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102 lines
4.7 KiB
Python
102 lines
4.7 KiB
Python
"""Final combo: best parking + working tunables."""
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import json
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import subprocess
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import shutil
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from pathlib import Path
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BASE = "configs/experiments/return_max_long_v7.356_composed_gld_compound.json"
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SWEEP_DIR = Path("configs/experiments/_tune_v7356_sweep")
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SWEEP_DIR.mkdir(exist_ok=True)
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SNAPSHOT = "midlarge-liquid-long-v1_bucketfix_full_audit_canonical_ftb_fix_v2"
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def make_config(name: str, parking: str, risk_ov=None) -> str:
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with open(BASE) as f:
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cfg = json.load(f)
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cfg["experiment_name"] = name
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cfg["overrides"]["risk"]["cash_parking_preset"] = parking
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if risk_ov:
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cfg["overrides"]["risk"].update(risk_ov)
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path = SWEEP_DIR / f"{name}.json"
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path.write_text(json.dumps(cfg, indent=2))
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return str(path)
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def run_backtest(config_path: str) -> dict:
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cmd = ["python3", "-m", "apps.backtester.run", "--manifest", config_path,
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"--start", "2022-01-01", "--split", "all", "--initial-equity", "10000",
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"--snapshot-id", SNAPSHOT]
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cache = Path(f"data/parquet/{SNAPSHOT}/.runtime_cache")
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if cache.exists():
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shutil.rmtree(cache)
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proc = subprocess.run(cmd, capture_output=True, text=True, timeout=300)
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tail = proc.stdout.split("\n")[-10:]
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run_id = return_pct = sqs_total = trades = None
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for line in tail:
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if "Run complete:" in line:
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run_id = line.split("Run complete:")[1].strip()
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elif "Total return:" in line:
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return_pct = float(line.split(":")[1].strip().rstrip("%"))
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elif "SQS:" in line:
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sqs_total = float(line.split("SQS:")[1].strip().split(" ")[0])
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elif "Trades:" in line:
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trades = int(line.split(":")[1].strip())
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mdd = sharpe = pf = None
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if run_id:
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m_path = Path(f"runs/{run_id}/metrics/metrics_summary.json")
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if m_path.exists():
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m = json.loads(m_path.read_text())
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mdd = m["max_drawdown_pct"]
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sharpe = m["sharpe_ratio"]
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pf = m["profit_factor"]
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return {"return": return_pct, "trades": trades, "mdd": mdd, "sharpe": sharpe, "pf": pf, "sqs": sqs_total, "run_id": run_id}
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# Top candidates from parking sweep + working risk_off scaler
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SWEEPS = [
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# Best parking alone (confirmed pareto improvement)
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("F01_v3_brake_v2", "qqqm_low_dd_tqqq_active_v3_gld_brake_v2", None),
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# Add risk_off scaler combos
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("F02_v3_brake_v2_ro_05", "qqqm_low_dd_tqqq_active_v3_gld_brake_v2", {"macro_regime_risk_off_size_scaler": 0.5}),
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("F03_v3_brake_v2_ro_07", "qqqm_low_dd_tqqq_active_v3_gld_brake_v2", {"macro_regime_risk_off_size_scaler": 0.7}),
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# Try vol026 + ro_05 combo
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("F04_vol026_ro_05", "qqqm_low_dd_tqqq_active_v2_gld_brake_v2_vol026", {"macro_regime_risk_off_size_scaler": 0.5}),
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# Try brake_v3 + ro_05
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("F05_brake_v3_ro_05", "qqqm_low_dd_tqqq_active_v2_gld_brake_v3", {"macro_regime_risk_off_size_scaler": 0.5}),
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# Try r07 (best Sharpe) + ro_05
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("F06_r07_ro_05", "qqqm_low_dd_tqqq_active_v2_gld_brake_v2_r07", {"macro_regime_risk_off_size_scaler": 0.5}),
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# All-in combinations
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("F07_v3_brake_v2_ro_05_30", "qqqm_low_dd_tqqq_active_v3_gld_brake_v2", {"macro_regime_risk_off_size_scaler": 0.3}),
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]
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def main():
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baseline = {"return": 2236.1, "mdd": 14.50, "sharpe": 2.72, "pf": 4.38, "sqs": 87.1, "trades": 293}
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print(f"BASELINE: ret={baseline['return']}% MDD={baseline['mdd']}% Sharpe={baseline['sharpe']} SQS={baseline['sqs']} trades={baseline['trades']}")
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print("=" * 110)
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results = []
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for name, parking, risk_ov in SWEEPS:
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path = make_config(name, parking, risk_ov)
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print(f"\n>>> {name}: parking={parking[-40:]} risk={risk_ov}")
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try:
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r = run_backtest(path)
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r["name"] = name
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d_ret = (r["return"] or 0) - baseline["return"]
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d_sqs = (r["sqs"] or 0) - baseline["sqs"]
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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']}")
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results.append(r)
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except Exception as e:
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print(f" FAILED: {e}")
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print("\n" + "=" * 110)
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print("FINAL SUMMARY (sorted by SQS, then return):")
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results.sort(key=lambda x: (x.get("sqs") or 0, x.get("return") or 0), reverse=True)
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print(f"{'name':30s} {'return':>10s} {'MDD':>8s} {'Sharpe':>8s} {'PF':>6s} {'SQS':>7s} {'trades':>7s}")
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print(f"{'BASELINE':30s} {baseline['return']:>9.0f}% {baseline['mdd']:>7.2f}% {baseline['sharpe']:>8.2f} {baseline['pf']:>6.2f} {baseline['sqs']:>7.1f} {baseline['trades']:>7d}")
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for r in results:
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print(f"{r['name']:30s} {r['return']:>9.0f}% {r['mdd']:>7.2f}% {r['sharpe']:>8.2f} {r['pf']:>6.2f} {r['sqs']:>7.1f} {r['trades']:>7d}")
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if __name__ == "__main__":
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main()
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