"""Sweep v13 scoring variants on v8.11 base. Foreground-safe version.""" import json import subprocess import shutil import sys from pathlib import Path BASE = "configs/experiments/return_max_long_v8.11_composed_gld_tqqq_bmc30_cl65_vol40_rmin1_cap96.json" SWEEP_DIR = Path("configs/experiments/_tune_v811_sweep") SWEEP_DIR.mkdir(exist_ok=True) SNAPSHOT = "pead_dualconv_ftb_fix_v2_probe" def make_config(name: str, scoring_model: str) -> str: with open(BASE) as f: cfg = json.load(f) cfg["experiment_name"] = name cfg["overrides"]["signal"]["scoring_model"] = scoring_model 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=200) tail = proc.stdout.split("\n")[-12:] 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: try: return_pct = float(line.split(":")[1].strip().rstrip("%")) except: pass elif "SQS:" in line: try: sqs_total = float(line.split("SQS:")[1].strip().split(" ")[0]) except: pass elif "Trades:" in line: try: trades = int(line.split(":")[1].strip()) except: pass 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} SCORING_VARIANTS = [ "return_max_long_v13e", "return_max_long_v13f", "return_max_long_v13e_surp", "return_max_long_v13e_pd", "return_max_long_v13e_mr", "return_max_long_v13e_pdmr", "return_max_long_v13e_pd2", "return_max_long_v13e_h", "return_max_long_v13e_ou", "return_max_long_v13e_t3", "return_max_long_v13e_t23", "return_max_long_v13e_qsc", "return_max_long_v13e_btg", "return_max_long_v13e_hug", "return_max_long_v16", "return_max_long_v16e", ] def main(): # Optional: limit variants via cli arg if len(sys.argv) > 1: variants = sys.argv[1].split(",") else: variants = SCORING_VARIANTS baseline = {"return": 6839, "mdd": 9.78, "sharpe": 3.53, "pf": 8.26, "sqs": 84.8, "trades": 329} print(f"BASELINE v8.11 (v13e): ret={baseline['return']}% MDD={baseline['mdd']}% Sharpe={baseline['sharpe']} PF={baseline['pf']} SQS={baseline['sqs']} trades={baseline['trades']}", flush=True) print("=" * 120, flush=True) results = [] for variant in variants: name = f"S_{variant.replace('return_max_long_', '')}" path = make_config(name, variant) print(f"\n>>> {variant}", flush=True) try: r = run_backtest(path) r["variant"] = variant if r["return"] is None: print(f" FAILED: no return", flush=True) continue d_ret = r["return"] - baseline["return"] d_sqs = (r["sqs"] or 0) - baseline["sqs"] print(f" ret={r['return']:.0f}% (Δ{d_ret:+.0f}) MDD={r['mdd']:.2f}% Sharpe={r['sharpe']:.2f} PF={r['pf']:.2f} SQS={r['sqs']:.1f} (Δ{d_sqs:+.1f}) trades={r['trades']}", flush=True) results.append(r) except Exception as e: print(f" FAILED: {e}", flush=True) print("\n" + "=" * 120, flush=True) print("SUMMARY (sorted by SQS, then return):", flush=True) results.sort(key=lambda x: (x.get("sqs") or 0, x.get("return") or 0), reverse=True) print(f"{'variant':35s} {'return':>10s} {'MDD':>8s} {'Sharpe':>8s} {'PF':>6s} {'SQS':>7s} {'trades':>7s}", flush=True) print(f"{'BASELINE_v13e':35s} {baseline['return']:>9.0f}% {baseline['mdd']:>7.2f}% {baseline['sharpe']:>8.2f} {baseline['pf']:>6.2f} {baseline['sqs']:>7.1f} {baseline['trades']:>7d}", flush=True) for r in results: print(f"{r['variant']:35s} {r['return']:>9.0f}% {r['mdd']:>7.2f}% {r['sharpe']:>8.2f} {r['pf']:>6.2f} {r['sqs']:>7.1f} {r['trades']:>7d}", flush=True) if __name__ == "__main__": main()