backtest.yml

name: backtest

# Run the full real-data backtest in the cloud - no local install needed.
# Actions tab -> "backtest" -> "Run workflow". The HTML report is attached to
# the run as an artifact called "backtest-report".

on:
  workflow_dispatch:
    inputs:
      size:
        description: "Number of companies"
        default: "1000"
      years:
        description: "Minimum years of trading history"
        default: "15"
      start:
        description: "First date of price history"
        default: "2000-01-01"
      models:
        description: "Models (comma list) - blank means all six"
        default: ""
      horizon:
        description: "Forecast horizon in trading days"
        default: "5"
      label:
        description: "Name for this run in the results branch"
        default: "default"
      config:
        description: "Config file, e.g. config/small_account.yaml (blank = defaults)"
        default: ""

permissions:
  contents: write   # to publish results to the "results" branch

jobs:
  backtest:
    runs-on: ubuntu-latest
    timeout-minutes: 340
    steps:
      - uses: actions/checkout@v4
      - uses: actions/setup-python@v5
        with:
          python-version: "3.11"
          cache: pip
      - run: pip install -r requirements.txt
      - name: Restore price cache
        uses: actions/cache@v4
        with:
          path: data
          key: prices-${{ inputs.size }}-${{ inputs.years }}-${{ inputs.start }}-${{ github.run_id }}
          restore-keys: prices-${{ inputs.size }}-${{ inputs.years }}-${{ inputs.start }}-
      - name: Select universe
        run: |
          if [ ! -f data/universe.csv ]; then
            python -m qtrade universe --size "${{ inputs.size }}" --years "${{ inputs.years }}" --start "${{ inputs.start }}"
          fi
      - name: Backtest
        run: |
          set -o pipefail
          mkdir -p reports/backtest
          MODELS="${{ inputs.models }}"
          CONFIG="${{ inputs.config }}"
          python -m qtrade ${CONFIG:+--config "$CONFIG"} backtest --size "${{ inputs.size }}" --start "${{ inputs.start }}" \
            --horizon "${{ inputs.horizon }}" ${MODELS:+--models "$MODELS"} --out reports/backtest \
            2>&1 | tee reports/backtest/run.log
      - name: Publish results (job summary + "results" branch)
        if: success()
        run: |
          sed 's#](charts/#](https://github.com/${{ github.repository }}/raw/results/latest/charts/#g' \
            reports/backtest/README.md >> "$GITHUB_STEP_SUMMARY"
          cp data/universe.csv reports/backtest/universe.csv
          git config --global user.name "github-actions[bot]"
          git config --global user.email "41898282+github-actions[bot]@users.noreply.github.com"
          RUN_DIR="runs/$(date -u +%Y-%m-%d_%H%M)_${{ inputs.label }}"
          RES=$(mktemp -d)
          # retry so that parallel backtests can all publish
          for attempt in 1 2 3 4 5; do
            rm -rf "$RES"; mkdir -p "$RES"; cd "$RES"; git init -q
            git remote add origin "https://x-access-token:${{ github.token }}@github.com/${{ github.repository }}.git"
            if git fetch -q --depth 1 origin results; then git checkout -q -B results FETCH_HEAD; else git checkout -q --orphan results; fi
            mkdir -p "$RUN_DIR" latest
            cp -r "$GITHUB_WORKSPACE/reports/backtest/." "$RUN_DIR/"
            rm -rf latest && cp -r "$GITHUB_WORKSPACE/reports/backtest" latest
            { echo "# Backtest results"; echo; echo "Latest: [latest/](latest/README.md)"; echo; echo "## All runs";
              for d in $(ls -r runs); do echo "- [$d](runs/$d/README.md)"; done; } > README.md
            git add -A && git commit -q -m "Backtest ${{ inputs.label }} (run ${{ github.run_id }})"
            if git push -q origin results; then echo "published $RUN_DIR"; break; fi
            sleep $((attempt * 15))
          done
          cd "$GITHUB_WORKSPACE"
      - uses: actions/upload-artifact@v4
        if: always()
        with:
          name: backtest-report
          path: |
            reports/backtest
            data/universe.csv