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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"fitness_oos_max": 0.26072350293525676,
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"sharpe_oos_mean": 0.412489256462163,
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"sharpe_oos_min": 0.2269482258874523,
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||||
"robust_score": 0.0
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||||
},
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||||
{
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||||
"genome_id": "9852e8e4e480ef21",
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||||
"fitness_is": 0.1922948882127238,
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||||
"sharpe_is": 0.15925760158030436,
|
||||
"folds": [
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||||
{
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||||
"fold": 0,
|
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"sharpe": 0.0804180937424291,
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||||
"dsr": 2.443102889370683e-16,
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||||
"dsr_pvalue": 0.9999999999999998,
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"return": 0.0014913672331040573,
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||||
"max_dd": 0.003691144778103467,
|
||||
"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,
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||||
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"dsr_pvalue": 1.0,
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||||
"return": -0.018262798724970497,
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||||
"max_dd": 0.018262798724970497,
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||||
"n_trades": 16,
|
||||
"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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||||
"test_start": "2024-03-02 06:00:00+00:00",
|
||||
"test_end": "2025-01-31 02:55:00+00:00"
|
||||
},
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||||
{
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||||
"fold": 3,
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||||
"fitness": 0.0,
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||||
"sharpe": 0.0,
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||||
"dsr": 0.0,
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||||
"dsr_pvalue": 1.0,
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||||
"return": 0.0,
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"max_dd": 0.0,
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||||
"n_trades": 0,
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||||
"test_start": "2025-01-31 03:00:00+00:00",
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||||
"test_end": "2025-12-31 23:55:00+00:00"
|
||||
}
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||||
],
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||||
"fitness_oos_mean": 0.042816502962532865,
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||||
"fitness_oos_min": 0.0,
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||||
"fitness_oos_max": 0.1494822926244717,
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||||
"fitness_oos_std": 0.06222233226062855,
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||||
"sharpe_oos_mean": -0.285437733748861,
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||||
"sharpe_oos_min": -1.222169028737873,
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||||
"robust_score": 0.0
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||||
},
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||||
{
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||||
"genome_id": "16a1761c8da604e7",
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||||
"fitness_is": 0.19121238216295305,
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||||
"sharpe_is": 0.15255013590499958,
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"folds": [
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||||
{
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||||
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||||
"fitness": 0.0,
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||||
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||||
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||||
"dsr_pvalue": 1.0,
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||||
"return": 0.0,
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||||
"max_dd": 0.0,
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||||
"n_trades": 0,
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||||
"test_start": "2022-05-02 12:00:00+00:00",
|
||||
"test_end": "2023-04-02 08:55:00+00:00"
|
||||
},
|
||||
{
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||||
"fold": 1,
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||||
"fitness": 0.0,
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||||
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||||
"dsr": 0.0,
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||||
"dsr_pvalue": 1.0,
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||||
"return": 0.0,
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||||
"max_dd": 0.0,
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||||
"n_trades": 0,
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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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||||
},
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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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||||
"return": 0.0,
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||||
"max_dd": 0.0,
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||||
"n_trades": 0,
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||||
"test_start": "2024-03-02 06:00:00+00:00",
|
||||
"test_end": "2025-01-31 02:55:00+00:00"
|
||||
},
|
||||
{
|
||||
"fold": 3,
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||||
"fitness": 0.0,
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||||
"sharpe": 0.0,
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||||
"dsr": 0.0,
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||||
"dsr_pvalue": 1.0,
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||||
"return": 0.0,
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||||
"max_dd": 0.0,
|
||||
"n_trades": 0,
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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": 0.0,
|
||||
"fitness_oos_min": 0.0,
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||||
"fitness_oos_max": 0.0,
|
||||
"fitness_oos_std": 0.0,
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||||
"sharpe_oos_mean": 0.0,
|
||||
"sharpe_oos_min": 0.0,
|
||||
"robust_score": 0.0
|
||||
},
|
||||
{
|
||||
"genome_id": "add18cb7382296fd",
|
||||
"fitness_is": 0.1879996666147147,
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||||
"sharpe_is": 0.28550736974923013,
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||||
"folds": [
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||||
{
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||||
"fold": 0,
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||||
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||||
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|
||||
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||||
"dsr_pvalue": 1.0,
|
||||
"return": 0.0,
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||||
"max_dd": 0.0,
|
||||
"n_trades": 0,
|
||||
"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,
|
||||
"sharpe": 0.44955543499020745,
|
||||
"dsr": 9.481303288744627e-40,
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||||
"dsr_pvalue": 1.0,
|
||||
"return": 0.049849479597766866,
|
||||
"max_dd": 0.004685656497556025,
|
||||
"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,
|
||||
"fitness": 0.0,
|
||||
"sharpe": 0.150691158813143,
|
||||
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||||
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|
||||
"return": 0.009379645576139906,
|
||||
"max_dd": 0.008611115582095263,
|
||||
"n_trades": 1,
|
||||
"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,
|
||||
"sharpe": 0.46456569507517853,
|
||||
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||||
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|
||||
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|
||||
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|
||||
"n_trades": 1,
|
||||
"test_start": "2025-01-31 03:00:00+00:00",
|
||||
"test_end": "2025-12-31 23:55:00+00:00"
|
||||
}
|
||||
],
|
||||
"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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|
||||
"return": 0.01599067972499668,
|
||||
"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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|
||||
"max_dd": 0.004685656497556025,
|
||||
"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,
|
||||
"fitness": 0.0,
|
||||
"sharpe": 0.04410712874184496,
|
||||
"dsr": 4.2725586842847596e-14,
|
||||
"dsr_pvalue": 0.9999999999999573,
|
||||
"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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|
||||
"max_dd": 0.005792329453230141,
|
||||
"n_trades": 1,
|
||||
"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