PythagorasGoal/scripts/research/skyhook/runs/SKH2_FREQ.py

"""SKH2_FREQ — entry cadence / holding-period family for the SKH01 DD-reduction wave.

Goal: cut standalone maxDD below 30% (max over BTC & ETH) while keeping min-asset HOLD-OUT
Sharpe >= ~0.70 and earns_slot == True. Lever space (all expressible via SkyhookParams):
  * max_per_day {1, 2}
  * uscitalong / uscitashort holding windows {12..30}
  * atr_win (HTF) / ltf_atr_win (exec) windows

Baseline-to-beat (verified V2 winner):
  SkyhookParams(ptn_n=45, sl_atr=2.5, tp_atr=7.0, uscitalong=24, uscitashort=16,
                vola_lo=35.0, vola_hi=95.0, vol_lo=0.0)
  minFull +0.83 minHold +0.81 maxDD BTC34%/ETH31% earns_slot True
  blend w25 uplift_hold +0.58, w50 full1.59/hold1.04/DD12.5%.

A candidate BEATS the winner iff: earns_slot AND max_dd<0.30 AND blend_w25_uplift_hold>=0.55
AND min_hold_sharpe>=0.65.
"""
from __future__ import annotations
import sys, json
sys.path.insert(0, "/opt/docker/PythagorasGoal/scripts/research/skyhook")
import skyhooklib as sk
from src.strategies.skyhook import SkyhookParams

# Winner base (all FREQ variants share the regime/pattern/stop structure of the winner).
WINNER = dict(ptn_n=45, sl_atr=2.5, tp_atr=7.0, uscitalong=24, uscitashort=16,
              vola_lo=35.0, vola_hi=95.0, vol_lo=0.0)


def mk(**over) -> SkyhookParams:
    d = dict(WINNER); d.update(over)
    return SkyhookParams(**d)


def quick(name, p) -> dict:
    """Fast screen: FULL+HOLD on both assets + standalone maxDD. No fee sweep / marginal yet."""
    rb = sk.run_asset("BTC", p)
    re = sk.run_asset("ETH", p)
    minF = min(rb["full"]["sharpe"], re["full"]["sharpe"])
    minH = min(rb["holdout"]["sharpe"], re["holdout"]["sharpe"])
    maxdd = max(rb["full"]["maxdd"], re["full"]["maxdd"])
    minTr = min(rb["full"]["n_trades"], re["full"]["n_trades"])
    print(f"  {name:38s} minF={minF:+.2f} minH={minH:+.2f} maxDD={maxdd*100:4.0f}% "
          f"(B{rb['full']['maxdd']*100:.0f}/E{re['full']['maxdd']*100:.0f}) "
          f"nTr={minTr} | Bh={rb['holdout']['sharpe']:+.2f} Eh={re['holdout']['sharpe']:+.2f}")
    return dict(name=name, p=p, minF=minF, minH=minH, maxdd=maxdd, minTr=minTr,
                bdd=rb["full"]["maxdd"], edd=re["full"]["maxdd"])


def full_eval(name, p) -> dict:
    rep = sk.study(name, p)
    print(sk.fmt(rep))
    caus = sk.causality(p, "BTC")
    causE = sk.causality(p, "ETH")
    caus_ok = bool(caus["ok"] and causE["ok"])
    mg = sk.marginal(p)
    v = rep["verdict"]
    maxdd = max(rep["per_asset"][a]["full"]["maxdd"] for a in rep["per_asset"])
    w25 = mg.get("blends", {}).get("w25", {})
    w50 = mg.get("blends", {}).get("w50", {})
    earns_slot = (v["grade"] != "FAIL" and mg.get("marginal_verdict") == "ADDS"
                  and bool(mg.get("robust_oos")) and not bool(mg.get("is_hedge")))
    beats = (earns_slot and maxdd < 0.30
             and (w25.get("uplift_hold") or -9) >= 0.55
             and v["min_asset_holdout_sharpe"] >= 0.65)
    print(f"  causality BTC={caus} ETH={causE} -> ok={caus_ok}")
    print(f"  marginal: verdict={mg.get('marginal_verdict')} corr_full={mg.get('corr_full')} "
          f"corr_hold={mg.get('corr_hold')} insample_edge={mg.get('has_insample_edge')} "
          f"hedge={mg.get('is_hedge')} robust_oos={mg.get('robust_oos')} "
          f"multicut={mg.get('multicut_persistent')} cleanYr={mg.get('clean_year_uplift')}")
    print(f"  blends: w25 uplift_hold={w25.get('uplift_hold')} uplift_full={w25.get('uplift_full')} | "
          f"w50 full={w50.get('full')} hold={w50.get('hold')} dd={w50.get('dd')} "
          f"uplift_hold={w50.get('uplift_hold')}")
    print(f"  ==> maxDD={maxdd*100:.1f}% earns_slot={earns_slot} BEATS_WINNER={beats}")
    return dict(name=name, p=p, rep=rep, mg=mg, caus_ok=caus_ok, maxdd=maxdd,
                earns_slot=earns_slot, beats=beats, w25=w25, w50=w50, v=v)


if __name__ == "__main__":
    print("="*100)
    print("PHASE 1 — fast screen of cadence / holding / atr-window variants (FULL+HOLD+DD)")
    print("="*100)

    screens = []
    # 0) reproduce the winner as a sanity anchor
    screens.append(quick("WINNER(uL24/uS16,mpd1,atr14/14)", mk()))

    # --- Holding-window grid (the core DD lever): shorter holds cap single-trade risk.
    print("\n-- holding windows (uscitalong/uscitashort), mpd=1 --")
    for uL in (12, 16, 20, 24, 28, 30):
        for uS in (10, 12, 14, 16, 20):
            screens.append(quick(f"uL{uL}/uS{uS}", mk(uscitalong=uL, uscitashort=uS)))

    # --- max_per_day: 2 entries/day = more frequent re-entry (more fee, smaller clusters?)
    print("\n-- max_per_day=2 across a few holds --")
    for uL in (12, 16, 20, 24):
        for uS in (10, 12, 16):
            screens.append(quick(f"mpd2 uL{uL}/uS{uS}", mk(max_per_day=2, uscitalong=uL, uscitashort=uS)))

    # --- atr windows (HTF signal vola & exec stop sizing), at the WINNER hold (uL24/uS16)
    #     where DD was lowest, not the whipsaw uL16/uS12.
    print("\n-- atr_win (HTF) x ltf_atr_win (exec), at WINNER hold uL24/uS16 --")
    for aw in (10, 14, 20):
        for lw in (10, 14, 20):
            screens.append(quick(f"atr{aw}/ltf{lw} uL24/uS16", mk(atr_win=aw, ltf_atr_win=lw)))

    # --- targeted DD-reducers: mpd2 at the winner hold (smaller clusters, keep hold) +
    #     longer ATR for steadier stops; and asymmetric long-bias holds (long crypto = up-drift,
    #     so a longer long-hold + shorter short-hold protects the worst-asset short DD).
    print("\n-- targeted DD-reducers (mpd2 @ winner hold; long-bias asym holds) --")
    for cfg in (
        dict(max_per_day=2, uscitalong=24, uscitashort=16),
        dict(max_per_day=2, uscitalong=24, uscitashort=16, ltf_atr_win=20),
        dict(max_per_day=2, uscitalong=24, uscitashort=16, atr_win=20, ltf_atr_win=20),
        dict(uscitalong=24, uscitashort=18, ltf_atr_win=20),
        dict(uscitalong=28, uscitashort=18, ltf_atr_win=20),
        dict(uscitalong=24, uscitashort=20, ltf_atr_win=20),
        dict(max_per_day=2, uscitalong=20, uscitashort=16, ltf_atr_win=20),
        dict(max_per_day=2, uscitalong=20, uscitashort=18, ltf_atr_win=20),
    ):
        nm = "DDr " + "/".join(f"{k}={v}" for k, v in cfg.items())
        screens.append(quick(nm, mk(**cfg)))

    # Rank by: meets DD<30 first, then by minH (we need hold >=0.65), then minF.
    print("\n" + "="*100)
    print("PHASE 2 — full eval of best DD-reducing candidates (study+causality+marginal)")
    print("="*100)

    # candidates: prioritize LOWEST DD with a still-usable hold-out (minH>=0.55), but ALSO
    # always include the global lowest-DD configs that keep minH>=0.5 (DD is the unmet goal).
    pool = [s for s in screens if s["minTr"] >= 20]
    a_set = [s for s in pool if s["maxdd"] < 0.36 and s["minH"] >= 0.55]
    a_set.sort(key=lambda s: (s["maxdd"], -s["minH"]))
    b_set = [s for s in pool if s["minH"] >= 0.50]
    b_set.sort(key=lambda s: s["maxdd"])  # lowest DD overall (usable hold)
    picked = []
    seen = set()
    for s in a_set[:6] + b_set[:6]:
        if s["name"] in seen:
            continue
        seen.add(s["name"])
        picked.append(s)
        if len(picked) >= 9:
            break
    if not picked:
        pool.sort(key=lambda s: s["maxdd"])
        picked = pool[:6]

    print("Picked for full eval (DD<0.32, minH>=0.55, nTr>=20), sorted by DD:")
    for s in picked:
        print(f"   {s['name']:38s} maxDD={s['maxdd']*100:.0f}% minH={s['minH']:+.2f} minF={s['minF']:+.2f}")

    results = []
    for s in picked:
        print("\n" + "-"*90)
        results.append(full_eval(s["name"], s["p"]))

    # also full-eval the winner as the reference
    print("\n" + "-"*90 + "\n[REFERENCE] WINNER full eval:")
    rwin = full_eval("WINNER", mk())

    # ---- pick the best config: prefer beats_winner, else lowest DD with earns_slot & best hold
    print("\n" + "="*100)
    print("FINAL RANKING")
    print("="*100)
    def score(r):
        return (not r["beats"], not r["earns_slot"], r["maxdd"], -r["v"]["min_asset_holdout_sharpe"])
    allr = results + [rwin]
    allr.sort(key=score)
    for r in allr:
        print(f"  {r['name']:38s} beats={r['beats']} earns={r['earns_slot']} maxDD={r['maxdd']*100:.0f}% "
              f"minF={r['v']['min_asset_full_sharpe']:+.2f} minH={r['v']['min_asset_holdout_sharpe']:+.2f} "
              f"w25uH={r['w25'].get('uplift_hold')} caus={r['caus_ok']}")

    best = allr[0]
    print("\n" + "="*100)
    print("BEST CONFIG")
    print("="*100)
    bp = best["p"]
    cfg = {k: getattr(bp, k) for k in bp.__dataclass_fields__}
    print(f"name={best['name']}")
    print(f"config={json.dumps(cfg)}")
    print(f"minFull={best['v']['min_asset_full_sharpe']:+.3f}")
    print(f"minHold={best['v']['min_asset_holdout_sharpe']:+.3f}")
    print(f"max_dd={best['maxdd']:.4f}")
    print(f"n_trades_min={best['v']['min_trades']}")
    print(f"fee_survives_0.30%={best['v']['fee_survives']}")
    print(f"causality_ok={best['caus_ok']}")
    mg = best["mg"]
    print(f"MARGINAL DICT: corr_full={mg.get('corr_full')} corr_hold={mg.get('corr_hold')} "
          f"verdict={mg.get('marginal_verdict')} has_insample_edge={mg.get('has_insample_edge')} "
          f"is_hedge={mg.get('is_hedge')} robust_oos={mg.get('robust_oos')} "
          f"multicut_persistent={mg.get('multicut_persistent')} clean_year_uplift={mg.get('clean_year_uplift')}")
    print(f"blend w25 uplift_hold={best['w25'].get('uplift_hold')} | "
          f"w50 full={best['w50'].get('full')} hold={best['w50'].get('hold')} dd={best['w50'].get('dd')}")
    print(f"earns_slot={best['earns_slot']}  BEATS_WINNER={best['beats']}")
    # dump machine-readable for final structured output
    print("\nJSON_BEST=" + json.dumps(dict(
        name=best["name"], config=cfg, minFull=best["v"]["min_asset_full_sharpe"],
        minHold=best["v"]["min_asset_holdout_sharpe"], max_dd=best["maxdd"],
        n_trades_min=best["v"]["min_trades"], fee_survives=best["v"]["fee_survives"],
        causality_ok=best["caus_ok"], earns_slot=best["earns_slot"], beats=best["beats"],
        corr_full=mg.get("corr_full"), marginal_verdict=mg.get("marginal_verdict"),
        has_insample_edge=mg.get("has_insample_edge"), is_hedge=mg.get("is_hedge"),
        robust_oos=mg.get("robust_oos"), multicut_persistent=mg.get("multicut_persistent"),
        clean_year_uplift=mg.get("clean_year_uplift"),
        w25_uplift_hold=best["w25"].get("uplift_hold"))))