#!/usr/bin/env python3 """ **Default** Theta option portfolio evaluator: overlapping margin, BP gate, **daily MTM equity**. Use this for multi-sleeve backtests (literature ``S###``, diverse ``D###``, optional VRP). Do **not** use ``combine_lit_stack_sleeves`` sum-mode equity for headline max drawdown. Examples:: # Production lit stack + VRP (improved VRP flags; use explicit paths so logs land in data/logs/) cd /Users/robzingale/trading_bot && PYTHONUNBUFFERED=1 \\ .venv/bin/python -m RenTech.strategy_stack.diverse_theta_strategies_v1.evaluate_theta_margin \\ --preset lit4-vrp --capital 100000 --start 2016-01-04 --end 2026-04-02 \\ --no-pmcc --r2-vix-scale-contracts --r2-term-structure-gate --vrp-overlap-slices 2 \\ --out-daily RenTech/data/logs/lit_stack_vrp_margin_daily.csv \\ --out-trades RenTech/data/logs/lit_stack_vrp_margin_trades.csv \\ --out-meta RenTech/data/logs/lit_stack_vrp_margin_meta.json # Top-9 diverse D sleeves cd /Users/robzingale/trading_bot && PYTHONUNBUFFERED=1 \\ .venv/bin/python -m RenTech.strategy_stack.diverse_theta_strategies_v1.evaluate_theta_margin \\ --preset top9-d --capital 100000 --start 2016-01-04 \\ --out-prefix RenTech/data/logs/diverse_theta_top9_margin # Best Ideas SPY book (lit4 + D095/D081/D039/D018/D041/D065 + VRP) cd /Users/robzingale/trading_bot && PYTHONUNBUFFERED=1 \\ .venv/bin/python -m RenTech.strategy_stack.diverse_theta_strategies_v1.evaluate_theta_margin \\ --preset best-ideas-spy --capital 100000 --start 2016-01-04 \\ --out-daily RenTech/data/logs/best_ideas_spy6_margin_daily.csv \\ --out-trades RenTech/data/logs/best_ideas_spy6_margin_trades.csv \\ --out-meta RenTech/data/logs/best_ideas_spy6_margin_meta.json # Custom literature set cd /Users/robzingale/trading_bot && PYTHONUNBUFFERED=1 \\ .venv/bin/python -m RenTech.strategy_stack.diverse_theta_strategies_v1.evaluate_theta_margin \\ --sid S055 --sid S057 --with-vrp --capital 100000 \\ --out-prefix RenTech/data/logs/my_eval Outputs (from ``--out-prefix`` stem): ``*_daily.csv``, ``*_trades.csv``, ``*_meta.json``. Meta ``primary_risk_metric`` = ``max_drawdown_frac_mtm``; ``max_drawdown_frac_realized`` is reference only. """ from __future__ import annotations import argparse import json import sys from pathlib import Path _REPO_ROOT = Path(__file__).resolve().parents[3] if str(_REPO_ROOT) not in sys.path: sys.path.insert(0, str(_REPO_ROOT)) from RenTech.strategy_stack import research_literature_theta_strategies as L from RenTech.strategy_stack.diverse_theta_strategies_v1.theta_margin_eval import ( PRESET_SIDS, config_from_cli_args, default_output_paths, json_safe, run_theta_margin_evaluation, write_theta_margin_eval_outputs, ) def main() -> None: ap = argparse.ArgumentParser( description="Theta margin + daily MTM portfolio evaluation (default agent backtest tool)", formatter_class=argparse.RawDescriptionHelpFormatter, epilog=f"Presets: {', '.join(sorted(PRESET_SIDS))}", ) ap.add_argument( "--preset", type=str, default=None, choices=sorted(PRESET_SIDS), help="Strategy bundle (lit4-vrp includes VRP backtest + MTM replay)", ) ap.add_argument( "--sid", dest="sids", action="append", default=[], metavar="SID", help="Literature S### and/or diverse D### (repeatable; ignored if --preset set)", ) ap.add_argument( "--with-vrp", action="store_true", help="Run VRPBacktester and replay into margin sim (MTM on open VRP legs)", ) ap.add_argument("--theta-dir", type=Path, default=L._DEFAULT_THETA) ap.add_argument("--capital", type=float, default=100_000.0) ap.add_argument("--start", type=str, default="2016-01-04") ap.add_argument("--end", type=str, default="") ap.add_argument( "--max-days", type=int, default=0, help="Caps days before start/end in precompute; prefer --end for smoke windows", ) ap.add_argument("--regt-short-put-mult", type=float, default=1.0) ap.add_argument("--max-margin-utilization", type=float, default=1.0) ap.add_argument("--qty-per-trade", type=int, default=1) ap.add_argument( "--stacking", action="store_true", help="Allow max_concurrent = hold_sessions per sid (stack-while-signal style)", ) ap.add_argument( "--max-concurrent", type=int, default=None, metavar="N", help="Override max open trades per sid (default 1, or hold if --stacking)", ) ap.add_argument( "--vrp-low-dd-overlap", action=argparse.BooleanOptionalAction, default=True, ) ap.add_argument("--vrp-overlap-slices", type=int, default=1) ap.add_argument( "--no-pmcc", action="store_true", help="VRP: skip R1 weekly strangle (same as vrp_backtest_theta.py)", ) ap.add_argument( "--r2-vix-scale-contracts", action="store_true", help="VRP: scale R2 overlap_slice_contracts by VIX/12", ) ap.add_argument( "--r2-term-structure-gate", action="store_true", help="VRP: block new R2 when VIX9D > VIX (inverted front-end)", ) ap.add_argument( "--out-prefix", type=Path, default=_REPO_ROOT / "RenTech" / "data" / "logs" / "theta_margin_eval", help="Output stem or directory (writes *_daily.csv, *_trades.csv, *_meta.json)", ) ap.add_argument("--out-daily", type=Path, default=None) ap.add_argument("--out-trades", type=Path, default=None) ap.add_argument("--out-meta", type=Path, default=None) ap.add_argument("--no-vrp-progress", action="store_true") args = ap.parse_args() if args.preset and args.sids: print("Note: --preset ignores explicit --sid list", flush=True) cfg = config_from_cli_args( preset=args.preset, sids=list(args.sids), with_vrp=bool(args.with_vrp), capital=float(args.capital), start=str(args.start), end=str(args.end), max_days=int(args.max_days), theta_dir=Path(args.theta_dir), stacking=bool(args.stacking), max_concurrent=args.max_concurrent, vrp_low_dd_overlap=bool(args.vrp_low_dd_overlap), vrp_overlap_slices=int(args.vrp_overlap_slices), vrp_disable_pmcc=bool(args.no_pmcc), vrp_r2_vix_scale_contracts=bool(args.r2_vix_scale_contracts), vrp_r2_term_structure_gate=bool(args.r2_term_structure_gate), regt_short_put_mult=float(args.regt_short_put_mult), max_margin_utilization=float(args.max_margin_utilization), qty_per_trade=int(args.qty_per_trade), show_vrp_progress=not bool(args.no_vrp_progress), ) if args.out_daily and args.out_trades and args.out_meta: out_d, out_t, out_m = args.out_daily, args.out_trades, args.out_meta else: slug = str(args.preset or "custom").replace("-", "_") out_d, out_t, out_m = default_output_paths(args.out_prefix, slug=slug) print( f"Theta margin eval: lit={list(cfg.literature_sids)} diverse={list(cfg.diverse_sids)} " f"vrp={cfg.with_vrp} stacking={cfg.stacking} capital=${cfg.capital_usd:,.0f}", flush=True, ) result = run_theta_margin_evaluation(cfg) paths = write_theta_margin_eval_outputs( result, out_daily=out_d, out_trades=out_t, out_meta=out_m, ) safe = json_safe(result.meta) print(json.dumps(safe, indent=2), flush=True) print(f"\nWrote {paths[0]}\nWrote {paths[1]}\nWrote {paths[2]}", flush=True) if __name__ == "__main__": main()