"""Sweep parking presets — primary risk lever for v7.356.""" 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, parking_preset: str) -> str: with open(BASE) as f: cfg = json.load(f) cfg["experiment_name"] = name cfg["overrides"]["risk"]["cash_parking_preset"] = parking_preset 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] 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 = return_pct = sqs_total = 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: sqs_total = float(line.split("SQS:")[1].strip().split(" ")[0]) elif "Trades:" in line: trades = int(line.split(":")[1].strip()) 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, "run_id": run_id} PARKING_PRESETS = [ "qqqm_low_dd_tqqq_active_v2_gld_brake_v2", # BASELINE (current) "qqqm_low_dd_tqqq_active_v2_gld_brake_v3", # v3 brake (potentially better) "qqqm_low_dd_tqqq_active_v3_gld_brake_v2", # v3 tqqq "qqqm_low_dd_tqqq_active_v2_gld_brake_v2_r07", # 70% risk variant "qqqm_low_dd_tqqq_active_v2_gld_brake_v2_temp100", # temperature tweak "qqqm_low_dd_tqqq_active_v2_gld_brake_v2_vol026", # vol gate "qqqm_low_dd_tqqq_active_v2_gld", # no brake "qqqm_low_dd_tqqq_active_v2", # bare "qqqm_low_dd_tqqq_active", # simpler "qqqm_low_dd_tqqq_conservative_gld_brake_v2", # conservative "qqqm_low_dd_tqqq_calm", # calm "qqqm_low_dd_tqqq_calm_v2", # calm v2 "qqqm_low_dd_tqqq_calm_v2_gld", # calm + gold "qqqm_low_dd_gld", # no tqqq, with gold "qqqm_low_dd_risk25", # risk gate "composite_v1", # composite parking "composite_v2", ] 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("=" * 120) results = [] for preset in PARKING_PRESETS: name = f"P_{preset[:50]}" path = make_config(name, preset) print(f"\n>>> {preset}") try: r = run_backtest(path) r["name"] = name r["preset"] = preset d_ret = (r["return"] or 0) - baseline["return"] d_mdd = (r["mdd"] or 0) - baseline["mdd"] d_sqs = (r["sqs"] or 0) - baseline["sqs"] 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("\n" + "=" * 120) print("SUMMARY (sorted by SQS, then return):") results.sort(key=lambda x: (x.get("sqs") or 0, x.get("return") or 0), reverse=True) print(f"{'preset':56s} {'return':>10s} {'MDD':>8s} {'Sharpe':>8s} {'PF':>6s} {'SQS':>7s} {'trades':>7s}") print(f"{'BASELINE':56s} {baseline['return']:>9.0f}% {baseline['mdd']:>7.2f}% {baseline['sharpe']:>8.2f} {baseline['pf']:>6.2f} {baseline['sqs']:>7.1f} {baseline['trades']:>7d}") for r in results: print(f"{r['preset']:56s} {r['return']:>9.0f}% {r['mdd']:>7.2f}% {r['sharpe']:>8.2f} {r['pf']:>6.2f} {r['sqs']:>7.1f} {r['trades']:>7d}") # Best by SQS that maintains return >= 70% of baseline qualified = [r for r in results if r.get("return", 0) >= baseline["return"] * 0.7] if qualified: best = max(qualified, key=lambda x: x.get("sqs") or 0) print(f"\nBEST (SQS-improving + ret≥70%): {best['preset']}") print(f" ret={best['return']:.0f}% MDD={best['mdd']:.2f}% Sharpe={best['sharpe']:.2f} PF={best['pf']:.2f} SQS={best['sqs']:.1f}") if __name__ == "__main__": main()