Files
Multi_Swarm_Coevolutive/scripts/run_phase1.py
T
Adriano Dal Pastro a29748e3d8 perf(backtest): vectorize engine + parallel LLM propose + multi-fold validation tool
- backtest/engine.py: state machine numpy invece di pd.iterrows()
  - 16.8x speedup su 2y (470ms -> 28ms), 11.3x su 7y (1744ms -> 154ms)
  - 7 parity test parametrici vs reference iterrows assicurano equivalenza
- orchestrator/run.py + run_phase1.py: --llm-concurrency N
  - ThreadPoolExecutor parallelizza hypothesis_agent.propose() per generazione
  - 5-8x speedup wall time GA loop (OpenRouter qwen-2.5 regge 6-10 concorrenti)
  - default 1 = backward-compat sequenziale
- scripts/validate_run.py: validation multi-fold standalone
  - prende run_id + top-K + N-folds expanding-window su dataset esteso (7y)
  - rivela overfitter mascherati da fitness IS alta (vedi
    phase1-extended-001: elite IS Sharpe 1.93 collassa OOS a -1.00)
  - ranking per robust_score = min(fitness_oos) su tutti i fold

Test 250/250 pass.

Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
2026-05-16 10:53:48 +00:00

209 lines
7.3 KiB
Python

from __future__ import annotations
import argparse
import importlib.resources
from datetime import datetime
from pathlib import Path
from multi_swarm_core.cerbero.client import CerberoClient
from multi_swarm_core.config import load_settings
from multi_swarm_core.data.cerbero_ohlcv import CerberoOHLCVLoader, OHLCVRequest
from multi_swarm_core.genome.hypothesis import ModelTier
from multi_swarm_core.genome.prompt_library import PromptLibrary
from multi_swarm_core.llm.client import LLMClient
from multi_swarm_core.orchestrator.run import RunConfig, run_phase1
def _default_prompt_library_path() -> Path:
"""Default: prompts.json shippato col package strategy_crypto."""
return Path(str(importlib.resources.files("strategy_crypto") / "prompts.json"))
def parse_args() -> argparse.Namespace:
p = argparse.ArgumentParser(description="Multi-Swarm Phase 1 runner")
p.add_argument("--name", default="phase1-spike-001")
p.add_argument("--population-size", type=int, default=20)
p.add_argument("--n-generations", type=int, default=10)
p.add_argument("--elite-k", type=int, default=2)
p.add_argument("--tournament-k", type=int, default=3)
p.add_argument("--p-crossover", type=float, default=0.5)
p.add_argument("--seed", type=int, default=42)
p.add_argument(
"--exchange",
default="deribit",
choices=["deribit", "bybit", "hyperliquid"],
)
p.add_argument("--symbol", default="BTC-PERPETUAL")
p.add_argument("--timeframe", default="1h")
p.add_argument("--start", default="2024-01-01T00:00:00+00:00")
p.add_argument("--end", default="2026-01-01T00:00:00+00:00")
p.add_argument("--fees-bp", type=float, default=5.0)
p.add_argument("--n-trials-dsr", type=int, default=50)
p.add_argument(
"--prompt-mutation-weight",
type=float,
default=0.0,
help="Phase 2.5: probabilità (0-1) che la mutazione invochi LLM mutator tier B",
)
p.add_argument(
"--fees-eat-alpha-threshold",
type=float,
default=0.5,
help="Adversarial gate: kill se fees/gross_pnl > soglia (default 0.5, ablation 0.7)",
)
p.add_argument(
"--flat-too-long-threshold",
type=float,
default=0.95,
help="Adversarial gate: kill se signal flat > soglia delle bar (default 0.95, ablation 0.98)",
)
p.add_argument(
"--undertrading-threshold",
type=int,
default=10,
help="Adversarial: kill se n_trades < soglia (default 10, bump per filtrare lucky-shot)",
)
p.add_argument(
"--fitness-v2",
action="store_true",
help=(
"Attiva fitness v2: solo {no_trades, degenerate, undertrading} azzerano; "
"gli altri HIGH applicano soft penalty multiplicativa"
),
)
p.add_argument(
"--fitness-soft-penalty",
type=float,
default=0.4,
help="v2: fattore soft penalty per HIGH non-hard (default 0.4 → 1 HIGH → 0.71x)",
)
p.add_argument(
"--wfa-train-split",
type=float,
default=None,
help="Walk-forward: frazione bar usate per training (es. 0.7 = primi 70%% in-sample, ultimi 30%% OOS)",
)
p.add_argument(
"--wfa-top-k",
type=int,
default=5,
help="Walk-forward: quanti top genomi rivalutare OOS (default 5)",
)
p.add_argument(
"--eval-oos-during-loop",
action="store_true",
help=(
"Multi-objective: eval ogni genome anche su test_ohlcv durante "
"il loop e usa combined = alpha*IS + (1-alpha)*OOS per selection. "
"Richiede --wfa-train-split. 2x costo backtest engine."
),
)
p.add_argument(
"--fitness-combined-alpha",
type=float,
default=0.5,
help="Multi-objective: peso IS (1-alpha = OOS). 1.0=solo IS, 0.5=bilanciato, 0.0=solo OOS",
)
p.add_argument(
"--prompt-library",
type=Path,
default=None,
help=(
"Path al file JSON con stili cognitivi + direttive system_prompt. "
"Default: strategy_crypto/prompts.json shippato col package. "
"Schema: {styles: {<name>: {directive: <testo>}}}"
),
)
p.add_argument(
"--llm-concurrency",
type=int,
default=1,
help=(
"Numero di propose() LLM concorrenti per generazione (default 1 = "
"serial). 6-10 tipicamente accettati da OpenRouter qwen-2.5 senza "
"rate-limit; riduce wall time GA loop di 5-8x."
),
)
return p.parse_args()
def main() -> None:
args = parse_args()
settings = load_settings()
prompt_lib_path = args.prompt_library or _default_prompt_library_path()
prompt_library = PromptLibrary.from_json(prompt_lib_path)
print(
f"PromptLibrary loaded from {prompt_lib_path}: "
f"{len(prompt_library.styles)} stili ({', '.join(prompt_library.cognitive_styles)})"
)
token = (
settings.cerbero_mainnet_token.get_secret_value()
if settings.cerbero_mainnet_token
else settings.cerbero_testnet_token.get_secret_value()
)
cerbero = CerberoClient(
base_url=settings.cerbero_base_url,
token=token,
bot_tag=settings.cerbero_bot_tag,
)
loader = CerberoOHLCVLoader(client=cerbero, cache_dir=settings.series_dir)
req = OHLCVRequest(
symbol=args.symbol,
timeframe=args.timeframe,
start=datetime.fromisoformat(args.start),
end=datetime.fromisoformat(args.end),
exchange=args.exchange,
)
ohlcv = loader.load(req)
print(f"OHLCV loaded: {len(ohlcv)} bars from {ohlcv.index[0]} to {ohlcv.index[-1]}")
llm = LLMClient(
openrouter_api_key=settings.openrouter_api_key.get_secret_value(),
model_tier_s=settings.llm_model_tier_s,
model_tier_a=settings.llm_model_tier_a,
model_tier_b=settings.llm_model_tier_b,
model_tier_c=settings.llm_model_tier_c,
model_tier_d=settings.llm_model_tier_d,
openrouter_base_url=settings.openrouter_base_url,
)
cfg = RunConfig(
run_name=args.name,
population_size=args.population_size,
n_generations=args.n_generations,
elite_k=args.elite_k,
tournament_k=args.tournament_k,
p_crossover=args.p_crossover,
seed=args.seed,
model_tier=ModelTier.C,
symbol=args.symbol,
timeframe=args.timeframe,
fees_bp=args.fees_bp,
n_trials_dsr=args.n_trials_dsr,
db_path=settings.db_path,
prompt_mutation_weight=args.prompt_mutation_weight,
fees_eat_alpha_threshold=args.fees_eat_alpha_threshold,
flat_too_long_threshold=args.flat_too_long_threshold,
undertrading_threshold=args.undertrading_threshold,
fitness_hard_kill_findings=(
("no_trades", "degenerate", "undertrading") if args.fitness_v2 else None
),
fitness_adversarial_soft_penalty=args.fitness_soft_penalty,
wfa_train_split=args.wfa_train_split,
wfa_top_k=args.wfa_top_k,
eval_oos_during_loop=args.eval_oos_during_loop,
fitness_combined_alpha=args.fitness_combined_alpha,
prompt_library=prompt_library,
llm_concurrency=args.llm_concurrency,
)
run_id = run_phase1(cfg, ohlcv=ohlcv, llm=llm)
print(f"Run completed: {run_id}")
if __name__ == "__main__":
main()