#!/usr/bin/env python3 """V12 experiment runner: structural improvements and new engine features. Tests breakout volume confirmation, time-decay trailing, SPY trend filter, VWAP confirmation, wider ORB, compounding, and combinations. Usage: python -u scripts/v12_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 with tempfile.NamedTemporaryFile( mode="w", suffix=".yaml", prefix="v12_", 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) # === NEW ENGINE: Breakout Volume Confirmation === results["V12a_brkout_vol_1.5"] = run_experiment( "V12a: Breakout bar vol >= 1.5x avg (filter thin breakouts)", {"min_breakout_rel_vol": 1.5}, days, ) results["V12a2_brkout_vol_2.0"] = run_experiment( "V12a2: Breakout bar vol >= 2.0x avg (stricter)", {"min_breakout_rel_vol": 2.0}, days, ) results["V12a3_brkout_vol_1.2"] = run_experiment( "V12a3: Breakout bar vol >= 1.2x avg (mild)", {"min_breakout_rel_vol": 1.2}, days, ) # === NEW ENGINE: Time-Decay Trailing === results["V12b_decay_180_0.5"] = run_experiment( "V12b: Time-decay trailing start=12:30pm, factor=0.5 (halve trail by close)", {"time_decay_start_minutes": 180, "time_decay_factor": 0.5}, days, ) results["V12b2_decay_120_0.5"] = run_experiment( "V12b2: Time-decay trailing start=11:30am, factor=0.5", {"time_decay_start_minutes": 120, "time_decay_factor": 0.5}, days, ) results["V12b3_decay_180_0.3"] = run_experiment( "V12b3: Time-decay trailing start=12:30pm, factor=0.3 (aggressive tighten)", {"time_decay_start_minutes": 180, "time_decay_factor": 0.3}, days, ) # === EXISTING UNUSED: SPY Trend Filter === results["V12c_spy_trend_5d"] = run_experiment( "V12c: SPY 5-day trend filter (skip if SPY down >3%)", {"market_regime_spy_trend_days": 5, "market_regime_spy_trend_threshold": -0.03}, days, ) results["V12c2_spy_trend_3d"] = run_experiment( "V12c2: SPY 3-day trend filter (skip if SPY down >2%)", {"market_regime_spy_trend_days": 3, "market_regime_spy_trend_threshold": -0.02}, days, ) # === EXISTING UNUSED: VWAP Confirmation === results["V12d_vwap_confirm"] = run_experiment( "V12d: Require ORB candle close vs VWAP confirmation", {"require_vwap_confirmation": True}, days, ) # === WIDER ORB === results["V12e_orb_10min"] = run_experiment( "V12e: 10-minute ORB window (wider base, fewer false breakouts)", {"orb_minutes": 10}, days, ) results["V12e2_orb_15min"] = run_experiment( "V12e2: 15-minute ORB window", {"orb_minutes": 15}, days, ) # === COMPOUNDING + SETTLEMENT === results["V12f_compound"] = run_experiment( "V12f: compound_returns=true (size with current equity)", {"compound_returns": True}, days, ) results["V12f2_settle0"] = run_experiment( "V12f2: settlement_days=0 (no settlement delay)", {"settlement_days": 0}, days, ) results["V12f3_compound_settle0"] = run_experiment( "V12f3: compound + no settlement", {"compound_returns": True, "settlement_days": 0}, days, ) # === COMBINATIONS of winners (conditional — using likely best) === results["V12g_vol_decay"] = run_experiment( "V12g: Breakout vol 1.5x + time-decay 180/0.5", {"min_breakout_rel_vol": 1.5, "time_decay_start_minutes": 180, "time_decay_factor": 0.5}, days, ) results["V12h_vol_vwap"] = run_experiment( "V12h: Breakout vol 1.5x + VWAP confirmation", {"min_breakout_rel_vol": 1.5, "require_vwap_confirmation": True}, days, ) results["V12i_decay_vwap"] = run_experiment( "V12i: Time-decay 180/0.5 + VWAP confirmation", {"time_decay_start_minutes": 180, "time_decay_factor": 0.5, "require_vwap_confirmation": True}, days, ) results["V12j_kitchen_sink"] = run_experiment( "V12j: Vol 1.5x + decay 180/0.5 + VWAP + SPY 5d trend + compound + settle0", { "min_breakout_rel_vol": 1.5, "time_decay_start_minutes": 180, "time_decay_factor": 0.5, "require_vwap_confirmation": True, "market_regime_spy_trend_days": 5, "market_regime_spy_trend_threshold": -0.03, "compound_returns": True, "settlement_days": 0, }, days, ) # === Summary table === print(f"\n\n{'='*90}") print(" V12 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()