Prefer replay-qualified Torch calibration
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Codex
@@ -138,10 +138,17 @@ def main() -> None:
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for result in results[: min(args.top, len(results))]:
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print(_result_line(result))
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recommended = _choose_recommendation(results, min_trades=args.min_trades)
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recommended, full_backtest = _choose_replay_recommendation(
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results,
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records,
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min_trades=args.min_trades,
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min_full_replay_trades=args.min_full_replay_trades,
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horizon=horizon,
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round_trip_cost=round_trip_cost,
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settings=settings,
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)
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print("\nRECOMMENDED")
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print(_result_line(recommended))
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full_backtest = _full_backtest(records, recommended, horizon=horizon, round_trip_cost=round_trip_cost, settings=settings)
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print("\nFULL_REPLAY")
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print(_stats_line(full_backtest))
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walk_forward = _walk_forward(
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@@ -186,9 +193,10 @@ def _parse_args() -> argparse.Namespace:
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parser.add_argument("--calibration-window", type=int, default=720, help="Tail records used for calibration.")
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parser.add_argument("--horizon", type=int, default=0, help="Forecast horizon to calibrate.")
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parser.add_argument("--min-trades", type=int, default=12, help="Minimum non-overlapping trades for recommendation.")
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parser.add_argument("--min-full-replay-trades", type=int, default=8, help="Prefer recommendations with at least this many full replay trades.")
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parser.add_argument("--edge-grid", default="0.00,0.02,0.04,0.05,0.06,0.08,0.10", help="Percent edge thresholds.")
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parser.add_argument("--probability-grid", default="0.55,0.56,0.57,0.58,0.59,0.60,0.62,0.64,0.66,0.68,0.70", help="P(up) thresholds.")
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parser.add_argument("--confidence-grid", default="0.50,0.56,0.60,0.64,0.68,0.72", help="Confidence thresholds.")
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parser.add_argument("--confidence-grid", default="0.40,0.50,0.56,0.60,0.64,0.68,0.72", help="Confidence thresholds.")
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parser.add_argument("--top", type=int, default=15, help="How many top results to print and save.")
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parser.add_argument("--output", default="", help="Optional JSON output path.")
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parser.add_argument("--batch-size", type=int, default=256, help="Torch inference batch size.")
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@@ -799,6 +807,51 @@ def _choose_recommendation(results: list[CalibrationResult], *, min_trades: int)
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return viable[0] if viable else results[0]
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def _choose_replay_recommendation(
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results: list[CalibrationResult],
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records: list[ForecastRecord],
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*,
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min_trades: int,
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min_full_replay_trades: int,
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horizon: int,
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round_trip_cost: float,
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settings: Any,
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) -> tuple[CalibrationResult, dict[str, Any]]:
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fallback = _choose_recommendation(results, min_trades=min_trades)
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fallback_replay = _full_backtest(records, fallback, horizon=horizon, round_trip_cost=round_trip_cost, settings=settings)
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if min_full_replay_trades <= 0:
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return fallback, fallback_replay
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viable: list[tuple[CalibrationResult, dict[str, Any]]] = []
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for result in results:
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if result.trades < min(4, min_trades):
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continue
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if result.average_net_percent <= 0 or result.total_net_percent <= 0 or result.profit_factor < 1.05:
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continue
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replay = _full_backtest(records, result, horizon=horizon, round_trip_cost=round_trip_cost, settings=settings)
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if int(replay.get("trades", 0) or 0) < min_full_replay_trades:
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continue
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if float(replay.get("avg_net_percent", 0.0) or 0.0) <= 0:
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continue
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if float(replay.get("profit_factor", 0.0) or 0.0) < 1.05:
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continue
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viable.append((result, replay))
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if not viable:
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return fallback, fallback_replay
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viable.sort(
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key=lambda item: (
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item[0].score,
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float(item[1].get("avg_net_percent", 0.0) or 0.0),
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float(item[1].get("total_net_percent", 0.0) or 0.0),
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int(item[1].get("trades", 0) or 0),
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item[0].confidence,
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),
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reverse=True,
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)
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return viable[0]
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def _forecast_confidence(expected_return: float, probability_up: float, skill: float, min_edge: float) -> float:
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expected_return = max(0.0, expected_return)
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skill = max(0.0, skill)
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@@ -18,6 +18,7 @@ $RepoRoot = (Resolve-Path (Join-Path $PSScriptRoot "..")).Path
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$RuntimeDir = Join-Path $RepoRoot "runtime"
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$LoopLog = Join-Path $RuntimeDir "torch_retrain_until_replay8.log"
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$GuardReport = Join-Path $RuntimeDir "torch_retrain_guard.json"
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$ActiveCalibration = Join-Path $RuntimeDir "torch_threshold_calibration.json"
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$Runner = Join-Path $RepoRoot "tools\run_torch_retrain.ps1"
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New-Item -ItemType Directory -Force -Path $RuntimeDir | Out-Null
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@@ -45,7 +46,8 @@ function Read-GuardSummary {
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return [pscustomobject]@{
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Accepted = $false
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Reason = "guard_report_missing"
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ReplayTrades = 0
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CandidateReplayTrades = 0
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CurrentReplayTrades = 0
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WalkForwardTrades = 0
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}
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}
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@@ -54,7 +56,8 @@ function Read-GuardSummary {
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return [pscustomobject]@{
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Accepted = [bool]$payload.accepted
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Reason = [string]$payload.reason
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ReplayTrades = ConvertTo-IntOrZero $payload.candidate.full_replay.trades
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CandidateReplayTrades = ConvertTo-IntOrZero $payload.candidate.full_replay.trades
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CurrentReplayTrades = ConvertTo-IntOrZero $payload.current.full_replay.trades
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WalkForwardTrades = ConvertTo-IntOrZero $payload.candidate.walk_forward_summary.trades
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}
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}
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@@ -62,14 +65,34 @@ function Read-GuardSummary {
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return [pscustomobject]@{
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Accepted = $false
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Reason = "guard_report_unreadable"
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ReplayTrades = 0
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CandidateReplayTrades = 0
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CurrentReplayTrades = 0
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WalkForwardTrades = 0
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}
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}
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}
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function Read-ActiveReplayTrades {
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if (-not (Test-Path $ActiveCalibration)) {
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return 0
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}
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try {
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$payload = Get-Content -Raw -LiteralPath $ActiveCalibration | ConvertFrom-Json
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return ConvertTo-IntOrZero $payload.full_replay.trades
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}
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catch {
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return 0
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}
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}
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$attempt = 0
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while ($true) {
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$activeReplayTrades = Read-ActiveReplayTrades
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if ($activeReplayTrades -ge $MinReplayTrades) {
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Write-LoopLog "Stop condition reached: active calibration full_replay.trades=$activeReplayTrades >= $MinReplayTrades."
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exit 0
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}
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$attempt += 1
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if ($SeedStart -gt 0) {
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$attemptSeed = $SeedStart + $attempt - 1
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@@ -98,10 +121,14 @@ while ($true) {
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& powershell.exe @runnerArgs 2>&1 | Tee-Object -FilePath $LoopLog -Append
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$runnerExit = $LASTEXITCODE
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$summary = Read-GuardSummary
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Write-LoopLog "Attempt $attempt finished; runner_exit=$runnerExit accepted=$($summary.Accepted) reason=$($summary.Reason) full_replay.trades=$($summary.ReplayTrades) walk_forward.trades=$($summary.WalkForwardTrades)."
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Write-LoopLog "Attempt $attempt finished; runner_exit=$runnerExit accepted=$($summary.Accepted) reason=$($summary.Reason) candidate_full_replay.trades=$($summary.CandidateReplayTrades) current_full_replay.trades=$($summary.CurrentReplayTrades) walk_forward.trades=$($summary.WalkForwardTrades)."
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if ($summary.ReplayTrades -ge $MinReplayTrades) {
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Write-LoopLog "Stop condition reached: full_replay.trades=$($summary.ReplayTrades) >= $MinReplayTrades."
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if ($summary.Accepted -and $summary.CandidateReplayTrades -ge $MinReplayTrades) {
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Write-LoopLog "Stop condition reached: accepted candidate full_replay.trades=$($summary.CandidateReplayTrades) >= $MinReplayTrades."
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exit 0
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}
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if ($summary.CurrentReplayTrades -ge $MinReplayTrades) {
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Write-LoopLog "Stop condition reached: current artifact full_replay.trades=$($summary.CurrentReplayTrades) >= $MinReplayTrades."
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exit 0
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}
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