"""VALIDA GridWorker — forward-tracking == backtest grid_mtm (gate obbligatorio del progetto). Il GridWorker (sim/paper) bootstrappa la storia FULL (start fisso) e mappa il capitale forward dal deploy: capital = initial * eq[-1]/base_norm. Proprieta' da validare: [A] LOGICA: la griglia sul feed full == backtest (stesso n_trades/win). [B] FORWARD: deployato a T0 (bootstrap up to T0), dopo aver ticcato fino a T1 il capitale e' initial * eq_full(T1)/eq_full(T0) — cioe' il ritorno della griglia DA T0 (causale). [C] RESUME: reistanziato (rilegge base_norm da status.json) -> stesso capitale. Config = la finale del re-gate pulito: BTC 1h range1.5 rd0.20 ru0.06 L6 sl0.10 tp0.03. uv run python scripts/analysis/validate_grid_worker.py """ from __future__ import annotations import shutil import sys import tempfile from pathlib import Path PROJECT_ROOT = Path(__file__).resolve().parents[2] sys.path.insert(0, str(PROJECT_ROOT)) from src.data.downloader import load_data from scripts.analysis.grid_game_gate import grid_mtm from scripts.analysis.ladder_search import regime_mask from src.live.grid_worker import GridWorker CFG = dict(tf="1h", range_down=0.20, range_up=0.06, levels=6, sl_buf=0.10, tp_buf=0.03, max_bars=720, regime="range", trend_max=1.5) ASSET, INIT, POS, LEV, FEE = "BTC", 1000.0, 0.15, 3.0, 0.0005 def _eq_last(df, mask): cfg_bt = {k: v for k, v in CFG.items() if k not in ("regime", "trend_max")} eqd, st = grid_mtm(ASSET, **cfg_bt, pos=POS, lev=LEV, fee_side=FEE, deploy_mask=mask, df=df) return float(eqd.iloc[-1]), st def main(): df = load_data(ASSET, "1h") n = len(df) nboot = n - 400 # deploy a T0 = nboot, poi 400 barre forward mask_full = regime_mask(ASSET, "1h", trend_max=CFG["trend_max"]) F, st_full = _eq_last(df, mask_full) # eq full @ T1 (== backtest) B, _ = _eq_last(df.iloc[:nboot].reset_index(drop=True), mask_full[:nboot]) # eq @ T0 (causale) expected = INIT * F / B print(f"[backtest] eq@T0={B:.4f} eq@T1={F:.4f} -> capitale forward atteso {expected:,.2f} " f"(trades full {st_full['trades']}, win {st_full['win']:.1f}%)") wd = Path(tempfile.mkdtemp(prefix="gridval_")) try: boot = df.iloc[:nboot].reset_index(drop=True) w = GridWorker("GRID_BTC", ASSET, CFG, INIT, wd, leverage=LEV, position_size=POS, fee_side=FEE, hist=boot) # [A] logica: tick col feed full -> n_trades come backtest w.tick(df) dA = abs(w.n_trades - st_full["trades"]) print(f"[A] logica n_trades worker {w.n_trades} vs backtest {st_full['trades']} " f"{'OK' if dA == 0 else 'MISMATCH'}") # [B] forward: deploy a T0 (base), poi fino a T1 wd2 = Path(tempfile.mkdtemp(prefix="gridval_fwd_")) wf = GridWorker("GRID_BTC", ASSET, CFG, INIT, wd2, leverage=LEV, position_size=POS, fee_side=FEE, hist=boot) wf.tick(boot) # deploy: base_norm=B, capital=initial cap0 = wf.capital wf.tick(df.iloc[:n - 200].reset_index(drop=True)) wf.tick(df) # fino a T1 dB = abs(wf.capital - expected) print(f"[B] forward: cap@deploy {cap0:,.2f} (atteso {INIT:,.0f}) cap@T1 {wf.capital:,.2f} " f"(atteso {expected:,.2f}) delta {dB:.4f} {'OK' if dB < 0.05 else 'MISMATCH'}") # [C] resume wr = GridWorker("GRID_BTC", ASSET, CFG, INIT, wd2, leverage=LEV, position_size=POS, fee_side=FEE, hist=boot) wr.tick(df) dC = abs(wr.capital - wf.capital) print(f"[C] resume cap {wr.capital:,.2f} delta {dC:.4f} " f"{'OK' if dC < 0.05 else 'MISMATCH'} (base_norm persistito)") ok = dA == 0 and dB < 0.05 and dC < 0.05 print(f"\n{'VALIDAZIONE OK: GridWorker forward-tracking == backtest' if ok else 'VALIDAZIONE FALLITA'}") shutil.rmtree(wd2, ignore_errors=True) finally: shutil.rmtree(wd, ignore_errors=True) if __name__ == "__main__": main()