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�regime�regime_returnsro r& r& r, r � s$ 144 145146� ��z(BacktestEngine._calculate_regime_metricsc 147 C s� |du s148t |�dkr dS d| �� }|�� �� }|| d }d}d}t|�D ]\}}|s5|dk r5d}|} q&|rA|dkrAd}|| }q&|S )u5 Calcule le temps de récupération après un drawdownNr rQ FT)r� �cumprod� expanding�max� enumerate)149r2 r �150cumulative� running_maxr" �recovery_periods� in_drawdown�i�dd� start_idxr& r& r, �_calculate_recovery_time� s �z'BacktestEngine._calculate_recovery_timerN � n_regimesc 151 C sz z | � |�}t�|��dd�}t|dd�}|�|�}|W S ty< } ztd|� �� t�t |��W Y d }~S d }~ww )Nr� rQ �* �� n_components� random_statez"Error identifying market regimes: )152�_prepare_regime_featuresr� �153nan_to_num�reshaper � fit_predictrn rm r� r� )r2 r r. �features�gmmr ro r& r& r, r � s 154 155��z'BacktestEngine._identify_market_regimesc 156 C s� z>d}|j |d��� �d�}|j |d��� �d�}|j |d��� �d�}|j |d��� �d�}t�|j|j|j|jg�}|W S t y` } zt157d|� �� t� t |�df�W Y d}~S d}~ww )z%Prepare features for regime detection� r� r z!Error preparing regime features: � N)
r� r� rk r� r �kurtr� � column_stack�valuesrn rm r� r� ) r2 r r� r� r� r r; r7 ro r& r& r, r3 � s$ � ��z'BacktestEngine._prepare_regime_featuresc 158 C s| z'|d }|d }| � ||�| �||�| �||�| �||�| �||�d�}|W S ty= } z159tdt|�� �� � d}~ww )z1Perform detailed performance attribution analysisr r )Zfactor_attributionZsector_attribution�style_attributionZrisk_attributionZperformance_decompositionz'Error performing attribution analysis: N)� _calculate_factor_attribution� _calculate_sector_attribution� _calculate_style_attribution�_calculate_risk_attributionr� rn rm r; )r2 r~ r r r# ro r& r& r, rz s 160161162163164���z,BacktestEngine._perform_attribution_analysisc 165 C sN z�t j|jd�}|�d��� | jd |d< |�d�jdd��� �� |d< t jd|jd�|d< |�d�jdd��� |d < |�d�jd166d��� |d < |� t167j t168j gt169j �}|�d�}|�d�}zt
�||��� }t j|j|�� |jd�}W |W S t jd|jd�}Y |W S ty� } ztd t|�� �� t �� W Y d
}~S d
}~ww )u� 170 Calcule l'attribution de performance basée sur les facteurs171 172 Args:173 returns: Rendements du portefeuille174 positions: Positions du portefeuille175 r� r r� r� r9 r� r� r� r� r� r� z&Error calculating factor attribution: N)r7 r: rf rk r� rH r� r� r8 r� r� r� r� �sm�OLS�fit�paramsr� rn rm r; )r2 r r r� �modelZfactor_contributionro r& r& r, r? s2 176177 ����z,BacktestEngine._calculate_factor_attributionc 178 179 C s� z4| � |j�}i }|�� D ] \}}|| jdd�}|| �� }||�� ||�� d�||< q
t�|�jW S tyJ } z180t dt181| �� �� � d} ~ ww )z.Calculate sector-based performance attributionrQ r� )r� �average_weightZ contributionz&Error calculating sector attribution: N) r� r� r0 r� r� r7 r: �Trn rm r; )182r2 r r Zsector_mapping�sector_returns�sectorZassetsZsector_positionsZ183sector_retro r& r& r, r@ O s 184 ���z,BacktestEngine._calculate_sector_attributionc 185 C s� z2| � |�| �|�| �|�| �|�| �|�d�}i }|�� D ]\}}|| �� }|||< q t�|�W S t yH } z186t187dt |�� �� � d}~ww )zFCalculate investment style attribution (value, growth, momentum, etc.))r� �growth�momentum�quality�sizez%Error calculating style attribution: N) r� r� r� r� r� r0 r� r7 r8 rn rm r; ) r2 r r �
style_factorsr> �style�exposureZ style_returnro r& r& r, rA f s" � 188 ��z+BacktestEngine._calculate_style_attributionc 189 C s� z%|� � t�d� }|� � t�d� }||�� | }tj|�� |jd�W S tyD } zt dt190|�� �� t�� W Y d}~S d}~ww )z,Calculate risk-based performance attributionr� r� z$Error calculating risk attribution: N) r� r� r� �corrr7 r8 r� r� rn rm r; )r2 r r �volZpos_volZrisk_contributionro r& r& r, rB ~ s ��z*BacktestEngine._calculate_risk_attributionr �191cost_model� cost_paramsc C sV |dkrt �t �|| ��|d S |dkr$t �t �|dk��|d S td|� ���)z4Calculate transaction costs based on specified modelrC rK �fixedr Z192fixed_costz Unknown transaction cost model: )r� r� r� rd )r2 r rU rU rV r& r& r, r� � s193 z+BacktestEngine._calculate_transaction_costsc 194 C sr z || j d }|�� dkrW dS t�d�|�� |�� W S ty8 } ztd|� �� W Y d}~dS d}~ww )zCalculate Sharpe ratior� r r� z Error calculating Sharpe ratio: Nr� )r2 r r� ro r& r& r, r� � s ��z&BacktestEngine._calculate_sharpe_ratio�profilec 195 C s� zG|j | j }||j d }|d }|jd }|�� �� |�� | j |�� �� | d|j v r6|j d jd nd| �|�� �� ||j�d�}|W S tyh } zt d|� �� dddddd�W Y d }~S d }~ww )196u" 197 Calcule le score de liquidité du portefeuille par rapport au profil investisseur198 199 Args:200 results: Résultats du backtest201 profile: Profil de l'investisseur202 203 Returns:204 Dict contenant les métriques de liquidité205 皙�����?g{�G�zd?� �cashr� r )Zaverage_days_to_liquidateZliquidity_cost_percentZliquidity_coverage_ratioZemergency_buffer_ratio�overall_liquidity_scoreu/ Erreur dans le calcul du score de liquidité : N)206r r\ �
annual_incomer� r� �iloc�"_calculate_overall_liquidity_score�risk_tolerancern rm ) r2 r~ rX � daily_volumeZliquidation_daysZliquidity_cost�required_liquidity�liquidity_scorero r& r& r, �_calculate_liquidity_score� s4 207208 209�� ���z)BacktestEngine._calculate_liquidity_score�days_to_liquidaterb r` c C s* dddddd�| }t dd|| �}|S ) u; 210 Calcule le score global de liquidité211 212 Args:213 days_to_liquidate: Nombre moyen de jours pour liquider214 required_liquidity: Liquidité requise215 risk_tolerance: Tolérance au risque du profil (1-5)216 217 Returns:218 Score entre 0 et 1219 r � �220 � � �rQ r rN r: rf r rQ )r$ )r2 re rb r` Zmax_acceptable_daysZ221days_scorer& r& r, r_ � s �� z1BacktestEngine._calculate_overall_liquidity_scorerJ c 222 C sz z�|d }|j jdur|j �d�|_ i }|�� D ]�\}\}}zdt�|��d�}t�|��d�}||j d ks=||j d k rFtd|� �� W qt||j d �}t||j d �}|||� }t |�dkr�d| �223� d | � |�|� � t
�d� |�� | �|�d�||< W q ty� } ztd |� d224| � �� W Y d} ~ qd} ~ ww |W S ty� } ztd | � �� i W Y d} ~ S d} ~ ww ) z.Run stress tests with proper timezone handlingr Nr� r zNo data for stress period rQ r� )r� r� r� � worst_day�
recovery_time�Error in stress period r� zError in stress tests: )rf �tzrg r0 r7 re rm r$ �minr� r� r� r� r� r� r- rn )225r2 r~ rJ r r � period_name�start�end�period_returnsro r& r& r, r{ � sB 226�� ����z BacktestEngine._run_stress_testsc
C s i }|du s t |�dkrtd� |S |j�� }|j�� }|�� D ]�\}\}}z�t�|�}t�|�}||ks9||k rOtd|� d|� d|� d|� d|� d� � W q t||�} t||�}227|jjdurm| � |jj�} |228� |jj�}229|j230| |231� } t | �d k r�td232|� �� W q d | � � d | j �
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�||< W Y d}~q d}~ww |s�td� |S )zRun historical stress testsNr z2Warning: No return data available for stress testszWarning: Stress period z (r� z ) outside available data range (�)rf z-Warning: Insufficient data for stress period rQ r� )r� r� r� �var_95rk Z
recovery_dayszWarning: Invalid z value for period rm r� z/Warning: No valid stress test results generated)r� rm rf ro r$ r0 r7 re rn rg r� r� r �calculate_max_drawdownr� r� r� r� r- r� r� rn r; )r2 r rJ Zhistorical_resultsZ233data_startZdata_endrp rq rr �adjusted_startZ adjusted_endrs r� r� ro r& r& r, � _run_historical_stress_tests! sb 234235236237(238239 240241242�243 ����� z+BacktestEngine._run_historical_stress_testsc 244 C s$ zm|� � }dddd�dddd�d�}i }|�� D ]R\}}||d }t�||d |d245 �}t�|d � |jd }t�|| | | j�� t�d
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dt|248�� �� dddddd�iW Y d}249~250S d}251~252ww )z�253 Run correlation stress tests on portfolio positions254 255 Args:256 positions: Portfolio positions over time257 258 Returns:259 Dictionary of correlation stress test results260 �333333�?r� )�261adjustment�floor�capg �g�������皙�����?)�high_correlation�correlation_breakdownrz r{ r| r� r� r� r rQ )�portfolio_riskZdiversification_score�max_correlation�min_correlationz#Error in correlation stress tests: r~ r� N)rS r0 r� �clip�
fill_diagonalr^ r� r r� r� r$ ro rn rm r; ) r2 r Z base_corrZstress_scenariosr~ �scenariorF Z
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�}i }|� � D ]&\}}| �||�}|�� t�|d266�||t�|d267�k �� | �|�d�||< q|S )z!Run hypothetical stress scenariosg������ɿ� )�shock�durationrN rg )�vol_multiplierr� 皙�����?rh )Zcorrelation_shockr� rf � )Zbid_ask_multiplierr� )Z market_crashZvolatility_spiker Zliquidity_crisis)Zmax_lossru �expected_shortfallrl )r0 �_simulate_scenarioro r� r� r� �_estimate_recovery_time)r2 r Z scenariosr~ Z
scenario_namerF Zscenario_returnsr& r& r, � _run_hypothetical_stress_tests� s � 268 �z-BacktestEngine._run_hypothetical_stress_tests�� �
n_simulationsc 269 s� zUt ddd�}|�|j�dd�� g }t|�D ]}|jt|�d�d �� }|�|� qt �270|�}t � |d�t � ||t � |d�k �t � � fdd �|D �d271�|�
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}~ww )z Run Monte Carlo stress testsr r/ r0 r� rQ )� n_samplesr c s g | ]}� � |��qS r& )r� )r) �simr1 r& r, �273<listcomp>� s z@BacktestEngine._run_monte_carlo_stress_tests.<locals>.<listcomp>�c )�var_99Zes_99Zmax_drawdown_99Zworst_case_lossz(Error running Monte Carlo stress tests: N)r rE r= r5 �range�sampler� �flatten�appendr� �arrayr� r� ro rn rm r; ) r2 r r� r8 �simulated_returns�_r� r~ ro r& r1 r, � _run_monte_carlo_stress_tests� s& 274275���z,BacktestEngine._run_monte_carlo_stress_testsc C sR |du s276t |�dkrt�� S t|tj�rt�|�}|�tjtj gtj�� � }|S )z Validate and clean return dataNr )277r� r7 r8 rX r� �ndarrayr� r� r� r� )r2 r r& r& r, �_validate_returns� s 278 z BacktestEngine._validate_returns� save_pathc 279 C s~ z(| � |�| �|�| �|�| �|�| �|�d�}| �|�}|r&| �|||� |W S ty> } z280tdt |�� �� � d}~ww )z&Generate comprehensive backtest report)�summaryZdetailed_analysis�
risk_analysisr# Z stress_testszError generating report: N)281�_generate_summary_metricsZ_generate_detailed_analysisZ_generate_risk_analysisZ _generate_attribution_analysisZ _generate_stress_test_analysis�_generate_report_figures� _save_reportrn rm r; )r2 r~ r� �report�figuresro r& r& r, �generate_report� s �282 ��z BacktestEngine.generate_reportc C s | � ||�S )z.Generate profile-specific performance analysis)�#_calculate_profile_specific_metrics�r2 r~ rX r& r& r, �&_generate_profile_performance_analysis s z5BacktestEngine._generate_profile_performance_analysisc C s | � |j|�|j�dd�d�S )z'Generate profile-specific risk analysisr� r )�risk_tolerance_alignmentZrisk_adjusted_returns)�_calculate_risk_alignmentr r �getr� r& r& r, � _generate_profile_risk_analysis s �z.BacktestEngine._generate_profile_risk_analysisc 283 284 C s� z<i }|j �� �� }| j}|jD ])}t|t�r"|| d }|||< qt|t�r9|�d|d �}|| }|||d < q|W S tyW } zt d| � �� i W Y d} ~ S d} ~ ww )z Generate goal tracking analysisrQ � target_value� �?�namez!Error in goal tracking analysis: N)285r r� r@ �investment_goalsrX r; �dictr� rn rm )286r2 r~ rX �
goal_tracking�
current_value�
initial_value�goal�progress�targetro r& r& r, � _generate_goal_tracking_analysis s& 287288 289290 ���z/BacktestEngine._generate_goal_tracking_analysisc C sD g }|j �� t�d� }dddddd�|j }||d kr#|�d � n ||d291 k r.|�d � |j�d d
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kr�| �||�} | d dk r�|�d� |jdkr�|�d � |S |jd k r�|�d � |S ) u$ 295 Génère des recommandations basées sur les résultats du backtest et le profil investisseur296 297 Args:298 results: Résultats du backtest299 profile: Profil de l'investisseur300 301 Returns:302 Liste des recommandations303 r� 皙�����?�{�G�z�?� ��Q��?�304ףp=305�?� �?rj g333333�?u Le portefeuille présente un risque supérieur à votre profil. Considérez une réduction de l'exposition aux actifs risqués.r� u Le portefeuille est plus conservateur que votre profil. Une augmentation mesurée du risque pourrait améliorer les rendements.r� r 皙������uo Les pertes maximales dépassent le seuil recommandé. Envisagez des stratégies de protection supplémentaires.r� ry u^ La concentration du portefeuille est élevée. Une meilleure diversification est recommandée.r� g�Q� ��?rG uy La performance est inférieure aux objectifs. Une révision de la stratégie d'investissement pourrait être nécessaire.�liquidity_needsr\ �ffffff�?uj Le niveau de liquidité pourrait être insuffisant pour vos besoins. Considérez des actifs plus liquides.rg zdVotre horizon long terme permet d'envisager une exposition plus importante aux actifs de croissance.rf uS Compte tenu de votre horizon court terme, privilégiez la préservation du capital.)r r� r� r� r` r� r r� r� r r^ r$ r r� r� rd �investment_horizon) r2 r~ rX �recommendations� realized_vol�306target_vol�max_ddZmax_acceptable_ddZcurrent_weightsr� Zrequired_returnrc r& r& r, �_generate_recommendations# s> 307�� 308309310 311312 313314315316�317z(BacktestEngine._generate_recommendationsc 318 C s� z6|j }|dkrdddd�W S |dkrdddd�W S |d kr%d319d dd�W S |d kr0dddd�W S dd
dd�W S tyS } ztd|� �� ddiW Y d}~S d}~ww )z,Get target asset allocation based on profilerQ r� r} rY )�bonds�stocksr[ r �333333�?ry rN 皙�����?� �?r: r� z!Error getting target allocation: r� r� N�r` rn rm )r2 rX Z320risk_levelro r& r& r, �_get_target_allocation\ s> �������z%BacktestEngine._get_target_allocationc 321 s� z$| � |��|jjd �� � � �fdd�tt��� �t� �� � �D �W S ty? } ztd|� �� i W Y d}~S d}~ww )z&Calculate drift from target allocationr� c s& i | ]}|� � |d ��� |d � �qS �r )r� )r) �asset��currentr� r& r, r- � s ��z>BacktestEngine._calculate_allocation_drift.<locals>.<dictcomp>z$Error calculating allocation drift: N) r� r r^ r' �set�list�keysrn rm )r2 r~ rX ro r& r� r, �_calculate_allocation_drift� s 322 ���z*BacktestEngine._calculate_allocation_driftc 323 C s\ z|j dkr W dS |j dkrW dS W dS ty- } ztd|� �� W Y d}~dS d}~ww )z%Get appropriate rebalancing frequencyr � quarterlyr: rA �weeklyz%Error getting rebalancing frequency: Nr� �r2 rX ro r& r& r, �_get_rebalancing_frequency� s 324325��z)BacktestEngine._get_rebalancing_frequencyc 326 C s` zd}|j d d }|| ddd�W S ty/ } ztd|� �� ddiW Y d }~S d }~ww )327z"Get rebalancing trigger thresholdsr� rN �{�G�z�?r} ry )� asset_driftZvolatility_changeZcorrelation_changez$Error getting rebalancing triggers: r� Nr� )r2 rX Zbase_threshold�risk_adjustmentro r& r& r, �_get_rebalancing_triggers� s ���z(BacktestEngine._get_rebalancing_triggersc 328 C sf zd}|j d d }|| || d d�W S ty2 } ztd|� �� ddiW Y d}~S d}~ww ) zCalculate stop loss levels�333333�?rN r� r� �� portfolioZindividual_positionsz$Error calculating stop loss levels: r� Nr� )r2 rX Z base_stopr� ro r& r& r, �_calculate_stop_loss_levels� s 329���z*BacktestEngine._calculate_stop_loss_levelsc 330 C s� z"|j dkrddddgd�W S |j dkr dddgd�W S d d331g d�W S ty? } ztd |� �� d d iW Y d
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}~ww )zDefine hedging strategyr Try �optionsZ inverse_etfs)� use_hedgingZ hedge_ratioZ instrumentsr: r} Fr� z Error getting hedging strategy: r� Nr� r� r& r& r, �_get_hedging_strategy� s( 332�333����z$BacktestEngine._get_hedging_strategyc 334 C s� z8| j j}t|�}tj|d�}| j jdd�|d< tj�dd|�|d< tj�dd|�|d< tj�dd|�|d < |W S t yY } zt335d336|� �� tj| j jd�W Y d }~S d }~ww ) uC Récupère les rendements des facteurs pour l'analyse d'attributionr� rQ r� ZMarketr r� �Size�ValueZMomentumz3Erreur dans le calcul des rendements de facteurs : N) r rf r� r7 r: r� r� �random�normalrn rm )r2 r� � n_periodsr� ro r& r& r, r� � s ��c 337 C s� z@| � |�| �|�| �|�d|j d|j d|j tdd|j d�d�tdd|j �td d|j d338�td d |j �d
�d�W S tyf } ztd|� �� ddd�dddd d�d�W Y d}~S d}~ww )u@ Obtient les règles de gestion des risques basées sur le profilr� r� g{�G�z��r} r� )r� Zmax_volatilityZmax_varZmax_position_sizerf rg ry r� r r: )Z339min_assetsZmax_sector_exposureZmin_asset_classes)� stop_loss�hedging_strategyZrebalancing_triggers� risk_limitsZdiversification_rulesz%Error getting risk management rules: r� r� r� g333333ÿg��������)r� r� N)r� r� r� r` ro r$ rn rm r� r& r& r, �_get_risk_management_rules� s2 �������z)BacktestEngine._get_risk_management_rulesc 340 C s� z&|j jd }|j}t�|d �dt�|d � dt|�� �� �� � d�W S tyA } zt d|� �� i W Y d}~S d}~ww )z!Calculate diversification metricsr� r rQ )Zherfindahl_indexZ effective_nZcorrelation_scorez+Error calculating diversification metrics: N)341r r^ r r� r� r� rS r� rn rm )r2 r~ r r ro r& r& r, �"_calculate_diversification_metrics s ���z1BacktestEngine._calculate_diversification_metricsc C s� |j d d�|j d d�|j d d�|j d d�|j d d�d�|jd d�|jd342 d�|jd d�|jd d�d
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