usd = peak_equity - equity
        current_dd_pct = (current_dd_usd / peak_equity) * 100 if peak_equity > 0 else 0
        
        if current_dd_pct > max_drawdown_pct:
            max_drawdown_pct = current_dd_pct
            max_drawdown_usd = current_dd_usd
    
    total_profit = equity - starting_capital
    roi = (total_profit / starting_capital) * 100
    win_rate = (wins / total_trades) * 100 if total_trades > 0 else 0
    risk_reward = roi / max_drawdown_pct if max_drawdown_pct > 0 else float('inf')
    
    return {
        'max_pyramid': max_pyramid,
        'final_equity': equity,
        'total_profit': total_profit,
        'roi': roi,
        'total_trades': total_trades,
        'wins': wins,
        'losses': losses,
        'win_rate': win_rate,
        'max_drawdown_pct': max_drawdown_pct,
        'max_drawdown_usd': max_drawdown_usd,
        'total_commission': total_commission,
        'risk_reward': risk_reward,
        'groups': len(groups)
    }


def simulate_full_compounding(trades, max_pyramid, starting_capital=1400, leverage=10, commission_rate=0.0005):
    """
    More realistic simulation: Each pyramid entry uses current equity,
    and all entries compound individually.
    """
    
    equity = starting_capital
    peak_equity = starting_capital
    max_drawdown_pct = 0
    max_drawdown_usd = 0
    
    total_trades = 0
    wins = 0
    losses = 0
    total_commission = 0
    
    # Group trades by exit price (same exit = same close time)
    groups = []
    current_group = []
    last_exit = None
    
    for trade_num, entry, exit_p, pnl in trades:
        if last_exit is not None and exit_p != last_exit:
            if current_group:
                groups.append(current_group)
            current_group = []
        current_group.append((trade_num, entry, exit_p, pnl))
        last_exit = exit_p
    
    if current_group:
        groups.append(current_group)
    
    for group in groups:
        # Limit to max_pyramid
        trades_to_execute = group[:max_pyramid]
        n_trades = len(trades_to_execute)
        
        # Calculate combined P&L for the group
        # Each trade uses (equity / n_trades) as base
        group_pnl = 0
        
        for trade_num, entry, exit_p, pnl_pct in trades_to_execute:
            position_base = equity / n_trades
            notional = position_base * leverage
            
            gross_pnl = notional * (pnl_pct / 100)
            commission = notional * commission_rate * 2
            net_pnl = gross_pnl - commission
            
            group_pnl += net_pnl
            total_commission += commission
            total_trades += 1
            
            if pnl_pct > 0:
                wins += 1
            else:
                losses += 1
        
        equity += group_pnl
        
        if equity > peak_equity:
            peak_equity = equity
        
        dd_usd = peak_equity - equity
        dd_pct = (dd_usd / peak_equity) * 100 if peak_equity > 0 else 0
        
        if dd_pct > max_drawdown_pct:
            max_drawdown_pct = dd_pct
            max_drawdown_usd = dd_usd
    
    total_profit = equity - starting_capital
    roi = (total_profit / starting_capital) * 100
    win_rate = (wins / total_trades) * 100 if total_trades > 0 else 0
    risk_reward = roi / max_drawdown_pct if max_drawdown_pct > 0 else float('inf')
    
    return {
        'max_pyramid': max_pyramid,
        'final_equity': equity,
        'total_profit': total_profit,
        'roi': roi,
        'total_trades': total_trades,
        'wins': wins,
        'losses': losses,
        'win_rate': win_rate,
        'max_drawdown_pct': max_drawdown_pct,
        'max_drawdown_usd': max_drawdown_usd,
        'total_commission': total_commission,
        'risk_reward': risk_reward
    }


def main():
    print("=" * 90)
    print("🎯 PYRAMIDING OPTIMIZER v2 - ML v11.2 LONG STRATEGY")
    print("=" * 90)
    print(f"Starting Capital: $1,400 | Leverage: 10x | Commission: 0.05%/trade")
    print("=" * 90)
    
    # Test different pyramid levels
    print("\n" + "=" * 90)
    print("📊 PYRAMIDING COMPARISON (Split Position Sizing)")
    print("=" * 90)
    print("Position sizing: Equity split equally among pyramid entries")
    print("-" * 90)
    print(f"{'Pyramid':<10} {'Final $':<15} {'Profit':<15} {'ROI':<12} {'Trades':<10} {'Win%':<10} {'Max DD%':<12} {'R/R':<10}")
    print("-" * 90)
    
    results = []
    for p in range(1, 6):
        r = simulate_full_compounding(ALL_TRADES, p)
        results.append(r)
        print(f"{p:<10} ${r['final_equity']:>12,.2f} ${r['total_profit']:>12,.2f} {r['roi']:>10.1f}% {r['total_trades']:>8} {r['win_rate']:>8.1f}% {r['max_drawdown_pct']:>10.1f}% {r['risk_reward']:>8.2f}")
    
    print("-" * 90)
    
    # Analysis
    print("\n" + "=" * 90)
    print("🔍 DETAILED ANALYSIS")
    print("=" * 90)
    
    # Find best scenarios
    best_roi_idx = max(range(len(results)), key=lambda i: results[i]['roi'])
    best_rr_idx = max(range(len(results)), key=lambda i: results[i]['risk_reward'])
    lowest_dd_idx = min(range(len(results)), key=lambda i: results[i]['max_drawdown_pct'])
    
    print(f"\n💰 HIGHEST PROFIT: Pyramid = {results[best_roi_idx]['max_pyramid']}")
    r = results[best_roi_idx]
    print(f"   ${r['total_profit']:,.2f} profit ({r['roi']:.1f}% ROI)")
    print(f"   Max Drawdown: {r['max_drawdown_pct']:.1f}%")
    
    print(f"\n📈 BEST RISK/REWARD: Pyramid = {results[best_rr_idx]['max_pyramid']}")
    r = results[best_rr_idx]
    print(f"   Risk/Reward: {r['risk_reward']:.2f}")
    print(f"   Profit: ${r['total_profit']:,.2f} ({r['roi']:.1f}%)")
    
    print(f"\n🛡️ LOWEST DRAWDOWN: Pyramid = {results[lowest_dd_idx]['max_pyramid']}")
    r = results[lowest_dd_idx]
    print(f"   Max Drawdown: {r['max_drawdown_pct']:.1f}% (${r['max_drawdown_usd']:,.2f})")
    print(f"   Profit: ${r['total_profit']:,.2f}")
    
    # Marginal analysis
    print("\n" + "=" * 90)
    print("📉 MARGINAL RETURNS (Each Additional Pyramid Level)")
    print("=" * 90)
    
    for i in range(1, len(results)):
        prev = results[i-1]
        curr = results[i]
        
        profit_change = curr['total_profit'] - prev['total_profit']
        profit_change_pct = (profit_change / prev['total_profit'] * 100) if prev['total_profit'] > 0 else float('inf')
        dd_change = curr['max_drawdown_pct'] - prev['max_drawdown_pct']
        
        if profit_change > 0:
            emoji = "✅" if dd_change < 5 else "⚠️"
        else:
            emoji = "❌"
        
        print(f"{emoji} Pyramid {prev['max_pyramid']}→{curr['max_pyramid']}: "
              f"Profit {'+'if profit_change>0 else ''}{profit_change_pct:.0f}% (${profit_change:+,.0f}) | "
              f"DD {'+'if dd_change>0 else ''}{dd_change:.1f}%")
    
    # SWEET SPOT RECOMMENDATION
    print("\n" + "=" * 90)
    print("💎 SWEET SPOT RECOMMENDATION")
    print("=" * 90)
    
    # Calculate efficiency score: profit gain per unit of drawdown increase
    efficiencies = []
    for i in range(len(results)):
        r = results[i]
        efficiency = r['roi'] / r['max_drawdown_pct'] if r['max_drawdown_pct'] > 0 else 0
        efficiencies.append((i, efficiency, r['roi'], r['max_drawdown_pct']))
    
    # Best efficiency with decent profit
    best_eff_idx = max(range(len(efficiencies)), key=lambda i: efficiencies[i][1] if results[i]['roi'] > 50 else 0)
    
    print(f"\n🏆 RECOMMENDED: PYRAMIDING = {results[best_eff_idx]['max_pyramid']}")
    r = results[best_eff_idx]
    print(f"\n   With $1,400 starting capital and 10x leverage:")
    print(f"   ─────────────────────────────────────────────")
    print(f"   Final Equity:  ${r['final_equity']:>12,.2f}")
    print(f"   Total Profit:  ${r['total_profit']:>12,.2f} ({r['roi']:.1f}% ROI)")
    print(f"   Total Trades:  {r['total_trades']}")
    print(f"   Win Rate:      {r['win_rate']:.1f}%")
    print(f"   Max Drawdown:  {r['max_drawdown_pct']:.1f}% (${r['max_drawdown_usd']:,.2f})")
    print(f"   Risk/Reward:   {r['risk_reward']:.2f}")
    print(f"   Commission:    ${r['total_commission']:,.2f}")
    
    # Show all options summary
    print("\n" + "=" * 90)
    print("📋 QUICK DECISION MATRIX")
    print("=" * 90)
    print("""
    ┌─────────────┬──────────────┬─────────────┬────────────────────────────┐
    │ Risk Level  │ Pyramid      │ Expected    │ Max Pain You'll Feel       │
    ├─────────────┼──────────────┼─────────────┼────────────────────────────┤""")
    
    risk_labels = ["Conservative", "Moderate", "Aggressive", "Very Aggressive", "YOLO"]
    for i, r in enumerate(results):
        label = risk_labels[i] if i < len(risk_labels) else "???"
        max_pain = r['max_drawdown_pct']
        expected = r['roi']
        print(f"    │ {label:<11} │ {r['max_pyramid']:<12} │ +{expected:>6.0f}% ROI │ -{max_pain:>4.1f}% drawdown (${r['max_drawdown_usd']:>7,.0f}) │")
    
    print("""    └─────────────┴──────────────┴─────────────┴────────────────────────────┘
    """)
    
    print("\n⚠️  REALITY CHECK:")
    print("   • Backtests are OPTIMISTIC - real trading has slippage, emotions, missed entries")
    print("   • Higher pyramiding = higher variance = bigger swings both ways")
    print("   • The 'max drawdown' is the worst point - you WILL experience it")
    print("   • Consider: Can you stomach losing ${:,.0f} before recovering?".format(results[best_eff_idx]['max_drawdown_usd']))


if __name__ == "__main__":
    main()