Adriano Dal Pastro
27 lines
1.3 KiB
Python
27 lines
1.3 KiB
Python
"""Combined grid over the scout-winning levers -> rank by min-asset HOLD-OUT (gate minFull>=0.5)."""
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import sys, itertools
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from dataclasses import replace
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sys.path.insert(0, "/opt/docker/PythagorasGoal/scripts/research/skyhook")
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import skyhooklib as sk
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from src.strategies.skyhook import SkyhookParams
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base = SkyhookParams()
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def quick(p):
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rs = {a: sk.run_asset(a, p, sk.FEE_RT) for a in sk.CERTIFIED}
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return (min(rs[a]["full"]["sharpe"] for a in rs),
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min(rs[a]["holdout"]["sharpe"] for a in rs),
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min(rs[a]["full"]["n_trades"] for a in rs),
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round(sum(rs[a]["full"]["maxdd"] for a in rs)/2,3))
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rows=[]
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for ptn_n,(sl,tp),vol_lo,(vlo,vhi) in itertools.product(
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(8,21,55), ((2.0,5.0),(2.5,6.0),(3.0,8.0)), (0.0,40.0,50.0), ((35.0,95.0),(25.0,95.0))):
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p=replace(base, ptn_n=ptn_n, sl_atr=sl, tp_atr=tp, vol_lo=vol_lo, vola_lo=vlo, vola_hi=vhi)
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mf,mh,mt,dd=quick(p)
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rows.append((mh,mf,mt,dd,ptn_n,sl,tp,vol_lo,vlo,vhi))
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rows.sort(reverse=True)
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print(f"{'minH':>6s}{'minF':>6s}{'tr':>5s}{'dd':>5s} ptn sl tp vlo vola")
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for mh,mf,mt,dd,ptn_n,sl,tp,vol_lo,vlo,vhi in rows[:18]:
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gate = "PASS" if (mf>=0.5 and mh>=0.2 and mt>=20) else ""
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print(f"{mh:>+6.2f}{mf:>+6.2f}{mt:>5d}{dd*100:>4.0f}% {ptn_n:>3d} {sl:>3.1f} {tp:>4.1f} {vol_lo:>4.0f} [{vlo:.0f},{vhi:.0f}] {gate}")
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