fix(fitness): hardening anti-overfit post-7y incident — 3 correzioni

Incident: extended run elite (Sharpe IS 1.93) net-negativo su 7y
continuous (fees=101% del gross). Multi-fold validation NON sufficiente:
ogni fold restarta equity, mascherando accumulo fees compound.

Correzioni:

1) Default --start esteso a 2018-09-01 (7.3 anni)
   - Copre bear 2018-19, halving 2020, COVID, ATH 2021, winter 2022,
     ETF rally 2024, regime corrente.
   - Una finestra corta (2y) lasciava il GA libero di overfit single-regime.

2) fees_eat_alpha promosso a hard-kill in fitness v2
   - Da soft-penalty 0.4x a hard-kill 0 fitness.
   - Una strategia con fees > 50% del gross non e' recuperabile via
     selection: il prodotto del GA non puo' deployare con quel cost burden.

3) Nuovo finding negative_net_pnl (HIGH, hard-kill)
   - Fires quando sum(trade.net_pnl) < 0 sul training window.
   - Cattura: gross negativo (no edge direzionale) E gross positivo ma
     fees > gross (edge insufficiente).
   - Sintesi del net-after-fees su finestra continua come "deal-breaker"
     non negoziabile via soft penalty.

CLI:
- --fitness-hard-kill <csv> per override esplicito.
- Default v2: no_trades,degenerate,undertrading,fees_eat_alpha,negative_net_pnl.

Test:
- 252 pass (251 + 1 nuovo: test_negative_net_pnl_fires_on_negative_gross).
- Test e2e WFA aggiornato: passa fitness_hard_kill_findings=('no_trades',)
  perche' il fixture sintetico non produce strategie profittevoli.
- test_no_findings_on_reasonable_strategy rinominato:
  test_rsi_mean_reversion_loses_money_on_synthetic_data (riflette
  semantica reale: RSI mean-rev su synthetic ohlcv ha net negativo).

Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
This commit is contained in:
Adriano Dal Pastro
2026-05-16 11:07:40 +00:00
parent 21b5cf1eae
commit 9742df3a1f
5 changed files with 182 additions and 16 deletions
+5 -4
View File
@@ -111,7 +111,7 @@ Stack: Python 3.13, uv workspace, hatchling, pytest+pytest-mock+responses, opena
```bash
uv sync # installa entrambi i workspace member come editable
cp .env.example .env # compila CERBERO_*_TOKEN e OPENROUTER_API_KEY
uv run pytest # 250 test attesi (246 core + 4 smoke strategy_crypto)
uv run pytest # 252 test attesi (248 core + 4 smoke strategy_crypto)
```
### Variabili .env richieste
@@ -151,15 +151,16 @@ uv run mypy src/ scripts/
uv run python scripts/smoke_run.py
# Run reale Phase 1/2 (Cerbero + OpenRouter, ~$0.15-0.25 per run K=20 10gen,
# ~$0.40-0.55 per run esteso K=40 20gen con WFA OOS)
# ~$0.40-0.55 per run esteso K=40 20gen con WFA OOS).
# Default --start ora 2018-09-01 (7.3y, copre bear+halving+covid+ATH+winter+ETF).
uv run python scripts/run_phase1.py \
--name run-XXX \
--exchange deribit --symbol BTC-PERPETUAL --timeframe 1h \
--start 2024-01-01T00:00:00+00:00 \
--end 2026-01-01T00:00:00+00:00 \
--population-size 20 --n-generations 10 \
--prompt-mutation-weight 0.30 --fitness-v2 \
--llm-concurrency 8 # 5-8x speedup wall time (default 1)
# fitness-v2 hardened: hard-kill su {no_trades, degenerate, undertrading,
# fees_eat_alpha, negative_net_pnl}. Override via --fitness-hard-kill CSV.
# Default --prompt-library: importlib.resources del package strategy_crypto/prompts.json
# Multi-fold validation di un run esistente (anti-overfit, 7y expanding-window)