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