feat(validation): WFA tooling + multi-fold results phase1-100 runs
Aggiunge 2 script di analisi per validare i top-K genomi cross-fold: - scripts/analyze_btc_winners.py: per-trade dump (wins/losses/winrate/ avg_win/avg_loss/return/maxDD/Sharpe) per ogni top-K × 4 fold expanding-window WFA. Usato per identificare i winner robusti vs i lucky-shot overfit. - scripts/compare_winners.py: cross-run comparison di 5 winner candidate (BTC 1h + ETH 1h + BTC 5m + ETH 5m) sui medesimi 4 fold, con totali cumulativi. Risultati WFA freezati: - validation-btc-100-001.json: BTC 1h baseline (undertrading=10) - validation-btc-100-001-thr3.json: BTC 1h con threshold=3 (rilassato per strategie ultra-selettive) - validation-btc-100-5m-thr3.json: BTC 5m con threshold=3 Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
This commit is contained in:
Adriano Dal Pastro
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
"max_dd": 0.016516772761264658,
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||||
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||||
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|
||||
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|
||||
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||||
{
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||||
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||||
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||||
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||||
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|
||||
"test_end": "2024-03-02 05:55:00+00:00"
|
||||
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||||
{
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||||
"fold": 2,
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||||
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||||
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||||
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||||
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||||
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||||
{
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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{
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||||
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||||
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|
||||
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|
||||
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||||
{
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||||
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||||
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||||
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||||
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||||
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||||
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||||
},
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||||
{
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||||
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||||
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||||
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||||
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||||
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|
||||
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|
||||
},
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||||
{
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
],
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||||
"fitness_oos_mean": 0.042816502962532865,
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||||
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||||
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||||
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||||
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||||
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{
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||||
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||||
},
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{
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||||
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||||
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||||
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||||
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||||
},
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{
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||||
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||||
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||||
},
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||||
{
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||||
"fold": 3,
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||||
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||||
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||||
}
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||||
],
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||||
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"fitness_oos_min": 0.0,
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"fitness_oos_max": 0.0,
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"fitness_oos_std": 0.0,
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"sharpe_oos_mean": 0.0,
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"sharpe_oos_min": 0.0,
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},
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{
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"fitness_is": 0.1879996666147147,
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"folds": [
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||||
{
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|
||||
"test_end": "2023-04-02 08:55:00+00:00"
|
||||
},
|
||||
{
|
||||
"fold": 1,
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||||
"fitness": 0.0,
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||||
"sharpe": 0.44955543499020745,
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||||
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||||
"return": 0.049849479597766866,
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"max_dd": 0.004685656497556025,
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"n_trades": 1,
|
||||
"test_start": "2023-04-02 09:00:00+00:00",
|
||||
"test_end": "2024-03-02 05:55:00+00:00"
|
||||
},
|
||||
{
|
||||
"fold": 2,
|
||||
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||||
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||||
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||||
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|
||||
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|
||||
"n_trades": 1,
|
||||
"test_start": "2024-03-02 06:00:00+00:00",
|
||||
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|
||||
},
|
||||
{
|
||||
"fold": 3,
|
||||
"fitness": 0.0,
|
||||
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|
||||
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||||
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|
||||
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|
||||
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|
||||
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|
||||
"test_start": "2025-01-31 03:00:00+00:00",
|
||||
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|
||||
}
|
||||
],
|
||||
"fitness_oos_mean": 0.0,
|
||||
"fitness_oos_min": 0.0,
|
||||
"fitness_oos_max": 0.0,
|
||||
"fitness_oos_std": 0.0,
|
||||
"sharpe_oos_mean": 0.26620307221963224,
|
||||
"sharpe_oos_min": 0.0,
|
||||
"robust_score": 0.0
|
||||
},
|
||||
{
|
||||
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|
||||
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||||
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|
||||
"folds": [
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||||
{
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||||
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|
||||
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||||
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|
||||
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|
||||
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|
||||
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|
||||
"max_dd": 0.01736213317014228,
|
||||
"n_trades": 3,
|
||||
"test_start": "2022-05-02 12:00:00+00:00",
|
||||
"test_end": "2023-04-02 08:55:00+00:00"
|
||||
},
|
||||
{
|
||||
"fold": 1,
|
||||
"fitness": 0.0,
|
||||
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|
||||
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||||
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|
||||
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||||
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|
||||
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|
||||
"test_start": "2023-04-02 09:00:00+00:00",
|
||||
"test_end": "2024-03-02 05:55:00+00:00"
|
||||
},
|
||||
{
|
||||
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|
||||
"fitness": 0.0,
|
||||
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|
||||
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|
||||
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|
||||
"return": 0.004410420254631564,
|
||||
"max_dd": 0.01996463311196068,
|
||||
"n_trades": 2,
|
||||
"test_start": "2024-03-02 06:00:00+00:00",
|
||||
"test_end": "2025-01-31 02:55:00+00:00"
|
||||
},
|
||||
{
|
||||
"fold": 3,
|
||||
"fitness": 0.0,
|
||||
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|
||||
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||||
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|
||||
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|
||||
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|
||||
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|
||||
"test_start": "2025-01-31 03:00:00+00:00",
|
||||
"test_end": "2025-12-31 23:55:00+00:00"
|
||||
}
|
||||
],
|
||||
"fitness_oos_mean": 0.05416305839903285,
|
||||
"fitness_oos_min": 0.0,
|
||||
"fitness_oos_max": 0.2166522335961314,
|
||||
"fitness_oos_std": 0.09381316904044511,
|
||||
"sharpe_oos_mean": 0.2992452086678593,
|
||||
"sharpe_oos_min": 0.04410712874184496,
|
||||
"robust_score": 0.0
|
||||
}
|
||||
]
|
||||
}
|
||||
Reference in New Issue
Block a user