"""Phase 3: engine-level + portfolio-level levers.""" 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_ov=None, engine_scale=None, signal_ov=None, sleeve_change=None) -> str: with open(BASE) as f: cfg = json.load(f) cfg["experiment_name"] = name if risk_ov: cfg["overrides"]["risk"].update(risk_ov) if signal_ov: cfg["overrides"]["signal"].update(signal_ov) if engine_scale: # Scale each engine's risk_budget_pct for eng in cfg.get("strategy_engines", []): if "engine_risk_budget_pct" in eng: eng["engine_risk_budget_pct"] *= engine_scale if sleeve_change: for k, v in sleeve_change.items(): cfg["overrides"][k] = v 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} SWEEPS = [ # Engine risk_budget scaling (top-N from prior session's analysis) ("T30_engine_x07", None, 0.7, None, None), # 30% less risk per engine ("T31_engine_x05", None, 0.5, None, None), # half risk per engine ("T32_engine_x13", None, 1.3, None, None), # 30% more risk per engine # Macro risk-off A-tier only (more selective in bad regimes) ("T33_atier_only", {"macro_regime_risk_off_a_tier_only": True}, None, None, None), ("T34_atier_05x", {"macro_regime_risk_off_a_tier_only": True, "macro_regime_risk_off_size_scaler": 0.5}, None, None, None), # Sleeve preset changes (parking variations) ("T35_parking_qqqm_low_dd", None, None, None, {"risk": {"cash_parking_preset": "qqqm_low_dd"}}), # Combo: best from each axis ("T40_combo_engine07_ro05", {"macro_regime_risk_off_size_scaler": 0.5}, 0.7, None, None), ("T41_combo_engine07_atier", {"macro_regime_risk_off_a_tier_only": True, "macro_regime_risk_off_size_scaler": 0.5}, 0.7, None, None), ("T42_combo_engine05_ro05", {"macro_regime_risk_off_size_scaler": 0.5}, 0.5, None, 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("=" * 110) results = [] for name, risk_ov, eng_sc, sig_ov, sleeve in SWEEPS: path = make_config(name, risk_ov, eng_sc, sig_ov, sleeve) print(f"\n>>> {name}: risk={risk_ov} engine_x={eng_sc} signal={sig_ov} sleeve={sleeve}") try: r = run_backtest(path) r["name"] = name 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" + "=" * 110) 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"{'name':22s} {'return':>10s} {'MDD':>8s} {'Sharpe':>8s} {'PF':>6s} {'SQS':>7s} {'trades':>7s}") print(f"{'BASELINE':22s} {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['name']:22s} {r['return']:>9.0f}% {r['mdd']:>7.2f}% {r['sharpe']:>8.2f} {r['pf']:>6.2f} {r['sqs']:>7.1f} {r['trades']:>7d}") if __name__ == "__main__": main()