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Add local runtime artifacts

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Курнат Андрей
2026-06-23 22:20:13 +03:00
parent 4d02ff3806
commit 4112a17bc5
13 changed files with 733733 additions and 0 deletions
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.env
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TRADING_MODE=paper
HOST=127.0.0.1
PORT=8787
BYBIT_TESTNET=false
BYBIT_API_KEY=
BYBIT_API_SECRET=
STARTING_BALANCE_USDT=100
AUTO_SELECT_SYMBOLS=false
TOP_SYMBOLS_COUNT=4
SYMBOLS=BTCUSDT,ETHUSDT,SOLUSDT,LTCUSDT
STRATEGY_MODE=torch_forecast
BASE_INTERVAL=60
KLINE_LIMIT=240
TREND_INTERVAL=D
TREND_KLINE_LIMIT=260
LOOP_INTERVAL_SECONDS=5
FAST_TRADING_ENABLED=false
FAST_LOOP_INTERVAL_SECONDS=1
FAST_ENTRY_COOLDOWN_SECONDS=20
MAX_ENTRIES_PER_MINUTE=12
WEBSOCKET_ENABLED=true
MIN_SIGNAL_CONFIDENCE=0.64
MAX_SPREAD_PERCENT=0.18
MIN_24H_TURNOVER_USDT=1000000
PATTERN_ANALYSIS_ENABLED=false
PATTERN_SCORE_WEIGHT=0.18
LEARNING_ENABLED=false
LEARNING_LOOKBACK_TRADES=120
LEARNING_MIN_SAMPLES=3
LEARNING_MAX_ADJUSTMENT=0.12
LEARNING_MAX_POSITION_MULTIPLIER=1.6
MIN_POSITION_USDT=1
MAX_POSITION_USDT=25
MAX_SYMBOL_EXPOSURE_USDT=25
MAX_TOTAL_EXPOSURE_USDT=75
MAX_OPEN_POSITIONS=4
MAX_POSITIONS_PER_SYMBOL=1
GRID_TRADING_ENABLED=false
GRID_ENTRY_CONFIDENCE=0.58
GRID_BUY_ZONE=0.45
GRID_MAX_POSITION_USDT=8
REBOUND_TRADING_ENABLED=false
REBOUND_ENTRY_CONFIDENCE=0.58
REBOUND_MIN_PROBABILITY=0.58
REBOUND_MAX_POSITION_USDT=6
KELLY_SIZING_ENABLED=false
KELLY_FRACTION=0.25
KELLY_MAX_FRACTION=0.20
RISK_PER_TRADE_PERCENT=0.01
RISK_GUARD_ENABLED=true
RISK_RECENT_TRADE_WINDOW=20
RISK_MAX_CONSECUTIVE_LOSSES=4
RISK_MIN_RECENT_PROFIT_FACTOR=0.85
RISK_REDUCE_MULTIPLIER=0.50
ATR_TRAILING_MULTIPLIER=2.2
TREND_RSI_MIN=45
TREND_RSI_MAX=65
TIME_SERIES_FORECAST_ENABLED=true
TIME_SERIES_MIN_CANDLES=120
TIME_SERIES_FORECAST_HORIZON=3
TIME_SERIES_MIN_EDGE_PERCENT=0.10
TIME_SERIES_MIN_PROBABILITY_UP=0.52
TIME_SERIES_MIN_CONFIDENCE=0.72
TIME_SERIES_MAX_ADJUSTMENT=0.08
TIME_SERIES_LSTM_ENABLED=true
TIME_SERIES_LSTM_MODEL_PATH=runtime/lstm_forecaster.json
STOP_LOSS_PERCENT=0.04
TAKE_PROFIT_PERCENT=0.035
TRAILING_STOP_PERCENT=0.015
MIN_HOLD_SECONDS=180
ENTRY_COOLDOWN_SECONDS=180
MAX_DAILY_DRAWDOWN_USDT=6
MIN_CASH_RESERVE_USDT=5
TAKER_FEE_RATE=0.001
SLIPPAGE_RATE=0.0003
# Real trading is locked unless all three values are set explicitly.
ENABLE_LIVE_TRADING=false
LIVE_TRADING_CONFIRM=
LIVE_ORDER_MAX_USDT=10
DATABASE_PATH=runtime/tradebot.sqlite3
LOG_PATH=runtime/tradebot.log
runtime/lstm_forecaster.candidate.json
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runtime/lstm_forecaster.json
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runtime/torch_calibrate_candidate.err.log
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runtime/torch_calibrate_candidate.out.log
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BTCUSDT: loaded 2000 60 candles
ETHUSDT: loaded 2000 60 candles
LTCUSDT: loaded 2000 60 candles
SOLUSDT: loaded 2000 60 candles
BTCUSDT: replay records 720
ETHUSDT: replay records 720
SOLUSDT: replay records 720
LTCUSDT: replay records 720
records_by_symbol {"BTCUSDT": 720, "ETHUSDT": 720, "LTCUSDT": 720, "SOLUSDT": 720}
artifact {"created_at": "2026-06-23T19:07:54.434411+00:00", "feature_count": 55, "symbols": {"BTCUSDT": {"directional_accuracy": 0.725, "hidden_size": 96, "lookback": 64, "model": "torch_gru", "skill": 0.15903346077183758}, "ETHUSDT": {"directional_accuracy": 0.6916666666666667, "hidden_size": 64, "lookback": 64, "model": "torch_gru", "skill": 0.09273757527902074}, "LTCUSDT": {"directional_accuracy": 0.6583333333333333, "hidden_size": 96, "lookback": 64, "model": "torch_gru", "skill": 0.11954702418314447}, "SOLUSDT": {"directional_accuracy": 0.6416666666666667, "hidden_size": 96, "lookback": 64, "model": "torch_gru", "skill": 0.03400498728351002}}, "target_horizon": 3, "target_horizons": [1, 3, 6, 12], "target_transform": "net_return_over_volatility", "version": 4}
TOP_RESULTS
edge=0.1000 prob=0.6200 conf=0.7200 trades=9 win=0.333 avg=0.8147% total=7.3321% dd=1.4888% pf=3.912 score=0.6897
edge=0.1000 prob=0.6200 conf=0.6800 trades=9 win=0.333 avg=0.8147% total=7.3321% dd=1.4888% pf=3.912 score=0.6897
edge=0.1000 prob=0.6200 conf=0.6400 trades=9 win=0.333 avg=0.8147% total=7.3321% dd=1.4888% pf=3.912 score=0.6897
edge=0.1000 prob=0.6200 conf=0.6000 trades=9 win=0.333 avg=0.8147% total=7.3321% dd=1.4888% pf=3.912 score=0.6897
edge=0.1000 prob=0.6200 conf=0.5600 trades=9 win=0.333 avg=0.8147% total=7.3321% dd=1.4888% pf=3.912 score=0.6897
edge=0.1000 prob=0.6200 conf=0.5000 trades=9 win=0.333 avg=0.8147% total=7.3321% dd=1.4888% pf=3.912 score=0.6897
edge=0.0800 prob=0.6200 conf=0.7200 trades=9 win=0.333 avg=0.8147% total=7.3321% dd=1.4888% pf=3.912 score=0.6897
edge=0.0800 prob=0.6200 conf=0.6800 trades=9 win=0.333 avg=0.8147% total=7.3321% dd=1.4888% pf=3.912 score=0.6897
edge=0.0800 prob=0.6200 conf=0.6400 trades=9 win=0.333 avg=0.8147% total=7.3321% dd=1.4888% pf=3.912 score=0.6897
edge=0.0800 prob=0.6200 conf=0.6000 trades=9 win=0.333 avg=0.8147% total=7.3321% dd=1.4888% pf=3.912 score=0.6897
edge=0.0800 prob=0.6200 conf=0.5600 trades=9 win=0.333 avg=0.8147% total=7.3321% dd=1.4888% pf=3.912 score=0.6897
edge=0.0800 prob=0.6200 conf=0.5000 trades=9 win=0.333 avg=0.8147% total=7.3321% dd=1.4888% pf=3.912 score=0.6897
edge=0.0600 prob=0.6200 conf=0.7200 trades=9 win=0.333 avg=0.8147% total=7.3321% dd=1.4888% pf=3.912 score=0.6897
edge=0.0600 prob=0.6200 conf=0.6800 trades=9 win=0.333 avg=0.8147% total=7.3321% dd=1.4888% pf=3.912 score=0.6897
edge=0.0600 prob=0.6200 conf=0.6400 trades=9 win=0.333 avg=0.8147% total=7.3321% dd=1.4888% pf=3.912 score=0.6897
RECOMMENDED
edge=0.1000 prob=0.6000 conf=0.6800 trades=16 win=0.562 avg=0.4948% total=7.9171% dd=1.8130% pf=3.629 score=0.5817
FULL_REPLAY
trades=5 win=1.000 avg=1.9149% total=9.5746% dd=0.0000% pf=999.000
WALK_FORWARD
{"avg_net_percent": 0.4783, "max_drawdown_percent": 1.3024, "profit_factor": 3.471, "status": "ok", "total_net_percent": 7.1747, "trades": 15, "win_rate": 0.5333, "wins": 8}
env TIME_SERIES_MIN_EDGE_PERCENT=0.1000 TIME_SERIES_MIN_PROBABILITY_UP=0.6000 TIME_SERIES_MIN_CONFIDENCE=0.6800
runtime/torch_guard_candidate.json
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{
"artifact": {
"version": 4,
"created_at": "2026-06-23T19:07:54.434411+00:00",
"feature_count": 55,
"target_horizon": 3,
"target_horizons": [
1,
3,
6,
12
],
"target_transform": "net_return_over_volatility",
"symbols": {
"BTCUSDT": {
"model": "torch_gru",
"lookback": 64,
"hidden_size": 96,
"skill": 0.15903346077183758,
"directional_accuracy": 0.725
},
"ETHUSDT": {
"model": "torch_gru",
"lookback": 64,
"hidden_size": 64,
"skill": 0.09273757527902074,
"directional_accuracy": 0.6916666666666667
},
"SOLUSDT": {
"model": "torch_gru",
"lookback": 64,
"hidden_size": 96,
"skill": 0.03400498728351002,
"directional_accuracy": 0.6416666666666667
},
"LTCUSDT": {
"model": "torch_gru",
"lookback": 64,
"hidden_size": 96,
"skill": 0.11954702418314447,
"directional_accuracy": 0.6583333333333333
}
}
},
"records_by_symbol": {
"BTCUSDT": 720,
"ETHUSDT": 720,
"SOLUSDT": 720,
"LTCUSDT": 720
},
"recommended": {
"edge": 0.1,
"probability": 0.6,
"confidence": 0.68,
"trades": 16,
"wins": 9,
"win_rate": 0.5625,
"total_net_percent": 7.917141995065847,
"average_net_percent": 0.4948213746916154,
"max_drawdown_percent": 1.812991648733242,
"profit_factor": 3.629214989861449,
"score": 0.5816887551556058
},
"full_replay": {
"trades": 5,
"wins": 5,
"win_rate": 1.0,
"total_net_percent": 9.5746,
"avg_net_percent": 1.9149,
"max_drawdown_percent": 0.0,
"profit_factor": 999.0,
"trades_detail": [
{
"symbol": "ETHUSDT",
"entry_timestamp": 1779940800000,
"exit_timestamp": 1779962400000,
"net_percent": 0.1545,
"reason": "forecast_weak_profit_lock",
"held_bars": 6,
"entry_probability": 0.6018,
"entry_expected_percent": 0.3155
},
{
"symbol": "ETHUSDT",
"entry_timestamp": 1780300800000,
"exit_timestamp": 1780336800000,
"net_percent": 0.1707,
"reason": "forecast_weak_profit_lock",
"held_bars": 10,
"entry_probability": 0.6164,
"entry_expected_percent": 0.3215
},
{
"symbol": "ETHUSDT",
"entry_timestamp": 1781154000000,
"exit_timestamp": 1781157600000,
"net_percent": 0.1476,
"reason": "forecast_weak_profit_lock",
"held_bars": 1,
"entry_probability": 0.6009,
"entry_expected_percent": 0.3352
},
{
"symbol": "ETHUSDT",
"entry_timestamp": 1781161200000,
"exit_timestamp": 1781164800000,
"net_percent": 0.0713,
"reason": "forecast_weak_profit_lock",
"held_bars": 1,
"entry_probability": 0.6004,
"entry_expected_percent": 0.3017
},
{
"symbol": "ETHUSDT",
"entry_timestamp": 1781445600000,
"exit_timestamp": 1781532000000,
"net_percent": 9.0305,
"reason": "max_hold",
"held_bars": 24,
"entry_probability": 0.6014,
"entry_expected_percent": 0.2946
}
]
},
"walk_forward": {
"summary": {
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"wins": 8,
"win_rate": 0.5333,
"total_net_percent": 7.1747,
"avg_net_percent": 0.4783,
"max_drawdown_percent": 1.3024,
"profit_factor": 3.471,
"status": "ok"
},
"folds": [
{
"fold": 1,
"train_records": 720,
"test_records": 720,
"thresholds": {
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"probability": 0.6,
"confidence": 0.72,
"trades": 2,
"wins": 1,
"win_rate": 0.5,
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"average_net_percent": -0.051741924262216354,
"max_drawdown_percent": 0.5106090484004788,
"profit_factor": 0.7973325211360753,
"score": -0.014117837267286302
},
"test": {
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"avg_net_percent": 0.0139,
"max_drawdown_percent": 1.3024,
"profit_factor": 1.0428
}
},
{
"fold": 2,
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"test_records": 720,
"thresholds": {
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{
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}
}
]
},
"probability_calibration": {
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"buckets": [
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{
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{
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{
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{
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{
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{
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}
]
},
"top_results": [
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"max_drawdown_percent": 1.4887951136316468,
"profit_factor": 3.9118496582300852,
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},
{
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},
{
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{
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{
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}
]
}
runtime/torch_guard_candidate_wide.json
+515
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@@ -0,0 +1,515 @@
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runtime/torch_retrain_guard.json
+127
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@@ -0,0 +1,127 @@
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runtime/torch_threshold_calibration.json
+515
View File
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runtime/torch_train_candidate.err.log
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runtime/torch_train_candidate.out.log
+5
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BTCUSDT: model=torch_gru lookback=64 features=55 hidden=96 layers=2 horizons=1,3,6,12 mae=0.47001% baseline=0.55889% skill=0.1590 dir=0.725 p_brier=0.2443
ETHUSDT: model=torch_gru lookback=64 features=55 hidden=64 layers=2 horizons=1,3,6,12 mae=0.63328% baseline=0.69801% skill=0.0927 dir=0.692 p_brier=0.2239
SOLUSDT: model=torch_gru lookback=64 features=55 hidden=96 layers=2 horizons=1,3,6,12 mae=0.85491% baseline=0.88500% skill=0.0340 dir=0.642 p_brier=0.2308
LTCUSDT: model=torch_gru lookback=64 features=55 hidden=96 layers=2 horizons=1,3,6,12 mae=0.57185% baseline=0.64949% skill=0.1195 dir=0.658 p_brier=0.2369
saved G:\Repos\TradeBot\runtime\lstm_forecaster.candidate.json
runtime/tradebot.log
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runtime/tradebot.sqlite3
BIN
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