"""Sweep v7.356 parameters to reduce MDD and improve SQS. Base: v7.356_composed_gld_compound. SQS risk component=50, MDD=14.5% — bottleneck. Sweep strategy: - Phase 1: single-param sweeps (max_pos_value, risk_off_scaler, stop_atr) - Phase 2: top-2 from phase 1 combined """ import json import subprocess import shutil from pathlib import Path BASE = "configs/experiments/return_max_long_v7.356_composed_gld_compound.json" SWEEP_DIR = Path("configs/experiments/_tune_v7356_sweep") SWEEP_DIR.mkdir(exist_ok=True) SNAPSHOT = "midlarge-liquid-long-v1_bucketfix_full_audit_canonical_ftb_fix_v2" def make_config(name: str, risk_overrides: dict, exec_overrides: dict = None) -> str: with open(BASE) as f: cfg = json.load(f) cfg["experiment_name"] = name cfg["overrides"]["risk"].update(risk_overrides) if exec_overrides: cfg["overrides"]["execution"].update(exec_overrides) path = SWEEP_DIR / f"{name}.json" path.write_text(json.dumps(cfg, indent=2)) return str(path) def run_backtest(config_path: str) -> dict: cmd = [ "python3", "-m", "apps.backtester.run", "--manifest", config_path, "--start", "2022-01-01", "--split", "all", "--initial-equity", "10000", "--snapshot-id", SNAPSHOT, ] # Clean runtime cache to ensure fresh load cache = Path(f"data/parquet/{SNAPSHOT}/.runtime_cache") if cache.exists(): shutil.rmtree(cache) proc = subprocess.run(cmd, capture_output=True, text=True, timeout=300) tail = proc.stdout.split("\n")[-10:] run_id = None return_pct = None sqs_total = None sqs_parts = None trades = None for line in tail: if "Run complete:" in line: run_id = line.split("Run complete:")[1].strip() elif "Total return:" in line: return_pct = float(line.split(":")[1].strip().rstrip("%")) elif "SQS:" in line: parts = line.split("SQS:")[1].strip() sqs_total = float(parts.split(" ")[0]) sqs_parts = parts elif "Trades:" in line: trades = int(line.split(":")[1].strip()) # Get MDD from metrics mdd = sharpe = pf = None if run_id: m_path = Path(f"runs/{run_id}/metrics/metrics_summary.json") if m_path.exists(): m = json.loads(m_path.read_text()) mdd = m["max_drawdown_pct"] sharpe = m["sharpe_ratio"] pf = m["profit_factor"] return { "return": return_pct, "trades": trades, "mdd": mdd, "sharpe": sharpe, "pf": pf, "sqs": sqs_total, "sqs_parts": sqs_parts, "run_id": run_id, } SWEEPS = [ # (name, risk overrides, execution overrides) ("v7.356_T01_pos20", {"max_position_value_pct": 20}, None), ("v7.356_T02_pos15", {"max_position_value_pct": 15}, None), ("v7.356_T03_ro_07", {"macro_regime_risk_off_size_scaler": 0.7}, None), ("v7.356_T04_ro_05", {"macro_regime_risk_off_size_scaler": 0.5}, None), ("v7.356_T05_stop_25", {"stop_atr_multiplier": 2.5}, None), ("v7.356_T06_stop_35", {"stop_atr_multiplier": 3.5}, None), ("v7.356_T07_sec3", {"max_positions_per_sector": 3}, None), ("v7.356_T08_sec4", {"max_positions_per_sector": 4}, None), ] def main(): baseline = {"return": 2236.1, "mdd": 14.50, "sharpe": 2.72, "pf": 4.38, "sqs": 87.1, "trades": 293} print(f"BASELINE: ret={baseline['return']}% MDD={baseline['mdd']}% Sharpe={baseline['sharpe']} SQS={baseline['sqs']} trades={baseline['trades']}") print("=" * 100) results = [] for name, risk_ov, exec_ov in SWEEPS: path = make_config(name, risk_ov, exec_ov) print(f"\n>>> {name}: risk={risk_ov} exec={exec_ov}") try: r = run_backtest(path) r["name"] = name d_ret = r["return"] - baseline["return"] if r["return"] else None d_mdd = r["mdd"] - baseline["mdd"] if r["mdd"] else None d_sqs = r["sqs"] - baseline["sqs"] if r["sqs"] else None print(f" ret={r['return']:.0f}% (Δ{d_ret:+.0f}) MDD={r['mdd']:.2f}% (Δ{d_mdd:+.2f}) Sharpe={r['sharpe']:.2f} PF={r['pf']:.2f} SQS={r['sqs']:.1f} (Δ{d_sqs:+.1f}) trades={r['trades']}") results.append(r) except Exception as e: print(f" FAILED: {e}") # Print summary table print("\n" + "=" * 100) print("SUMMARY (sorted by SQS):") results.sort(key=lambda x: x.get("sqs") or 0, reverse=True) print(f"{'name':30s} {'return':>10s} {'MDD':>8s} {'Sharpe':>8s} {'PF':>6s} {'SQS':>6s} {'trades':>7s}") print(f"{'BASELINE':30s} {baseline['return']:>9.0f}% {baseline['mdd']:>7.2f}% {baseline['sharpe']:>8.2f} {baseline['pf']:>6.2f} {baseline['sqs']:>6.1f} {baseline['trades']:>7d}") for r in results: print(f"{r['name']:30s} {r['return']:>9.0f}% {r['mdd']:>7.2f}% {r['sharpe']:>8.2f} {r['pf']:>6.2f} {r['sqs']:>6.1f} {r['trades']:>7d}") if __name__ == "__main__": main()