Adriano Dal Pastro
264b9200ea
Wire del Price Ladder come sleeve PAPER (sim-only, fuori dal pool €500, NESSUN ordine reale): - runner: kind="grid" -> GridWorker in build_worker_for; _spec_assets_tf grid; tick branch (w.tick(res[asset])); meccanismo PAPER_EXTRA (sleeve paper letti da overrides.paper_extra, NON da _defs.py -> NON entrano nel backtest canonico/regression-lock: PORT06 resta 19 sleeve). Parsing difensivo (un errore non crasha il runner mainnet). Loop dati estesi a paper_extra. - GridWorker: bootstrap storia FULL (start fisso, come SH01) + mappatura capitale forward dal deploy (capital = initial*eq[-1]/base_norm) -> niente salti da finestra mobile; base_norm persistito (resume). grid_mtm robusto al df live (timestamp senza datetime; param df). - portfolios.yml: GRID_BTC in paper_extra (regime range1.5, rd0.20/ru0.06, L6, sl0.10/tp0.03, position_size 0.15 PINNATO). Gira in data/portfolio_paper_stats/GRID_BTC/. Validazione (validate_grid_worker.py): [A] logica n_trades==backtest, [B] forward-tracking esatto, [C] resume esatto. Dry-test integrazione runner: import OK, build OK, tick OK, pos 0.15. SICUREZZA: kind=grid mai eseguito reale (runner avvia ordini solo per single/ml); €500 intatti. Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
91 lines
4.1 KiB
Python
91 lines
4.1 KiB
Python
"""VALIDA GridWorker — forward-tracking == backtest grid_mtm (gate obbligatorio del progetto).
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Il GridWorker (sim/paper) bootstrappa la storia FULL (start fisso) e mappa il capitale forward
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dal deploy: capital = initial * eq[-1]/base_norm. Proprieta' da validare:
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[A] LOGICA: la griglia sul feed full == backtest (stesso n_trades/win).
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[B] FORWARD: deployato a T0 (bootstrap up to T0), dopo aver ticcato fino a T1 il capitale
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e' initial * eq_full(T1)/eq_full(T0) — cioe' il ritorno della griglia DA T0 (causale).
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[C] RESUME: reistanziato (rilegge base_norm da status.json) -> stesso capitale.
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Config = la finale del re-gate pulito: BTC 1h range1.5 rd0.20 ru0.06 L6 sl0.10 tp0.03.
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uv run python scripts/analysis/validate_grid_worker.py
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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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PROJECT_ROOT = Path(__file__).resolve().parents[2]
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sys.path.insert(0, str(PROJECT_ROOT))
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from src.data.downloader import load_data
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from scripts.analysis.grid_game_gate import grid_mtm
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from scripts.analysis.ladder_search import regime_mask
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from src.live.grid_worker import GridWorker
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CFG = dict(tf="1h", range_down=0.20, range_up=0.06, levels=6,
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sl_buf=0.10, tp_buf=0.03, max_bars=720, regime="range", trend_max=1.5)
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ASSET, INIT, POS, LEV, FEE = "BTC", 1000.0, 0.15, 3.0, 0.0005
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def _eq_last(df, mask):
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cfg_bt = {k: v for k, v in CFG.items() if k not in ("regime", "trend_max")}
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eqd, st = grid_mtm(ASSET, **cfg_bt, pos=POS, lev=LEV, fee_side=FEE, deploy_mask=mask, df=df)
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return float(eqd.iloc[-1]), st
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def main():
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df = load_data(ASSET, "1h")
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n = len(df)
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nboot = n - 400 # deploy a T0 = nboot, poi 400 barre forward
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mask_full = regime_mask(ASSET, "1h", trend_max=CFG["trend_max"])
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F, st_full = _eq_last(df, mask_full) # eq full @ T1 (== backtest)
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B, _ = _eq_last(df.iloc[:nboot].reset_index(drop=True), mask_full[:nboot]) # eq @ T0 (causale)
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expected = INIT * F / B
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print(f"[backtest] eq@T0={B:.4f} eq@T1={F:.4f} -> capitale forward atteso {expected:,.2f} "
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f"(trades full {st_full['trades']}, win {st_full['win']:.1f}%)")
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wd = Path(tempfile.mkdtemp(prefix="gridval_"))
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try:
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boot = df.iloc[:nboot].reset_index(drop=True)
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w = GridWorker("GRID_BTC", ASSET, CFG, INIT, wd, leverage=LEV,
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position_size=POS, fee_side=FEE, hist=boot)
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# [A] logica: tick col feed full -> n_trades come backtest
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w.tick(df)
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dA = abs(w.n_trades - st_full["trades"])
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print(f"[A] logica n_trades worker {w.n_trades} vs backtest {st_full['trades']} "
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f"{'OK' if dA == 0 else 'MISMATCH'}")
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# [B] forward: deploy a T0 (base), poi fino a T1
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wd2 = Path(tempfile.mkdtemp(prefix="gridval_fwd_"))
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wf = GridWorker("GRID_BTC", ASSET, CFG, INIT, wd2, leverage=LEV,
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position_size=POS, fee_side=FEE, hist=boot)
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wf.tick(boot) # deploy: base_norm=B, capital=initial
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cap0 = wf.capital
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wf.tick(df.iloc[:n - 200].reset_index(drop=True))
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wf.tick(df) # fino a T1
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dB = abs(wf.capital - expected)
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print(f"[B] forward: cap@deploy {cap0:,.2f} (atteso {INIT:,.0f}) cap@T1 {wf.capital:,.2f} "
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f"(atteso {expected:,.2f}) delta {dB:.4f} {'OK' if dB < 0.05 else 'MISMATCH'}")
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# [C] resume
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wr = GridWorker("GRID_BTC", ASSET, CFG, INIT, wd2, leverage=LEV,
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position_size=POS, fee_side=FEE, hist=boot)
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wr.tick(df)
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dC = abs(wr.capital - wf.capital)
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print(f"[C] resume cap {wr.capital:,.2f} delta {dC:.4f} "
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f"{'OK' if dC < 0.05 else 'MISMATCH'} (base_norm persistito)")
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ok = dA == 0 and dB < 0.05 and dC < 0.05
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print(f"\n{'VALIDAZIONE OK: GridWorker forward-tracking == backtest' if ok else 'VALIDAZIONE FALLITA'}")
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shutil.rmtree(wd2, ignore_errors=True)
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finally:
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shutil.rmtree(wd, ignore_errors=True)
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if __name__ == "__main__":
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main()
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