Codex
325 lines
12 KiB
Python
325 lines
12 KiB
Python
from __future__ import annotations
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import json
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from crypto_spot_bot.models import Candle
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from crypto_spot_bot.time_series import TimeSeriesForecaster
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def _candles_from_returns(returns: list[float]) -> list[Candle]:
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close = 100.0
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candles = [
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Candle(
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timestamp=0,
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open=close,
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high=close * 1.001,
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low=close * 0.999,
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close=close,
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volume=100,
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)
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]
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for index, ret in enumerate(returns, start=1):
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previous = close
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close = close * (2.718281828459045 ** ret)
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candles.append(
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Candle(
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timestamp=index,
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open=previous,
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high=max(previous, close) * 1.001,
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low=min(previous, close) * 0.999,
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close=close,
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volume=100,
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)
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)
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return candles
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def _write_torch_gru_artifact(
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path,
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*,
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head_bias: float,
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validation_mae_percent: float = 0.02,
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baseline_mae_percent: float = 0.08,
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skill: float = 0.2,
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) -> None:
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hidden_size = 2
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path.write_text(
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json.dumps(
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{
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"version": 2,
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"type": "pytorch_recurrent_forecaster",
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"symbols": {
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"BTCUSDT": {
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"model": "torch_gru",
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"architecture": "gru",
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"lookback": 8,
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"hidden_size": hidden_size,
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"num_layers": 1,
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"mean": 0.0,
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"scale": 0.001,
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"clip": 8.0,
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"validation_mae_percent": validation_mae_percent,
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"baseline_mae_percent": baseline_mae_percent,
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"skill": skill,
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"state_dict": {
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"weight_ih_l0": [[0.0] for _ in range(3 * hidden_size)],
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"weight_hh_l0": [[0.0, 0.0] for _ in range(3 * hidden_size)],
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"bias_ih_l0": [0.0 for _ in range(3 * hidden_size)],
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"bias_hh_l0": [0.0 for _ in range(3 * hidden_size)],
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},
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"head_weight": [0.0, 0.0],
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"head_bias": head_bias,
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},
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},
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}
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),
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encoding="utf-8",
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)
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def _write_multifeature_torch_gru_artifact(path, *, head_bias: float) -> None:
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hidden_size = 2
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input_size = 2
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path.write_text(
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json.dumps(
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{
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"version": 3,
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"type": "pytorch_recurrent_forecaster",
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"target_horizon": 3,
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"direct_horizon": True,
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"feature_count": input_size,
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"feature_names": ["return_1", "range_percent"],
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"symbols": {
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"BTCUSDT": {
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"model": "torch_gru",
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"architecture": "gru",
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"lookback": 8,
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"target_horizon": 3,
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"direct_horizon": True,
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"input_size": input_size,
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"feature_names": ["return_1", "range_percent"],
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"feature_means": [0.0, 0.0],
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"feature_scales": [0.001, 0.001],
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"target_mean": 0.0,
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"target_scale": 0.001,
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"hidden_size": hidden_size,
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"num_layers": 1,
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"clip": 8.0,
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"validation_mae_percent": 0.01,
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"baseline_mae_percent": 0.08,
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"skill": 0.2,
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"state_dict": {
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"weight_ih_l0": [[0.0, 0.0] for _ in range(3 * hidden_size)],
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"weight_hh_l0": [[0.0, 0.0] for _ in range(3 * hidden_size)],
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"bias_ih_l0": [0.0 for _ in range(3 * hidden_size)],
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"bias_hh_l0": [0.0 for _ in range(3 * hidden_size)],
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},
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"head_weight": [0.0, 0.0],
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"head_bias": head_bias,
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},
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},
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}
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),
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encoding="utf-8",
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)
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def _write_probabilistic_torch_gru_artifact(path) -> None:
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hidden_size = 2
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input_size = 2
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output_size = 10
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path.write_text(
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json.dumps(
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{
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"version": 4,
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"type": "pytorch_recurrent_forecaster",
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"target_horizon": 3,
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"target_horizons": [1, 3],
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"direct_horizon": True,
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"target_transform": "net_return_over_volatility",
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"round_trip_cost": 0.0026,
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"output_layout": ["mean", "q10", "q50", "q90", "logit_up"],
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"feature_count": input_size,
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"feature_names": ["return_1", "range_percent"],
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"symbols": {
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"BTCUSDT": {
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"model": "torch_gru",
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"architecture": "gru",
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"lookback": 8,
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"target_horizon": 3,
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"target_horizons": [1, 3],
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"direct_horizon": True,
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"target_transform": "net_return_over_volatility",
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"round_trip_cost": 0.0026,
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"output_layout": ["mean", "q10", "q50", "q90", "logit_up"],
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"input_size": input_size,
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"output_size": output_size,
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"feature_names": ["return_1", "range_percent"],
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"feature_means": [0.0, 0.0],
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"feature_scales": [0.001, 0.001],
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"target_means": [0.0, 0.0],
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"target_scales": [1.0, 1.0],
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"target_mean": 0.0,
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"target_scale": 1.0,
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"hidden_size": hidden_size,
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"num_layers": 1,
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"clip": 8.0,
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"validation_mae_percent": 0.01,
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"baseline_mae_percent": 0.08,
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"validation_mae_by_horizon": {"1": 0.001, "3": 0.0015},
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"baseline_mae_by_horizon": {"1": 0.002, "3": 0.003},
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"skill": 0.2,
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"attention_pooling": True,
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"attention_weight": [0.0, 0.0],
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"attention_bias": 0.0,
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"context_norm": True,
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"context_norm_weight": [1.0, 1.0],
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"context_norm_bias": [0.0, 0.0],
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"state_dict": {
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"weight_ih_l0": [[0.0, 0.0] for _ in range(3 * hidden_size)],
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"weight_hh_l0": [[0.0, 0.0] for _ in range(3 * hidden_size)],
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"bias_ih_l0": [0.0 for _ in range(3 * hidden_size)],
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"bias_hh_l0": [0.0 for _ in range(3 * hidden_size)],
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},
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"head_weight": [[0.0, 0.0] for _ in range(output_size)],
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"head_bias": [0.2, 0.05, 0.15, 0.35, 1.0, 0.35, 0.10, 0.30, 0.55, 2.0],
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},
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},
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}
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),
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encoding="utf-8",
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)
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def test_time_series_forecaster_requires_torch_artifact(make_settings, tmp_path) -> None:
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settings = make_settings(
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tmp_path,
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time_series_min_candles=80,
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time_series_forecast_horizon=3,
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)
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returns = []
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value = 0.0003
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for _ in range(140):
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value = 0.00025 + value * 0.55
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returns.append(value)
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forecast = TimeSeriesForecaster(settings).forecast(_candles_from_returns(returns), symbol="BTCUSDT")
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assert forecast.usable is False
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assert forecast.model == "none"
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assert forecast.candidates == []
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assert "PyTorch" in forecast.reason
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def test_time_series_forecaster_blocks_negative_torch_edge(make_settings, tmp_path) -> None:
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artifact_path = tmp_path / "lstm_forecaster.json"
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_write_torch_gru_artifact(artifact_path, head_bias=-0.8, validation_mae_percent=0.01)
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settings = make_settings(
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tmp_path,
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time_series_min_candles=80,
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time_series_forecast_horizon=3,
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time_series_min_edge_percent=0.03,
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time_series_lstm_model_path=artifact_path,
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)
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returns = [0.00015 if index % 4 else -0.00005 for index in range(140)]
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forecast = TimeSeriesForecaster(settings).forecast(_candles_from_returns(returns), symbol="BTCUSDT")
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assert forecast.usable is True
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assert forecast.model == "torch_gru"
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assert forecast.expected_return_percent < 0
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assert forecast.probability_up < 0.45
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assert forecast.block_entry is True
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def test_time_series_forecaster_ignores_legacy_lstm_artifact(make_settings, tmp_path) -> None:
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artifact_path = tmp_path / "lstm_forecaster.json"
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artifact_path.write_text(
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json.dumps(
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{
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"version": 1,
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"type": "lstm_reservoir_ridge_params",
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"symbols": {
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"BTCUSDT": {"lookback": 10, "units": 3, "ridge": 0.01},
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},
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}
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),
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encoding="utf-8",
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)
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settings = make_settings(
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tmp_path,
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time_series_min_candles=80,
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time_series_lstm_enabled=True,
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time_series_lstm_model_path=artifact_path,
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)
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returns = [0.00012 if index % 3 else -0.00008 for index in range(140)]
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forecast = TimeSeriesForecaster(settings).forecast(_candles_from_returns(returns), symbol="BTCUSDT")
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assert forecast.usable is False
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assert forecast.model == "none"
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assert forecast.candidates == []
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assert "PyTorch" in forecast.reason
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def test_time_series_forecaster_reads_torch_gru_artifact(make_settings, tmp_path) -> None:
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artifact_path = tmp_path / "lstm_forecaster.json"
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_write_torch_gru_artifact(artifact_path, head_bias=0.2)
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settings = make_settings(
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tmp_path,
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time_series_min_candles=80,
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time_series_lstm_enabled=True,
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time_series_lstm_model_path=artifact_path,
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)
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returns = [0.00015 if index % 4 else -0.00005 for index in range(140)]
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forecast = TimeSeriesForecaster(settings).forecast(_candles_from_returns(returns), symbol="BTCUSDT")
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assert forecast.usable is True
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assert forecast.model == "torch_gru"
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assert forecast.candidates == [{"model": "torch_gru", "mae_percent": 0.02}]
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assert forecast.expected_return_percent > 0
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assert forecast.probability_up > 0.5
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def test_time_series_forecaster_reads_multifeature_direct_horizon_artifact(make_settings, tmp_path) -> None:
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artifact_path = tmp_path / "lstm_forecaster.json"
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_write_multifeature_torch_gru_artifact(artifact_path, head_bias=0.2)
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settings = make_settings(
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tmp_path,
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time_series_min_candles=80,
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time_series_forecast_horizon=3,
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time_series_lstm_model_path=artifact_path,
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)
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returns = [0.00015 if index % 4 else -0.00005 for index in range(140)]
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forecast = TimeSeriesForecaster(settings).forecast(_candles_from_returns(returns), symbol="BTCUSDT")
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assert forecast.usable is True
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assert forecast.model == "torch_gru"
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assert forecast.horizon == 3
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assert 0.015 <= forecast.expected_return_percent <= 0.025
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assert forecast.volatility_model == "direct horizon validation MAE"
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def test_time_series_forecaster_reads_probabilistic_multi_horizon_artifact(make_settings, tmp_path) -> None:
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artifact_path = tmp_path / "lstm_forecaster.json"
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_write_probabilistic_torch_gru_artifact(artifact_path)
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settings = make_settings(
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tmp_path,
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time_series_min_candles=80,
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time_series_forecast_horizon=3,
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time_series_lstm_model_path=artifact_path,
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)
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returns = [0.0002 if index % 5 else -0.00007 for index in range(160)]
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forecast = TimeSeriesForecaster(settings).forecast(_candles_from_returns(returns), symbol="BTCUSDT")
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assert forecast.usable is True
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assert forecast.model == "torch_gru"
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assert forecast.horizon == 3
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assert forecast.target_transform == "net_return_over_volatility"
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assert forecast.probability_up > 0.85
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assert forecast.quantile_10_percent <= forecast.quantile_50_percent <= forecast.quantile_90_percent
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assert sorted(forecast.horizon_forecasts) == ["1", "3"]
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