Initial strategy32 research and live runtime

2026-03-16 20:18:41 -07:00
commit c165a9add7
42 changed files with 10750 additions and 0 deletions
--- a/scripts/run_ablation_analysis.py
+++ b/scripts/run_ablation_analysis.py
@@ -0,0 +1,104 @@
+from __future__ import annotations
+
+import copy
+import json
+import sys
+from pathlib import Path
+
+import pandas as pd
+
+PACKAGE_PARENT = Path(__file__).resolve().parents[2]
+if str(PACKAGE_PARENT) not in sys.path:
+    sys.path.insert(0, str(PACKAGE_PARENT))
+
+from strategy29.backtest.window_analysis import evaluate_window_result, slice_bundle
+from strategy32.backtest.simulator import Strategy32Backtester
+from strategy32.config import PROFILE_V5_BASELINE, build_strategy32_config
+from strategy32.data import build_strategy32_market_bundle
+
+
+WINDOWS = [(30, "1m"), (365, "1y"), (1095, "3y"), (1825, "5y")]
+
+
+def build_variants() -> list[tuple[str, dict[str, bool]]]:
+    return [
+        ("baseline_v5", {}),
+        ("no_sideways", {"enable_sideways_engine": False}),
+        ("strong_kill_switch", {"enable_strong_kill_switch": True}),
+        ("daily_trend_filter", {"enable_daily_trend_filter": True}),
+        ("expanded_hedge", {"enable_expanded_hedge": True}),
+        ("max_holding_exit", {"enable_max_holding_exit": True}),
+    ]
+
+
+def main() -> None:
+    base = build_strategy32_config(PROFILE_V5_BASELINE)
+    end = pd.Timestamp("2026-03-15 00:00:00", tz="UTC")
+    start = end - pd.Timedelta(days=max(days for days, _ in WINDOWS) + base.warmup_days + 14)
+
+    print("fetching bundle...")
+    bundle, latest_completed_bar, accepted_symbols, rejected_symbols, quote_by_symbol = build_strategy32_market_bundle(
+        symbols=base.symbols,
+        auto_discover_symbols=base.auto_discover_symbols,
+        quote_assets=base.quote_assets,
+        excluded_base_assets=base.excluded_base_assets,
+        min_quote_volume_24h=base.discovery_min_quote_volume_24h,
+        start=start,
+        end=end,
+        timeframe=base.timeframe,
+        max_staleness_days=base.max_symbol_staleness_days,
+    )
+    print("latest", latest_completed_bar)
+
+    results: dict[str, dict[str, dict[str, float | int | str]]] = {}
+    for name, overrides in build_variants():
+        cfg = copy.deepcopy(base)
+        for key, value in overrides.items():
+            setattr(cfg, key, value)
+        variant_results = {}
+        print("\nVARIANT", name)
+        for days, label in WINDOWS:
+            eval_end = latest_completed_bar
+            eval_start = eval_end - pd.Timedelta(days=days)
+            raw_start = eval_start - pd.Timedelta(days=cfg.warmup_days)
+            sliced = slice_bundle(bundle, raw_start, eval_end)
+            backtester = Strategy32Backtester(cfg, sliced, trade_start=eval_start)
+            backtester.engine_config.initial_capital = 1000.0
+            result = backtester.run()
+            metrics = evaluate_window_result(result, eval_start=eval_start, bars_per_day=backtester.engine_config.bars_per_day)
+            metrics["engine_pnl"] = result.engine_pnl
+            metrics["total_trades"] = result.total_trades
+            variant_results[label] = metrics
+            print(
+                label,
+                "ret",
+                round(float(metrics["total_return"]) * 100, 2),
+                "mdd",
+                round(float(metrics["max_drawdown"]) * 100, 2),
+                "sharpe",
+                round(float(metrics["sharpe"]), 2),
+                "trades",
+                metrics["trade_count"],
+            )
+        results[name] = variant_results
+
+    payload = {
+        "strategy": "strategy32",
+        "analysis": "v6_single_change_ablation",
+        "initial_capital": 1000.0,
+        "auto_discover_symbols": base.auto_discover_symbols,
+        "latest_completed_bar": str(latest_completed_bar),
+        "requested_symbols": [] if base.auto_discover_symbols else base.symbols,
+        "accepted_symbols": accepted_symbols,
+        "rejected_symbols": rejected_symbols,
+        "quote_by_symbol": quote_by_symbol,
+        "timeframe": base.timeframe,
+        "results": results,
+    }
+    out = Path("/tmp/strategy32_v6_ablation.json")
+    out.write_text(json.dumps(payload, indent=2), encoding="utf-8")
+    print("\nwrote", out)
+
+
+if __name__ == "__main__":
+    main()