Walk-Forward-TPE Project

This project implements a Walk-Forward Optimization (WFO) strategy using Tree-Parzen Estimator (TPE) for hyperparameter optimization. It includes modules for backtesting, configuration, optimization, and reporting.

Installation

Clone the repository and install dependencies:

Usage

To run the full workflow:

python main.py

Project Structure

Walk-Forward-TPE/
├── backtesting/
│   ├── __init__.py
│   ├── backtest_engine.py
│   ├── backtest_metrics.py
│   └── multi_symbol_portfolio.py
├── config/
│   ├── __init__.py
│   └── config.py
├── core/
│   ├── __init__.py
│   └── tpe_base.py
├── optimization/
│   ├── __init__.py
│   ├── adjustment.py
│   └── optimization.py
├── reporting/
│   ├── __init__.py
│   └── reporting.py
├── strategies/
│   ├── __init__.py
│   └── example_strategy.py  # Placeholder for strategy definitions
├── utils/
│   ├── __init__.py
│   ├── data_utils.py
│   └── logging_utils.py
├── wfo/
│   ├── __init__.py
│   └── wfo_workflow.py
├── main.py
├── pyproject.toml
└── README.md
└── requirements.txt

Modules

backtesting/

Contains modules related to backtesting functionalities, including metrics calculation and different backtest engines.

config/

Handles project configuration and settings.

core/

Core functionalities, such as the TPE base implementation.

optimization/

Modules for parameter optimization and adjustment logic.

reporting/

Generates reports and visualizations of backtest results.

strategies/

(Placeholder) Directory for different trading strategy implementations.

utils/

Utility functions, including data manipulation and logging.

wfo/

Implements the Walk-Forward Optimization workflow.