Adriano Dal Pastro
14522262e6
Reset del progetto su fondamenta verificate dopo la scoperta che l'intera libreria "validata OOS" era artefatto di feed contaminato (print fantasma del feed Cerbero TESTNET + storico Binance/USDT). - Storico ricostruito da Deribit MAINNET (ccxt pubblico, tokenless) e CERTIFICATO (certify_feed.py): BTC/ETH puliti su TUTTA la storia (mediana 2-6 bps vs Coinbase USD), integrita' OHLC + coerenza resample (maxΔ 0.00) + cross-venue OK. Alt esclusi (illiquidi/divergenti: LTC/DOGE 50-82% barre flat; XRP/BNB non certificabili). - Verdetto sul feed pulito: FADE / PAIRS / XS01 / TSM01 morti (ogni portafoglio Sharpe -2.3..-3.0, DD ~40%); solo SH01 e frammenti HONEST con segnale residuo, da ri-validare in isolamento. - Cleanup "restart pulito": strategie, stack live (src/live, src/portfolio, runner/executor, yml, docker), ~100 script ricerca/gate, waste/games/ portfolios, dati non certificati + cache e 60+ diari -> archiviati in Old/ (preservati, non cancellati). Diario consolidato in un unico documento. - Skeleton ricerca tenuto: Strategy ABC + indicatori + src/fractal + src/backtest/engine + load_data; tool dati certificati (rebuild_history, certify_feed, audit_feed, multi_source_check). - Universo dati ATTIVO: solo BTC/ETH (5m/15m/1h); guardrail fisico (load_data su alt -> FileNotFoundError). Esecuzione DISABILITATA, conto flat. 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?
|
|
|
|
Come validate_worker_mr01 per MR01: alimenta il PairsWorker con finestre trailing
|
|
crescenti (simula il feed live) e confronta trade/capitale finale col backtest di
|
|
riferimento scripts/analysis/pairs_research.pairs_sim. Se combaciano, la semantica
|
|
live (z-score causale, exit |z|<=z_exit o max_bars, fee 2 gambe) e' fedele.
|
|
"""
|
|
from __future__ import annotations
|
|
|
|
import shutil
|
|
import sys
|
|
import tempfile
|
|
from pathlib import Path
|
|
|
|
import pandas as pd
|
|
|
|
PROJECT_ROOT = Path(__file__).resolve().parents[2]
|
|
sys.path.insert(0, str(PROJECT_ROOT))
|
|
|
|
from src.live.pairs_worker import PairsWorker
|
|
from scripts.analysis.pairs_research import aligned, aligned_ohlc, pairs_sim, pairs_sim_flat
|
|
from scripts.strategies.PR01_pairs_reversion import PAIRS
|
|
|
|
# Config 15m promossa dal gate (gioco Blind Traders + flat-skip): vedi
|
|
# docs/diary/2026-06-09-pairs15m-port06-gate.md
|
|
CFG_15M = dict(n=66, z_in=1.674, z_exit=1.0, max_bars=35, flat_skip=True)
|
|
|
|
|
|
def replay(a, b, params, data_dir, tf="1h", ohlc=False) -> PairsWorker:
|
|
if ohlc:
|
|
m = aligned_ohlc(a, b, tf)
|
|
df_a = pd.DataFrame({"timestamp": m["timestamp"], "open": m["open_a"],
|
|
"high": m["high_a"], "low": m["low_a"], "close": m["close_a"]})
|
|
df_b = pd.DataFrame({"timestamp": m["timestamp"], "open": m["open_b"],
|
|
"high": m["high_b"], "low": m["low_b"], "close": m["close_b"]})
|
|
else:
|
|
m = aligned(a, b, tf)
|
|
df_a = m[["timestamp"]].copy(); df_a["close"] = m["close_a"].values
|
|
df_b = m[["timestamp"]].copy(); df_b["close"] = m["close_b"].values
|
|
w = PairsWorker(a, b, tf, params=params, fee_rt=0.001, data_dir=data_dir)
|
|
w._save_state = lambda: None
|
|
w._log = lambda *a, **k: None
|
|
w._notify = lambda *a, **k: None
|
|
window = max(60, w.n + 6) # finestra trailing >= n+? : z[i] corretto
|
|
for k in range(w.n + 2, len(m) + 1):
|
|
lo = max(0, k - window)
|
|
w.tick(df_a.iloc[lo:k], df_b.iloc[lo:k])
|
|
return w
|
|
|
|
|
|
def _row(label, w, bt):
|
|
bt_cap = 1000.0 * (1 + bt["ret"] / 100)
|
|
cap_match = abs(w.capital - bt_cap) / bt_cap < 0.02 if bt_cap else False
|
|
trd_match = abs(w.total_trades - bt["trades"]) <= max(2, bt["trades"] * 0.02)
|
|
ok = "OK" if (cap_match and trd_match) else "DIFF"
|
|
ww = w.total_wins / w.total_trades * 100 if w.total_trades else 0
|
|
print(f" {label:<16s}{w.capital:>13.0f}{w.total_trades:>6d}{ww:>6.1f} | "
|
|
f"{bt_cap:>14.0f}{bt['trades']:>6d}{bt['win']:>6.1f} {ok}")
|
|
return ok == "OK"
|
|
|
|
|
|
def main():
|
|
print("=" * 100)
|
|
print(" VALIDAZIONE PairsWorker — replay live == backtest (fee 0.20% RT/coppia)")
|
|
print("=" * 100)
|
|
print(f" {'caso':<16s}{'WORKER cap':>13s}{'trd':>6s}{'win%':>6s} | "
|
|
f"{'BACKTEST cap':>14s}{'trd':>6s}{'win%':>6s} match?")
|
|
print(" " + "-" * 92)
|
|
tmp = Path(tempfile.mkdtemp(prefix="pairs_validate_"))
|
|
allok = True
|
|
try:
|
|
# [A] REGRESSIONE 1h (flat_skip=False, close-only) vs pairs_sim
|
|
for a, b, p in [pp for pp in PAIRS if (pp[0], pp[1]) in {("ETH", "BTC"), ("BTC", "LTC")}]:
|
|
w = replay(a, b, p, tmp, tf="1h", ohlc=False)
|
|
allok &= _row(f"{a}/{b} 1h", w, pairs_sim(a, b, **p))
|
|
# [B] NUOVO: 15m flat-skip (OHLC) vs pairs_sim_flat
|
|
w = replay("ETH", "BTC", CFG_15M, tmp, tf="15m", ohlc=True)
|
|
bt = pairs_sim_flat("ETH", "BTC", tf="15m", **CFG_15M)
|
|
allok &= _row("ETH/BTC 15m-flat", w, bt)
|
|
finally:
|
|
shutil.rmtree(tmp, ignore_errors=True)
|
|
print(" " + "-" * 92)
|
|
print(" match = capitale e trade entro 2% del backtest (diff minime = bar finale aperta).")
|
|
print(f" ESITO COMPLESSIVO: {'TUTTO OK' if allok else 'DIFFERENZE -> INDAGARE'}")
|
|
|
|
|
|
if __name__ == "__main__":
|
|
main()
|