Fix remote training and model validation pipeline
This commit is contained in:
Курнат Андрей
@@ -95,12 +95,16 @@ powershell -ExecutionPolicy Bypass -File tools\install_windows_torch_retrainer.p
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Для удалённого запуска с телефона или с бота используется Windows training agent. Бот на `tb.kusoft.xyz` хранит очередь заданий, а Windows-машина сама подключается к интернету, забирает задания, обучает модель и загружает артефакты обратно:
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```powershell
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powershell -ExecutionPolicy Bypass -File tools\install_windows_training_agent.ps1 -ApiAuth "login:password" -StartNow
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powershell -ExecutionPolicy Bypass -File tools\install_windows_training_agent.ps1 -ApiAuth "<TRADEBOT_TRAINING_TOKEN>" -StartNow
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```
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Установщик регистрирует Scheduled Task `TradeBot Windows Training Agent` при входе в Windows и удаляет старые локальные retrain-задачи, чтобы обучение запускалось через очередь, а не двумя независимыми механизмами.
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Установщик сохраняет worker-токен через Windows DPAPI, удаляет его старую plaintext-копию из пользовательского окружения и включает постоянный запуск агента. С правами администратора используется Scheduled Task с watchdog; без повышения прав — штатный ярлык в пользовательской папке Startup. Старые локальные retrain-задачи удаляются, чтобы обучение запускалось через очередь, а не двумя независимыми механизмами.
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По умолчанию Windows-расписание переобучает PyTorch `LSTM/GRU` каждые 6 часов с `--limit 3000` на 12 spot-парах из `SYMBOLS`. Параметры можно переопределить через env: `TORCH_RETRAIN_SYMBOLS`, `TORCH_RETRAIN_LIMIT`, `TORCH_RETRAIN_LOOKBACKS`, `TORCH_RETRAIN_ARCHITECTURES`, `TORCH_RETRAIN_HIDDEN_SIZES`, `TORCH_RETRAIN_LAYERS`, `TORCH_RETRAIN_DROPOUTS`, `TORCH_RETRAIN_HORIZON`, `TORCH_RETRAIN_HORIZONS`, `TORCH_RETRAIN_CONTEXT_SYMBOLS`, `TORCH_RETRAIN_FEATURES`, `TORCH_RETRAIN_SEED`, `TORCH_RETRAIN_EPOCHS`, `TORCH_RETRAIN_PATIENCE`, `TORCH_RETRAIN_INTERVAL`, `TORCH_RETRAIN_ENV`.
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По умолчанию Windows-agent обучает pooled multi-asset PyTorch `LSTM/GRU` на `6000` часовых свечах: общие recurrent-веса получают one-hot embedding символа, прогноз усредняется по seed `7/19/43`, модели сравниваются на validation-folds, а пороги калибруются отдельно для каждой пары. Search space использует lookback `32/64/128`, hidden `64/96`, dropout `0.20`, AdamW learning rate `0.0007` и weight decay `0.0005`; untouched holdout и quality gate не ослабляются. Параметры можно переопределить через env: `TORCH_RETRAIN_SYMBOLS`, `TORCH_RETRAIN_LIMIT`, `TORCH_RETRAIN_LOOKBACKS`, `TORCH_RETRAIN_ARCHITECTURES`, `TORCH_RETRAIN_HIDDEN_SIZES`, `TORCH_RETRAIN_LAYERS`, `TORCH_RETRAIN_DROPOUTS`, `TORCH_RETRAIN_HORIZON`, `TORCH_RETRAIN_HORIZONS`, `TORCH_RETRAIN_CONTEXT_SYMBOLS`, `TORCH_RETRAIN_FEATURES`, `TORCH_RETRAIN_SEED`, `TORCH_RETRAIN_ENSEMBLE_SEEDS`, `TORCH_RETRAIN_SELECTION_FOLDS`, `TORCH_RETRAIN_LEARNING_RATE`, `TORCH_RETRAIN_WEIGHT_DECAY`, `TORCH_RETRAIN_EPOCHS`, `TORCH_RETRAIN_PATIENCE`, `TORCH_RETRAIN_INTERVAL`, `TORCH_RETRAIN_ENV`.
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Loss и выбор гиперпараметров учитывают after-cost trading utility и ранговую связь прогноза с будущей доходностью, а не только MAE. В каждом walk-forward fold вероятность `P(up)` калибруется Platt-моделью исключительно на train-части; затем на этой же train-части выбираются глобальные и per-symbol пороги, которые применяются к test-части. Калибратор не имеет fallback на единичные сделки: если минимальная статистика не набрана, кандидат получает `calibration_insufficient` и не может пройти gate.
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Основной decision horizon — `12h`, дополнительные горизонты — `3/6/12/24`. Это согласует прогноз с round-trip cost: при текущих fee/slippage полный вход-выход стоит около `0.26%`, поэтому прежний `3h` target чаще описывал шум, который не покрывал издержки. Threshold search оценивается тем же execution replay со stop-loss, take-profit, ATR trailing и forecast-exit, который используется в walk-forward. `holdout_skill` остаётся только в финальном отчёте и никогда не участвует в фильтрации входов или подборе порогов.
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Если retrain запускается с `-DeployToPi`, после успешного guard он синхронизирует `runtime/lstm_forecaster.json`, `runtime/torch_retrain_guard.json` и `runtime/torch_threshold_calibration.json` на Raspberry Pi через SSH-ключ и перезапускает сервис `tradebot`. Отдельный запуск sync:
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@@ -38,15 +38,11 @@ https://tb.kusoft.xyz
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Этот адрес установлен в приложении по умолчанию. Если в настройках ввести просто `tb.kusoft.xyz`, приложение само добавит `https://`.
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Если домен защищён авторизацией, в поле `API auth` можно указать:
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- `login:password` — приложение отправит HTTP Basic;
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- `Basic ...` — готовый Basic header;
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- `Bearer ...` или просто токен — приложение отправит Bearer.
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В поле `API-токен` указывается отдельный токен Android-клиента (`TRADEBOT_API_TOKEN` на сервере). Логин и пароль reverse proxy приложению не нужны. Токен отправляется как Bearer/X-TradeBot-Token и хранится зашифрованным ключом Android Keystore.
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## Переобучение
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Телефон не обучает модель локально. Вкладка `Обучение` ставит задание в очередь на `tb.kusoft.xyz`, а Windows-agent на закреплённой машине `DESKTOP-TMFDL0H` сам выходит в интернет, забирает задание, обучает модель и отправляет артефакты обратно боту. Так телефон становится пультом запуска/расписания, а тяжёлый PyTorch retrain остаётся на нормальном компьютере даже если он находится в другой сети.
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Телефон не обучает модель локально. Вкладка `Обучение` ставит задание в очередь на `tb.kusoft.xyz`, а Windows-agent на закреплённой машине `SEVENHILL` (`G:\Repos\TradeBot`) сам выходит в интернет, забирает задание, обучает модель и отправляет артефакты обратно боту. Так телефон становится пультом запуска/расписания, а тяжёлый PyTorch retrain остаётся на нормальном компьютере даже если он находится в другой сети.
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## Live-торговля
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@@ -10,7 +10,7 @@ android {
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applicationId = "xyz.kusoft.tradebotmonitor"
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minSdk = 26
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targetSdk = 36
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versionCode = 18
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versionName = "0.3.0"
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versionCode = 20
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versionName = "0.4.1"
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}
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}
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@@ -16,7 +16,14 @@ class AppPrefs(context: Context) {
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if (saved.isNullOrBlank() || saved == LEGACY_PI_API_BASE_URL) {
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prefs.edit().putString("api_base_url", DEFAULT_API_BASE_URL).apply()
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}
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if (prefs.getString("training_computer_name", null).isNullOrBlank()) {
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val trainingComputerName = prefs.getString("training_computer_name", null)?.trim()
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val trainingComputerPath = prefs.getString("training_computer_path", null)?.trim()
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if (
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trainingComputerName.isNullOrBlank() ||
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trainingComputerName == LEGACY_TRAINING_COMPUTER_NAME ||
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trainingComputerPath.isNullOrBlank() ||
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trainingComputerPath == LEGACY_TRAINING_COMPUTER_PATH
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) {
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pinDefaultTrainingComputer()
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}
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}
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@@ -134,8 +141,10 @@ class AppPrefs(context: Context) {
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private companion object {
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const val DEFAULT_API_BASE_URL = "https://tb.kusoft.xyz"
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const val LEGACY_PI_API_BASE_URL = "http://192.168.0.185:8787"
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const val DEFAULT_TRAINING_COMPUTER_NAME = "DESKTOP-TMFDL0H"
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const val DEFAULT_TRAINING_COMPUTER_PATH = "C:\\Repos\\TradeBot"
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const val DEFAULT_TRAINING_COMPUTER_NAME = "SEVENHILL"
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const val DEFAULT_TRAINING_COMPUTER_PATH = "G:\\Repos\\TradeBot"
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const val LEGACY_TRAINING_COMPUTER_NAME = "DESKTOP-TMFDL0H"
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const val LEGACY_TRAINING_COMPUTER_PATH = "C:\\Repos\\TradeBot"
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const val TOKEN_KEY_ALIAS = "tradebot_api_auth_v1"
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}
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}
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+62
-49
@@ -489,21 +489,19 @@ class MainActivity : Activity() {
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liveSignature = liveBlockSignature(snapshot),
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)
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val (savedLogin, savedPassword) = authParts(prefs.commandToken)
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val apiInput = input("Адрес API бота", prefs.apiBaseUrl)
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val loginInput = input("Логин API", savedLogin)
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val passwordInput = input("Пароль API", savedPassword).apply {
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val tokenInput = input("API-токен", prefs.commandToken).apply {
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inputType = InputType.TYPE_CLASS_TEXT or InputType.TYPE_TEXT_VARIATION_PASSWORD
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}
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box.addView(section("Подключение", LinearLayout(this).apply {
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orientation = LinearLayout.VERTICAL
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addView(apiInput)
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addView(loginInput.top(dp(8)))
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addView(passwordInput.top(dp(8)))
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addView(tokenInput.top(dp(8)))
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addView(text("Токен выдаётся сервером для Android-клиента и хранится в Android Keystore.", 12f, Typeface.NORMAL, palette.muted).top(dp(8)))
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addView(actionRow(
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"Сохранить" to {
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prefs.apiBaseUrl = apiInput.text.toString()
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prefs.commandToken = authToken(loginInput.text.toString(), passwordInput.text.toString())
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prefs.commandToken = tokenInput.text.toString()
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toast("Подключение сохранено")
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refreshData(silent = false)
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},
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@@ -1020,6 +1018,13 @@ class MainActivity : Activity() {
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LinearLayout(this).apply {
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val coordination = retrain.optJSONObject("coordination") ?: JSONObject()
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val activeJob = coordination.optJSONObject("active_job")
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val worker = coordination.optJSONObject("worker")
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val trainingComputerName = worker?.optStringClean("name")
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?.takeIf { it.isNotBlank() }
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?: prefs.trainingComputerName
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val trainingComputerPath = worker?.optStringClean("path")
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?.takeIf { it.isNotBlank() }
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?: prefs.trainingComputerPath
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val agentRecentlySeen = coordination.optBoolean(
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"agent_recently_seen",
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coordination.optBoolean("agent_online", false),
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@@ -1036,8 +1041,8 @@ class MainActivity : Activity() {
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val connectionColor = if (agentRecentlySeen || agentBusy) palette.green else palette.amber
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orientation = LinearLayout.VERTICAL
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addView(text("Компьютер обучения", 12f, Typeface.NORMAL, palette.muted))
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addView(text(prefs.trainingComputerName, 18f, Typeface.BOLD, palette.green).top(dp(5)))
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addView(text(prefs.trainingComputerPath, 12f, Typeface.NORMAL, palette.muted).top(dp(4)))
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addView(text(trainingComputerName, 18f, Typeface.BOLD, palette.green).top(dp(5)))
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addView(text(trainingComputerPath, 12f, Typeface.NORMAL, palette.muted).top(dp(4)))
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addView(keyValueLine("Связь агента", connectionText, connectionColor).top(dp(4)))
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addView(text("Бот ставит задания через tb.kusoft.xyz, а этот Windows-agent сам забирает их через интернет и возвращает результат.", 12f, Typeface.NORMAL, palette.muted).top(dp(8)))
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}
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@@ -1052,10 +1057,9 @@ class MainActivity : Activity() {
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val agentOnline = coordination.optBoolean("agent_online", false)
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addView(keyValueLine("Состояние", if (agentOnline) "готов к запуску" else "ждет Windows-agent", if (agentOnline) palette.green else palette.amber).top(dp(8)))
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if (latestJob != null) {
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val latestStatus = latestJob.optStringClean("status")
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val latestPhase = latestJob.optStringClean("phase")
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val latestMessage = latestJob.optStringClean("message")
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addView(keyValueLine("Последнее обучение", trainingJobLabel(latestStatus, latestPhase), trainingJobColor(latestStatus, latestPhase)).top(dp(8)))
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addView(keyValueLine("Последнее обучение", trainingJobLabel(latestJob), trainingJobColor(latestJob)).top(dp(8)))
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addView(trainingModelDecisionLine(latestJob).top(dp(6)))
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if (latestMessage.isNotBlank()) {
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addView(text(latestMessage.take(160), 12f, Typeface.NORMAL, palette.muted).top(dp(6)))
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}
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@@ -1064,12 +1068,11 @@ class MainActivity : Activity() {
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}
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val job = activeJob
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val status = job.optStringClean("status")
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val phase = job.optStringClean("phase")
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val progress = job.optInt("progress_percent", if (status == "completed") 100 else 0).coerceIn(0, 100)
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val message = job.optStringClean("message")
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addView(keyValueLine("Состояние", trainingJobLabel(status, phase), trainingJobColor(status, phase)).top(dp(8)))
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addView(keyValueLine("Состояние", trainingJobLabel(job), trainingJobColor(job)).top(dp(8)))
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addView(allocationBar(progress / 100.0).top(dp(10)))
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addView(keyValueLine("Прогресс", "$progress%", trainingJobColor(status, phase)).top(dp(8)))
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addView(keyValueLine("Прогресс", "$progress%", trainingJobColor(job)).top(dp(8)))
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if (message.isNotBlank()) {
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addView(text(message.take(160), 12f, Typeface.NORMAL, palette.text).top(dp(8)))
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}
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@@ -1241,22 +1244,19 @@ class MainActivity : Activity() {
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if (!isAuthError()) {
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return emptyState("Нет данных от API. ${lastError.ifBlank { "Проверь подключение." }}")
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}
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val (savedLogin, savedPassword) = authParts(prefs.commandToken)
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val apiInput = input("Адрес API бота", prefs.apiBaseUrl)
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val loginInput = input("Логин API", savedLogin)
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val passwordInput = input("Пароль API", savedPassword).apply {
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val tokenInput = input("API-токен", prefs.commandToken).apply {
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inputType = InputType.TYPE_CLASS_TEXT or InputType.TYPE_TEXT_VARIATION_PASSWORD
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}
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return section("Нужен вход в API", LinearLayout(this).apply {
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return section("Нужен API-токен", LinearLayout(this).apply {
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orientation = LinearLayout.VERTICAL
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addView(text("Сервер tb.kusoft.xyz отвечает 401, значит он доступен, но требует авторизацию. Введите логин и пароль, приложение само отправит Basic Auth.", 13f, Typeface.NORMAL, palette.muted))
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addView(text("Сервер доступен, но Android API-токен отсутствует или неверен. Введите отдельный токен клиента; логин и пароль сайта здесь не используются.", 13f, Typeface.NORMAL, palette.muted))
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addView(apiInput.top(dp(12)))
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addView(loginInput.top(dp(8)))
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addView(passwordInput.top(dp(8)))
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addView(tokenInput.top(dp(8)))
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addView(actionRow(
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"Подключиться" to {
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prefs.apiBaseUrl = apiInput.text.toString()
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prefs.commandToken = authToken(loginInput.text.toString(), passwordInput.text.toString())
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prefs.commandToken = tokenInput.text.toString()
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toast("Доступ сохранен, проверяю API")
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refreshData(silent = false)
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},
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@@ -1642,11 +1642,40 @@ class MainActivity : Activity() {
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},
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).joinToString("|")
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private fun trainingJobLabel(status: String, phase: String): String =
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when (status) {
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private fun trainingModelDecision(job: JSONObject): String {
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val explicit = job.optStringClean("model_decision")
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if (explicit in setOf("accepted", "rejected")) return explicit
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val summary = job.optJSONObject("summary") ?: return ""
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return if (summary.has("accepted")) {
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if (summary.optBoolean("accepted", false)) "accepted" else "rejected"
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} else {
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""
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}
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}
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private fun trainingModelDecisionLine(job: JSONObject): View {
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val decision = trainingModelDecision(job)
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val value = when (decision) {
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"accepted" -> "кандидат принят"
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"rejected" -> "кандидат отклонён"
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else -> "нет решения gate"
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}
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val color = when (decision) {
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"accepted" -> palette.green
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"rejected" -> palette.amber
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else -> palette.muted
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}
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return keyValueLine("Результат модели", value, color)
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}
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private fun trainingJobLabel(job: JSONObject): String {
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val status = job.optStringClean("status")
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val phase = job.optStringClean("phase")
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val completedWithDecision = trainingModelDecision(job).isNotBlank()
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return when (status) {
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"pending" -> "ждет Windows-agent"
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"completed" -> "завершено успешно"
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"failed" -> "ошибка обучения"
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"failed" -> if (completedWithDecision) "завершено успешно" else "ошибка обучения"
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"running" -> when (phase) {
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"claimed" -> "задание получено"
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"training" -> "идет обучение"
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@@ -1656,14 +1685,19 @@ class MainActivity : Activity() {
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}
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else -> "готов к запуску"
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}
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}
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private fun trainingJobColor(status: String, phase: String): Int =
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when {
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status == "completed" -> palette.green
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private fun trainingJobColor(job: JSONObject): Int {
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val status = job.optStringClean("status")
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val phase = job.optStringClean("phase")
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val completedWithDecision = trainingModelDecision(job).isNotBlank()
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return when {
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status == "completed" || completedWithDecision -> palette.green
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status == "failed" -> palette.red
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status == "pending" || status == "running" || phase.isNotBlank() -> palette.amber
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else -> palette.text
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}
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}
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private fun normalizedAction(raw: String?): String {
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val value = raw.orEmpty().uppercase(Locale.US)
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@@ -1700,27 +1734,6 @@ class MainActivity : Activity() {
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else -> value.ifBlank { "нет данных" }
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}
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private fun authParts(value: String): Pair<String, String> {
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val trimmed = value.trim()
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if (trimmed.isBlank() || trimmed.startsWith("Bearer ", ignoreCase = true)) {
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return "" to ""
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}
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val basicPrefix = "Basic "
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val raw = if (trimmed.startsWith(basicPrefix, ignoreCase = true)) "" else trimmed
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val separator = raw.indexOf(':')
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return if (separator >= 0) {
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raw.substring(0, separator) to raw.substring(separator + 1)
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} else {
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raw to ""
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}
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}
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private fun authToken(login: String, password: String): String {
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val cleanLogin = login.trim()
|
||||
val cleanPassword = password.trim()
|
||||
return if (cleanLogin.isBlank() && cleanPassword.isBlank()) "" else "$cleanLogin:$cleanPassword"
|
||||
}
|
||||
|
||||
private fun modelLabel(value: String): String =
|
||||
when {
|
||||
value.contains("gru", ignoreCase = true) -> "PyTorch GRU"
|
||||
|
||||
+4
-12
@@ -1,6 +1,5 @@
|
||||
package xyz.kusoft.tradebotmonitor
|
||||
|
||||
import android.util.Base64
|
||||
import org.json.JSONArray
|
||||
import org.json.JSONObject
|
||||
import java.io.BufferedReader
|
||||
@@ -98,7 +97,7 @@ class TradeBotApi(
|
||||
connection.disconnect()
|
||||
if (code !in 200..299) {
|
||||
if (code == HttpURLConnection.HTTP_UNAUTHORIZED) {
|
||||
throw IllegalStateException("HTTP 401: сервер требует логин и пароль")
|
||||
throw IllegalStateException("HTTP 401: API-токен отсутствует или неверен")
|
||||
}
|
||||
throw IllegalStateException("HTTP $code: ${text.take(240)}")
|
||||
}
|
||||
@@ -282,15 +281,8 @@ class TradeBotApi(
|
||||
private fun applyAuthHeaders(connection: HttpURLConnection, token: String) {
|
||||
val value = token.trim()
|
||||
if (value.isBlank()) return
|
||||
connection.setRequestProperty("X-TradeBot-Token", value)
|
||||
val authorization = when {
|
||||
value.startsWith("Basic ", ignoreCase = true) -> value
|
||||
value.startsWith("Bearer ", ignoreCase = true) -> value
|
||||
":" in value -> {
|
||||
val encoded = Base64.encodeToString(value.toByteArray(StandardCharsets.UTF_8), Base64.NO_WRAP)
|
||||
"Basic $encoded"
|
||||
}
|
||||
else -> "Bearer $value"
|
||||
}
|
||||
val rawToken = value.removePrefix("Bearer ").removePrefix("bearer ").trim()
|
||||
connection.setRequestProperty("X-TradeBot-Token", rawToken)
|
||||
val authorization = "Bearer $rawToken"
|
||||
connection.setRequestProperty("Authorization", authorization)
|
||||
}
|
||||
|
||||
Binary file not shown.
@@ -0,0 +1,7 @@
|
||||
distributionBase=GRADLE_USER_HOME
|
||||
distributionPath=wrapper/dists
|
||||
distributionUrl=https\://services.gradle.org/distributions/gradle-9.4.1-bin.zip
|
||||
networkTimeout=10000
|
||||
validateDistributionUrl=true
|
||||
zipStoreBase=GRADLE_USER_HOME
|
||||
zipStorePath=wrapper/dists
|
||||
Vendored
+248
@@ -0,0 +1,248 @@
|
||||
#!/bin/sh
|
||||
|
||||
#
|
||||
# Copyright © 2015 the original authors.
|
||||
#
|
||||
# Licensed under the Apache License, Version 2.0 (the "License");
|
||||
# you may not use this file except in compliance with the License.
|
||||
# You may obtain a copy of the License at
|
||||
#
|
||||
# https://www.apache.org/licenses/LICENSE-2.0
|
||||
#
|
||||
# Unless required by applicable law or agreed to in writing, software
|
||||
# distributed under the License is distributed on an "AS IS" BASIS,
|
||||
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
|
||||
# See the License for the specific language governing permissions and
|
||||
# limitations under the License.
|
||||
#
|
||||
# SPDX-License-Identifier: Apache-2.0
|
||||
#
|
||||
|
||||
##############################################################################
|
||||
#
|
||||
# Gradle start up script for POSIX generated by Gradle.
|
||||
#
|
||||
# Important for running:
|
||||
#
|
||||
# (1) You need a POSIX-compliant shell to run this script. If your /bin/sh is
|
||||
# noncompliant, but you have some other compliant shell such as ksh or
|
||||
# bash, then to run this script, type that shell name before the whole
|
||||
# command line, like:
|
||||
#
|
||||
# ksh Gradle
|
||||
#
|
||||
# Busybox and similar reduced shells will NOT work, because this script
|
||||
# requires all of these POSIX shell features:
|
||||
# * functions;
|
||||
# * expansions «$var», «${var}», «${var:-default}», «${var+SET}»,
|
||||
# «${var#prefix}», «${var%suffix}», and «$( cmd )»;
|
||||
# * compound commands having a testable exit status, especially «case»;
|
||||
# * various built-in commands including «command», «set», and «ulimit».
|
||||
#
|
||||
# Important for patching:
|
||||
#
|
||||
# (2) This script targets any POSIX shell, so it avoids extensions provided
|
||||
# by Bash, Ksh, etc; in particular arrays are avoided.
|
||||
#
|
||||
# The "traditional" practice of packing multiple parameters into a
|
||||
# space-separated string is a well documented source of bugs and security
|
||||
# problems, so this is (mostly) avoided, by progressively accumulating
|
||||
# options in "$@", and eventually passing that to Java.
|
||||
#
|
||||
# Where the inherited environment variables (DEFAULT_JVM_OPTS, JAVA_OPTS,
|
||||
# and GRADLE_OPTS) rely on word-splitting, this is performed explicitly;
|
||||
# see the in-line comments for details.
|
||||
#
|
||||
# There are tweaks for specific operating systems such as AIX, CygWin,
|
||||
# Darwin, MinGW, and NonStop.
|
||||
#
|
||||
# (3) This script is generated from the Groovy template
|
||||
# https://github.com/gradle/gradle/blob/2d6327017519d23b96af35865dc997fcb544fb40/platforms/jvm/plugins-application/src/main/resources/org/gradle/api/internal/plugins/unixStartScript.txt
|
||||
# within the Gradle project.
|
||||
#
|
||||
# You can find Gradle at https://github.com/gradle/gradle/.
|
||||
#
|
||||
##############################################################################
|
||||
|
||||
# Attempt to set APP_HOME
|
||||
|
||||
# Resolve links: $0 may be a link
|
||||
app_path=$0
|
||||
|
||||
# Need this for daisy-chained symlinks.
|
||||
while
|
||||
APP_HOME=${app_path%"${app_path##*/}"} # leaves a trailing /; empty if no leading path
|
||||
[ -h "$app_path" ]
|
||||
do
|
||||
ls=$( ls -ld "$app_path" )
|
||||
link=${ls#*' -> '}
|
||||
case $link in #(
|
||||
/*) app_path=$link ;; #(
|
||||
*) app_path=$APP_HOME$link ;;
|
||||
esac
|
||||
done
|
||||
|
||||
# This is normally unused
|
||||
# shellcheck disable=SC2034
|
||||
APP_BASE_NAME=${0##*/}
|
||||
# Discard cd standard output in case $CDPATH is set (https://github.com/gradle/gradle/issues/25036)
|
||||
APP_HOME=$( cd -P "${APP_HOME:-./}" > /dev/null && printf '%s\n' "$PWD" ) || exit
|
||||
|
||||
# Use the maximum available, or set MAX_FD != -1 to use that value.
|
||||
MAX_FD=maximum
|
||||
|
||||
warn () {
|
||||
echo "$*"
|
||||
} >&2
|
||||
|
||||
die () {
|
||||
echo
|
||||
echo "$*"
|
||||
echo
|
||||
exit 1
|
||||
} >&2
|
||||
|
||||
# OS specific support (must be 'true' or 'false').
|
||||
cygwin=false
|
||||
msys=false
|
||||
darwin=false
|
||||
nonstop=false
|
||||
case "$( uname )" in #(
|
||||
CYGWIN* ) cygwin=true ;; #(
|
||||
Darwin* ) darwin=true ;; #(
|
||||
MSYS* | MINGW* ) msys=true ;; #(
|
||||
NONSTOP* ) nonstop=true ;;
|
||||
esac
|
||||
|
||||
|
||||
|
||||
# Determine the Java command to use to start the JVM.
|
||||
if [ -n "$JAVA_HOME" ] ; then
|
||||
if [ -x "$JAVA_HOME/jre/sh/java" ] ; then
|
||||
# IBM's JDK on AIX uses strange locations for the executables
|
||||
JAVACMD=$JAVA_HOME/jre/sh/java
|
||||
else
|
||||
JAVACMD=$JAVA_HOME/bin/java
|
||||
fi
|
||||
if [ ! -x "$JAVACMD" ] ; then
|
||||
die "ERROR: JAVA_HOME is set to an invalid directory: $JAVA_HOME
|
||||
|
||||
Please set the JAVA_HOME variable in your environment to match the
|
||||
location of your Java installation."
|
||||
fi
|
||||
else
|
||||
JAVACMD=java
|
||||
if ! command -v java >/dev/null 2>&1
|
||||
then
|
||||
die "ERROR: JAVA_HOME is not set and no 'java' command could be found in your PATH.
|
||||
|
||||
Please set the JAVA_HOME variable in your environment to match the
|
||||
location of your Java installation."
|
||||
fi
|
||||
fi
|
||||
|
||||
# Increase the maximum file descriptors if we can.
|
||||
if ! "$cygwin" && ! "$darwin" && ! "$nonstop" ; then
|
||||
case $MAX_FD in #(
|
||||
max*)
|
||||
# In POSIX sh, ulimit -H is undefined. That's why the result is checked to see if it worked.
|
||||
# shellcheck disable=SC2039,SC3045
|
||||
MAX_FD=$( ulimit -H -n ) ||
|
||||
warn "Could not query maximum file descriptor limit"
|
||||
esac
|
||||
case $MAX_FD in #(
|
||||
'' | soft) :;; #(
|
||||
*)
|
||||
# In POSIX sh, ulimit -n is undefined. That's why the result is checked to see if it worked.
|
||||
# shellcheck disable=SC2039,SC3045
|
||||
ulimit -n "$MAX_FD" ||
|
||||
warn "Could not set maximum file descriptor limit to $MAX_FD"
|
||||
esac
|
||||
fi
|
||||
|
||||
# Collect all arguments for the java command, stacking in reverse order:
|
||||
# * args from the command line
|
||||
# * the main class name
|
||||
# * -classpath
|
||||
# * -D...appname settings
|
||||
# * --module-path (only if needed)
|
||||
# * DEFAULT_JVM_OPTS, JAVA_OPTS, and GRADLE_OPTS environment variables.
|
||||
|
||||
# For Cygwin or MSYS, switch paths to Windows format before running java
|
||||
if "$cygwin" || "$msys" ; then
|
||||
APP_HOME=$( cygpath --path --mixed "$APP_HOME" )
|
||||
|
||||
JAVACMD=$( cygpath --unix "$JAVACMD" )
|
||||
|
||||
# Now convert the arguments - kludge to limit ourselves to /bin/sh
|
||||
for arg do
|
||||
if
|
||||
case $arg in #(
|
||||
-*) false ;; # don't mess with options #(
|
||||
/?*) t=${arg#/} t=/${t%%/*} # looks like a POSIX filepath
|
||||
[ -e "$t" ] ;; #(
|
||||
*) false ;;
|
||||
esac
|
||||
then
|
||||
arg=$( cygpath --path --ignore --mixed "$arg" )
|
||||
fi
|
||||
# Roll the args list around exactly as many times as the number of
|
||||
# args, so each arg winds up back in the position where it started, but
|
||||
# possibly modified.
|
||||
#
|
||||
# NB: a `for` loop captures its iteration list before it begins, so
|
||||
# changing the positional parameters here affects neither the number of
|
||||
# iterations, nor the values presented in `arg`.
|
||||
shift # remove old arg
|
||||
set -- "$@" "$arg" # push replacement arg
|
||||
done
|
||||
fi
|
||||
|
||||
|
||||
# Add default JVM options here. You can also use JAVA_OPTS and GRADLE_OPTS to pass JVM options to this script.
|
||||
DEFAULT_JVM_OPTS='"-Xmx64m" "-Xms64m"'
|
||||
|
||||
# Collect all arguments for the java command:
|
||||
# * DEFAULT_JVM_OPTS, JAVA_OPTS, and optsEnvironmentVar are not allowed to contain shell fragments,
|
||||
# and any embedded shellness will be escaped.
|
||||
# * For example: A user cannot expect ${Hostname} to be expanded, as it is an environment variable and will be
|
||||
# treated as '${Hostname}' itself on the command line.
|
||||
|
||||
set -- \
|
||||
"-Dorg.gradle.appname=$APP_BASE_NAME" \
|
||||
-jar "$APP_HOME/gradle/wrapper/gradle-wrapper.jar" \
|
||||
"$@"
|
||||
|
||||
# Stop when "xargs" is not available.
|
||||
if ! command -v xargs >/dev/null 2>&1
|
||||
then
|
||||
die "xargs is not available"
|
||||
fi
|
||||
|
||||
# Use "xargs" to parse quoted args.
|
||||
#
|
||||
# With -n1 it outputs one arg per line, with the quotes and backslashes removed.
|
||||
#
|
||||
# In Bash we could simply go:
|
||||
#
|
||||
# readarray ARGS < <( xargs -n1 <<<"$var" ) &&
|
||||
# set -- "${ARGS[@]}" "$@"
|
||||
#
|
||||
# but POSIX shell has neither arrays nor command substitution, so instead we
|
||||
# post-process each arg (as a line of input to sed) to backslash-escape any
|
||||
# character that might be a shell metacharacter, then use eval to reverse
|
||||
# that process (while maintaining the separation between arguments), and wrap
|
||||
# the whole thing up as a single "set" statement.
|
||||
#
|
||||
# This will of course break if any of these variables contains a newline or
|
||||
# an unmatched quote.
|
||||
#
|
||||
|
||||
eval "set -- $(
|
||||
printf '%s\n' "$DEFAULT_JVM_OPTS $JAVA_OPTS $GRADLE_OPTS" |
|
||||
xargs -n1 |
|
||||
sed ' s~[^-[:alnum:]+,./:=@_]~\\&~g; ' |
|
||||
tr '\n' ' '
|
||||
)" '"$@"'
|
||||
|
||||
exec "$JAVACMD" "$@"
|
||||
Vendored
+93
@@ -0,0 +1,93 @@
|
||||
@rem
|
||||
@rem Copyright 2015 the original author or authors.
|
||||
@rem
|
||||
@rem Licensed under the Apache License, Version 2.0 (the "License");
|
||||
@rem you may not use this file except in compliance with the License.
|
||||
@rem You may obtain a copy of the License at
|
||||
@rem
|
||||
@rem https://www.apache.org/licenses/LICENSE-2.0
|
||||
@rem
|
||||
@rem Unless required by applicable law or agreed to in writing, software
|
||||
@rem distributed under the License is distributed on an "AS IS" BASIS,
|
||||
@rem WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
|
||||
@rem See the License for the specific language governing permissions and
|
||||
@rem limitations under the License.
|
||||
@rem
|
||||
@rem SPDX-License-Identifier: Apache-2.0
|
||||
@rem
|
||||
|
||||
@if "%DEBUG%"=="" @echo off
|
||||
@rem ##########################################################################
|
||||
@rem
|
||||
@rem Gradle startup script for Windows
|
||||
@rem
|
||||
@rem ##########################################################################
|
||||
|
||||
@rem Set local scope for the variables with windows NT shell
|
||||
if "%OS%"=="Windows_NT" setlocal
|
||||
|
||||
set DIRNAME=%~dp0
|
||||
if "%DIRNAME%"=="" set DIRNAME=.
|
||||
@rem This is normally unused
|
||||
set APP_BASE_NAME=%~n0
|
||||
set APP_HOME=%DIRNAME%
|
||||
|
||||
@rem Resolve any "." and ".." in APP_HOME to make it shorter.
|
||||
for %%i in ("%APP_HOME%") do set APP_HOME=%%~fi
|
||||
|
||||
@rem Add default JVM options here. You can also use JAVA_OPTS and GRADLE_OPTS to pass JVM options to this script.
|
||||
set DEFAULT_JVM_OPTS="-Xmx64m" "-Xms64m"
|
||||
|
||||
@rem Find java.exe
|
||||
if defined JAVA_HOME goto findJavaFromJavaHome
|
||||
|
||||
set JAVA_EXE=java.exe
|
||||
%JAVA_EXE% -version >NUL 2>&1
|
||||
if %ERRORLEVEL% equ 0 goto execute
|
||||
|
||||
echo. 1>&2
|
||||
echo ERROR: JAVA_HOME is not set and no 'java' command could be found in your PATH. 1>&2
|
||||
echo. 1>&2
|
||||
echo Please set the JAVA_HOME variable in your environment to match the 1>&2
|
||||
echo location of your Java installation. 1>&2
|
||||
|
||||
goto fail
|
||||
|
||||
:findJavaFromJavaHome
|
||||
set JAVA_HOME=%JAVA_HOME:"=%
|
||||
set JAVA_EXE=%JAVA_HOME%/bin/java.exe
|
||||
|
||||
if exist "%JAVA_EXE%" goto execute
|
||||
|
||||
echo. 1>&2
|
||||
echo ERROR: JAVA_HOME is set to an invalid directory: %JAVA_HOME% 1>&2
|
||||
echo. 1>&2
|
||||
echo Please set the JAVA_HOME variable in your environment to match the 1>&2
|
||||
echo location of your Java installation. 1>&2
|
||||
|
||||
goto fail
|
||||
|
||||
:execute
|
||||
@rem Setup the command line
|
||||
|
||||
|
||||
|
||||
@rem Execute Gradle
|
||||
"%JAVA_EXE%" %DEFAULT_JVM_OPTS% %JAVA_OPTS% %GRADLE_OPTS% "-Dorg.gradle.appname=%APP_BASE_NAME%" -jar "%APP_HOME%\gradle\wrapper\gradle-wrapper.jar" %*
|
||||
|
||||
:end
|
||||
@rem End local scope for the variables with windows NT shell
|
||||
if %ERRORLEVEL% equ 0 goto mainEnd
|
||||
|
||||
:fail
|
||||
rem Set variable GRADLE_EXIT_CONSOLE if you need the _script_ return code instead of
|
||||
rem the _cmd.exe /c_ return code!
|
||||
set EXIT_CODE=%ERRORLEVEL%
|
||||
if %EXIT_CODE% equ 0 set EXIT_CODE=1
|
||||
if not ""=="%GRADLE_EXIT_CONSOLE%" exit %EXIT_CODE%
|
||||
exit /b %EXIT_CODE%
|
||||
|
||||
:mainEnd
|
||||
if "%OS%"=="Windows_NT" endlocal
|
||||
|
||||
:omega
|
||||
@@ -644,8 +644,12 @@ def _torch_forecast_entry_signal(
|
||||
expected_return = _safe_float(forecast.get("expected_return_percent"), 0.0)
|
||||
probability_up = _safe_float(forecast.get("probability_up"), 0.5)
|
||||
skill = _safe_float(forecast.get("skill"), 0.0)
|
||||
min_edge = max(0.0, settings.time_series_min_edge_percent)
|
||||
min_probability = _torch_min_probability(settings)
|
||||
min_edge = max(0.0, _safe_float(forecast.get("calibrated_min_edge_percent"), settings.time_series_min_edge_percent))
|
||||
min_probability = _clamp(
|
||||
_safe_float(forecast.get("calibrated_min_probability_up"), _torch_min_probability(settings)),
|
||||
0.5,
|
||||
0.95,
|
||||
)
|
||||
probe_min_edge = max(0.0, min(settings.time_series_probe_min_edge_percent, min_edge))
|
||||
probe_min_probability = round(
|
||||
_clamp(settings.time_series_probe_min_probability_up, min_probability, 0.85),
|
||||
@@ -716,7 +720,7 @@ def _torch_forecast_entry_signal(
|
||||
and expected_return >= 0.0
|
||||
and probability_up >= rebound_model_probability_min
|
||||
and skill > 0.0
|
||||
and confidence >= settings.time_series_min_confidence
|
||||
and confidence >= _safe_float(forecast.get("calibrated_min_confidence"), settings.time_series_min_confidence)
|
||||
)
|
||||
fallback_rebound_entry_ok = bool(
|
||||
settings.time_series_rebound_fallback_enabled
|
||||
@@ -725,7 +729,7 @@ def _torch_forecast_entry_signal(
|
||||
and quality_gate_ok
|
||||
and model_fresh_ok
|
||||
and not bool(forecast.get("block_entry", False))
|
||||
and confidence >= settings.time_series_min_confidence
|
||||
and confidence >= _safe_float(forecast.get("calibrated_min_confidence"), settings.time_series_min_confidence)
|
||||
)
|
||||
rebound_entry_ok = model_rebound_entry_ok or fallback_rebound_entry_ok
|
||||
if rebound_entry_ok and position_notional > 0:
|
||||
@@ -896,8 +900,12 @@ def _torch_forecast_exit_signal(
|
||||
expected_return = _safe_float(forecast.get("expected_return_percent"), 0.0)
|
||||
probability_up = _safe_float(forecast.get("probability_up"), 0.5)
|
||||
skill = _safe_float(forecast.get("skill"), 0.0)
|
||||
min_edge = max(0.0, settings.time_series_min_edge_percent)
|
||||
min_probability = _torch_min_probability(settings)
|
||||
min_edge = max(0.0, _safe_float(forecast.get("calibrated_min_edge_percent"), settings.time_series_min_edge_percent))
|
||||
min_probability = _clamp(
|
||||
_safe_float(forecast.get("calibrated_min_probability_up"), _torch_min_probability(settings)),
|
||||
0.5,
|
||||
0.95,
|
||||
)
|
||||
estimated_exit_net_percent = _estimated_exit_net_percent(position, price, settings)
|
||||
min_exit_net_percent = _min_exit_net_percent(settings)
|
||||
entry_path = str(position.entry_diagnostics.get("entry_path", ""))
|
||||
|
||||
@@ -160,6 +160,9 @@ class TimeSeriesForecast:
|
||||
model_created_at: str = ""
|
||||
model_age_hours: float | None = None
|
||||
model_fresh: bool = False
|
||||
calibrated_min_edge_percent: float = 0.0
|
||||
calibrated_min_probability_up: float = 0.0
|
||||
calibrated_min_confidence: float = 0.0
|
||||
|
||||
def as_dict(self) -> dict[str, Any]:
|
||||
return asdict(self)
|
||||
@@ -196,8 +199,20 @@ class TimeSeriesForecaster:
|
||||
artifact,
|
||||
self.settings.time_series_model_max_age_hours,
|
||||
)
|
||||
quality_gate = self._load_quality_gate()
|
||||
calibration = self._load_quality_gate()
|
||||
quality_gate = (
|
||||
calibration.get("validation")
|
||||
if isinstance(calibration.get("validation"), dict)
|
||||
else calibration
|
||||
)
|
||||
quality_gate_passed = _quality_gate_passed(quality_gate)
|
||||
calibrated = _calibrated_thresholds(
|
||||
calibration,
|
||||
symbol,
|
||||
edge=self.settings.time_series_min_edge_percent,
|
||||
probability=self.settings.time_series_min_probability_up,
|
||||
confidence=self.settings.time_series_min_confidence,
|
||||
)
|
||||
entry = _torch_recurrent_entry(symbol, artifact)
|
||||
model = _torch_recurrent_model_name(symbol, artifact)
|
||||
clip = _clamp(_float_entry(entry or {}, "clip", 8.0), 1.0, 50.0)
|
||||
@@ -249,7 +264,7 @@ class TimeSeriesForecaster:
|
||||
q90_percent = (math.exp(float(selected.get("q90", expected_return))) - 1) * 100
|
||||
skill = _clamp(_float_entry(entry, "skill", 0.0), -1.0, 1.0)
|
||||
horizon = int(selected.get("horizon", _entry_horizon(entry, self.settings.time_series_forecast_horizon)))
|
||||
min_edge = max(0.0, self.settings.time_series_min_edge_percent)
|
||||
min_edge = calibrated["edge"]
|
||||
confidence_adjustment = _confidence_adjustment(
|
||||
expected_return_percent=expected_return_percent,
|
||||
probability_up=probability_up,
|
||||
@@ -299,6 +314,9 @@ class TimeSeriesForecaster:
|
||||
model_created_at=model_created_at,
|
||||
model_age_hours=model_age_hours,
|
||||
model_fresh=model_fresh,
|
||||
calibrated_min_edge_percent=calibrated["edge"],
|
||||
calibrated_min_probability_up=calibrated["probability"],
|
||||
calibrated_min_confidence=calibrated["confidence"],
|
||||
)
|
||||
|
||||
direct_horizon = _is_direct_horizon(entry)
|
||||
@@ -318,7 +336,7 @@ class TimeSeriesForecaster:
|
||||
expected_return_percent = (math.exp(expected_return) - 1) * 100
|
||||
probability_up = _normal_cdf(expected_return / max(uncertainty, 1e-9))
|
||||
skill = _clamp(_float_entry(entry, "skill", 0.0), -1.0, 1.0)
|
||||
min_edge = max(0.0, self.settings.time_series_min_edge_percent)
|
||||
min_edge = calibrated["edge"]
|
||||
confidence_adjustment = _confidence_adjustment(
|
||||
expected_return_percent=expected_return_percent,
|
||||
probability_up=probability_up,
|
||||
@@ -364,6 +382,9 @@ class TimeSeriesForecaster:
|
||||
model_created_at=model_created_at,
|
||||
model_age_hours=model_age_hours,
|
||||
model_fresh=model_fresh,
|
||||
calibrated_min_edge_percent=calibrated["edge"],
|
||||
calibrated_min_probability_up=calibrated["probability"],
|
||||
calibrated_min_confidence=calibrated["confidence"],
|
||||
)
|
||||
|
||||
def _load_lstm_artifact(self) -> dict[str, Any]:
|
||||
@@ -400,8 +421,7 @@ class TimeSeriesForecaster:
|
||||
data = json.loads(path.read_text(encoding="utf-8"))
|
||||
except (OSError, json.JSONDecodeError):
|
||||
data = {}
|
||||
validation = data.get("validation") if isinstance(data, dict) else {}
|
||||
self._quality_gate = validation if isinstance(validation, dict) else {}
|
||||
self._quality_gate = data if isinstance(data, dict) else {}
|
||||
self._calibration_mtime = stat.st_mtime
|
||||
return self._quality_gate
|
||||
|
||||
@@ -443,6 +463,9 @@ def _empty_forecast(enabled: bool, reason: str) -> TimeSeriesForecast:
|
||||
def _quality_gate_passed(quality_gate: dict[str, Any]) -> bool | None:
|
||||
if not quality_gate:
|
||||
return None
|
||||
validation = quality_gate.get("validation")
|
||||
if isinstance(validation, dict):
|
||||
return _quality_gate_passed(validation)
|
||||
if "passed" in quality_gate:
|
||||
return bool(quality_gate.get("passed"))
|
||||
status = str(quality_gate.get("status", "")).strip().lower()
|
||||
@@ -453,6 +476,26 @@ def _quality_gate_passed(quality_gate: dict[str, Any]) -> bool | None:
|
||||
return None
|
||||
|
||||
|
||||
def _calibrated_thresholds(
|
||||
calibration: dict[str, Any],
|
||||
symbol: str | None,
|
||||
*,
|
||||
edge: float,
|
||||
probability: float,
|
||||
confidence: float,
|
||||
) -> dict[str, float]:
|
||||
recommended = calibration.get("recommended") if isinstance(calibration, dict) else None
|
||||
per_symbol = calibration.get("symbol_recommendations") if isinstance(calibration, dict) else None
|
||||
if symbol and isinstance(per_symbol, dict) and isinstance(per_symbol.get(symbol.upper()), dict):
|
||||
recommended = per_symbol[symbol.upper()]
|
||||
row = recommended if isinstance(recommended, dict) else {}
|
||||
return {
|
||||
"edge": max(0.0, float(row.get("edge", edge) or edge)),
|
||||
"probability": _clamp(float(row.get("probability", probability) or probability), 0.5, 0.95),
|
||||
"confidence": _clamp(float(row.get("confidence", confidence) or confidence), 0.0, 1.0),
|
||||
}
|
||||
|
||||
|
||||
def _model_freshness(artifact: dict[str, Any], max_age_hours: float) -> tuple[str, float | None, bool]:
|
||||
raw = str(artifact.get("created_at", "")).strip() if isinstance(artifact, dict) else ""
|
||||
if not raw:
|
||||
@@ -525,6 +568,8 @@ def _feature_context(
|
||||
def _feature_value(name: str, candles: list[Candle], index: int, candle: Candle, context: dict[str, Any]) -> float:
|
||||
close = max(float(candle.close), 1e-12)
|
||||
previous = candles[index - 1] if index >= 1 else candle
|
||||
if name.startswith("symbol_is_"):
|
||||
return 1.0 if context.get("symbol") == name.removeprefix("symbol_is_").upper() else 0.0
|
||||
if name == "return_1":
|
||||
return _log_change(candle.close, previous.close)
|
||||
if name == "return_3":
|
||||
@@ -990,6 +1035,31 @@ def _torch_recurrent_predict(
|
||||
model_name = _torch_recurrent_model_name(symbol, artifact)
|
||||
if not entry or not model_name:
|
||||
return None
|
||||
ensemble_members = entry.get("ensemble_members")
|
||||
if isinstance(ensemble_members, list) and ensemble_members:
|
||||
predictions: list[float | dict[str, Any]] = []
|
||||
for member in ensemble_members:
|
||||
if not isinstance(member, dict):
|
||||
continue
|
||||
member_entry = {**entry, **member}
|
||||
member_entry.pop("ensemble_members", None)
|
||||
member_entry.pop("ensemble_size", None)
|
||||
member_artifact: dict[str, Any] = {"type": "pytorch_recurrent_forecaster"}
|
||||
if symbol:
|
||||
member_artifact["symbols"] = {symbol.upper(): member_entry}
|
||||
else:
|
||||
member_artifact["default"] = member_entry
|
||||
prediction = _torch_recurrent_predict(
|
||||
returns,
|
||||
symbol,
|
||||
member_artifact,
|
||||
feature_rows=feature_rows,
|
||||
closes=closes,
|
||||
candles=candles,
|
||||
)
|
||||
if isinstance(prediction, (int, float, dict)):
|
||||
predictions.append(prediction)
|
||||
return _average_ensemble_predictions(predictions)
|
||||
lookback = int(_clamp(_float_entry(entry, "lookback", 0.0), 4.0, 512.0))
|
||||
hidden_size = int(_clamp(_float_entry(entry, "hidden_size", 0.0), 1.0, 512.0))
|
||||
num_layers = int(_clamp(_float_entry(entry, "num_layers", 1.0), 1.0, 8.0))
|
||||
@@ -1050,6 +1120,33 @@ def _torch_recurrent_predict(
|
||||
return _clamp(prediction, -cap, cap)
|
||||
|
||||
|
||||
def _average_ensemble_predictions(predictions: list[float | dict[str, Any]]) -> float | dict[str, Any] | None:
|
||||
if not predictions:
|
||||
return None
|
||||
numeric = [float(value) for value in predictions if isinstance(value, (int, float))]
|
||||
if numeric:
|
||||
return sum(numeric) / len(numeric)
|
||||
mappings = [value for value in predictions if isinstance(value, dict)]
|
||||
if not mappings:
|
||||
return None
|
||||
first = mappings[0]
|
||||
output: dict[str, Any] = {}
|
||||
for key, value in first.items():
|
||||
if key == "horizons" and isinstance(value, dict):
|
||||
horizons: dict[str, Any] = {}
|
||||
for horizon, row in value.items():
|
||||
rows = [item.get("horizons", {}).get(horizon) for item in mappings]
|
||||
rows = [item for item in rows if isinstance(item, dict)]
|
||||
if rows:
|
||||
horizons[horizon] = _average_ensemble_predictions(rows)
|
||||
output[key] = horizons
|
||||
continue
|
||||
values = [item.get(key) for item in mappings]
|
||||
finite = [float(item) for item in values if isinstance(item, (int, float)) and math.isfinite(float(item))]
|
||||
output[key] = sum(finite) / len(finite) if finite else value
|
||||
return output
|
||||
|
||||
|
||||
def _torch_head_outputs(context: list[float], entry: dict[str, Any], hidden_size: int) -> list[float]:
|
||||
context = _apply_context_norm(context, entry)
|
||||
raw_weight = entry.get("head_weight")
|
||||
|
||||
@@ -215,6 +215,10 @@ class TrainingCoordinator:
|
||||
job["message"] = str(payload.get("message") or "")
|
||||
if isinstance(payload.get("summary"), dict):
|
||||
job["summary"] = payload["summary"]
|
||||
if isinstance(payload["summary"].get("accepted"), bool):
|
||||
job["model_decision"] = (
|
||||
"accepted" if payload["summary"]["accepted"] else "rejected"
|
||||
)
|
||||
self._save_state(state)
|
||||
return {"ok": True, "job": job, "status": self._public_status(state)}
|
||||
|
||||
@@ -294,10 +298,11 @@ class TrainingCoordinator:
|
||||
os.replace(tmp, self.state_path)
|
||||
|
||||
def _worker_from_payload(self, payload: dict[str, Any]) -> dict[str, Any]:
|
||||
worker_id = str(payload.get("worker_id") or payload.get("id") or "windows-training-host").strip()
|
||||
return {
|
||||
"id": str(payload.get("worker_id") or payload.get("id") or "windows-training-host"),
|
||||
"name": str(payload.get("name") or "DESKTOP-TMFDL0H"),
|
||||
"path": str(payload.get("path") or "C:\\Repos\\TradeBot"),
|
||||
"id": worker_id,
|
||||
"name": str(payload.get("name") or worker_id).strip(),
|
||||
"path": str(payload.get("path") or "").strip(),
|
||||
"version": str(payload.get("version") or "1"),
|
||||
"last_seen_at": _now(),
|
||||
}
|
||||
|
||||
@@ -0,0 +1,87 @@
|
||||
from __future__ import annotations
|
||||
|
||||
from tools.calibrate_torch_thresholds import (
|
||||
CalibrationResult,
|
||||
ForecastRecord,
|
||||
_apply_platt_calibration,
|
||||
_choose_recommendation,
|
||||
_fit_platt_calibration,
|
||||
_entry_validation_skill,
|
||||
)
|
||||
|
||||
|
||||
def _result(*, trades: int, average: float, total: float, profit_factor: float) -> CalibrationResult:
|
||||
return CalibrationResult(
|
||||
edge=0.05,
|
||||
probability=0.52,
|
||||
confidence=0.4,
|
||||
trades=trades,
|
||||
wins=max(0, trades // 2),
|
||||
win_rate=0.5,
|
||||
total_net_percent=total,
|
||||
average_net_percent=average,
|
||||
max_drawdown_percent=1.0,
|
||||
profit_factor=profit_factor,
|
||||
score=1.0,
|
||||
)
|
||||
|
||||
|
||||
def _record(index: int, probability: float, future: float) -> ForecastRecord:
|
||||
return ForecastRecord(
|
||||
symbol="BTCUSDT",
|
||||
index=index,
|
||||
timestamp=index,
|
||||
close=100.0,
|
||||
high=101.0,
|
||||
low=99.0,
|
||||
next_open=100.0,
|
||||
next_timestamp=index + 1,
|
||||
atr=1.0,
|
||||
expected_percent=0.1,
|
||||
probability_up=probability,
|
||||
confidence=0.5,
|
||||
skill=0.1,
|
||||
q50_percent=0.1,
|
||||
block_entry=False,
|
||||
future_net_percent=future,
|
||||
benchmark_entry=False,
|
||||
benchmark_exit=False,
|
||||
)
|
||||
|
||||
|
||||
def test_calibration_does_not_fallback_to_too_few_trades() -> None:
|
||||
selected = _choose_recommendation(
|
||||
[_result(trades=1, average=2.0, total=2.0, profit_factor=999.0)],
|
||||
min_trades=30,
|
||||
)
|
||||
|
||||
assert selected is None
|
||||
|
||||
|
||||
def test_calibration_selects_only_viable_result() -> None:
|
||||
viable = _result(trades=30, average=0.2, total=6.0, profit_factor=1.4)
|
||||
|
||||
assert _choose_recommendation([viable], min_trades=30) is viable
|
||||
|
||||
|
||||
def test_platt_calibration_learns_probability_direction_from_train_records() -> None:
|
||||
records = [
|
||||
_record(index, 0.8 if index % 2 else 0.2, -1.0 if index % 2 else 1.0)
|
||||
for index in range(100)
|
||||
]
|
||||
|
||||
calibration = _fit_platt_calibration(records)
|
||||
calibrated = _apply_platt_calibration(
|
||||
[_record(101, 0.8, -1.0), _record(102, 0.2, 1.0)],
|
||||
calibration,
|
||||
)
|
||||
|
||||
assert calibration["slope"] < 0
|
||||
assert calibrated[0].probability_up < calibrated[1].probability_up
|
||||
|
||||
|
||||
def test_entry_quality_never_falls_back_to_holdout_skill() -> None:
|
||||
entry = {"validation_skill": 0.12, "skill": 0.99, "holdout_skill": 0.99}
|
||||
|
||||
assert _entry_validation_skill(entry) == 0.12
|
||||
assert _entry_validation_skill({"skill": 0.99, "holdout_skill": 0.99}) == 0.0
|
||||
@@ -304,6 +304,60 @@ def test_time_series_forecaster_attaches_quality_gate(make_settings, tmp_path) -
|
||||
assert forecast.quality_gate["status"] == "fail"
|
||||
|
||||
|
||||
def test_time_series_forecaster_uses_symbol_calibration(make_settings, tmp_path) -> None:
|
||||
artifact_path = tmp_path / "lstm_forecaster.json"
|
||||
_write_torch_gru_artifact(artifact_path, head_bias=0.2)
|
||||
(tmp_path / "torch_threshold_calibration.json").write_text(
|
||||
json.dumps(
|
||||
{
|
||||
"validation": {"status": "pass", "passed": True},
|
||||
"recommended": {"edge": 0.08, "probability": 0.52, "confidence": 0.4},
|
||||
"symbol_recommendations": {
|
||||
"BTCUSDT": {"edge": 0.03, "probability": 0.55, "confidence": 0.45}
|
||||
},
|
||||
}
|
||||
),
|
||||
encoding="utf-8",
|
||||
)
|
||||
settings = make_settings(
|
||||
tmp_path,
|
||||
time_series_lstm_model_path=artifact_path,
|
||||
time_series_forecast_horizon=1,
|
||||
)
|
||||
|
||||
forecast = TimeSeriesForecaster(settings).forecast(
|
||||
_candles_from_returns([0.0001] * 140), symbol="BTCUSDT"
|
||||
)
|
||||
|
||||
assert forecast.calibrated_min_edge_percent == 0.03
|
||||
assert forecast.calibrated_min_probability_up == 0.55
|
||||
assert forecast.calibrated_min_confidence == 0.45
|
||||
|
||||
|
||||
def test_time_series_forecaster_averages_ensemble_members(make_settings, tmp_path) -> None:
|
||||
artifact_path = tmp_path / "lstm_forecaster.json"
|
||||
_write_torch_gru_artifact(artifact_path, head_bias=0.9)
|
||||
artifact = json.loads(artifact_path.read_text(encoding="utf-8"))
|
||||
entry = artifact["symbols"]["BTCUSDT"]
|
||||
entry["ensemble_members"] = [
|
||||
{"state_dict": entry["state_dict"], "head_weight": [0.0, 0.0], "head_bias": bias}
|
||||
for bias in (0.1, 0.3)
|
||||
]
|
||||
artifact_path.write_text(json.dumps(artifact), encoding="utf-8")
|
||||
settings = make_settings(
|
||||
tmp_path,
|
||||
time_series_lstm_model_path=artifact_path,
|
||||
time_series_forecast_horizon=1,
|
||||
)
|
||||
|
||||
forecast = TimeSeriesForecaster(settings).forecast(
|
||||
_candles_from_returns([0.0001] * 140), symbol="BTCUSDT"
|
||||
)
|
||||
|
||||
assert forecast.usable is True
|
||||
assert 0.015 <= forecast.expected_return_percent <= 0.025
|
||||
|
||||
|
||||
def test_time_series_forecaster_reads_multifeature_direct_horizon_artifact(make_settings, tmp_path) -> None:
|
||||
artifact_path = tmp_path / "lstm_forecaster.json"
|
||||
_write_multifeature_torch_gru_artifact(artifact_path, head_bias=0.2)
|
||||
|
||||
@@ -48,6 +48,42 @@ def test_training_coordinator_preserves_boolean_resume_candidate_parameter(tmp_p
|
||||
assert requested["job"]["parameters"] == {"resume_candidate": True}
|
||||
|
||||
|
||||
def test_training_coordinator_reports_worker_identity_from_heartbeat(tmp_path) -> None:
|
||||
coordinator = TrainingCoordinator(tmp_path)
|
||||
|
||||
heartbeat = coordinator.heartbeat(
|
||||
{
|
||||
"worker_id": "SEVENHILL:G:\\Repos\\TradeBot",
|
||||
"name": "SEVENHILL",
|
||||
"path": "G:\\Repos\\TradeBot",
|
||||
}
|
||||
)
|
||||
|
||||
assert heartbeat["worker"]["name"] == "SEVENHILL"
|
||||
assert heartbeat["worker"]["path"] == "G:\\Repos\\TradeBot"
|
||||
assert heartbeat["status"]["worker"] == heartbeat["worker"]
|
||||
|
||||
|
||||
def test_training_coordinator_records_rejected_candidate_as_completed_training(tmp_path) -> None:
|
||||
coordinator = TrainingCoordinator(tmp_path)
|
||||
job = coordinator.request_retrain({"source": "android"})["job"]
|
||||
coordinator.claim({"worker_id": "worker-1"})
|
||||
|
||||
completed = coordinator.complete(
|
||||
job["id"],
|
||||
{
|
||||
"success": True,
|
||||
"message": "training completed; candidate rejected by quality gate",
|
||||
"summary": {"accepted": False, "reason": "candidate_failed_honest_validation"},
|
||||
},
|
||||
)
|
||||
|
||||
assert completed["job"]["status"] == "completed"
|
||||
assert completed["job"]["phase"] == "completed"
|
||||
assert completed["job"]["progress_percent"] == 100
|
||||
assert completed["job"]["model_decision"] == "rejected"
|
||||
|
||||
|
||||
def test_training_coordinator_accepts_chunked_artifact_upload(tmp_path) -> None:
|
||||
coordinator = TrainingCoordinator(tmp_path)
|
||||
job = coordinator.request_retrain({"source": "test"})["job"]
|
||||
|
||||
@@ -6,7 +6,7 @@ import json
|
||||
import math
|
||||
import sys
|
||||
import time
|
||||
from dataclasses import dataclass
|
||||
from dataclasses import dataclass, replace
|
||||
from pathlib import Path
|
||||
from typing import Any
|
||||
|
||||
@@ -130,13 +130,15 @@ def main() -> None:
|
||||
if not records:
|
||||
raise SystemExit("No forecast records could be built for calibration.")
|
||||
|
||||
results = _calibrate(
|
||||
results = _calibrate_strategy(
|
||||
records,
|
||||
edges=_float_grid(args.edge_grid),
|
||||
probabilities=_float_grid(args.probability_grid),
|
||||
confidences=_float_grid(args.confidence_grid),
|
||||
min_trades=args.min_trades,
|
||||
horizon=horizon,
|
||||
round_trip_cost=round_trip_cost,
|
||||
settings=settings,
|
||||
)
|
||||
if not results:
|
||||
raise SystemExit("No calibration result produced trades. Use wider grids or more history.")
|
||||
@@ -156,6 +158,33 @@ def main() -> None:
|
||||
round_trip_cost=round_trip_cost,
|
||||
settings=settings,
|
||||
)
|
||||
symbol_recommendations: dict[str, dict[str, Any]] = {}
|
||||
for symbol in symbols:
|
||||
symbol_records = [record for record in records if record.symbol == symbol]
|
||||
symbol_results = _calibrate_strategy(
|
||||
symbol_records,
|
||||
edges=_float_grid(args.edge_grid),
|
||||
probabilities=_float_grid(args.probability_grid),
|
||||
confidences=_float_grid(args.confidence_grid),
|
||||
min_trades=max(3, min(args.min_trades, len(symbol_records) // 8)),
|
||||
horizon=horizon,
|
||||
round_trip_cost=round_trip_cost,
|
||||
settings=settings,
|
||||
)
|
||||
symbol_selected = _choose_recommendation(
|
||||
symbol_results,
|
||||
min_trades=max(3, min(args.min_trades, len(symbol_records) // 8)),
|
||||
) if symbol_results else None
|
||||
if symbol_selected is not None:
|
||||
symbol_recommendations[symbol] = _result_dict(symbol_selected)
|
||||
calibration_insufficient = recommended is None
|
||||
if recommended is None:
|
||||
recommended = _empty_recommendation(
|
||||
_float_grid(args.edge_grid),
|
||||
_float_grid(args.probability_grid),
|
||||
_float_grid(args.confidence_grid),
|
||||
)
|
||||
full_backtest = {**_stats([]), "trades_detail": [], "symbol_breakdown": []}
|
||||
print("\nRECOMMENDED")
|
||||
print(_result_line(recommended))
|
||||
print("\nFULL_REPLAY")
|
||||
@@ -188,6 +217,16 @@ def main() -> None:
|
||||
min_profit_factor=args.min_oos_profit_factor,
|
||||
min_benchmark_edge=args.min_benchmark_edge_percent,
|
||||
)
|
||||
deployment_recommended = recommended
|
||||
deployment_symbol_recommendations = symbol_recommendations
|
||||
if walk_forward.get("folds"):
|
||||
last_fold = walk_forward["folds"][-1]
|
||||
fold_thresholds = last_fold.get("thresholds")
|
||||
if isinstance(fold_thresholds, dict):
|
||||
deployment_recommended = _result_from_dict(fold_thresholds)
|
||||
fold_symbols = last_fold.get("symbol_thresholds")
|
||||
if isinstance(fold_symbols, dict):
|
||||
deployment_symbol_recommendations = fold_symbols
|
||||
print("\nWALK_FORWARD")
|
||||
print(json.dumps(walk_forward["summary"], ensure_ascii=False, sort_keys=True))
|
||||
print("\nBENCHMARK")
|
||||
@@ -206,7 +245,9 @@ def main() -> None:
|
||||
"artifact_sha256": artifact_sha256,
|
||||
"artifact": _artifact_summary(artifact),
|
||||
"records_by_symbol": per_symbol_counts,
|
||||
"recommended": _result_dict(recommended),
|
||||
"recommended": _result_dict(deployment_recommended),
|
||||
"calibration_insufficient": calibration_insufficient,
|
||||
"symbol_recommendations": deployment_symbol_recommendations,
|
||||
"full_replay": full_backtest,
|
||||
"walk_forward": walk_forward,
|
||||
"benchmark": benchmark,
|
||||
@@ -306,7 +347,9 @@ def _forecast_records(
|
||||
return batched_records
|
||||
|
||||
records: list[ForecastRecord] = []
|
||||
skill = float(entry.get("skill", 0.0) or 0.0)
|
||||
# Entry eligibility may use validation-derived quality only. Holdout metrics
|
||||
# belong exclusively to the final quality gate and cannot influence replay.
|
||||
skill = _entry_validation_skill(entry)
|
||||
for index in range(start, max(start, end)):
|
||||
prediction = _torch_recurrent_predict(
|
||||
_log_returns(closes[: index + 1]),
|
||||
@@ -394,7 +437,7 @@ def _batch_forecast_records(
|
||||
return []
|
||||
|
||||
records: list[ForecastRecord] = []
|
||||
skill = float(entry.get("skill", 0.0) or 0.0)
|
||||
skill = _entry_validation_skill(entry)
|
||||
model.eval()
|
||||
with torch.no_grad():
|
||||
for offset in range(0, len(indices), max(1, batch_size)):
|
||||
@@ -460,6 +503,10 @@ def _batch_forecast_records(
|
||||
|
||||
|
||||
def _build_torch_model(entry: dict[str, Any], model_name: str) -> Any | None:
|
||||
if isinstance(entry.get("ensemble_members"), list) and entry["ensemble_members"]:
|
||||
# Ensemble inference is handled by the shared pure-Python runtime so
|
||||
# calibration and production use the exact same averaging path.
|
||||
return None
|
||||
if torch is None or RecurrentReturnModel is None:
|
||||
return None
|
||||
architecture = "lstm" if model_name == "torch_lstm" else "gru" if model_name == "torch_gru" else ""
|
||||
@@ -590,6 +637,7 @@ def _full_backtest(
|
||||
round_trip_cost: float,
|
||||
settings: Any,
|
||||
detail_limit: int = 50,
|
||||
symbol_thresholds: dict[str, CalibrationResult] | None = None,
|
||||
) -> dict[str, Any]:
|
||||
positions: dict[str, dict[str, Any]] = {}
|
||||
trades: list[float] = []
|
||||
@@ -600,6 +648,7 @@ def _full_backtest(
|
||||
stop_loss_exit_enabled = bool(getattr(settings, "stop_loss_exit_enabled", True))
|
||||
atr_multiplier = max(0.5, min(10.0, float(settings.atr_trailing_multiplier)))
|
||||
for record in sorted(records, key=lambda item: (item.timestamp, item.symbol)):
|
||||
active_thresholds = (symbol_thresholds or {}).get(record.symbol, thresholds)
|
||||
position = positions.get(record.symbol)
|
||||
if position is not None:
|
||||
position["highest"] = max(position["highest"], record.high)
|
||||
@@ -616,8 +665,8 @@ def _full_backtest(
|
||||
and (stop_loss_exit_enabled or atr_stop_level > position["entry_price"])
|
||||
)
|
||||
weak_forecast = (
|
||||
record.expected_percent < thresholds.edge
|
||||
or record.probability_up < thresholds.probability
|
||||
record.expected_percent < active_thresholds.edge
|
||||
or record.probability_up < active_thresholds.probability
|
||||
or record.skill <= 0.0
|
||||
)
|
||||
exit_reason = ""
|
||||
@@ -633,7 +682,7 @@ def _full_backtest(
|
||||
elif atr_stop:
|
||||
exit_reason = "atr_trailing_stop"
|
||||
exit_price = float(atr_stop_level)
|
||||
elif (record.expected_percent <= 0.0 or record.probability_up <= 0.50 or _candidate_blocks(record, thresholds.edge)):
|
||||
elif (record.expected_percent <= 0.0 or record.probability_up <= 0.50 or _candidate_blocks(record, active_thresholds.edge)):
|
||||
exit_reason = "forecast_negative"
|
||||
elif weak_forecast and net_percent >= 0:
|
||||
exit_reason = "forecast_weak_profit_lock"
|
||||
@@ -659,7 +708,7 @@ def _full_backtest(
|
||||
|
||||
if record.symbol in positions:
|
||||
continue
|
||||
if _candidate_allows(record, thresholds.edge, thresholds.probability, thresholds.confidence):
|
||||
if _candidate_allows(record, active_thresholds.edge, active_thresholds.probability, active_thresholds.confidence):
|
||||
positions[record.symbol] = {
|
||||
"entry_price": record.next_open,
|
||||
"entry_index": record.index + 1,
|
||||
@@ -815,24 +864,49 @@ def _walk_forward(
|
||||
test_end = timestamps[(fold + 1) * fold_size - 1] if fold < folds - 1 else timestamps[-1]
|
||||
train = [record for record in ordered if record.timestamp < test_start]
|
||||
test = [record for record in ordered if test_start <= record.timestamp <= test_end]
|
||||
train_results = _calibrate(
|
||||
train,
|
||||
probability_calibration = _fit_platt_calibration(train)
|
||||
calibrated_train = _apply_platt_calibration(train, probability_calibration)
|
||||
calibrated_test = _apply_platt_calibration(test, probability_calibration)
|
||||
train_results = _calibrate_strategy(
|
||||
calibrated_train,
|
||||
edges=edges,
|
||||
probabilities=probabilities,
|
||||
confidences=confidences,
|
||||
min_trades=max(4, min_trades // 2),
|
||||
horizon=horizon,
|
||||
round_trip_cost=round_trip_cost,
|
||||
settings=settings,
|
||||
)
|
||||
if not train_results:
|
||||
continue
|
||||
selected = _choose_recommendation(train_results, min_trades=max(4, min_trades // 2))
|
||||
if selected is None:
|
||||
continue
|
||||
symbol_thresholds: dict[str, CalibrationResult] = {}
|
||||
train_symbols = sorted({record.symbol for record in calibrated_train})
|
||||
symbol_min_trades = max(3, min_trades // max(2, len(train_symbols) * 2))
|
||||
for symbol in train_symbols:
|
||||
symbol_results = _calibrate_strategy(
|
||||
[record for record in calibrated_train if record.symbol == symbol],
|
||||
edges=edges,
|
||||
probabilities=probabilities,
|
||||
confidences=confidences,
|
||||
min_trades=symbol_min_trades,
|
||||
horizon=horizon,
|
||||
round_trip_cost=round_trip_cost,
|
||||
settings=settings,
|
||||
)
|
||||
symbol_selected = _choose_recommendation(symbol_results, min_trades=symbol_min_trades) if symbol_results else None
|
||||
if symbol_selected is not None:
|
||||
symbol_thresholds[symbol] = symbol_selected
|
||||
test_backtest = _full_backtest(
|
||||
test,
|
||||
calibrated_test,
|
||||
selected,
|
||||
horizon=horizon,
|
||||
round_trip_cost=round_trip_cost,
|
||||
settings=settings,
|
||||
detail_limit=0,
|
||||
symbol_thresholds=symbol_thresholds,
|
||||
)
|
||||
test_rows = test_backtest.get("trades_detail", [])
|
||||
test_trades = [float(row.get("net_percent", 0.0) or 0.0) for row in test_rows if isinstance(row, dict)]
|
||||
@@ -844,6 +918,10 @@ def _walk_forward(
|
||||
"train_records": len(train),
|
||||
"test_records": len(test),
|
||||
"thresholds": _result_dict(selected),
|
||||
"symbol_thresholds": {
|
||||
symbol: _result_dict(value) for symbol, value in symbol_thresholds.items()
|
||||
},
|
||||
"probability_calibration": probability_calibration,
|
||||
"test": {key: value for key, value in test_backtest.items() if key != "trades_detail"},
|
||||
}
|
||||
)
|
||||
@@ -980,6 +1058,11 @@ def _candidate_blocks(record: ForecastRecord, edge: float) -> bool:
|
||||
)
|
||||
|
||||
|
||||
def _entry_validation_skill(entry: dict[str, Any]) -> float:
|
||||
value = entry.get("validation_skill")
|
||||
return float(value) if isinstance(value, (int, float)) and math.isfinite(float(value)) else 0.0
|
||||
|
||||
|
||||
def _candidate_allows(record: ForecastRecord, edge: float, probability: float, confidence: float) -> bool:
|
||||
dynamic_confidence = _forecast_confidence(record.expected_percent, record.probability_up, record.skill, edge)
|
||||
return (
|
||||
@@ -1146,6 +1229,101 @@ def _calibrate(
|
||||
return results
|
||||
|
||||
|
||||
def _calibrate_strategy(
|
||||
records: list[ForecastRecord],
|
||||
*,
|
||||
edges: list[float],
|
||||
probabilities: list[float],
|
||||
confidences: list[float],
|
||||
min_trades: int,
|
||||
horizon: int,
|
||||
round_trip_cost: float,
|
||||
settings: Any,
|
||||
) -> list[CalibrationResult]:
|
||||
results: list[CalibrationResult] = []
|
||||
for edge in edges:
|
||||
for probability in probabilities:
|
||||
for confidence in confidences:
|
||||
thresholds = CalibrationResult(
|
||||
edge=edge,
|
||||
probability=probability,
|
||||
confidence=confidence,
|
||||
trades=0,
|
||||
wins=0,
|
||||
win_rate=0.0,
|
||||
total_net_percent=0.0,
|
||||
average_net_percent=0.0,
|
||||
max_drawdown_percent=0.0,
|
||||
profit_factor=0.0,
|
||||
score=0.0,
|
||||
)
|
||||
replay = _full_backtest(
|
||||
records,
|
||||
thresholds,
|
||||
horizon=horizon,
|
||||
round_trip_cost=round_trip_cost,
|
||||
settings=settings,
|
||||
detail_limit=0,
|
||||
)
|
||||
trades = int(replay.get("trades", 0) or 0)
|
||||
if trades <= 0:
|
||||
continue
|
||||
wins = int(replay.get("wins", 0) or 0)
|
||||
total = float(replay.get("total_net_percent", 0.0) or 0.0)
|
||||
average = float(replay.get("avg_net_percent", 0.0) or 0.0)
|
||||
drawdown = float(replay.get("max_drawdown_percent", 0.0) or 0.0)
|
||||
profit_factor = float(replay.get("profit_factor", 0.0) or 0.0)
|
||||
trade_factor = min(1.0, trades / max(1, min_trades))
|
||||
score = (
|
||||
average * trade_factor
|
||||
+ total * 0.015
|
||||
- drawdown * 0.03
|
||||
+ (wins / trades) * 0.04
|
||||
)
|
||||
results.append(
|
||||
CalibrationResult(
|
||||
edge=edge,
|
||||
probability=probability,
|
||||
confidence=confidence,
|
||||
trades=trades,
|
||||
wins=wins,
|
||||
win_rate=wins / trades,
|
||||
total_net_percent=total,
|
||||
average_net_percent=average,
|
||||
max_drawdown_percent=drawdown,
|
||||
profit_factor=profit_factor,
|
||||
score=score,
|
||||
)
|
||||
)
|
||||
results.sort(
|
||||
key=lambda item: (
|
||||
item.score,
|
||||
item.average_net_percent,
|
||||
item.total_net_percent,
|
||||
item.profit_factor,
|
||||
item.trades,
|
||||
),
|
||||
reverse=True,
|
||||
)
|
||||
return results
|
||||
|
||||
|
||||
def _result_from_dict(value: dict[str, Any]) -> CalibrationResult:
|
||||
return CalibrationResult(
|
||||
edge=float(value.get("edge", 0.1) or 0.1),
|
||||
probability=float(value.get("probability", 0.7) or 0.7),
|
||||
confidence=float(value.get("confidence", 0.4) or 0.4),
|
||||
trades=int(value.get("trades", 0) or 0),
|
||||
wins=int(value.get("wins", 0) or 0),
|
||||
win_rate=float(value.get("win_rate", 0.0) or 0.0),
|
||||
total_net_percent=float(value.get("total_net_percent", 0.0) or 0.0),
|
||||
average_net_percent=float(value.get("average_net_percent", 0.0) or 0.0),
|
||||
max_drawdown_percent=float(value.get("max_drawdown_percent", 0.0) or 0.0),
|
||||
profit_factor=float(value.get("profit_factor", 0.0) or 0.0),
|
||||
score=float(value.get("score", 0.0) or 0.0),
|
||||
)
|
||||
|
||||
|
||||
def _selected_trades(
|
||||
records: list[ForecastRecord],
|
||||
edge: float,
|
||||
@@ -1164,7 +1342,7 @@ def _selected_trades(
|
||||
return trades
|
||||
|
||||
|
||||
def _choose_recommendation(results: list[CalibrationResult], *, min_trades: int) -> CalibrationResult:
|
||||
def _choose_recommendation(results: list[CalibrationResult], *, min_trades: int) -> CalibrationResult | None:
|
||||
viable = [
|
||||
result
|
||||
for result in results
|
||||
@@ -1173,7 +1351,67 @@ def _choose_recommendation(results: list[CalibrationResult], *, min_trades: int)
|
||||
and result.total_net_percent > 0
|
||||
and result.profit_factor >= 1.05
|
||||
]
|
||||
return viable[0] if viable else results[0]
|
||||
return viable[0] if viable else None
|
||||
|
||||
|
||||
def _empty_recommendation(
|
||||
edges: list[float], probabilities: list[float], confidences: list[float]
|
||||
) -> CalibrationResult:
|
||||
return CalibrationResult(
|
||||
edge=max(edges or [1.0]),
|
||||
probability=max(probabilities or [0.95]),
|
||||
confidence=max(confidences or [1.0]),
|
||||
trades=0,
|
||||
wins=0,
|
||||
win_rate=0.0,
|
||||
total_net_percent=0.0,
|
||||
average_net_percent=0.0,
|
||||
max_drawdown_percent=0.0,
|
||||
profit_factor=0.0,
|
||||
score=-1.0,
|
||||
)
|
||||
|
||||
|
||||
def _fit_platt_calibration(records: list[ForecastRecord]) -> dict[str, float]:
|
||||
samples = [
|
||||
(
|
||||
math.log(_clamp(record.probability_up, 1e-5, 1.0 - 1e-5) / (1.0 - _clamp(record.probability_up, 1e-5, 1.0 - 1e-5))),
|
||||
1.0 if record.future_net_percent > 0 else 0.0,
|
||||
)
|
||||
for record in records
|
||||
]
|
||||
if len(samples) < 30:
|
||||
return {"slope": 1.0, "intercept": 0.0, "samples": float(len(samples))}
|
||||
slope = 1.0
|
||||
intercept = 0.0
|
||||
learning_rate = 0.05
|
||||
for _ in range(300):
|
||||
grad_slope = 0.0
|
||||
grad_intercept = 0.0
|
||||
for logit, target in samples:
|
||||
probability = 1.0 / (1.0 + math.exp(-_clamp(slope * logit + intercept, -30.0, 30.0)))
|
||||
error = probability - target
|
||||
grad_slope += error * logit
|
||||
grad_intercept += error
|
||||
grad_slope = grad_slope / len(samples) + 0.001 * (slope - 1.0)
|
||||
grad_intercept /= len(samples)
|
||||
slope -= learning_rate * grad_slope
|
||||
intercept -= learning_rate * grad_intercept
|
||||
return {"slope": round(slope, 8), "intercept": round(intercept, 8), "samples": float(len(samples))}
|
||||
|
||||
|
||||
def _apply_platt_calibration(
|
||||
records: list[ForecastRecord], calibration: dict[str, float]
|
||||
) -> list[ForecastRecord]:
|
||||
slope = float(calibration.get("slope", 1.0))
|
||||
intercept = float(calibration.get("intercept", 0.0))
|
||||
output: list[ForecastRecord] = []
|
||||
for record in records:
|
||||
probability = _clamp(record.probability_up, 1e-5, 1.0 - 1e-5)
|
||||
logit = math.log(probability / (1.0 - probability))
|
||||
calibrated = 1.0 / (1.0 + math.exp(-_clamp(slope * logit + intercept, -30.0, 30.0)))
|
||||
output.append(replace(record, probability_up=calibrated))
|
||||
return output
|
||||
|
||||
|
||||
def _choose_replay_recommendation(
|
||||
@@ -1185,8 +1423,10 @@ def _choose_replay_recommendation(
|
||||
horizon: int,
|
||||
round_trip_cost: float,
|
||||
settings: Any,
|
||||
) -> tuple[CalibrationResult, dict[str, Any]]:
|
||||
) -> tuple[CalibrationResult | None, dict[str, Any]]:
|
||||
fallback = _choose_recommendation(results, min_trades=min_trades)
|
||||
if fallback is None:
|
||||
return None, {**_stats([]), "trades_detail": [], "symbol_breakdown": []}
|
||||
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
|
||||
@@ -1207,7 +1447,7 @@ def _choose_replay_recommendation(
|
||||
viable.append((result, replay))
|
||||
|
||||
if not viable:
|
||||
return fallback, fallback_replay
|
||||
return None, fallback_replay
|
||||
viable.sort(
|
||||
key=lambda item: (
|
||||
item[0].score,
|
||||
|
||||
@@ -6,6 +6,7 @@ param(
|
||||
[int]$PollSeconds = 10,
|
||||
[int]$WatchdogMinutes = 5,
|
||||
[string]$RepoRoot = "",
|
||||
[string]$CredentialPath = "",
|
||||
[switch]$StartNow,
|
||||
[switch]$KeepLegacyRetrainer
|
||||
)
|
||||
@@ -15,105 +16,153 @@ $ErrorActionPreference = "Stop"
|
||||
if (-not $RepoRoot) {
|
||||
$RepoRoot = (Resolve-Path (Join-Path $PSScriptRoot "..")).Path
|
||||
}
|
||||
$Agent = Join-Path $RepoRoot "tools\windows_training_agent.py"
|
||||
if (-not (Test-Path $Agent)) {
|
||||
throw "Windows training agent not found: $Agent"
|
||||
if (-not $CredentialPath) {
|
||||
$CredentialPath = Join-Path $env:LOCALAPPDATA "TradeBot\training-agent.token"
|
||||
}
|
||||
|
||||
function Resolve-Python {
|
||||
$venvPython = Join-Path $RepoRoot ".venv\Scripts\python.exe"
|
||||
if (Test-Path $venvPython) {
|
||||
return $venvPython
|
||||
}
|
||||
|
||||
$userPython = Join-Path $env:LOCALAPPDATA "Programs\TradeBotPython312\python.exe"
|
||||
if (Test-Path $userPython) {
|
||||
return $userPython
|
||||
}
|
||||
|
||||
foreach ($candidate in @("python.exe", "python")) {
|
||||
$command = Get-Command $candidate -ErrorAction SilentlyContinue
|
||||
if ($command) {
|
||||
return $command.Source
|
||||
}
|
||||
}
|
||||
throw "Python was not found. Create .venv or install Python 3.12."
|
||||
}
|
||||
|
||||
function Resolve-WindowlessPython {
|
||||
$python = Resolve-Python
|
||||
$pythonw = Join-Path (Split-Path -Parent $python) "pythonw.exe"
|
||||
if (Test-Path $pythonw) {
|
||||
return $pythonw
|
||||
}
|
||||
return $python
|
||||
$runner = Join-Path $RepoRoot "tools\run_windows_training_agent.ps1"
|
||||
if (-not (Test-Path -LiteralPath $runner)) {
|
||||
throw "Windows training agent runner not found: $runner"
|
||||
}
|
||||
|
||||
$credentialDirectory = Split-Path -Parent $CredentialPath
|
||||
New-Item -ItemType Directory -Path $credentialDirectory -Force | Out-Null
|
||||
if ($ApiAuth) {
|
||||
[Environment]::SetEnvironmentVariable("TRADEBOT_API_AUTH", $ApiAuth, "User")
|
||||
$env:TRADEBOT_API_AUTH = $ApiAuth
|
||||
$ApiAuth.Trim() |
|
||||
ConvertTo-SecureString -AsPlainText -Force |
|
||||
ConvertFrom-SecureString |
|
||||
Set-Content -LiteralPath $CredentialPath -Encoding UTF8
|
||||
}
|
||||
if (-not (Test-Path -LiteralPath $CredentialPath)) {
|
||||
throw "ApiAuth is required for the first installation."
|
||||
}
|
||||
|
||||
# Remove the legacy plaintext secret from the user environment. The new runner
|
||||
# decrypts the DPAPI-protected credential only inside the agent process tree.
|
||||
[Environment]::SetEnvironmentVariable("TRADEBOT_API_AUTH", $null, "User")
|
||||
Remove-Item Env:TRADEBOT_API_AUTH -ErrorAction SilentlyContinue
|
||||
[Environment]::SetEnvironmentVariable("TRADEBOT_API_BASE_URL", $ApiBaseUrl, "User")
|
||||
[Environment]::SetEnvironmentVariable("TRADEBOT_TRAINING_WORKER_NAME", $env:COMPUTERNAME, "User")
|
||||
$env:TRADEBOT_API_BASE_URL = $ApiBaseUrl
|
||||
$env:TRADEBOT_TRAINING_WORKER_NAME = $env:COMPUTERNAME
|
||||
|
||||
if (-not $KeepLegacyRetrainer) {
|
||||
foreach ($legacyName in @("TradeBot PyTorch Forecaster Retrainer", "TradeBot LSTM Retrainer")) {
|
||||
$legacyTask = Get-ScheduledTask -TaskName $legacyName -ErrorAction SilentlyContinue
|
||||
if ($legacyTask) {
|
||||
Unregister-ScheduledTask -TaskName $legacyName -Confirm:$false
|
||||
Write-Host "Removed legacy scheduled task '$legacyName'."
|
||||
try {
|
||||
$legacyTask = Get-ScheduledTask -TaskName $legacyName -ErrorAction SilentlyContinue
|
||||
if ($legacyTask) {
|
||||
Unregister-ScheduledTask -TaskName $legacyName -Confirm:$false
|
||||
Write-Host "Removed legacy scheduled task '$legacyName'."
|
||||
}
|
||||
}
|
||||
catch {
|
||||
Write-Warning "Could not remove legacy scheduled task '$legacyName': $($_.Exception.Message)"
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
$python = Resolve-WindowlessPython
|
||||
$currentUser = [System.Security.Principal.WindowsIdentity]::GetCurrent().Name
|
||||
$arguments = @(
|
||||
"-u",
|
||||
"`"$Agent`"",
|
||||
"--repo-root", "`"$RepoRoot`"",
|
||||
"--api-base-url", "`"$ApiBaseUrl`"",
|
||||
"--poll-seconds", $PollSeconds.ToString()
|
||||
$principal = New-Object System.Security.Principal.WindowsPrincipal(
|
||||
[System.Security.Principal.WindowsIdentity]::GetCurrent()
|
||||
)
|
||||
$isAdministrator = $principal.IsInRole([System.Security.Principal.WindowsBuiltInRole]::Administrator)
|
||||
$powershell = (Get-Command powershell.exe -ErrorAction Stop).Source
|
||||
$runnerArguments = @(
|
||||
"-NoProfile",
|
||||
"-WindowStyle", "Hidden",
|
||||
"-ExecutionPolicy", "Bypass",
|
||||
"-File", "`"$runner`"",
|
||||
"-RepoRoot", "`"$RepoRoot`"",
|
||||
"-ApiBaseUrl", "`"$ApiBaseUrl`"",
|
||||
"-CredentialPath", "`"$CredentialPath`"",
|
||||
"-WorkerName", "`"$env:COMPUTERNAME`"",
|
||||
"-PollSeconds", $PollSeconds.ToString()
|
||||
) -join " "
|
||||
|
||||
$action = New-ScheduledTaskAction -Execute $python -Argument $arguments -WorkingDirectory $RepoRoot
|
||||
$trigger = @(
|
||||
New-ScheduledTaskTrigger -AtLogOn -User $currentUser
|
||||
New-ScheduledTaskTrigger -AtStartup
|
||||
New-ScheduledTaskTrigger `
|
||||
-Once `
|
||||
-At (Get-Date).AddMinutes(1) `
|
||||
-RepetitionInterval (New-TimeSpan -Minutes $WatchdogMinutes) `
|
||||
-RepetitionDuration (New-TimeSpan -Days 3650)
|
||||
)
|
||||
$principal = New-ScheduledTaskPrincipal `
|
||||
-UserId $currentUser `
|
||||
-LogonType Interactive `
|
||||
-RunLevel Limited
|
||||
$settings = New-ScheduledTaskSettingsSet `
|
||||
-StartWhenAvailable `
|
||||
-MultipleInstances IgnoreNew `
|
||||
-AllowStartIfOnBatteries `
|
||||
-DontStopIfGoingOnBatteries `
|
||||
-RestartCount 999 `
|
||||
-RestartInterval (New-TimeSpan -Minutes 1) `
|
||||
-ExecutionTimeLimit (New-TimeSpan -Days 30)
|
||||
$startupShortcut = Join-Path ([Environment]::GetFolderPath("Startup")) "$TaskName.lnk"
|
||||
$runKey = "HKCU:\Software\Microsoft\Windows\CurrentVersion\Run"
|
||||
Remove-ItemProperty -Path $runKey -Name "TradeBotWindowsTrainingAgent" -ErrorAction SilentlyContinue
|
||||
|
||||
Register-ScheduledTask `
|
||||
-TaskName $TaskName `
|
||||
-Action $action `
|
||||
-Trigger $trigger `
|
||||
-Principal $principal `
|
||||
-Settings $settings `
|
||||
-Description "Keeps the TradeBot Windows training agent online and polls the public bot API for retrain jobs." `
|
||||
-Force | Out-Null
|
||||
$installMode = "startup shortcut"
|
||||
if ($isAdministrator) {
|
||||
if (Test-Path -LiteralPath $startupShortcut) {
|
||||
Remove-Item -LiteralPath $startupShortcut -Force
|
||||
}
|
||||
$action = New-ScheduledTaskAction -Execute $powershell -Argument $runnerArguments -WorkingDirectory $RepoRoot
|
||||
$trigger = @(
|
||||
New-ScheduledTaskTrigger -AtLogOn -User $currentUser
|
||||
New-ScheduledTaskTrigger -AtStartup
|
||||
New-ScheduledTaskTrigger `
|
||||
-Once `
|
||||
-At (Get-Date).AddMinutes(1) `
|
||||
-RepetitionInterval (New-TimeSpan -Minutes $WatchdogMinutes) `
|
||||
-RepetitionDuration (New-TimeSpan -Days 3650)
|
||||
)
|
||||
$taskPrincipal = New-ScheduledTaskPrincipal `
|
||||
-UserId $currentUser `
|
||||
-LogonType Interactive `
|
||||
-RunLevel Limited
|
||||
$settings = New-ScheduledTaskSettingsSet `
|
||||
-StartWhenAvailable `
|
||||
-MultipleInstances IgnoreNew `
|
||||
-AllowStartIfOnBatteries `
|
||||
-DontStopIfGoingOnBatteries `
|
||||
-RestartCount 999 `
|
||||
-RestartInterval (New-TimeSpan -Minutes 1) `
|
||||
-ExecutionTimeLimit (New-TimeSpan -Days 30)
|
||||
|
||||
if ($StartNow) {
|
||||
Start-ScheduledTask -TaskName $TaskName
|
||||
Register-ScheduledTask `
|
||||
-TaskName $TaskName `
|
||||
-Action $action `
|
||||
-Trigger $trigger `
|
||||
-Principal $taskPrincipal `
|
||||
-Settings $settings `
|
||||
-Description "Keeps the TradeBot Windows training agent online and polls the bot API for retrain jobs." `
|
||||
-Force | Out-Null
|
||||
$installMode = "scheduled task"
|
||||
}
|
||||
else {
|
||||
try {
|
||||
$existingTask = Get-ScheduledTask -TaskName $TaskName -ErrorAction SilentlyContinue
|
||||
if ($existingTask) {
|
||||
Unregister-ScheduledTask -TaskName $TaskName -Confirm:$false
|
||||
}
|
||||
}
|
||||
catch {
|
||||
Write-Warning "Could not remove an existing elevated task: $($_.Exception.Message)"
|
||||
}
|
||||
|
||||
$shell = New-Object -ComObject WScript.Shell
|
||||
$shortcut = $shell.CreateShortcut($startupShortcut)
|
||||
$shortcut.TargetPath = $powershell
|
||||
$shortcut.Arguments = $runnerArguments
|
||||
$shortcut.WorkingDirectory = $RepoRoot
|
||||
$shortcut.WindowStyle = 7
|
||||
$shortcut.Description = "TradeBot Windows Training Agent"
|
||||
$shortcut.Save()
|
||||
}
|
||||
|
||||
Write-Host "Registered scheduled task '$TaskName' for Windows startup, logon, and watchdog restarts."
|
||||
Get-CimInstance Win32_Process |
|
||||
Where-Object {
|
||||
$_.ProcessId -ne $PID -and
|
||||
$_.CommandLine -and
|
||||
($_.CommandLine -match [regex]::Escape("windows_training_agent.py") -or
|
||||
$_.CommandLine -match [regex]::Escape("run_windows_training_agent.ps1"))
|
||||
} |
|
||||
ForEach-Object { Stop-Process -Id $_.ProcessId -Force -ErrorAction SilentlyContinue }
|
||||
|
||||
if ($StartNow) {
|
||||
if ($installMode -eq "scheduled task") {
|
||||
Start-ScheduledTask -TaskName $TaskName
|
||||
}
|
||||
else {
|
||||
Start-Process `
|
||||
-FilePath $powershell `
|
||||
-ArgumentList $runnerArguments `
|
||||
-WorkingDirectory $RepoRoot `
|
||||
-WindowStyle Hidden | Out-Null
|
||||
}
|
||||
}
|
||||
|
||||
Write-Host "Installed '$TaskName' using $installMode."
|
||||
Write-Host "Agent API: $ApiBaseUrl"
|
||||
Write-Host "Agent script: $Agent"
|
||||
Write-Host "Encrypted credential: $CredentialPath"
|
||||
Write-Host "Agent runner: $runner"
|
||||
|
||||
@@ -12,6 +12,10 @@ param(
|
||||
[string]$Features = "",
|
||||
[string]$ContextSymbols = "",
|
||||
[int]$Seed = 0,
|
||||
[string]$EnsembleSeeds = "",
|
||||
[int]$SelectionFolds = 0,
|
||||
[double]$LearningRate = 0,
|
||||
[double]$WeightDecay = 0,
|
||||
[int]$Epochs = 0,
|
||||
[int]$Patience = 0,
|
||||
[int]$HoldoutWindow = 0,
|
||||
@@ -132,18 +136,22 @@ function Sync-AcceptedArtifactsToPi {
|
||||
|
||||
if (-not $Symbols -and $env:TORCH_RETRAIN_SYMBOLS) { $Symbols = $env:TORCH_RETRAIN_SYMBOLS }
|
||||
if ($Limit -le 0) {
|
||||
$Limit = if ($env:TORCH_RETRAIN_LIMIT) { [int]$env:TORCH_RETRAIN_LIMIT } else { 3000 }
|
||||
$Limit = if ($env:TORCH_RETRAIN_LIMIT) { [int]$env:TORCH_RETRAIN_LIMIT } else { 6000 }
|
||||
}
|
||||
if (-not $Lookbacks) { $Lookbacks = if ($env:TORCH_RETRAIN_LOOKBACKS) { $env:TORCH_RETRAIN_LOOKBACKS } else { "64" } }
|
||||
if (-not $Lookbacks) { $Lookbacks = if ($env:TORCH_RETRAIN_LOOKBACKS) { $env:TORCH_RETRAIN_LOOKBACKS } else { "32,64,128" } }
|
||||
if (-not $Architectures) { $Architectures = if ($env:TORCH_RETRAIN_ARCHITECTURES) { $env:TORCH_RETRAIN_ARCHITECTURES } else { "lstm,gru" } }
|
||||
if (-not $HiddenSizes) { $HiddenSizes = if ($env:TORCH_RETRAIN_HIDDEN_SIZES) { $env:TORCH_RETRAIN_HIDDEN_SIZES } else { "64,96" } }
|
||||
if (-not $Layers) { $Layers = if ($env:TORCH_RETRAIN_LAYERS) { $env:TORCH_RETRAIN_LAYERS } else { "2" } }
|
||||
if (-not $Dropouts) { $Dropouts = if ($env:TORCH_RETRAIN_DROPOUTS) { $env:TORCH_RETRAIN_DROPOUTS } else { "0.15" } }
|
||||
if ($Horizon -le 0 -and $env:TORCH_RETRAIN_HORIZON) { $Horizon = [int]$env:TORCH_RETRAIN_HORIZON }
|
||||
if (-not $Horizons -and $env:TORCH_RETRAIN_HORIZONS) { $Horizons = $env:TORCH_RETRAIN_HORIZONS }
|
||||
if (-not $Dropouts) { $Dropouts = if ($env:TORCH_RETRAIN_DROPOUTS) { $env:TORCH_RETRAIN_DROPOUTS } else { "0.20" } }
|
||||
if ($Horizon -le 0) { $Horizon = if ($env:TORCH_RETRAIN_HORIZON) { [int]$env:TORCH_RETRAIN_HORIZON } else { 12 } }
|
||||
if (-not $Horizons) { $Horizons = if ($env:TORCH_RETRAIN_HORIZONS) { $env:TORCH_RETRAIN_HORIZONS } else { "3,6,12,24" } }
|
||||
if (-not $Features -and $env:TORCH_RETRAIN_FEATURES) { $Features = $env:TORCH_RETRAIN_FEATURES }
|
||||
if (-not $ContextSymbols -and $env:TORCH_RETRAIN_CONTEXT_SYMBOLS) { $ContextSymbols = $env:TORCH_RETRAIN_CONTEXT_SYMBOLS }
|
||||
if ($Seed -le 0 -and $env:TORCH_RETRAIN_SEED) { $Seed = [int]$env:TORCH_RETRAIN_SEED }
|
||||
if (-not $EnsembleSeeds) { $EnsembleSeeds = if ($env:TORCH_RETRAIN_ENSEMBLE_SEEDS) { $env:TORCH_RETRAIN_ENSEMBLE_SEEDS } else { "7,19,43" } }
|
||||
if ($SelectionFolds -le 0) { $SelectionFolds = if ($env:TORCH_RETRAIN_SELECTION_FOLDS) { [int]$env:TORCH_RETRAIN_SELECTION_FOLDS } else { 3 } }
|
||||
if ($LearningRate -le 0) { $LearningRate = if ($env:TORCH_RETRAIN_LEARNING_RATE) { [double]$env:TORCH_RETRAIN_LEARNING_RATE } else { 0.0007 } }
|
||||
if ($WeightDecay -le 0) { $WeightDecay = if ($env:TORCH_RETRAIN_WEIGHT_DECAY) { [double]$env:TORCH_RETRAIN_WEIGHT_DECAY } else { 0.0005 } }
|
||||
if ($Epochs -le 0) { $Epochs = if ($env:TORCH_RETRAIN_EPOCHS) { [int]$env:TORCH_RETRAIN_EPOCHS } else { 70 } }
|
||||
if ($Patience -le 0) { $Patience = if ($env:TORCH_RETRAIN_PATIENCE) { [int]$env:TORCH_RETRAIN_PATIENCE } else { 8 } }
|
||||
if ($HoldoutWindow -le 0) { $HoldoutWindow = if ($env:TORCH_RETRAIN_HOLDOUT_WINDOW) { [int]$env:TORCH_RETRAIN_HOLDOUT_WINDOW } else { 240 } }
|
||||
@@ -182,6 +190,10 @@ try {
|
||||
"--epochs", $Epochs.ToString(),
|
||||
"--patience", $Patience.ToString(),
|
||||
"--holdout-window", $HoldoutWindow.ToString(),
|
||||
"--ensemble-seeds", $EnsembleSeeds,
|
||||
"--selection-folds", $SelectionFolds.ToString(),
|
||||
"--learning-rate", $LearningRate.ToString([Globalization.CultureInfo]::InvariantCulture),
|
||||
"--weight-decay", $WeightDecay.ToString([Globalization.CultureInfo]::InvariantCulture),
|
||||
"--output", $CandidateFile
|
||||
)
|
||||
if ($Symbols) { $trainerArgs += @("--symbols", $Symbols) }
|
||||
@@ -222,8 +234,8 @@ try {
|
||||
$calibrationBaseArgs = @(
|
||||
"-u",
|
||||
"tools\calibrate_torch_thresholds.py",
|
||||
"--limit", "3000",
|
||||
"--calibration-window", "1200",
|
||||
"--limit", $Limit.ToString(),
|
||||
"--calibration-window", ([Math]::Min(2400, [Math]::Max(1200, [int]($Limit / 2)))).ToString(),
|
||||
"--min-trades", "60",
|
||||
"--walk-forward-folds", "8",
|
||||
"--confidence-grid", "0.40"
|
||||
|
||||
@@ -0,0 +1,82 @@
|
||||
[CmdletBinding()]
|
||||
param(
|
||||
[string]$ApiBaseUrl = "https://tb.kusoft.xyz",
|
||||
[string]$RepoRoot = "",
|
||||
[string]$CredentialPath = "",
|
||||
[string]$WorkerName = $env:COMPUTERNAME,
|
||||
[int]$PollSeconds = 10,
|
||||
[int]$RestartDelaySeconds = 10
|
||||
)
|
||||
|
||||
$ErrorActionPreference = "Stop"
|
||||
|
||||
if (-not $RepoRoot) {
|
||||
$RepoRoot = (Resolve-Path (Join-Path $PSScriptRoot "..")).Path
|
||||
}
|
||||
if (-not $CredentialPath) {
|
||||
$CredentialPath = Join-Path $env:LOCALAPPDATA "TradeBot\training-agent.token"
|
||||
}
|
||||
|
||||
$agent = Join-Path $RepoRoot "tools\windows_training_agent.py"
|
||||
if (-not (Test-Path -LiteralPath $agent)) {
|
||||
throw "Windows training agent not found: $agent"
|
||||
}
|
||||
if (-not (Test-Path -LiteralPath $CredentialPath)) {
|
||||
throw "Encrypted training credential not found: $CredentialPath"
|
||||
}
|
||||
|
||||
function Resolve-Python {
|
||||
$venvPython = Join-Path $RepoRoot ".venv\Scripts\python.exe"
|
||||
if (Test-Path -LiteralPath $venvPython) {
|
||||
return $venvPython
|
||||
}
|
||||
|
||||
$userPython = Join-Path $env:LOCALAPPDATA "Programs\TradeBotPython312\python.exe"
|
||||
if (Test-Path -LiteralPath $userPython) {
|
||||
return $userPython
|
||||
}
|
||||
|
||||
foreach ($candidate in @("python.exe", "python")) {
|
||||
$command = Get-Command $candidate -ErrorAction SilentlyContinue
|
||||
if ($command) {
|
||||
return $command.Source
|
||||
}
|
||||
}
|
||||
throw "Python was not found. Create .venv or install Python 3.12."
|
||||
}
|
||||
|
||||
$createdNew = $false
|
||||
$mutex = [System.Threading.Mutex]::new($false, "Local\TradeBotWindowsTrainingAgent", [ref]$createdNew)
|
||||
if (-not $createdNew) {
|
||||
$mutex.Dispose()
|
||||
exit 0
|
||||
}
|
||||
|
||||
$encryptedToken = (Get-Content -LiteralPath $CredentialPath -Raw -Encoding UTF8).Trim()
|
||||
$secureToken = $encryptedToken | ConvertTo-SecureString
|
||||
$tokenPointer = [Runtime.InteropServices.Marshal]::SecureStringToBSTR($secureToken)
|
||||
try {
|
||||
$env:TRADEBOT_API_AUTH = [Runtime.InteropServices.Marshal]::PtrToStringBSTR($tokenPointer)
|
||||
$python = Resolve-Python
|
||||
$workerId = "${WorkerName}:$RepoRoot"
|
||||
$arguments = @(
|
||||
"-u",
|
||||
$agent,
|
||||
"--repo-root", $RepoRoot,
|
||||
"--api-base-url", $ApiBaseUrl,
|
||||
"--worker-id", $workerId,
|
||||
"--worker-name", $WorkerName,
|
||||
"--poll-seconds", [Math]::Max(5, $PollSeconds).ToString()
|
||||
)
|
||||
|
||||
while ($true) {
|
||||
& $python @arguments
|
||||
Start-Sleep -Seconds ([Math]::Max(5, $RestartDelaySeconds))
|
||||
}
|
||||
}
|
||||
finally {
|
||||
$env:TRADEBOT_API_AUTH = $null
|
||||
[Runtime.InteropServices.Marshal]::ZeroFreeBSTR($tokenPointer)
|
||||
$mutex.ReleaseMutex()
|
||||
$mutex.Dispose()
|
||||
}
|
||||
@@ -125,6 +125,9 @@ def main() -> None:
|
||||
decision_horizon = args.horizon if args.horizon > 0 else max(1, settings.time_series_forecast_horizon)
|
||||
target_horizons = _horizons(args.horizons, decision_horizon)
|
||||
feature_names = _feature_names_arg(args.features)
|
||||
if args.pooled:
|
||||
feature_names.extend(f"symbol_is_{symbol}" for symbol in symbols)
|
||||
ensemble_seeds = _ints(args.ensemble_seeds) or [args.seed]
|
||||
round_trip_cost = max(0.0, 2.0 * (float(settings.taker_fee_rate) + float(settings.slippage_rate)))
|
||||
_progress(
|
||||
f"training started: symbols={len(symbols)} interval={interval} "
|
||||
@@ -151,9 +154,82 @@ def main() -> None:
|
||||
"feature_names": feature_names,
|
||||
"feature_count": len(feature_names),
|
||||
"device": str(device),
|
||||
"ensemble_seeds": ensemble_seeds,
|
||||
"selection_folds": args.selection_folds,
|
||||
"symbols": {},
|
||||
}
|
||||
|
||||
if args.pooled:
|
||||
artifact["version"] = 5
|
||||
artifact["pooled_multi_asset"] = True
|
||||
artifact["symbol_embedding"] = "learned_one_hot_projection"
|
||||
artifact["symbols"] = _train_pooled_symbols(
|
||||
client=client,
|
||||
symbols=symbols,
|
||||
interval=interval,
|
||||
limit=args.limit,
|
||||
validation_window=args.validation_window,
|
||||
holdout_window=args.holdout_window,
|
||||
target_horizons=target_horizons,
|
||||
decision_horizon=decision_horizon,
|
||||
feature_names=feature_names,
|
||||
round_trip_cost=round_trip_cost,
|
||||
context_symbols=_strings(args.context_symbols),
|
||||
architectures=_strings(args.architectures),
|
||||
lookbacks=_ints(args.lookbacks),
|
||||
hidden_sizes=_ints(args.hidden_sizes),
|
||||
layers_values=_ints(args.layers),
|
||||
dropouts=_floats(args.dropouts),
|
||||
epochs=args.epochs,
|
||||
patience=args.patience,
|
||||
batch_size=args.batch_size,
|
||||
learning_rate=args.learning_rate,
|
||||
weight_decay=args.weight_decay,
|
||||
clip=args.clip,
|
||||
attention_pooling=args.attention_pooling,
|
||||
context_norm=args.context_norm,
|
||||
device=device,
|
||||
seeds=ensemble_seeds,
|
||||
selection_folds=args.selection_folds,
|
||||
)
|
||||
else:
|
||||
artifact["symbols"] = _train_independent_symbols(
|
||||
client=client,
|
||||
symbols=symbols,
|
||||
interval=interval,
|
||||
args=args,
|
||||
target_horizons=target_horizons,
|
||||
decision_horizon=decision_horizon,
|
||||
feature_names=feature_names,
|
||||
round_trip_cost=round_trip_cost,
|
||||
device=device,
|
||||
ensemble_seeds=ensemble_seeds,
|
||||
)
|
||||
|
||||
for symbol, result in artifact["symbols"].items():
|
||||
_progress(
|
||||
f"{symbol}: model={result['model']} lookback={result['lookback']} "
|
||||
f"features={result['input_size']} hidden={result['hidden_size']} "
|
||||
f"layers={result['num_layers']} horizons={','.join(map(str, result['target_horizons']))} "
|
||||
f"mae={result['validation_mae_percent']:.5f}% "
|
||||
f"baseline={result['baseline_mae_percent']:.5f}% "
|
||||
f"skill={result['skill']:.4f} dir={result['directional_accuracy']:.3f} "
|
||||
f"p_brier={result['probability_brier']:.4f}"
|
||||
)
|
||||
|
||||
output.parent.mkdir(parents=True, exist_ok=True)
|
||||
tmp_output = output.with_name(f"{output.name}.tmp")
|
||||
tmp_output.write_text(json.dumps(artifact, ensure_ascii=False, indent=2) + "\n", encoding="utf-8")
|
||||
tmp_output.replace(output)
|
||||
_progress(f"saved {output}")
|
||||
|
||||
|
||||
def _train_independent_symbols(
|
||||
*, client: BybitClient, symbols: list[str], interval: str, args: argparse.Namespace,
|
||||
target_horizons: list[int], decision_horizon: int, feature_names: list[str],
|
||||
round_trip_cost: float, device: torch.device, ensemble_seeds: list[int],
|
||||
) -> dict[str, Any]:
|
||||
results: dict[str, Any] = {}
|
||||
total_symbols = len(symbols)
|
||||
for index, symbol in enumerate(symbols, start=1):
|
||||
_progress(f"{symbol}: training started ({index}/{total_symbols})")
|
||||
@@ -183,27 +259,221 @@ def main() -> None:
|
||||
attention_pooling=args.attention_pooling,
|
||||
context_norm=args.context_norm,
|
||||
device=device,
|
||||
seed=args.seed,
|
||||
seeds=ensemble_seeds,
|
||||
selection_folds=args.selection_folds,
|
||||
)
|
||||
if result is None:
|
||||
_progress(f"{symbol}: skipped, not enough candles or train/validation samples")
|
||||
continue
|
||||
artifact["symbols"][symbol] = result
|
||||
_progress(
|
||||
f"{symbol}: model={result['model']} lookback={result['lookback']} "
|
||||
f"features={result['input_size']} hidden={result['hidden_size']} "
|
||||
f"layers={result['num_layers']} horizons={','.join(map(str, result['target_horizons']))} "
|
||||
f"mae={result['validation_mae_percent']:.5f}% "
|
||||
f"baseline={result['baseline_mae_percent']:.5f}% "
|
||||
f"skill={result['skill']:.4f} dir={result['directional_accuracy']:.3f} "
|
||||
f"p_brier={result['probability_brier']:.4f}"
|
||||
)
|
||||
results[symbol] = result
|
||||
return results
|
||||
|
||||
output.parent.mkdir(parents=True, exist_ok=True)
|
||||
tmp_output = output.with_name(f"{output.name}.tmp")
|
||||
tmp_output.write_text(json.dumps(artifact, ensure_ascii=False, indent=2) + "\n", encoding="utf-8")
|
||||
tmp_output.replace(output)
|
||||
_progress(f"saved {output}")
|
||||
|
||||
def _train_pooled_symbols(
|
||||
*, client: BybitClient, symbols: list[str], interval: str, limit: int,
|
||||
validation_window: int, holdout_window: int, target_horizons: list[int],
|
||||
decision_horizon: int, feature_names: list[str], round_trip_cost: float,
|
||||
context_symbols: list[str], architectures: list[str], lookbacks: list[int],
|
||||
hidden_sizes: list[int], layers_values: list[int], dropouts: list[float],
|
||||
epochs: int, patience: int, batch_size: int, learning_rate: float,
|
||||
weight_decay: float, clip: float, attention_pooling: bool, context_norm: bool,
|
||||
device: torch.device, seeds: list[int], selection_folds: int,
|
||||
) -> dict[str, Any]:
|
||||
market_candles: dict[str, list[Candle]] = {}
|
||||
for symbol in sorted({item.upper() for item in symbols + context_symbols}):
|
||||
rows = _historical_klines(client, symbol, interval, limit)
|
||||
add_indicators(rows)
|
||||
market_candles[symbol] = rows
|
||||
_progress(f"{symbol}: pooled data loaded ({len(rows)} candles)")
|
||||
trend_by_symbol: dict[str, list[Candle]] = {}
|
||||
for symbol in symbols:
|
||||
rows = _historical_klines(client, symbol, "D", min(max(260, limit // 24 + 260), 1000))
|
||||
add_indicators(rows)
|
||||
trend_by_symbol[symbol] = rows
|
||||
|
||||
best: dict[str, Any] | None = None
|
||||
best_prepared: dict[str, PreparedData] = {}
|
||||
for lookback in lookbacks:
|
||||
prepared_by_symbol: dict[str, PreparedData] = {}
|
||||
for symbol in symbols:
|
||||
prepared = _prepare_data(
|
||||
candles=market_candles[symbol],
|
||||
feature_names=feature_names,
|
||||
lookback=lookback,
|
||||
target_horizons=target_horizons,
|
||||
decision_horizon=decision_horizon,
|
||||
round_trip_cost=round_trip_cost,
|
||||
market_candles=market_candles,
|
||||
trend_candles=trend_by_symbol[symbol],
|
||||
validation_window=validation_window,
|
||||
holdout_window=holdout_window,
|
||||
clip=clip,
|
||||
device=device,
|
||||
)
|
||||
if prepared is not None:
|
||||
prepared_by_symbol[symbol] = prepared
|
||||
if len(prepared_by_symbol) < 2:
|
||||
continue
|
||||
for architecture in architectures:
|
||||
if architecture not in {"lstm", "gru"}:
|
||||
continue
|
||||
for hidden_size in hidden_sizes:
|
||||
for num_layers in layers_values:
|
||||
for dropout in dropouts:
|
||||
if num_layers <= 1 and dropout != 0.0:
|
||||
continue
|
||||
_progress(
|
||||
f"pooled: fitting {architecture} lookback={lookback} hidden={hidden_size} "
|
||||
f"layers={num_layers} dropout={dropout} symbols={len(prepared_by_symbol)}"
|
||||
)
|
||||
members = [
|
||||
_fit_pooled_candidate(
|
||||
prepared_by_symbol=prepared_by_symbol,
|
||||
architecture=architecture,
|
||||
input_size=len(feature_names),
|
||||
output_size=len(target_horizons) * len(OUTPUT_LAYOUT),
|
||||
hidden_size=hidden_size,
|
||||
num_layers=num_layers,
|
||||
dropout=dropout,
|
||||
epochs=epochs,
|
||||
patience=patience,
|
||||
batch_size=batch_size,
|
||||
learning_rate=learning_rate,
|
||||
weight_decay=weight_decay,
|
||||
clip=clip,
|
||||
attention_pooling=attention_pooling,
|
||||
context_norm=context_norm,
|
||||
device=device,
|
||||
seed=member_seed,
|
||||
selection_folds=selection_folds,
|
||||
)
|
||||
for member_seed in seeds
|
||||
]
|
||||
candidate = _ensemble_candidate(members, seeds)
|
||||
candidate.update(
|
||||
model=f"torch_{architecture}", architecture=architecture,
|
||||
lookback=lookback, hidden_size=hidden_size, num_layers=num_layers,
|
||||
dropout=dropout if num_layers > 1 else 0.0,
|
||||
attention_pooling=attention_pooling, context_norm=context_norm,
|
||||
input_size=len(feature_names), output_size=len(target_horizons) * len(OUTPUT_LAYOUT),
|
||||
)
|
||||
if best is None or _candidate_score(candidate) < _candidate_score(best):
|
||||
best = candidate
|
||||
best_prepared = prepared_by_symbol
|
||||
if best is None:
|
||||
return {}
|
||||
|
||||
results: dict[str, Any] = {}
|
||||
symbol_metrics = best.get("symbol_metrics", {})
|
||||
common = {key: value for key, value in best.items() if key != "symbol_metrics"}
|
||||
for symbol, prepared in best_prepared.items():
|
||||
metrics = symbol_metrics.get(symbol, {}) if isinstance(symbol_metrics, dict) else {}
|
||||
baseline = sum(abs(row[prepared.decision_horizon_index]) for row in prepared.validation_targets) / len(prepared.validation_targets)
|
||||
validation_mae = float(metrics.get("validation_mae", baseline))
|
||||
results[symbol] = {
|
||||
**common, **metrics,
|
||||
"pooled_multi_asset": True,
|
||||
"target_horizon": prepared.decision_horizon,
|
||||
"target_horizons": prepared.target_horizons,
|
||||
"direct_horizon": True,
|
||||
"target_transform": "net_return_over_volatility",
|
||||
"round_trip_cost": round(round_trip_cost, 10),
|
||||
"output_layout": list(OUTPUT_LAYOUT),
|
||||
"feature_names": feature_names,
|
||||
"feature_means": prepared.feature_means,
|
||||
"feature_scales": prepared.feature_scales,
|
||||
"target_means": prepared.target_means,
|
||||
"target_scales": prepared.target_scales,
|
||||
"target_mean": prepared.target_means[prepared.decision_horizon_index],
|
||||
"target_scale": prepared.target_scales[prepared.decision_horizon_index],
|
||||
"clip": clip,
|
||||
"validation_mae_percent": validation_mae * 100,
|
||||
"baseline_mae_percent": baseline * 100,
|
||||
"validation_skill": (baseline - validation_mae) / baseline if baseline > 0 else 0.0,
|
||||
# Runtime and calibration may use validation skill. Untouched
|
||||
# holdout skill is report-only and must never gate individual entries.
|
||||
"skill": (baseline - validation_mae) / baseline if baseline > 0 else 0.0,
|
||||
"train_samples": prepared.train_samples,
|
||||
"validation_samples": prepared.validation_samples,
|
||||
"holdout_samples": prepared.holdout_samples,
|
||||
"holdout_start_timestamp": prepared.holdout_start_timestamp,
|
||||
}
|
||||
return results
|
||||
|
||||
|
||||
def _fit_pooled_candidate(
|
||||
*, prepared_by_symbol: dict[str, PreparedData], architecture: str, input_size: int,
|
||||
output_size: int, hidden_size: int, num_layers: int, dropout: float, epochs: int,
|
||||
patience: int, batch_size: int, learning_rate: float, weight_decay: float,
|
||||
clip: float, attention_pooling: bool, context_norm: bool, device: torch.device,
|
||||
seed: int, selection_folds: int,
|
||||
) -> dict[str, Any]:
|
||||
_seed(seed)
|
||||
model = RecurrentReturnModel(
|
||||
architecture=architecture, input_size=input_size, hidden_size=hidden_size,
|
||||
num_layers=num_layers, dropout=dropout, output_size=output_size,
|
||||
attention_pooling=attention_pooling, context_norm=context_norm,
|
||||
).to(device)
|
||||
optimizer = torch.optim.AdamW(model.parameters(), lr=learning_rate, weight_decay=weight_decay)
|
||||
loader = DataLoader(
|
||||
TensorDataset(
|
||||
torch.cat([row.train_x for row in prepared_by_symbol.values()]),
|
||||
torch.cat([row.train_y for row in prepared_by_symbol.values()]),
|
||||
torch.cat([row.train_up for row in prepared_by_symbol.values()]),
|
||||
),
|
||||
batch_size=max(1, batch_size), shuffle=True,
|
||||
generator=torch.Generator(device="cpu").manual_seed(seed),
|
||||
)
|
||||
best_state: dict[str, torch.Tensor] | None = None
|
||||
best_score = math.inf
|
||||
stale = 0
|
||||
best_epoch = 0
|
||||
for epoch in range(1, max(1, epochs) + 1):
|
||||
model.train()
|
||||
for batch_x, batch_y, batch_up in loader:
|
||||
optimizer.zero_grad(set_to_none=True)
|
||||
loss = _forecast_loss(model(batch_x), batch_y, batch_up, len(next(iter(prepared_by_symbol.values())).target_horizons))
|
||||
loss.backward()
|
||||
nn.utils.clip_grad_norm_(model.parameters(), max_norm=1.0)
|
||||
optimizer.step()
|
||||
symbol_rows = {
|
||||
symbol: _validation_metrics(model, prepared, clip)
|
||||
for symbol, prepared in prepared_by_symbol.items()
|
||||
}
|
||||
score = sum(float(row["validation_mae"]) for row in symbol_rows.values()) / len(symbol_rows)
|
||||
if score + 1e-12 < best_score:
|
||||
best_score = score
|
||||
best_epoch = epoch
|
||||
best_state = {key: value.detach().cpu().clone() for key, value in model.state_dict().items()}
|
||||
stale = 0
|
||||
else:
|
||||
stale += 1
|
||||
if stale >= max(1, patience):
|
||||
break
|
||||
if best_state:
|
||||
model.load_state_dict(best_state)
|
||||
per_symbol: dict[str, dict[str, Any]] = {}
|
||||
for symbol, prepared in prepared_by_symbol.items():
|
||||
metrics = _validation_metrics(model, prepared, clip)
|
||||
metrics.update(_validation_stability_metrics(model, prepared, clip, selection_folds))
|
||||
metrics.update(_holdout_metrics(model, prepared, clip))
|
||||
per_symbol[symbol] = metrics
|
||||
aggregate: dict[str, Any] = {"symbol_metrics": per_symbol}
|
||||
for name in (
|
||||
"validation_mae", "directional_accuracy", "buy_precision", "probability_brier",
|
||||
"holdout_skill", "validation_fold_mae_std", "validation_trade_mean",
|
||||
"validation_trade_win_rate",
|
||||
):
|
||||
values = [float(row[name]) for row in per_symbol.values() if isinstance(row.get(name), (int, float))]
|
||||
aggregate[name] = sum(values) / len(values) if values else 0.0
|
||||
aggregate.update(
|
||||
best_epoch=best_epoch, epochs_trained=best_epoch + stale,
|
||||
state_dict=_export_recurrent_state(model),
|
||||
head_weight=_round_nested(model.head.weight.detach().cpu().tolist()),
|
||||
head_bias=_round_list(model.head.bias.detach().cpu().tolist()),
|
||||
**_export_context_state(model),
|
||||
)
|
||||
return aggregate
|
||||
|
||||
|
||||
def _progress(message: str) -> None:
|
||||
@@ -236,6 +506,9 @@ def _parse_args() -> argparse.Namespace:
|
||||
parser.add_argument("--attention-pooling", action=argparse.BooleanOptionalAction, default=True, help="Use exportable attention pooling over recurrent states.")
|
||||
parser.add_argument("--context-norm", action=argparse.BooleanOptionalAction, default=True, help="Use exportable LayerNorm before the forecast head.")
|
||||
parser.add_argument("--seed", type=int, default=7, help="Random seed.")
|
||||
parser.add_argument("--ensemble-seeds", default="7,19,43", help="Comma-separated seeds averaged at inference time.")
|
||||
parser.add_argument("--selection-folds", type=int, default=3, help="Validation slices used to penalize unstable candidates.")
|
||||
parser.add_argument("--pooled", action=argparse.BooleanOptionalAction, default=True, help="Train shared multi-asset recurrent weights with learned symbol one-hot projection.")
|
||||
parser.add_argument("--threads", type=int, default=0, help="Torch CPU threads; 0 keeps torch default.")
|
||||
parser.add_argument("--device", default="auto", help="auto, cpu, cuda, or mps.")
|
||||
parser.add_argument("--output", default="", help="Output JSON path. Defaults to TIME_SERIES_LSTM_MODEL_PATH.")
|
||||
@@ -277,7 +550,8 @@ def _train_symbol(
|
||||
attention_pooling: bool,
|
||||
context_norm: bool,
|
||||
device: torch.device,
|
||||
seed: int,
|
||||
seeds: list[int],
|
||||
selection_folds: int,
|
||||
) -> dict[str, Any] | None:
|
||||
candles = _historical_klines(client, symbol, interval, limit)
|
||||
add_indicators(candles)
|
||||
@@ -339,25 +613,30 @@ def _train_symbol(
|
||||
f"lookback={lookback} hidden={hidden_size} "
|
||||
f"layers={num_layers} dropout={dropout}"
|
||||
)
|
||||
candidate = _fit_candidate(
|
||||
prepared=prepared,
|
||||
architecture=architecture,
|
||||
input_size=len(feature_names),
|
||||
output_size=len(target_horizons) * len(OUTPUT_LAYOUT),
|
||||
hidden_size=hidden_size,
|
||||
num_layers=num_layers,
|
||||
dropout=dropout,
|
||||
epochs=epochs,
|
||||
patience=patience,
|
||||
batch_size=batch_size,
|
||||
learning_rate=learning_rate,
|
||||
weight_decay=weight_decay,
|
||||
clip=clip,
|
||||
attention_pooling=attention_pooling,
|
||||
context_norm=context_norm,
|
||||
device=device,
|
||||
seed=seed,
|
||||
)
|
||||
members = [
|
||||
_fit_candidate(
|
||||
prepared=prepared,
|
||||
architecture=architecture,
|
||||
input_size=len(feature_names),
|
||||
output_size=len(target_horizons) * len(OUTPUT_LAYOUT),
|
||||
hidden_size=hidden_size,
|
||||
num_layers=num_layers,
|
||||
dropout=dropout,
|
||||
epochs=epochs,
|
||||
patience=patience,
|
||||
batch_size=batch_size,
|
||||
learning_rate=learning_rate,
|
||||
weight_decay=weight_decay,
|
||||
clip=clip,
|
||||
attention_pooling=attention_pooling,
|
||||
context_norm=context_norm,
|
||||
device=device,
|
||||
seed=member_seed,
|
||||
selection_folds=selection_folds,
|
||||
)
|
||||
for member_seed in seeds
|
||||
]
|
||||
candidate = _ensemble_candidate(members, seeds)
|
||||
validation_mae = float(candidate["validation_mae"])
|
||||
skill = (baseline_mae - validation_mae) / baseline_mae if baseline_mae > 0 else 0.0
|
||||
row = {
|
||||
@@ -408,7 +687,7 @@ def _train_symbol(
|
||||
if best is None:
|
||||
return None
|
||||
best["validation_skill"] = best.get("skill", 0.0)
|
||||
best["skill"] = best.get("holdout_skill", 0.0)
|
||||
best["skill"] = best["validation_skill"]
|
||||
best.pop("validation_mae", None)
|
||||
return best
|
||||
|
||||
@@ -484,7 +763,7 @@ def _prepare_data(
|
||||
if len(train_samples) < 24 or len(validation_samples) < 8 or len(holdout_samples) < 16:
|
||||
return None
|
||||
|
||||
feature_means, feature_scales = _feature_stats(train_samples, len(feature_names))
|
||||
feature_means, feature_scales = _feature_stats(train_samples, feature_names)
|
||||
target_means, target_scales = _target_stats(train_samples, len(target_horizons))
|
||||
decision_horizon = decision_horizon if decision_horizon in target_horizons else min(
|
||||
target_horizons,
|
||||
@@ -545,7 +824,8 @@ def _prepare_data(
|
||||
)
|
||||
|
||||
|
||||
def _feature_stats(samples: list[TrainingSample], input_size: int) -> tuple[list[float], list[float]]:
|
||||
def _feature_stats(samples: list[TrainingSample], feature_names: list[str]) -> tuple[list[float], list[float]]:
|
||||
input_size = len(feature_names)
|
||||
columns = [[] for _ in range(input_size)]
|
||||
for sample in samples:
|
||||
window = sample.window
|
||||
@@ -554,7 +834,11 @@ def _feature_stats(samples: list[TrainingSample], input_size: int) -> tuple[list
|
||||
columns[index].append(float(row[index] if index < len(row) else 0.0))
|
||||
means: list[float] = []
|
||||
scales: list[float] = []
|
||||
for values in columns:
|
||||
for index, values in enumerate(columns):
|
||||
if feature_names[index].startswith("symbol_is_"):
|
||||
means.append(0.0)
|
||||
scales.append(1.0)
|
||||
continue
|
||||
if not values:
|
||||
means.append(0.0)
|
||||
scales.append(1.0)
|
||||
@@ -641,6 +925,7 @@ def _fit_candidate(
|
||||
context_norm: bool,
|
||||
device: torch.device,
|
||||
seed: int,
|
||||
selection_folds: int,
|
||||
) -> dict[str, Any]:
|
||||
_seed(seed)
|
||||
model = RecurrentReturnModel(
|
||||
@@ -676,6 +961,7 @@ def _fit_candidate(
|
||||
optimizer.step()
|
||||
|
||||
metrics = _validation_metrics(model, prepared, clip)
|
||||
metrics.update(_validation_stability_metrics(model, prepared, clip, selection_folds))
|
||||
if metrics["validation_mae"] + 1e-12 < best_metrics["validation_mae"]:
|
||||
best_metrics = metrics
|
||||
best_epoch = epoch
|
||||
@@ -701,6 +987,66 @@ def _fit_candidate(
|
||||
}
|
||||
|
||||
|
||||
def _ensemble_candidate(members: list[dict[str, Any]], seeds: list[int]) -> dict[str, Any]:
|
||||
if not members:
|
||||
raise ValueError("ensemble requires at least one member")
|
||||
result = dict(members[0])
|
||||
metric_names = (
|
||||
"validation_mae",
|
||||
"directional_accuracy",
|
||||
"buy_precision",
|
||||
"probability_brier",
|
||||
"holdout_mae",
|
||||
"holdout_baseline_mae",
|
||||
"holdout_skill",
|
||||
"holdout_directional_accuracy",
|
||||
"holdout_buy_precision",
|
||||
"holdout_probability_brier",
|
||||
"validation_fold_mae_std",
|
||||
"validation_fold_mae_worst",
|
||||
"validation_trade_mean",
|
||||
"validation_trade_win_rate",
|
||||
)
|
||||
for name in metric_names:
|
||||
values = [float(member[name]) for member in members if isinstance(member.get(name), (int, float))]
|
||||
if values:
|
||||
result[name] = sum(values) / len(values)
|
||||
export_names = (
|
||||
"state_dict",
|
||||
"head_weight",
|
||||
"head_bias",
|
||||
"attention_weight",
|
||||
"attention_bias",
|
||||
"context_norm_weight",
|
||||
"context_norm_bias",
|
||||
)
|
||||
result["ensemble_members"] = [
|
||||
{name: member[name] for name in export_names if name in member}
|
||||
| {"seed": seeds[index] if index < len(seeds) else index}
|
||||
for index, member in enumerate(members)
|
||||
]
|
||||
result["ensemble_size"] = len(members)
|
||||
symbol_names = sorted(
|
||||
{
|
||||
symbol
|
||||
for member in members
|
||||
for symbol in (member.get("symbol_metrics") or {})
|
||||
}
|
||||
)
|
||||
if symbol_names:
|
||||
result["symbol_metrics"] = {}
|
||||
for symbol in symbol_names:
|
||||
rows = [member.get("symbol_metrics", {}).get(symbol, {}) for member in members]
|
||||
keys = {key for row in rows if isinstance(row, dict) for key in row}
|
||||
averaged: dict[str, float] = {}
|
||||
for key in keys:
|
||||
values = [float(row[key]) for row in rows if isinstance(row.get(key), (int, float))]
|
||||
if values:
|
||||
averaged[key] = sum(values) / len(values)
|
||||
result["symbol_metrics"][symbol] = averaged
|
||||
return result
|
||||
|
||||
|
||||
def _validation_metrics(model: nn.Module, prepared: PreparedData, clip: float) -> dict[str, float]:
|
||||
return _evaluation_metrics(
|
||||
model,
|
||||
@@ -712,6 +1058,39 @@ def _validation_metrics(model: nn.Module, prepared: PreparedData, clip: float) -
|
||||
)
|
||||
|
||||
|
||||
def _validation_stability_metrics(
|
||||
model: nn.Module,
|
||||
prepared: PreparedData,
|
||||
clip: float,
|
||||
folds: int,
|
||||
) -> dict[str, float]:
|
||||
fold_count = max(1, min(int(folds), len(prepared.validation_targets)))
|
||||
fold_size = max(1, len(prepared.validation_targets) // fold_count)
|
||||
maes: list[float] = []
|
||||
for fold in range(fold_count):
|
||||
start = fold * fold_size
|
||||
end = len(prepared.validation_targets) if fold == fold_count - 1 else min(len(prepared.validation_targets), start + fold_size)
|
||||
if end <= start:
|
||||
continue
|
||||
metrics = _evaluation_metrics(
|
||||
model,
|
||||
values=prepared.validation_x[start:end],
|
||||
targets=prepared.validation_targets[start:end],
|
||||
volatility_scales=prepared.validation_volatility_scales[start:end],
|
||||
prepared=prepared,
|
||||
clip=clip,
|
||||
)
|
||||
maes.append(float(metrics["validation_mae"]))
|
||||
if not maes:
|
||||
return {"validation_fold_mae_std": 0.0, "validation_fold_mae_worst": math.inf}
|
||||
mean = sum(maes) / len(maes)
|
||||
variance = sum((value - mean) ** 2 for value in maes) / len(maes)
|
||||
return {
|
||||
"validation_fold_mae_std": math.sqrt(variance),
|
||||
"validation_fold_mae_worst": max(maes),
|
||||
}
|
||||
|
||||
|
||||
def _holdout_metrics(model: nn.Module, prepared: PreparedData, clip: float) -> dict[str, Any]:
|
||||
metrics = _evaluation_metrics(
|
||||
model,
|
||||
@@ -790,6 +1169,13 @@ def _evaluation_metrics(
|
||||
if prediction > 0
|
||||
]
|
||||
buy_wins = [actual for actual in buy_predictions if actual > 0]
|
||||
ranked = sorted(
|
||||
zip(decision_predictions, [row[decision] for row in probabilities], decision_targets),
|
||||
key=lambda item: item[0] * max(0.0, item[1] - 0.5),
|
||||
reverse=True,
|
||||
)
|
||||
selected = ranked[: max(8, len(ranked) // 5)]
|
||||
selected_targets = [row[2] for row in selected]
|
||||
by_horizon = {}
|
||||
baseline_by_horizon = {}
|
||||
for horizon_index, horizon in enumerate(prepared.target_horizons):
|
||||
@@ -815,6 +1201,12 @@ def _evaluation_metrics(
|
||||
"directional_accuracy": len(correct) / len(non_zero) if non_zero else 0.0,
|
||||
"buy_precision": len(buy_wins) / len(buy_predictions) if buy_predictions else 0.0,
|
||||
"probability_brier": sum(probability_errors) / len(probability_errors) if probability_errors else 1.0,
|
||||
"validation_trade_mean": sum(selected_targets) / len(selected_targets) if selected_targets else 0.0,
|
||||
"validation_trade_win_rate": (
|
||||
sum(1 for value in selected_targets if value > 0) / len(selected_targets)
|
||||
if selected_targets
|
||||
else 0.0
|
||||
),
|
||||
}
|
||||
|
||||
|
||||
@@ -824,9 +1216,13 @@ def _candidate_score(row: dict[str, Any]) -> float:
|
||||
directional = float(row.get("directional_accuracy", 0.0))
|
||||
buy_precision = float(row.get("buy_precision", 0.0))
|
||||
probability_brier = float(row.get("probability_brier", 1.0))
|
||||
return mae * (1.0 - max(0.0, skill) * 0.05) * (1.0 - max(0.0, directional - 0.5) * 0.03) * (
|
||||
fold_std = max(0.0, float(row.get("validation_fold_mae_std", 0.0)))
|
||||
stability_penalty = 1.0 + min(1.0, fold_std / max(mae, 1e-9)) * 0.25
|
||||
trade_mean = float(row.get("validation_trade_mean", 0.0))
|
||||
trade_penalty = max(0.0, -trade_mean) * 2.0 - max(0.0, trade_mean) * 0.5
|
||||
return mae * stability_penalty * (1.0 - max(0.0, skill) * 0.05) * (1.0 - max(0.0, directional - 0.5) * 0.03) * (
|
||||
1.0 - max(0.0, buy_precision - 0.5) * 0.02
|
||||
) * (1.0 + max(0.0, probability_brier - 0.25) * 0.02)
|
||||
) * (1.0 + max(0.0, probability_brier - 0.25) * 0.02) + trade_penalty
|
||||
|
||||
|
||||
def _forecast_loss(outputs: torch.Tensor, targets: torch.Tensor, up_targets: torch.Tensor, horizon_count: int) -> torch.Tensor:
|
||||
@@ -842,7 +1238,19 @@ def _forecast_loss(outputs: torch.Tensor, targets: torch.Tensor, up_targets: tor
|
||||
probabilities = torch.sigmoid(logits)
|
||||
pt = probabilities * up_targets + (1.0 - probabilities) * (1.0 - up_targets)
|
||||
focal = ((1.0 - pt) ** 2.0 * bce).mean()
|
||||
return mean_loss + 0.35 * sum(quantile_losses) / len(quantile_losses) + 0.15 * focal
|
||||
soft_long = torch.sigmoid(values[:, :, 0] * 2.0) * probabilities
|
||||
after_cost_utility = -(soft_long * targets).mean()
|
||||
prediction_centered = values[:, :, 0] - values[:, :, 0].mean(dim=0, keepdim=True)
|
||||
target_centered = targets - targets.mean(dim=0, keepdim=True)
|
||||
cosine = nn.functional.cosine_similarity(prediction_centered, target_centered, dim=0).mean()
|
||||
ranking_loss = 1.0 - cosine
|
||||
return (
|
||||
mean_loss
|
||||
+ 0.35 * sum(quantile_losses) / len(quantile_losses)
|
||||
+ 0.15 * focal
|
||||
+ 0.10 * after_cost_utility
|
||||
+ 0.05 * ranking_loss
|
||||
)
|
||||
|
||||
|
||||
def _export_recurrent_state(model: RecurrentReturnModel) -> dict[str, Any]:
|
||||
|
||||
@@ -64,19 +64,20 @@ def poll_once(args: argparse.Namespace, repo_root: Path, runtime_dir: Path, log_
|
||||
try:
|
||||
run_retrain(args, job_id, job, repo_root, log_path)
|
||||
summary = read_json(runtime_dir / "torch_retrain_guard.json")
|
||||
if summary.get("accepted") is not True:
|
||||
raise RuntimeError(
|
||||
"candidate rejected by untouched-holdout guard: "
|
||||
+ str(summary.get("reason") or "validation failed")
|
||||
)
|
||||
report_progress(args, job_id, "running", "uploading", 72, "Обучение завершено, загружаю артефакты")
|
||||
for name in ARTIFACT_NAMES:
|
||||
path = runtime_dir / name
|
||||
if path.is_file():
|
||||
upload_artifact(args, job_id, path, log_path)
|
||||
accepted = summary.get("accepted") is True
|
||||
if accepted:
|
||||
report_progress(args, job_id, "running", "uploading", 72, "Обучение завершено, загружаю артефакты")
|
||||
for name in ARTIFACT_NAMES:
|
||||
path = runtime_dir / name
|
||||
if path.is_file():
|
||||
upload_artifact(args, job_id, path, log_path)
|
||||
message = "training completed; candidate accepted"
|
||||
log(log_path, f"Completed retrain job {job_id}; candidate accepted")
|
||||
else:
|
||||
reason = str(summary.get("reason") or "validation failed")
|
||||
message = f"training completed; candidate rejected by quality gate: {reason}"
|
||||
log(log_path, f"Completed retrain job {job_id}; candidate rejected: {reason}")
|
||||
success = True
|
||||
message = "training completed"
|
||||
log(log_path, f"Completed retrain job {job_id}")
|
||||
except Exception as exc: # noqa: BLE001 - report failure to the bot.
|
||||
message = str(exc)
|
||||
log(log_path, f"Job {job_id} failed: {message}")
|
||||
@@ -108,6 +109,10 @@ def run_retrain(args: argparse.Namespace, job_id: str, job: dict[str, Any], repo
|
||||
"dropouts": "-Dropouts",
|
||||
"epochs": "-Epochs",
|
||||
"holdout_window": "-HoldoutWindow",
|
||||
"ensemble_seeds": "-EnsembleSeeds",
|
||||
"selection_folds": "-SelectionFolds",
|
||||
"learning_rate": "-LearningRate",
|
||||
"weight_decay": "-WeightDecay",
|
||||
}
|
||||
for key, ps_arg in arg_map.items():
|
||||
value = parameters.get(key)
|
||||
|
||||
Reference in New Issue
Block a user