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Prefer replay-qualified Torch calibration

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Codex
2026-06-24 23:52:46 +03:00
parent cb8efb7cd7
commit bb3b4070f6
4 changed files with 607 additions and 322 deletions
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.env
+1 -1
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@@ -62,7 +62,7 @@ TIME_SERIES_FORECAST_ENABLED=true
TIME_SERIES_MIN_CANDLES=120 TIME_SERIES_MIN_CANDLES=120
TIME_SERIES_FORECAST_HORIZON=3 TIME_SERIES_FORECAST_HORIZON=3
TIME_SERIES_MIN_EDGE_PERCENT=0.10 TIME_SERIES_MIN_EDGE_PERCENT=0.10
TIME_SERIES_MIN_PROBABILITY_UP=0.52 TIME_SERIES_MIN_PROBABILITY_UP=0.57
TIME_SERIES_MIN_CONFIDENCE=0.4 TIME_SERIES_MIN_CONFIDENCE=0.4
TIME_SERIES_MAX_ADJUSTMENT=0.08 TIME_SERIES_MAX_ADJUSTMENT=0.08
TIME_SERIES_LSTM_ENABLED=true TIME_SERIES_LSTM_ENABLED=true
runtime/torch_threshold_calibration.json
+517 -312
View File
@@ -50,118 +50,128 @@
}, },
"recommended": { "recommended": {
"edge": 0.1, "edge": 0.1,
"probability": 0.52, "probability": 0.57,
"confidence": 0.72, "confidence": 0.4,
"trades": 30, "trades": 38,
"wins": 17, "wins": 20,
"win_rate": 0.5666666666666667, "win_rate": 0.5263157894736842,
"total_net_percent": 12.82679871911413, "total_net_percent": 10.8553482857082,
"average_net_percent": 0.42755995730380436, "average_net_percent": 0.28566706015021576,
"max_drawdown_percent": 1.812991648733242, "max_drawdown_percent": 3.0444999196004408,
"profit_factor": 3.2963631842987433, "profit_factor": 2.166318971301155,
"score": 0.5882388552951857 "score": 0.3782149184267729
}, },
"full_replay": { "full_replay": {
"trades": 8, "trades": 9,
"wins": 8, "wins": 8,
"win_rate": 1.0, "win_rate": 0.8889,
"total_net_percent": 21.0484, "total_net_percent": 18.8986,
"avg_net_percent": 2.631, "avg_net_percent": 2.0998,
"max_drawdown_percent": 0.0, "max_drawdown_percent": 0.2996,
"profit_factor": 999.0, "profit_factor": 64.0689,
"trades_detail": [ "trades_detail": [
{ {
"symbol": "ETHUSDT", "symbol": "ETHUSDT",
"entry_timestamp": 1779832800000, "entry_timestamp": 1779832800000,
"exit_timestamp": 1779868800000, "exit_timestamp": 1779861600000,
"net_percent": 0.5281, "net_percent": 0.2649,
"reason": "forecast_weak_profit_lock", "reason": "forecast_weak_profit_lock",
"held_bars": 10, "held_bars": 8,
"entry_probability": 0.5747, "entry_probability": 0.5763,
"entry_expected_percent": 0.3453 "entry_expected_percent": 0.3499
}, },
{ {
"symbol": "ETHUSDT", "symbol": "ETHUSDT",
"entry_timestamp": 1779940800000, "entry_timestamp": 1779930000000,
"exit_timestamp": 1779984000000, "exit_timestamp": 1779987600000,
"net_percent": 1.3185, "net_percent": -0.2996,
"reason": "forecast_negative",
"held_bars": 16,
"entry_probability": 0.5855,
"entry_expected_percent": 0.1752
},
{
"symbol": "ETHUSDT",
"entry_timestamp": 1780297200000,
"exit_timestamp": 1780340400000,
"net_percent": 1.163,
"reason": "forecast_weak_profit_lock", "reason": "forecast_weak_profit_lock",
"held_bars": 12, "held_bars": 12,
"entry_probability": 0.6018, "entry_probability": 0.578,
"entry_expected_percent": 0.3155 "entry_expected_percent": 0.2182
}, },
{ {
"symbol": "ETHUSDT", "symbol": "ETHUSDT",
"entry_timestamp": 1780300800000, "entry_timestamp": 1780776000000,
"exit_timestamp": 1780347600000, "exit_timestamp": 1780794000000,
"net_percent": 0.2591, "net_percent": 1.8208,
"reason": "forecast_weak_profit_lock", "reason": "forecast_weak_profit_lock",
"held_bars": 13, "held_bars": 5,
"entry_probability": 0.6164, "entry_probability": 0.5736,
"entry_expected_percent": 0.3215 "entry_expected_percent": 0.6405
}, },
{ {
"symbol": "ETHUSDT", "symbol": "ETHUSDT",
"entry_timestamp": 1780768800000, "entry_timestamp": 1781136000000,
"exit_timestamp": 1780855200000, "exit_timestamp": 1781197200000,
"net_percent": 4.4581, "net_percent": 3.4248,
"reason": "forecast_weak_profit_lock",
"held_bars": 17,
"entry_probability": 0.5767,
"entry_expected_percent": 0.282
},
{
"symbol": "ETHUSDT",
"entry_timestamp": 1781434800000,
"exit_timestamp": 1781521200000,
"net_percent": 5.1663,
"reason": "max_hold", "reason": "max_hold",
"held_bars": 24, "held_bars": 24,
"entry_probability": 0.5632, "entry_probability": 0.5737,
"entry_expected_percent": 0.5685 "entry_expected_percent": 0.2332
}, },
{ {
"symbol": "ETHUSDT", "symbol": "ETHUSDT",
"entry_timestamp": 1780862400000, "entry_timestamp": 1781524800000,
"exit_timestamp": 1780869600000, "exit_timestamp": 1781535600000,
"net_percent": 2.4609, "net_percent": 3.5713,
"reason": "forecast_weak_profit_lock", "reason": "forecast_weak_profit_lock",
"held_bars": 2, "held_bars": 3,
"entry_probability": 0.5368, "entry_probability": 0.689,
"entry_expected_percent": 0.4055 "entry_expected_percent": 0.4931
}, },
{ {
"symbol": "ETHUSDT", "symbol": "ETHUSDT",
"entry_timestamp": 1781139600000, "entry_timestamp": 1781586000000,
"exit_timestamp": 1781204400000, "exit_timestamp": 1781596800000,
"net_percent": 2.0707, "net_percent": 2.0739,
"reason": "forecast_weak_profit_lock", "reason": "forecast_weak_profit_lock",
"held_bars": 18, "held_bars": 3,
"entry_probability": 0.5775, "entry_probability": 0.5721,
"entry_expected_percent": 0.3013 "entry_expected_percent": 0.1205
}, },
{ {
"symbol": "ETHUSDT", "symbol": "ETHUSDT",
"entry_timestamp": 1781445600000, "entry_timestamp": 1781863200000,
"exit_timestamp": 1781532000000, "exit_timestamp": 1781931600000,
"net_percent": 9.0305, "net_percent": 1.7132,
"reason": "max_hold",
"held_bars": 24,
"entry_probability": 0.6014,
"entry_expected_percent": 0.2946
},
{
"symbol": "ETHUSDT",
"entry_timestamp": 1781892000000,
"exit_timestamp": 1781942400000,
"net_percent": 0.9224,
"reason": "forecast_weak_profit_lock", "reason": "forecast_weak_profit_lock",
"held_bars": 14, "held_bars": 19,
"entry_probability": 0.5966, "entry_probability": 0.5705,
"entry_expected_percent": 0.2647 "entry_expected_percent": 0.1482
} }
] ]
}, },
"walk_forward": { "walk_forward": {
"summary": { "summary": {
"trades": 16, "trades": 17,
"wins": 8, "wins": 8,
"win_rate": 0.5, "win_rate": 0.4706,
"total_net_percent": 6.8682, "total_net_percent": 10.3038,
"avg_net_percent": 0.4293, "avg_net_percent": 0.6061,
"max_drawdown_percent": 1.3024, "max_drawdown_percent": 1.5511,
"profit_factor": 3.1396, "profit_factor": 3.6814,
"status": "warn" "status": "ok"
}, },
"folds": [ "folds": [
{ {
@@ -171,24 +181,24 @@
"thresholds": { "thresholds": {
"edge": 0.1, "edge": 0.1,
"probability": 0.6, "probability": 0.6,
"confidence": 0.72, "confidence": 0.4,
"trades": 2, "trades": 6,
"wins": 1, "wins": 3,
"win_rate": 0.5, "win_rate": 0.5,
"total_net_percent": -0.10348384852443271, "total_net_percent": -0.04776569264114405,
"average_net_percent": -0.051741924262216354, "average_net_percent": -0.00796094877352401,
"max_drawdown_percent": 0.5106090484004788, "max_drawdown_percent": 1.812991648733242,
"profit_factor": 0.7973325211360753, "profit_factor": 0.9736536609672094,
"score": -0.0037694524148430344 "score": -0.04306718362513842
}, },
"test": { "test": {
"trades": 4, "trades": 0,
"wins": 2, "wins": 0,
"win_rate": 0.5, "win_rate": 0.0,
"total_net_percent": 0.0557, "total_net_percent": 0,
"avg_net_percent": 0.0139, "avg_net_percent": 0.0,
"max_drawdown_percent": 1.3024, "max_drawdown_percent": 0.0,
"profit_factor": 1.0428 "profit_factor": 0.0
} }
}, },
{ {
@@ -197,25 +207,25 @@
"test_records": 720, "test_records": 720,
"thresholds": { "thresholds": {
"edge": 0.1, "edge": 0.1,
"probability": 0.52, "probability": 0.57,
"confidence": 0.72, "confidence": 0.4,
"trades": 18, "trades": 14,
"wins": 11, "wins": 9,
"win_rate": 0.6111111111111112, "win_rate": 0.6428571428571429,
"total_net_percent": 6.01434645293809, "total_net_percent": 0.4316747127586451,
"average_net_percent": 0.3341303584965606, "average_net_percent": 0.030833908054188935,
"max_drawdown_percent": 1.812991648733242, "max_drawdown_percent": 3.0444999196004408,
"profit_factor": 2.6352078385564366, "profit_factor": 1.0927846710457836,
"score": 0.3944002502730791 "score": -0.02831168312815889
}, },
"test": { "test": {
"trades": 11, "trades": 17,
"wins": 6, "wins": 8,
"win_rate": 0.5455, "win_rate": 0.4706,
"total_net_percent": 7.119, "total_net_percent": 10.3038,
"avg_net_percent": 0.6472, "avg_net_percent": 0.6061,
"max_drawdown_percent": 1.0894, "max_drawdown_percent": 1.5511,
"profit_factor": 5.4462 "profit_factor": 3.6814
} }
}, },
{ {
@@ -224,24 +234,24 @@
"test_records": 720, "test_records": 720,
"thresholds": { "thresholds": {
"edge": 0.1, "edge": 0.1,
"probability": 0.52, "probability": 0.62,
"confidence": 0.72, "confidence": 0.4,
"trades": 29, "trades": 10,
"wins": 17, "wins": 4,
"win_rate": 0.5862068965517241, "win_rate": 0.4,
"total_net_percent": 13.13332018590817, "total_net_percent": 8.297644920429114,
"average_net_percent": 0.4528731098589024, "average_net_percent": 0.8297644920429115,
"max_drawdown_percent": 1.812991648733242, "max_drawdown_percent": 1.4887951136316468,
"profit_factor": 3.48775770371021, "profit_factor": 4.295314421439746,
"score": 0.6189314390475966 "score": 0.9255653124403987
}, },
"test": { "test": {
"trades": 1, "trades": 0,
"wins": 0, "wins": 0,
"win_rate": 0.0, "win_rate": 0.0,
"total_net_percent": -0.3065, "total_net_percent": 0,
"avg_net_percent": -0.3065, "avg_net_percent": 0.0,
"max_drawdown_percent": 0.3065, "max_drawdown_percent": 0.0,
"profit_factor": 0.0 "profit_factor": 0.0
} }
} }
@@ -253,63 +263,63 @@
{ {
"bucket": "0.30-0.35", "bucket": "0.30-0.35",
"samples": 38, "samples": 38,
"avg_probability": 0.336, "avg_probability": 0.3361,
"actual_win_rate": 0.1053, "actual_win_rate": 0.1053,
"avg_future_net_percent": -0.6575 "avg_future_net_percent": -0.6575
}, },
{ {
"bucket": "0.35-0.40", "bucket": "0.35-0.40",
"samples": 418, "samples": 406,
"avg_probability": 0.3839, "avg_probability": 0.3838,
"actual_win_rate": 0.2225, "actual_win_rate": 0.2192,
"avg_future_net_percent": -0.6359 "avg_future_net_percent": -0.641
}, },
{ {
"bucket": "0.40-0.45", "bucket": "0.40-0.45",
"samples": 1065, "samples": 1043,
"avg_probability": 0.427, "avg_probability": 0.4276,
"actual_win_rate": 0.2873, "actual_win_rate": 0.2809,
"avg_future_net_percent": -0.4036 "avg_future_net_percent": -0.4529
}, },
{ {
"bucket": "0.45-0.50", "bucket": "0.45-0.50",
"samples": 911, "samples": 918,
"avg_probability": 0.4746, "avg_probability": 0.4744,
"actual_win_rate": 0.3271, "actual_win_rate": 0.3301,
"avg_future_net_percent": -0.3061 "avg_future_net_percent": -0.3166
}, },
{ {
"bucket": "0.50-0.55", "bucket": "0.50-0.55",
"samples": 290, "samples": 312,
"avg_probability": 0.5188, "avg_probability": 0.5195,
"actual_win_rate": 0.3966, "actual_win_rate": 0.3846,
"avg_future_net_percent": -0.0583 "avg_future_net_percent": -0.1107
}, },
{ {
"bucket": "0.55-0.60", "bucket": "0.55-0.60",
"samples": 104, "samples": 108,
"avg_probability": 0.5758, "avg_probability": 0.5753,
"actual_win_rate": 0.4327, "actual_win_rate": 0.4259,
"avg_future_net_percent": 0.0173 "avg_future_net_percent": 0.0115
}, },
{ {
"bucket": "0.60-0.65", "bucket": "0.60-0.65",
"samples": 42, "samples": 42,
"avg_probability": 0.6138, "avg_probability": 0.6136,
"actual_win_rate": 0.4762, "actual_win_rate": 0.4762,
"avg_future_net_percent": -0.0041 "avg_future_net_percent": 0.0003
}, },
{ {
"bucket": "0.65-0.70", "bucket": "0.65-0.70",
"samples": 6, "samples": 7,
"avg_probability": 0.6679, "avg_probability": 0.666,
"actual_win_rate": 0.3333, "actual_win_rate": 0.2857,
"avg_future_net_percent": 0.6587 "avg_future_net_percent": 0.538
}, },
{ {
"bucket": "0.70-0.75", "bucket": "0.70-0.75",
"samples": 6, "samples": 6,
"avg_probability": 0.7103, "avg_probability": 0.7106,
"actual_win_rate": 0.8333, "actual_win_rate": 0.8333,
"avg_future_net_percent": 2.1268 "avg_future_net_percent": 2.1268
} }
@@ -318,198 +328,393 @@
"top_results": [ "top_results": [
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},
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"probability": 0.5, "probability": 0.68,
"confidence": 0.64, "confidence": 0.4,
"trades": 57, "trades": 3,
"wins": 28, "wins": 2,
"win_rate": 0.49122807017543857, "win_rate": 0.6666666666666666,
"total_net_percent": 15.383105036720245, "total_net_percent": 6.378880906676532,
"average_net_percent": 0.2698790357319341, "average_net_percent": 2.1262936355588438,
"max_drawdown_percent": 3.6509791332801522, "max_drawdown_percent": 0.33852124402657946,
"profit_factor": 1.8889561886320847, "profit_factor": 19.84336956464595,
"score": 0.4107453600913507 "score": 0.6437676518357281
}, },
{ {
"edge": 0.06, "edge": 0.06,
"probability": 0.5, "probability": 0.68,
"confidence": 0.68, "confidence": 0.4,
"trades": 57, "trades": 3,
"wins": 28, "wins": 2,
"win_rate": 0.49122807017543857, "win_rate": 0.6666666666666666,
"total_net_percent": 15.383105036720245, "total_net_percent": 6.378880906676532,
"average_net_percent": 0.2698790357319341, "average_net_percent": 2.1262936355588438,
"max_drawdown_percent": 3.6509791332801522, "max_drawdown_percent": 0.33852124402657946,
"profit_factor": 1.8889561886320847, "profit_factor": 19.84336956464595,
"score": 0.4107453600913507 "score": 0.6437676518357281
},
{
"edge": 0.05,
"probability": 0.68,
"confidence": 0.4,
"trades": 3,
"wins": 2,
"win_rate": 0.6666666666666666,
"total_net_percent": 6.378880906676532,
"average_net_percent": 2.1262936355588438,
"max_drawdown_percent": 0.33852124402657946,
"profit_factor": 19.84336956464595,
"score": 0.6437676518357281
},
{
"edge": 0.04,
"probability": 0.68,
"confidence": 0.4,
"trades": 3,
"wins": 2,
"win_rate": 0.6666666666666666,
"total_net_percent": 6.378880906676532,
"average_net_percent": 2.1262936355588438,
"max_drawdown_percent": 0.33852124402657946,
"profit_factor": 19.84336956464595,
"score": 0.6437676518357281
},
{
"edge": 0.02,
"probability": 0.68,
"confidence": 0.4,
"trades": 3,
"wins": 2,
"win_rate": 0.6666666666666666,
"total_net_percent": 6.378880906676532,
"average_net_percent": 2.1262936355588438,
"max_drawdown_percent": 0.33852124402657946,
"profit_factor": 19.84336956464595,
"score": 0.6437676518357281
},
{
"edge": 0.0,
"probability": 0.68,
"confidence": 0.4,
"trades": 3,
"wins": 2,
"win_rate": 0.6666666666666666,
"total_net_percent": 6.378880906676532,
"average_net_percent": 2.1262936355588438,
"max_drawdown_percent": 0.33852124402657946,
"profit_factor": 19.84336956464595,
"score": 0.6437676518357281
}, },
{ {
"edge": 0.1, "edge": 0.1,
"probability": 0.55, "probability": 0.66,
"confidence": 0.68, "confidence": 0.4,
"trades": 32, "trades": 4,
"wins": 16, "wins": 2,
"win_rate": 0.5, "win_rate": 0.5,
"total_net_percent": 9.83610967545454, "total_net_percent": 6.065901369307769,
"average_net_percent": 0.3073784273579544, "average_net_percent": 1.5164753423269421,
"max_drawdown_percent": 2.2311766078638495, "max_drawdown_percent": 0.6515007813953422,
"profit_factor": 2.5019571623752666, "profit_factor": 10.31065862471602,
"score": 0.40798477425385704 "score": 0.5969352778734036
},
{
"edge": 0.08,
"probability": 0.66,
"confidence": 0.4,
"trades": 4,
"wins": 2,
"win_rate": 0.5,
"total_net_percent": 6.065901369307769,
"average_net_percent": 1.5164753423269421,
"max_drawdown_percent": 0.6515007813953422,
"profit_factor": 10.31065862471602,
"score": 0.5969352778734036
},
{
"edge": 0.06,
"probability": 0.66,
"confidence": 0.4,
"trades": 4,
"wins": 2,
"win_rate": 0.5,
"total_net_percent": 6.065901369307769,
"average_net_percent": 1.5164753423269421,
"max_drawdown_percent": 0.6515007813953422,
"profit_factor": 10.31065862471602,
"score": 0.5969352778734036
},
{
"edge": 0.05,
"probability": 0.66,
"confidence": 0.4,
"trades": 4,
"wins": 2,
"win_rate": 0.5,
"total_net_percent": 6.065901369307769,
"average_net_percent": 1.5164753423269421,
"max_drawdown_percent": 0.6515007813953422,
"profit_factor": 10.31065862471602,
"score": 0.5969352778734036
},
{
"edge": 0.04,
"probability": 0.66,
"confidence": 0.4,
"trades": 4,
"wins": 2,
"win_rate": 0.5,
"total_net_percent": 6.065901369307769,
"average_net_percent": 1.5164753423269421,
"max_drawdown_percent": 0.6515007813953422,
"profit_factor": 10.31065862471602,
"score": 0.5969352778734036
},
{
"edge": 0.02,
"probability": 0.66,
"confidence": 0.4,
"trades": 4,
"wins": 2,
"win_rate": 0.5,
"total_net_percent": 6.065901369307769,
"average_net_percent": 1.5164753423269421,
"max_drawdown_percent": 0.6515007813953422,
"profit_factor": 10.31065862471602,
"score": 0.5969352778734036
},
{
"edge": 0.0,
"probability": 0.66,
"confidence": 0.4,
"trades": 4,
"wins": 2,
"win_rate": 0.5,
"total_net_percent": 6.065901369307769,
"average_net_percent": 1.5164753423269421,
"max_drawdown_percent": 0.6515007813953422,
"profit_factor": 10.31065862471602,
"score": 0.5969352778734036
},
{
"edge": 0.1,
"probability": 0.64,
"confidence": 0.4,
"trades": 5,
"wins": 3,
"win_rate": 0.6,
"total_net_percent": 5.9312659261036345,
"average_net_percent": 1.186253185220727,
"max_drawdown_percent": 0.48325866434849596,
"profit_factor": 13.27348077473139,
"score": 0.5927433894697359
},
{
"edge": 0.08,
"probability": 0.64,
"confidence": 0.4,
"trades": 5,
"wins": 3,
"win_rate": 0.6,
"total_net_percent": 5.9312659261036345,
"average_net_percent": 1.186253185220727,
"max_drawdown_percent": 0.48325866434849596,
"profit_factor": 13.27348077473139,
"score": 0.5927433894697359
},
{
"edge": 0.06,
"probability": 0.64,
"confidence": 0.4,
"trades": 5,
"wins": 3,
"win_rate": 0.6,
"total_net_percent": 5.9312659261036345,
"average_net_percent": 1.186253185220727,
"max_drawdown_percent": 0.48325866434849596,
"profit_factor": 13.27348077473139,
"score": 0.5927433894697359
},
{
"edge": 0.05,
"probability": 0.64,
"confidence": 0.4,
"trades": 5,
"wins": 3,
"win_rate": 0.6,
"total_net_percent": 5.9312659261036345,
"average_net_percent": 1.186253185220727,
"max_drawdown_percent": 0.48325866434849596,
"profit_factor": 13.27348077473139,
"score": 0.5927433894697359
},
{
"edge": 0.04,
"probability": 0.64,
"confidence": 0.4,
"trades": 5,
"wins": 3,
"win_rate": 0.6,
"total_net_percent": 5.9312659261036345,
"average_net_percent": 1.186253185220727,
"max_drawdown_percent": 0.48325866434849596,
"profit_factor": 13.27348077473139,
"score": 0.5927433894697359
},
{
"edge": 0.02,
"probability": 0.64,
"confidence": 0.4,
"trades": 5,
"wins": 3,
"win_rate": 0.6,
"total_net_percent": 5.9312659261036345,
"average_net_percent": 1.186253185220727,
"max_drawdown_percent": 0.48325866434849596,
"profit_factor": 13.27348077473139,
"score": 0.5927433894697359
},
{
"edge": 0.0,
"probability": 0.64,
"confidence": 0.4,
"trades": 5,
"wins": 3,
"win_rate": 0.6,
"total_net_percent": 5.9312659261036345,
"average_net_percent": 1.186253185220727,
"max_drawdown_percent": 0.48325866434849596,
"profit_factor": 13.27348077473139,
"score": 0.5927433894697359
},
{
"edge": 0.1,
"probability": 0.6,
"confidence": 0.4,
"trades": 16,
"wins": 9,
"win_rate": 0.5625,
"total_net_percent": 7.917141995065846,
"average_net_percent": 0.49482137469161536,
"max_drawdown_percent": 1.812991648733242,
"profit_factor": 3.629214989861449,
"score": 0.5816887551556057
},
{
"edge": 0.08,
"probability": 0.6,
"confidence": 0.4,
"trades": 16,
"wins": 9,
"win_rate": 0.5625,
"total_net_percent": 7.917141995065846,
"average_net_percent": 0.49482137469161536,
"max_drawdown_percent": 1.812991648733242,
"profit_factor": 3.629214989861449,
"score": 0.5816887551556057
} }
] ]
} }
tools/calibrate_torch_thresholds.py
+56 -3
View File
@@ -138,10 +138,17 @@ def main() -> None:
for result in results[: min(args.top, len(results))]: for result in results[: min(args.top, len(results))]:
print(_result_line(result)) print(_result_line(result))
recommended = _choose_recommendation(results, min_trades=args.min_trades) recommended, full_backtest = _choose_replay_recommendation(
results,
records,
min_trades=args.min_trades,
min_full_replay_trades=args.min_full_replay_trades,
horizon=horizon,
round_trip_cost=round_trip_cost,
settings=settings,
)
print("\nRECOMMENDED") print("\nRECOMMENDED")
print(_result_line(recommended)) print(_result_line(recommended))
full_backtest = _full_backtest(records, recommended, horizon=horizon, round_trip_cost=round_trip_cost, settings=settings)
print("\nFULL_REPLAY") print("\nFULL_REPLAY")
print(_stats_line(full_backtest)) print(_stats_line(full_backtest))
walk_forward = _walk_forward( walk_forward = _walk_forward(
@@ -186,9 +193,10 @@ def _parse_args() -> argparse.Namespace:
parser.add_argument("--calibration-window", type=int, default=720, help="Tail records used for calibration.") parser.add_argument("--calibration-window", type=int, default=720, help="Tail records used for calibration.")
parser.add_argument("--horizon", type=int, default=0, help="Forecast horizon to calibrate.") parser.add_argument("--horizon", type=int, default=0, help="Forecast horizon to calibrate.")
parser.add_argument("--min-trades", type=int, default=12, help="Minimum non-overlapping trades for recommendation.") parser.add_argument("--min-trades", type=int, default=12, help="Minimum non-overlapping trades for recommendation.")
parser.add_argument("--min-full-replay-trades", type=int, default=8, help="Prefer recommendations with at least this many full replay trades.")
parser.add_argument("--edge-grid", default="0.00,0.02,0.04,0.05,0.06,0.08,0.10", help="Percent edge thresholds.") parser.add_argument("--edge-grid", default="0.00,0.02,0.04,0.05,0.06,0.08,0.10", help="Percent edge thresholds.")
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.") 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.")
parser.add_argument("--confidence-grid", default="0.50,0.56,0.60,0.64,0.68,0.72", help="Confidence thresholds.") parser.add_argument("--confidence-grid", default="0.40,0.50,0.56,0.60,0.64,0.68,0.72", help="Confidence thresholds.")
parser.add_argument("--top", type=int, default=15, help="How many top results to print and save.") parser.add_argument("--top", type=int, default=15, help="How many top results to print and save.")
parser.add_argument("--output", default="", help="Optional JSON output path.") parser.add_argument("--output", default="", help="Optional JSON output path.")
parser.add_argument("--batch-size", type=int, default=256, help="Torch inference batch size.") parser.add_argument("--batch-size", type=int, default=256, help="Torch inference batch size.")
@@ -799,6 +807,51 @@ def _choose_recommendation(results: list[CalibrationResult], *, min_trades: int)
return viable[0] if viable else results[0] return viable[0] if viable else results[0]
def _choose_replay_recommendation(
results: list[CalibrationResult],
records: list[ForecastRecord],
*,
min_trades: int,
min_full_replay_trades: int,
horizon: int,
round_trip_cost: float,
settings: Any,
) -> tuple[CalibrationResult, dict[str, Any]]:
fallback = _choose_recommendation(results, min_trades=min_trades)
fallback_replay = _full_backtest(records, fallback, horizon=horizon, round_trip_cost=round_trip_cost, settings=settings)
if min_full_replay_trades <= 0:
return fallback, fallback_replay
viable: list[tuple[CalibrationResult, dict[str, Any]]] = []
for result in results:
if result.trades < min(4, min_trades):
continue
if result.average_net_percent <= 0 or result.total_net_percent <= 0 or result.profit_factor < 1.05:
continue
replay = _full_backtest(records, result, horizon=horizon, round_trip_cost=round_trip_cost, settings=settings)
if int(replay.get("trades", 0) or 0) < min_full_replay_trades:
continue
if float(replay.get("avg_net_percent", 0.0) or 0.0) <= 0:
continue
if float(replay.get("profit_factor", 0.0) or 0.0) < 1.05:
continue
viable.append((result, replay))
if not viable:
return fallback, fallback_replay
viable.sort(
key=lambda item: (
item[0].score,
float(item[1].get("avg_net_percent", 0.0) or 0.0),
float(item[1].get("total_net_percent", 0.0) or 0.0),
int(item[1].get("trades", 0) or 0),
item[0].confidence,
),
reverse=True,
)
return viable[0]
def _forecast_confidence(expected_return: float, probability_up: float, skill: float, min_edge: float) -> float: def _forecast_confidence(expected_return: float, probability_up: float, skill: float, min_edge: float) -> float:
expected_return = max(0.0, expected_return) expected_return = max(0.0, expected_return)
skill = max(0.0, skill) skill = max(0.0, skill)
tools/run_retrain_until_replay8.ps1
+33 -6
View File
@@ -18,6 +18,7 @@ $RepoRoot = (Resolve-Path (Join-Path $PSScriptRoot "..")).Path
$RuntimeDir = Join-Path $RepoRoot "runtime" $RuntimeDir = Join-Path $RepoRoot "runtime"
$LoopLog = Join-Path $RuntimeDir "torch_retrain_until_replay8.log" $LoopLog = Join-Path $RuntimeDir "torch_retrain_until_replay8.log"
$GuardReport = Join-Path $RuntimeDir "torch_retrain_guard.json" $GuardReport = Join-Path $RuntimeDir "torch_retrain_guard.json"
$ActiveCalibration = Join-Path $RuntimeDir "torch_threshold_calibration.json"
$Runner = Join-Path $RepoRoot "tools\run_torch_retrain.ps1" $Runner = Join-Path $RepoRoot "tools\run_torch_retrain.ps1"
New-Item -ItemType Directory -Force -Path $RuntimeDir | Out-Null New-Item -ItemType Directory -Force -Path $RuntimeDir | Out-Null
@@ -45,7 +46,8 @@ function Read-GuardSummary {
return [pscustomobject]@{ return [pscustomobject]@{
Accepted = $false Accepted = $false
Reason = "guard_report_missing" Reason = "guard_report_missing"
ReplayTrades = 0 CandidateReplayTrades = 0
CurrentReplayTrades = 0
WalkForwardTrades = 0 WalkForwardTrades = 0
} }
} }
@@ -54,7 +56,8 @@ function Read-GuardSummary {
return [pscustomobject]@{ return [pscustomobject]@{
Accepted = [bool]$payload.accepted Accepted = [bool]$payload.accepted
Reason = [string]$payload.reason Reason = [string]$payload.reason
ReplayTrades = ConvertTo-IntOrZero $payload.candidate.full_replay.trades CandidateReplayTrades = ConvertTo-IntOrZero $payload.candidate.full_replay.trades
CurrentReplayTrades = ConvertTo-IntOrZero $payload.current.full_replay.trades
WalkForwardTrades = ConvertTo-IntOrZero $payload.candidate.walk_forward_summary.trades WalkForwardTrades = ConvertTo-IntOrZero $payload.candidate.walk_forward_summary.trades
} }
} }
@@ -62,14 +65,34 @@ function Read-GuardSummary {
return [pscustomobject]@{ return [pscustomobject]@{
Accepted = $false Accepted = $false
Reason = "guard_report_unreadable" Reason = "guard_report_unreadable"
ReplayTrades = 0 CandidateReplayTrades = 0
CurrentReplayTrades = 0
WalkForwardTrades = 0 WalkForwardTrades = 0
} }
} }
} }
function Read-ActiveReplayTrades {
if (-not (Test-Path $ActiveCalibration)) {
return 0
}
try {
$payload = Get-Content -Raw -LiteralPath $ActiveCalibration | ConvertFrom-Json
return ConvertTo-IntOrZero $payload.full_replay.trades
}
catch {
return 0
}
}
$attempt = 0 $attempt = 0
while ($true) { while ($true) {
$activeReplayTrades = Read-ActiveReplayTrades
if ($activeReplayTrades -ge $MinReplayTrades) {
Write-LoopLog "Stop condition reached: active calibration full_replay.trades=$activeReplayTrades >= $MinReplayTrades."
exit 0
}
$attempt += 1 $attempt += 1
if ($SeedStart -gt 0) { if ($SeedStart -gt 0) {
$attemptSeed = $SeedStart + $attempt - 1 $attemptSeed = $SeedStart + $attempt - 1
@@ -98,10 +121,14 @@ while ($true) {
& powershell.exe @runnerArgs 2>&1 | Tee-Object -FilePath $LoopLog -Append & powershell.exe @runnerArgs 2>&1 | Tee-Object -FilePath $LoopLog -Append
$runnerExit = $LASTEXITCODE $runnerExit = $LASTEXITCODE
$summary = Read-GuardSummary $summary = Read-GuardSummary
Write-LoopLog "Attempt $attempt finished; runner_exit=$runnerExit accepted=$($summary.Accepted) reason=$($summary.Reason) full_replay.trades=$($summary.ReplayTrades) walk_forward.trades=$($summary.WalkForwardTrades)." 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)."
if ($summary.ReplayTrades -ge $MinReplayTrades) { if ($summary.Accepted -and $summary.CandidateReplayTrades -ge $MinReplayTrades) {
Write-LoopLog "Stop condition reached: full_replay.trades=$($summary.ReplayTrades) >= $MinReplayTrades." Write-LoopLog "Stop condition reached: accepted candidate full_replay.trades=$($summary.CandidateReplayTrades) >= $MinReplayTrades."
exit 0
}
if ($summary.CurrentReplayTrades -ge $MinReplayTrades) {
Write-LoopLog "Stop condition reached: current artifact full_replay.trades=$($summary.CurrentReplayTrades) >= $MinReplayTrades."
exit 0 exit 0
} }