Adriano Dal Pastro
d25d897fd1
Origine: gioco "Blind Traders" (100 agenti ciechi su BTC/ETH anonimizzati) -> vincitore = spread ETH/BTC reversion a 15m. Testato sul serio col gate PORT06: non duplicato (corr 1h vs 15m = 0.37), robusto (16/16 celle Sharpe>1), edge NON artefatto delle candele flat ETH 15m (filtrandole resta l'83% dello Sharpe). Percorso live costruito e validato: - pairs_research.pairs_sim_flat: engine generalizzato con exit LIVE-REALIZABLE (arma exit_ready, esce alla 1a barra pulita); regression-lock a pairs_sim. - PairsWorker: flat_skip + exit_ready + rilevamento flat da OHLC (1h byte-exact). - runner: fetch diretto dei timeframe sub-orari + override position_size per-sleeve. - validate_worker_pairs: replay worker == backtest a 15m (8452 vs 8453 trade). - _defs/build_everything: sleeve PR_ETHBTC_15M (mezza size, pos 0.10) -> PORT06 FULL 6.43->7.20, OOS 8.58->9.66, DD giu'. Rischio bilanciato col 1h. - smoke live: Cerbero serve candele 15m fresche; worker ticca. Diari docs/diary/2026-06-09-*. Caveat slippage: mezza size = blend-tilt prudente. Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
89 lines
3.8 KiB
Python
89 lines
3.8 KiB
Python
"""Valida il PairsWorker: replay bar-per-bar sui dati storici == backtest pairs_sim?
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Come validate_worker_mr01 per MR01: alimenta il PairsWorker con finestre trailing
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crescenti (simula il feed live) e confronta trade/capitale finale col backtest di
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riferimento scripts/analysis/pairs_research.pairs_sim. Se combaciano, la semantica
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live (z-score causale, exit |z|<=z_exit o max_bars, fee 2 gambe) e' fedele.
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"""
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from __future__ import annotations
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import shutil
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import sys
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import tempfile
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from pathlib import Path
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import pandas as pd
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PROJECT_ROOT = Path(__file__).resolve().parents[2]
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sys.path.insert(0, str(PROJECT_ROOT))
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from src.live.pairs_worker import PairsWorker
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from scripts.analysis.pairs_research import aligned, aligned_ohlc, pairs_sim, pairs_sim_flat
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from scripts.strategies.PR01_pairs_reversion import PAIRS
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# Config 15m promossa dal gate (gioco Blind Traders + flat-skip): vedi
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# docs/diary/2026-06-09-pairs15m-port06-gate.md
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CFG_15M = dict(n=66, z_in=1.674, z_exit=1.0, max_bars=35, flat_skip=True)
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def replay(a, b, params, data_dir, tf="1h", ohlc=False) -> PairsWorker:
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if ohlc:
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m = aligned_ohlc(a, b, tf)
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df_a = pd.DataFrame({"timestamp": m["timestamp"], "open": m["open_a"],
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"high": m["high_a"], "low": m["low_a"], "close": m["close_a"]})
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df_b = pd.DataFrame({"timestamp": m["timestamp"], "open": m["open_b"],
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"high": m["high_b"], "low": m["low_b"], "close": m["close_b"]})
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else:
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m = aligned(a, b, tf)
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df_a = m[["timestamp"]].copy(); df_a["close"] = m["close_a"].values
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df_b = m[["timestamp"]].copy(); df_b["close"] = m["close_b"].values
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w = PairsWorker(a, b, tf, params=params, fee_rt=0.001, data_dir=data_dir)
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w._save_state = lambda: None
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w._log = lambda *a, **k: None
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w._notify = lambda *a, **k: None
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window = max(60, w.n + 6) # finestra trailing >= n+? : z[i] corretto
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for k in range(w.n + 2, len(m) + 1):
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lo = max(0, k - window)
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w.tick(df_a.iloc[lo:k], df_b.iloc[lo:k])
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return w
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def _row(label, w, bt):
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bt_cap = 1000.0 * (1 + bt["ret"] / 100)
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cap_match = abs(w.capital - bt_cap) / bt_cap < 0.02 if bt_cap else False
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trd_match = abs(w.total_trades - bt["trades"]) <= max(2, bt["trades"] * 0.02)
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ok = "OK" if (cap_match and trd_match) else "DIFF"
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ww = w.total_wins / w.total_trades * 100 if w.total_trades else 0
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print(f" {label:<16s}{w.capital:>13.0f}{w.total_trades:>6d}{ww:>6.1f} | "
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f"{bt_cap:>14.0f}{bt['trades']:>6d}{bt['win']:>6.1f} {ok}")
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return ok == "OK"
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def main():
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print("=" * 100)
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print(" VALIDAZIONE PairsWorker — replay live == backtest (fee 0.20% RT/coppia)")
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print("=" * 100)
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print(f" {'caso':<16s}{'WORKER cap':>13s}{'trd':>6s}{'win%':>6s} | "
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f"{'BACKTEST cap':>14s}{'trd':>6s}{'win%':>6s} match?")
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print(" " + "-" * 92)
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tmp = Path(tempfile.mkdtemp(prefix="pairs_validate_"))
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allok = True
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try:
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# [A] REGRESSIONE 1h (flat_skip=False, close-only) vs pairs_sim
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for a, b, p in [pp for pp in PAIRS if (pp[0], pp[1]) in {("ETH", "BTC"), ("BTC", "LTC")}]:
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w = replay(a, b, p, tmp, tf="1h", ohlc=False)
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allok &= _row(f"{a}/{b} 1h", w, pairs_sim(a, b, **p))
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# [B] NUOVO: 15m flat-skip (OHLC) vs pairs_sim_flat
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w = replay("ETH", "BTC", CFG_15M, tmp, tf="15m", ohlc=True)
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bt = pairs_sim_flat("ETH", "BTC", tf="15m", **CFG_15M)
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allok &= _row("ETH/BTC 15m-flat", w, bt)
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finally:
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shutil.rmtree(tmp, ignore_errors=True)
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print(" " + "-" * 92)
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print(" match = capitale e trade entro 2% del backtest (diff minime = bar finale aperta).")
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print(f" ESITO COMPLESSIVO: {'TUTTO OK' if allok else 'DIFFERENZE -> INDAGARE'}")
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if __name__ == "__main__":
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main()
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