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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"""Analisi per-trade dei top-K candidate del run BTC.
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Per ciascun genome top-K, ri-esegue il backtest su ogni fold WFA e raccoglie:
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- n_trades, n_wins, n_losses, win_rate
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- max_drawdown
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- return, sharpe
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- list trade pnl summary
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Output stampato a stdout, non scrive su disco.
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"""
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from __future__ import annotations
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import argparse
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from datetime import datetime
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import pandas as pd # type: ignore[import-untyped]
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from multi_swarm_core.agents.hypothesis import _try_parse
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from multi_swarm_core.backtest.engine import BacktestEngine
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from multi_swarm_core.cerbero.client import CerberoClient
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from multi_swarm_core.config import load_settings
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from multi_swarm_core.data.cerbero_ohlcv import CerberoOHLCVLoader, OHLCVRequest
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from multi_swarm_core.data.splits import expanding_walk_forward
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from multi_swarm_core.metrics.basic import max_drawdown, sharpe_ratio, total_return
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from multi_swarm_core.persistence.repository import Repository
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from multi_swarm_core.protocol.compiler import compile_strategy
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def main() -> None:
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ap = argparse.ArgumentParser()
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ap.add_argument("--run-id", required=True)
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ap.add_argument("--top-k", type=int, default=10)
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ap.add_argument("--n-folds", type=int, default=4)
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ap.add_argument("--train-ratio", type=float, default=0.5)
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ap.add_argument("--symbol", default="BTC-PERPETUAL")
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ap.add_argument("--timeframe", default="1h")
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ap.add_argument("--start", default="2018-09-01T00:00:00+00:00")
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ap.add_argument("--end", default="2026-01-01T00:00:00+00:00")
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ap.add_argument("--fees-bp", type=float, default=5.0)
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args = ap.parse_args()
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settings = load_settings()
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repo = Repository(settings.ga_db_path)
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repo.init_schema()
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all_evals = repo.list_evaluations(args.run_id)
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parseable = [
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e for e in all_evals
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if e.get("raw_text") and not e.get("parse_error") and e["fitness"] > 0
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]
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parseable.sort(key=lambda e: e["fitness"], reverse=True)
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seen: set[str] = set()
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top: list[dict] = []
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for e in parseable:
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if e["genome_id"] in seen:
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continue
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seen.add(e["genome_id"])
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top.append(e)
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if len(top) >= args.top_k:
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break
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token = (
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settings.cerbero_mainnet_token.get_secret_value()
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if settings.cerbero_mainnet_token
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else settings.cerbero_testnet_token.get_secret_value()
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)
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cerbero = CerberoClient(
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base_url=settings.cerbero_base_url,
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token=token,
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bot_tag=settings.cerbero_bot_tag,
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)
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loader = CerberoOHLCVLoader(client=cerbero, cache_dir=settings.series_dir)
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ohlcv = loader.load(OHLCVRequest(
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symbol=args.symbol,
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timeframe=args.timeframe,
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start=datetime.fromisoformat(args.start),
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end=datetime.fromisoformat(args.end),
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))
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splits = expanding_walk_forward(ohlcv.index, train_ratio=args.train_ratio, n_folds=args.n_folds)
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engine = BacktestEngine(fees_bp=args.fees_bp)
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print(f"\n{'=' * 110}")
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print(f"PER-TRADE ANALYSIS — top-{len(top)} genomes × {len(splits)} folds")
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print(f"{'=' * 110}")
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for ev in top:
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strat, err = _try_parse(ev["raw_text"] or "")
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if strat is None:
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print(f"\n>>> {ev['genome_id'][:16]} — parse error: {err}")
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continue
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print(f"\n>>> {ev['genome_id']} (fit_IS={ev['fitness']:.4f}, sharpe_IS={ev['sharpe']:.3f})")
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print(f"{'fold':<5} {'period':<26} {'trades':>7} {'wins':>5} {'losses':>7} {'win%':>6} {'avg_w':>9} {'avg_l':>9} {'ret':>7} {'maxDD':>7} {'sharpe':>7}")
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for s in splits:
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test_df = ohlcv.loc[s.test_idx]
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try:
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signal_fn = compile_strategy(strat)
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signals = signal_fn(test_df)
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bt = engine.run(test_df, signals)
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except Exception as e:
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print(f" fold {s.fold}: error {e}")
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continue
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trades = bt.trades
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n_trades = len(trades)
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wins = [t.net_pnl for t in trades if t.net_pnl > 0]
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losses = [t.net_pnl for t in trades if t.net_pnl <= 0]
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n_wins = len(wins)
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n_losses = len(losses)
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win_rate = (n_wins / n_trades * 100) if n_trades else 0.0
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avg_w = (sum(wins) / n_wins) if n_wins else 0.0
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avg_l = (sum(losses) / n_losses) if n_losses else 0.0
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# Normalize equity for DD/return
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if n_trades > 0:
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notional = float(test_df["close"].iloc[0])
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equity_pos = (bt.equity_curve / notional) + 1.0
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ret_pct = total_return(equity_pos)
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dd = max_drawdown(equity_pos)
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sr = sharpe_ratio(bt.returns, periods_per_year=8760)
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else:
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ret_pct = dd = sr = 0.0
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period = f"{str(s.test_idx[0])[:10]}..{str(s.test_idx[-1])[:10]}"
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print(f"{s.fold:<5} {period:<26} {n_trades:>7} {n_wins:>5} {n_losses:>7} {win_rate:>5.1f}% {avg_w:>9.1f} {avg_l:>9.1f} {ret_pct:>6.2%} {dd:>6.2%} {sr:>7.3f}")
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if __name__ == "__main__":
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main()
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"""Confronto per-trade dei 4 winner cross-run (BTC/ETH × 1h/5m).
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Per ogni winner: ri-esegue il backtest su 4 fold WFA expanding-window e raccoglie
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trade buoni/non buoni, win-rate, avg PnL, return, max DD, Sharpe.
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"""
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from __future__ import annotations
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import argparse
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from datetime import datetime
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import pandas as pd # type: ignore[import-untyped]
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from multi_swarm_core.agents.hypothesis import _try_parse
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from multi_swarm_core.backtest.engine import BacktestEngine
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from multi_swarm_core.cerbero.client import CerberoClient
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from multi_swarm_core.config import load_settings
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from multi_swarm_core.data.cerbero_ohlcv import CerberoOHLCVLoader, OHLCVRequest
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from multi_swarm_core.data.splits import expanding_walk_forward
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from multi_swarm_core.metrics.basic import max_drawdown, sharpe_ratio, total_return
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from multi_swarm_core.persistence.repository import Repository
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from multi_swarm_core.protocol.compiler import compile_strategy
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# (run_name, genome_id, symbol, timeframe, label)
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WINNERS = [
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("phase1-btc-100-001", "238e481262c1594c", "BTC-PERPETUAL", "1h", "BTC 1h sharpshooter (Gen 7)"),
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("phase1-btc-100-001", "23a24989e2ed0f84", "BTC-PERPETUAL", "1h", "BTC 1h robust (Gen 0 elite)"),
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("phase1-eth-100-001", "4b45a72c13acf1d5", "ETH-PERPETUAL", "1h", "ETH 1h best-by-sharpe (killed)"),
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("phase1-btc-100-5m-001", "f8ca6642adf7e0cd", "BTC-PERPETUAL", "5m", "BTC 5m robust winner"),
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("phase1-eth-100-5m-001", "c04dff7086bb9588", "ETH-PERPETUAL", "5m", "ETH 5m OOS winner"),
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]
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def analyze_genome(run_id: str, genome_id: str, symbol: str, timeframe: str, label: str,
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settings, cerbero, loader) -> None:
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repo = Repository(settings.ga_db_path)
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repo.init_schema()
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evs = [e for e in repo.list_evaluations(run_id) if e["genome_id"] == genome_id]
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if not evs:
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print(f" no eval for {genome_id} in {run_id}")
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return
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ev = evs[0]
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strat, err = _try_parse(ev.get("raw_text") or "")
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if strat is None:
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print(f" parse error: {err}")
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return
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req = OHLCVRequest(
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symbol=symbol, timeframe=timeframe,
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start=datetime.fromisoformat("2018-09-01T00:00:00+00:00"),
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end=datetime.fromisoformat("2026-01-01T00:00:00+00:00"),
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)
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ohlcv = loader.load(req)
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splits = expanding_walk_forward(ohlcv.index, train_ratio=0.5, n_folds=4)
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engine = BacktestEngine(fees_bp=5.0)
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print(f"\n>>> {label}")
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print(f" {genome_id} | fit_IS={ev['fitness']:.4f} sharpe_IS={ev['sharpe']:.3f} trades_IS={ev['n_trades']}")
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print(f" {'fold':<5} {'period':<26} {'trades':>7} {'wins':>5} {'losses':>7} {'win%':>6} {'avg_w':>10} {'avg_l':>10} {'ret':>8} {'maxDD':>7} {'sharpe':>7}")
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sum_ret = 0.0
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sum_trades = 0
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sum_wins = 0
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for s in splits:
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test_df = ohlcv.loc[s.test_idx]
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try:
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signal_fn = compile_strategy(strat)
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signals = signal_fn(test_df)
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bt = engine.run(test_df, signals)
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except Exception as e:
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print(f" fold {s.fold}: error {e}")
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continue
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trades = bt.trades
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n = len(trades)
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wins = [t.net_pnl for t in trades if t.net_pnl > 0]
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losses = [t.net_pnl for t in trades if t.net_pnl <= 0]
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nw, nl = len(wins), len(losses)
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wr = (nw / n * 100) if n else 0.0
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aw = (sum(wins) / nw) if nw else 0.0
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al = (sum(losses) / nl) if nl else 0.0
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if n > 0:
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notional = float(test_df["close"].iloc[0])
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eq = (bt.equity_curve / notional) + 1.0
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ret = total_return(eq)
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dd = max_drawdown(eq)
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sr = sharpe_ratio(bt.returns, periods_per_year=8760)
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else:
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ret = dd = sr = 0.0
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period = f"{str(s.test_idx[0])[:10]}..{str(s.test_idx[-1])[:10]}"
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print(f" {s.fold:<5} {period:<26} {n:>7} {nw:>5} {nl:>7} {wr:>5.1f}% {aw:>10.1f} {al:>10.1f} {ret:>7.2%} {dd:>6.2%} {sr:>7.3f}")
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sum_ret += ret
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sum_trades += n
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sum_wins += nw
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overall_wr = (sum_wins / sum_trades * 100) if sum_trades else 0.0
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print(f" {'='*5} TOTALS: {sum_trades:>7} {sum_wins:>5} {sum_trades-sum_wins:>7} {overall_wr:>5.1f}% cum_ret={sum_ret:+.2%}")
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def main() -> None:
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settings = load_settings()
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repo = Repository(settings.ga_db_path)
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repo.init_schema()
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name_to_id: dict[str, str] = {}
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for w in WINNERS:
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run_name = w[0]
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if run_name in name_to_id:
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continue
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runs = repo.list_runs()
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for r in runs:
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if r["name"] == run_name:
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name_to_id[run_name] = r["id"]
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break
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token = (
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settings.cerbero_mainnet_token.get_secret_value()
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if settings.cerbero_mainnet_token
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else settings.cerbero_testnet_token.get_secret_value()
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)
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cerbero = CerberoClient(
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base_url=settings.cerbero_base_url,
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token=token,
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bot_tag=settings.cerbero_bot_tag,
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)
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loader = CerberoOHLCVLoader(client=cerbero, cache_dir=settings.series_dir)
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print(f"{'='*120}")
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print(f"PER-TRADE COMPARISON — {len(WINNERS)} winner candidates × 4 folds WFA")
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print(f"{'='*120}")
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for run_name, genome_id, symbol, timeframe, label in WINNERS:
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run_id = name_to_id.get(run_name)
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if not run_id:
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print(f"!!! run not found: {run_name}")
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continue
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analyze_genome(run_id, genome_id, symbol, timeframe, label, settings, cerbero, loader)
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if __name__ == "__main__":
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main()
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{
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"run_id": "0392aa1c2d644459afa5a23f43c38ac6",
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"run_name": "phase1-btc-100-001",
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"n_folds": 4,
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"top_k_requested": 10,
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"top_k_evaluated": 10,
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"symbol": "BTC-PERPETUAL",
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"timeframe": "1h",
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"start": "2018-09-01T00:00:00+00:00",
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"end": "2026-01-01T00:00:00+00:00",
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"ohlcv_bars": 64297,
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"results": [
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{
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"genome_id": "23a24989e2ed0f84",
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"fitness_is": 0.25047738452013774,
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"sharpe_is": 0.5152551943136504,
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"folds": [
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{
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"fold": 0,
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"fitness": 0.4454407113532186,
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"sharpe": 0.940612398713799,
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"dsr": 0.09856838950479485,
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"dsr_pvalue": 0.9014316104952051,
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"return": 0.12691347502077277,
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"max_dd": 0.08467873586477132,
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"n_trades": 50,
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"test_start": "2022-05-02 12:00:00+00:00",
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"test_end": "2023-04-02 08:00:00+00:00"
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},
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{
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"fold": 1,
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"fitness": 0.33651846595831003,
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"sharpe": 0.6297236131089199,
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"dsr": 0.05704792862404472,
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"dsr_pvalue": 0.9429520713759553,
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"return": 0.16916039262594973,
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"max_dd": 0.2420995418754207,
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"n_trades": 61,
|
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||||||
@@ -0,0 +1,634 @@
|
|||||||
|
{
|
||||||
|
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||||||
@@ -0,0 +1,634 @@
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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"
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"fold": 3,
|
||||||
|
"fitness": 0.0,
|
||||||
|
"sharpe": 0.0,
|
||||||
|
"dsr": 0.0,
|
||||||
|
"dsr_pvalue": 1.0,
|
||||||
|
"return": 0.0,
|
||||||
|
"max_dd": 0.0,
|
||||||
|
"n_trades": 0,
|
||||||
|
"test_start": "2025-01-31 03:00:00+00:00",
|
||||||
|
"test_end": "2025-12-31 23:55:00+00:00"
|
||||||
|
}
|
||||||
|
],
|
||||||
|
"fitness_oos_mean": 0.042816502962532865,
|
||||||
|
"fitness_oos_min": 0.0,
|
||||||
|
"fitness_oos_max": 0.1494822926244717,
|
||||||
|
"fitness_oos_std": 0.06222233226062855,
|
||||||
|
"sharpe_oos_mean": -0.285437733748861,
|
||||||
|
"sharpe_oos_min": -1.222169028737873,
|
||||||
|
"robust_score": 0.0
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"genome_id": "16a1761c8da604e7",
|
||||||
|
"fitness_is": 0.19121238216295305,
|
||||||
|
"sharpe_is": 0.15255013590499958,
|
||||||
|
"folds": [
|
||||||
|
{
|
||||||
|
"fold": 0,
|
||||||
|
"fitness": 0.0,
|
||||||
|
"sharpe": 0.0,
|
||||||
|
"dsr": 0.0,
|
||||||
|
"dsr_pvalue": 1.0,
|
||||||
|
"return": 0.0,
|
||||||
|
"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": 0.0,
|
||||||
|
"dsr": 0.0,
|
||||||
|
"dsr_pvalue": 1.0,
|
||||||
|
"return": 0.0,
|
||||||
|
"max_dd": 0.0,
|
||||||
|
"n_trades": 0,
|
||||||
|
"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": 0.0,
|
||||||
|
"dsr": 0.0,
|
||||||
|
"dsr_pvalue": 1.0,
|
||||||
|
"return": 0.0,
|
||||||
|
"max_dd": 0.0,
|
||||||
|
"n_trades": 0,
|
||||||
|
"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": 0.0,
|
||||||
|
"dsr": 0.0,
|
||||||
|
"dsr_pvalue": 1.0,
|
||||||
|
"return": 0.0,
|
||||||
|
"max_dd": 0.0,
|
||||||
|
"n_trades": 0,
|
||||||
|
"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": 0.0,
|
||||||
|
"sharpe_oos_min": 0.0,
|
||||||
|
"robust_score": 0.0
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"genome_id": "add18cb7382296fd",
|
||||||
|
"fitness_is": 0.1879996666147147,
|
||||||
|
"sharpe_is": 0.28550736974923013,
|
||||||
|
"folds": [
|
||||||
|
{
|
||||||
|
"fold": 0,
|
||||||
|
"fitness": 0.0,
|
||||||
|
"sharpe": 0.0,
|
||||||
|
"dsr": 0.0,
|
||||||
|
"dsr_pvalue": 1.0,
|
||||||
|
"return": 0.0,
|
||||||
|
"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,
|
||||||
|
"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,
|
||||||
|
"dsr": 4.263193477728488e-17,
|
||||||
|
"dsr_pvalue": 1.0,
|
||||||
|
"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,
|
||||||
|
"dsr": 9.733950727895419e-26,
|
||||||
|
"dsr_pvalue": 1.0,
|
||||||
|
"return": 0.056366295538783584,
|
||||||
|
"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": 0.0,
|
||||||
|
"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
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"genome_id": "4ee566eb5e132d8c",
|
||||||
|
"fitness_is": 0.18745393246665415,
|
||||||
|
"sharpe_is": 0.31006907324235156,
|
||||||
|
"folds": [
|
||||||
|
{
|
||||||
|
"fold": 0,
|
||||||
|
"fitness": 0.2166522335961314,
|
||||||
|
"sharpe": 0.23875257586420637,
|
||||||
|
"dsr": 4.3199206915491695e-12,
|
||||||
|
"dsr_pvalue": 0.9999999999956801,
|
||||||
|
"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,
|
||||||
|
"sharpe": 0.44955543499020745,
|
||||||
|
"dsr": 9.481303288744627e-40,
|
||||||
|
"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": 0.04410712874184496,
|
||||||
|
"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,
|
||||||
|
"sharpe": 0.46456569507517853,
|
||||||
|
"dsr": 9.733950727895419e-26,
|
||||||
|
"dsr_pvalue": 1.0,
|
||||||
|
"return": 0.056366295538783584,
|
||||||
|
"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