feat(phase-2.6): Walk-Forward Validation + min-trades filter parametrico

Due fondamenta scientifiche per filtrare overfit e lucky-shot:

1) undertrading_threshold parametrico (era hardcoded 10):
   - AdversarialAgent.__init__(undertrading_threshold=10)
   - CLI flag --undertrading-threshold
   - Aggiunto a hard_kill_findings v2 default
     {"no_trades", "degenerate", "undertrading"}: ora un genome con 1 trade
     fortunato (es. genome 80be6bcc-1trade-fit-0.21 di fitness-v2-combo) viene
     killato anche sotto fitness v2 soft-kill.
   - Test parametric: undertrading_threshold=25 → 15 trade triggerano HIGH.

2) Walk-Forward Validation (WFA):
   - RunConfig.wfa_train_split (None=off, 0<x<1=on) + wfa_top_k=5
   - run_phase1: split ohlcv in train/test; GA usa solo train; a fine GA
     i top_k genomi (by fitness in-sample, fitness>0) vengono rivalutati
     sul test_ohlcv via falsification+adversarial+compute_fitness.
   - Schema migration: evaluations + fitness_oos, sharpe_oos, return_oos,
     max_dd_oos, n_trades_oos (ALTER TABLE con try/except per DB pre-2.6).
   - Repository.update_evaluation_oos helper per popolare colonne OOS.
   - CLI flags --wfa-train-split, --wfa-top-k.
   - Test integration: train_split=0.7 → fitness_oos popolato per top_k.

Motivazione: la fase 2.5 ha generato 17 run con fitness fino a 0.36 + DSR
positivo, ma OOS test su 7 anni mostra che flat-ablation top crolla -37%
mentre fitness-v2 top regge (+143%). WFA in-run permette ora di vedere
direttamente il degradation train→test senza eseguire backtest separati,
rendendo possibile filtrare overfit early durante l'ottimizzazione.

Tests (+2 → 193 totale):
- test_undertrading_threshold_parametric
- test_e2e_wfa_populates_fitness_oos

Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
This commit is contained in:
2026-05-12 17:31:22 +02:00
parent 4c184bb5f7
commit 242724ba05
7 changed files with 198 additions and 7 deletions
+32
View File
@@ -100,3 +100,35 @@ def test_e2e_minimal_run_completes(
assert len(gens) == 2
evals = repo.list_evaluations(run_id)
assert len(evals) >= 5 # almeno una popolazione
def test_e2e_wfa_populates_fitness_oos(
tmp_path: Path,
synthetic_ohlcv,
fake_llm,
mocker,
):
"""WFA: train_split=0.7 → top genomi devono avere fitness_oos popolato."""
cfg = RunConfig(
run_name="e2e-wfa-test",
population_size=5,
n_generations=2,
elite_k=1,
tournament_k=2,
p_crossover=0.5,
seed=42,
model_tier=ModelTier.C,
symbol="BTC/USDT",
timeframe="1h",
fees_bp=5.0,
n_trials_dsr=10,
db_path=tmp_path / "runs.db",
wfa_train_split=0.7,
wfa_top_k=3,
)
run_id = run_phase1(cfg, ohlcv=synthetic_ohlcv, llm=fake_llm)
repo = Repository(db_path=tmp_path / "runs.db")
evals = repo.list_evaluations(run_id)
# Almeno 1 genome con fitness > 0 deve avere fitness_oos popolato.
oos_evals = [e for e in evals if e.get("fitness_oos") is not None]
assert len(oos_evals) >= 1, f"Nessun OOS popolato; evals={evals}"