#!/usr/bin/env python3 """V11 experiment runner: structural improvements over V10 champion. Tests VIX regime filter, entropy scoring, and atr_ratio scoring for gainers_leader. All experiments use V10 (orb_gainers_v10.yaml) as baseline. Usage: python -u scripts/v11_experiments.py [--days N] """ import subprocess import sys import tempfile import yaml from pathlib import Path BASE_CONFIG = "configs/intraday/strategies/orb_gainers_v10.yaml" DAYS = 400 def load_base(): with open(BASE_CONFIG) as f: return yaml.safe_load(f) def run_experiment(name: str, overrides: dict, days: int = DAYS) -> dict | None: """Run a single backtest with config overrides and return parsed metrics.""" cfg = load_base() for key, val in overrides.items(): cfg["orb_strategy"][key] = val # Write temp config with tempfile.NamedTemporaryFile( mode="w", suffix=".yaml", prefix="v11_", delete=False, dir="/tmp" ) as f: yaml.dump(cfg, f, default_flow_style=False) tmp_path = f.name cmd = [ sys.executable, "-u", "-m", "apps.intraday_bt.run", "--config", tmp_path, "--days", str(days), ] print(f"\n{'='*70}") print(f" {name}") print(f" Overrides: {overrides or '(baseline)'}") print(f"{'='*70}", flush=True) try: result = subprocess.run(cmd, capture_output=True, text=True, timeout=600) except subprocess.TimeoutExpired: print(f" TIMEOUT after 600s") return None finally: Path(tmp_path).unlink(missing_ok=True) if result.returncode != 0: print(f" FAILED (rc={result.returncode})") if result.stderr: print(f" stderr: {result.stderr[-500:]}") return None output = result.stdout metrics = {} for line in output.split("\n"): line = line.strip() if "Total return" in line and "%" in line: try: val = line.split("│")[-2].strip().replace("%", "").replace("+", "") metrics["total_return"] = float(val) except (ValueError, IndexError): pass elif "Max drawdown" in line and "%" in line: try: val = line.split("│")[-2].strip().replace("%", "").replace("+", "") metrics["max_drawdown"] = float(val) except (ValueError, IndexError): pass elif "Sharpe ratio" in line: try: val = line.split("│")[-2].strip() metrics["sharpe"] = float(val) except (ValueError, IndexError): pass elif "Total trades" in line: try: val = line.split("│")[-2].strip() metrics["trades"] = int(val) except (ValueError, IndexError): pass elif "Win rate" in line and "%" in line: try: val = line.split("│")[-2].strip().replace("%", "").replace("+", "") metrics["win_rate"] = float(val) except (ValueError, IndexError): pass elif "Profit factor" in line: try: val = line.split("│")[-2].strip() metrics["profit_factor"] = float(val) except (ValueError, IndexError): pass if not metrics: print(" WARNING: Could not parse metrics from output") for line in output.split("\n")[-30:]: print(f" {line}") return None print(f" => return={metrics.get('total_return', '?'):+.2f}%, " f"DD={metrics.get('max_drawdown', '?'):.2f}%, " f"Sharpe={metrics.get('sharpe', '?'):.2f}, " f"trades={metrics.get('trades', '?')}, " f"WR={metrics.get('win_rate', '?'):.1f}%, " f"PF={metrics.get('profit_factor', '?'):.3f}", flush=True) return metrics def main(): days = DAYS if "--days" in sys.argv: idx = sys.argv.index("--days") days = int(sys.argv[idx + 1]) results = {} # V10 baseline (no overrides) results["V10_baseline"] = run_experiment("V10 Baseline (control)", {}, days) # === VIX experiments === results["V11a_max_vix_30"] = run_experiment( "V11a: max_vix=30 (skip VIX>30 days)", {"max_vix": 30}, days ) results["V11a2_max_vix_25"] = run_experiment( "V11a2: max_vix=25 (more aggressive)", {"max_vix": 25}, days ) results["V11b_vix_scale"] = run_experiment( "V11b: VIX size scaling 15→30, min=0.5", {"vix_size_scale_low": 15, "vix_size_scale_high": 30, "vix_size_scale_min": 0.5}, days, ) results["V11b2_vix_scale_wide"] = run_experiment( "V11b2: VIX size scaling 20→35, min=0.5", {"vix_size_scale_low": 20, "vix_size_scale_high": 35, "vix_size_scale_min": 0.5}, days, ) # === Entropy experiments (now unlocked for gainers_leader) === results["V11c_entropy_neg10"] = run_experiment( "V11c: weight_entropy=-0.10 (prefer lower entropy)", {"weight_entropy": -0.10}, days, ) results["V11c2_entropy_neg05"] = run_experiment( "V11c2: weight_entropy=-0.05", {"weight_entropy": -0.05}, days, ) results["V11c3_entropy_pos10"] = run_experiment( "V11c3: weight_entropy=+0.10 (prefer higher entropy)", {"weight_entropy": 0.10}, days, ) # === ATR ratio experiments (now unlocked for gainers_leader) === results["V11d_atr_ratio_pos10"] = run_experiment( "V11d: weight_atr_ratio=+0.10 (prefer expanding vol)", {"weight_atr_ratio": 0.10}, days, ) results["V11d2_atr_ratio_neg10"] = run_experiment( "V11d2: weight_atr_ratio=-0.10 (prefer compressed vol)", {"weight_atr_ratio": -0.10}, days, ) # === Combinations === results["V11e_vix30_entropy"] = run_experiment( "V11e: max_vix=30 + entropy=-0.10", {"max_vix": 30, "weight_entropy": -0.10}, days, ) results["V11f_vix30_atr_ratio"] = run_experiment( "V11f: max_vix=30 + atr_ratio=+0.10", {"max_vix": 30, "weight_atr_ratio": 0.10}, days, ) results["V11g_combined"] = run_experiment( "V11g: VIX scale 20→35 + entropy=-0.05 + atr_ratio=+0.10", { "vix_size_scale_low": 20, "vix_size_scale_high": 35, "vix_size_scale_min": 0.5, "weight_entropy": -0.05, "weight_atr_ratio": 0.10, }, days, ) # === Summary table === print(f"\n\n{'='*90}") print(" V11 EXPERIMENT RESULTS SUMMARY") print(f"{'='*90}") print(f"{'Experiment':<30} {'Return':>9} {'DD':>9} {'Sharpe':>7} {'Trades':>7} {'WR':>7} {'PF':>7}") print(f"{'-'*30} {'-'*9} {'-'*9} {'-'*7} {'-'*7} {'-'*7} {'-'*7}") baseline_ret = (results.get("V10_baseline") or {}).get("total_return", 0) for name, m in results.items(): if m is None: print(f"{name:<30} {'FAILED':>9}") continue ret = m.get("total_return", 0) delta = ret - baseline_ret ret_str = f"{ret:+.2f}%" dd = f"{m.get('max_drawdown', 0):.2f}%" sh = f"{m.get('sharpe', 0):.2f}" tr = f"{m.get('trades', 0)}" wr = f"{m.get('win_rate', 0):.1f}%" pf = f"{m.get('profit_factor', 0):.3f}" marker = " <== BASE" if name == "V10_baseline" else (f" ({delta:+.2f}pp)" if delta != 0 else "") print(f"{name:<30} {ret_str:>9} {dd:>9} {sh:>7} {tr:>7} {wr:>7} {pf:>7}{marker}") if __name__ == "__main__": main()