feat: Add v11 test sweep system (256 combinations) with office hours scheduling
Co-authored-by: mindesbunister <32161838+mindesbunister@users.noreply.github.com>
This commit is contained in:
copilot-swe-agent[bot]
298
cluster/v11_test_worker.py
Executable file
298
cluster/v11_test_worker.py
Executable file
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#!/usr/bin/env python3
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"""
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V11 Test Parameter Sweep Worker
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Processes chunks of v11 test parameter configurations (256 combinations total).
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Uses 27 cores (85% CPU) for multiprocessing.
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Test parameter grid (2 values each = 2^8 = 256 combinations):
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- flip_threshold: 0.5, 0.6
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- adx_min: 18, 21
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- long_pos_max: 75, 80
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- short_pos_min: 20, 25
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- vol_min: 0.8, 1.0
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- entry_buffer_atr: 0.15, 0.20
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- rsi_long_min: 35, 40
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- rsi_short_max: 65, 70
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"""
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import sys
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import csv
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import pandas as pd
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from pathlib import Path
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from typing import Dict, List, Any
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from multiprocessing import Pool
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import functools
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import itertools
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# Add backtester to path
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sys.path.insert(0, str(Path(__file__).parent.parent))
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from backtester.v11_moneyline_all_filters import (
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money_line_v11_signals,
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MoneyLineV11Inputs
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)
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from backtester.simulator import simulate_money_line
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# CPU limit: 85% of 32 threads = 27 cores
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MAX_WORKERS = 27
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# Test parameter grid (256 combinations)
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PARAMETER_GRID = {
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'flip_threshold': [0.5, 0.6],
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'adx_min': [18, 21],
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'long_pos_max': [75, 80],
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'short_pos_min': [20, 25],
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'vol_min': [0.8, 1.0],
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'entry_buffer_atr': [0.15, 0.20],
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'rsi_long_min': [35, 40],
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'rsi_short_max': [65, 70],
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}
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def load_market_data(csv_file: str) -> pd.DataFrame:
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"""Load OHLCV data from CSV"""
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df = pd.read_csv(csv_file)
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# Ensure required columns exist
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required = ['timestamp', 'open', 'high', 'low', 'close', 'volume']
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for col in required:
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if col not in df.columns:
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raise ValueError(f"Missing required column: {col}")
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# Convert timestamp if needed
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if df['timestamp'].dtype == 'object':
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df['timestamp'] = pd.to_datetime(df['timestamp'])
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df = df.set_index('timestamp')
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print(f"✓ Loaded {len(df):,} bars from {csv_file}")
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return df
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def backtest_config(df: pd.DataFrame, config: Dict[str, Any]) -> Dict[str, Any]:
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"""
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Run backtest for single v11 test parameter configuration
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Returns dict with:
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- params: original config dict
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- pnl: total P&L
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- trades: number of trades
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- win_rate: % winners
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- profit_factor: wins/losses ratio
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- max_drawdown: max drawdown $
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"""
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try:
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# Create v11 inputs
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inputs = MoneyLineV11Inputs(
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flip_threshold=config['flip_threshold'],
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adx_min=config['adx_min'],
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long_pos_max=config['long_pos_max'],
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short_pos_min=config['short_pos_min'],
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vol_min=config['vol_min'],
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entry_buffer_atr=config['entry_buffer_atr'],
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rsi_long_min=config['rsi_long_min'],
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rsi_short_max=config['rsi_short_max'],
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)
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# Generate signals
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signals = money_line_v11_signals(df, inputs)
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if not signals:
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return {
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'params': config,
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'pnl': 0.0,
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'trades': 0,
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'win_rate': 0.0,
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'profit_factor': 0.0,
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'max_drawdown': 0.0,
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}
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# Simple backtesting: track equity curve
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equity = 1000.0 # Starting capital
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peak_equity = equity
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max_drawdown = 0.0
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wins = 0
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losses = 0
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win_pnl = 0.0
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loss_pnl = 0.0
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for signal in signals:
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# Simple trade simulation
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# TP1 at +0.86%, SL at -1.29% (ATR-based defaults)
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entry = signal.entry_price
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# Look ahead in data to see if TP or SL hit
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signal_idx = df.index.get_loc(signal.timestamp)
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# Look ahead up to 100 bars
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max_bars = min(100, len(df) - signal_idx - 1)
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if max_bars <= 0:
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continue
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future_data = df.iloc[signal_idx+1:signal_idx+1+max_bars]
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if signal.direction == "long":
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tp_price = entry * 1.0086 # +0.86%
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sl_price = entry * 0.9871 # -1.29%
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# Check if TP or SL hit
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hit_tp = (future_data['high'] >= tp_price).any()
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hit_sl = (future_data['low'] <= sl_price).any()
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if hit_tp:
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pnl = 1000.0 * 0.0086 # $8.60 on $1000 position
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equity += pnl
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wins += 1
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win_pnl += pnl
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elif hit_sl:
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pnl = -1000.0 * 0.0129 # -$12.90 on $1000 position
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equity += pnl
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losses += 1
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loss_pnl += abs(pnl)
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else: # short
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tp_price = entry * 0.9914 # -0.86%
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sl_price = entry * 1.0129 # +1.29%
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# Check if TP or SL hit
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hit_tp = (future_data['low'] <= tp_price).any()
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hit_sl = (future_data['high'] >= sl_price).any()
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if hit_tp:
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pnl = 1000.0 * 0.0086 # $8.60 on $1000 position
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equity += pnl
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wins += 1
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win_pnl += pnl
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elif hit_sl:
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pnl = -1000.0 * 0.0129 # -$12.90 on $1000 position
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equity += pnl
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losses += 1
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loss_pnl += abs(pnl)
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# Track drawdown
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peak_equity = max(peak_equity, equity)
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current_drawdown = peak_equity - equity
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max_drawdown = max(max_drawdown, current_drawdown)
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total_trades = wins + losses
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win_rate = wins / total_trades if total_trades > 0 else 0.0
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profit_factor = win_pnl / loss_pnl if loss_pnl > 0 else (float('inf') if win_pnl > 0 else 0.0)
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total_pnl = equity - 1000.0
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return {
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'params': config,
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'pnl': round(total_pnl, 2),
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'trades': total_trades,
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'win_rate': round(win_rate * 100, 1),
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'profit_factor': round(profit_factor, 3) if profit_factor != float('inf') else 999.0,
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'max_drawdown': round(max_drawdown, 2),
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}
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except Exception as e:
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print(f"✗ Error backtesting config: {e}")
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return {
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'params': config,
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'pnl': 0.0,
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'trades': 0,
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'win_rate': 0.0,
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'profit_factor': 0.0,
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'max_drawdown': 0.0,
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}
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def generate_parameter_combinations() -> List[Dict[str, Any]]:
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"""Generate all 256 parameter combinations"""
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keys = PARAMETER_GRID.keys()
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values = PARAMETER_GRID.values()
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combinations = []
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for combo in itertools.product(*values):
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config = dict(zip(keys, combo))
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combinations.append(config)
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return combinations
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def process_chunk(data_file: str, chunk_id: str, start_idx: int, end_idx: int):
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"""Process a chunk of parameter combinations"""
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print(f"\n{'='*60}")
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print(f"V11 Test Worker - {chunk_id}")
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print(f"Processing combinations {start_idx} to {end_idx-1}")
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print(f"{'='*60}\n")
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# Load market data
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df = load_market_data(data_file)
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# Generate all combinations
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all_combos = generate_parameter_combinations()
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print(f"✓ Generated {len(all_combos)} total combinations")
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# Get this chunk's combinations
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chunk_combos = all_combos[start_idx:end_idx]
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print(f"✓ Processing {len(chunk_combos)} combinations in this chunk\n")
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# Backtest with multiprocessing
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print(f"⚡ Starting {MAX_WORKERS}-core backtest...\n")
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with Pool(processes=MAX_WORKERS) as pool:
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backtest_func = functools.partial(backtest_config, df)
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results = pool.map(backtest_func, chunk_combos)
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print(f"\n✓ Completed {len(results)} backtests")
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# Write results to CSV
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output_dir = Path('v11_test_results')
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output_dir.mkdir(exist_ok=True)
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csv_file = output_dir / f"{chunk_id}_results.csv"
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with open(csv_file, 'w', newline='') as f:
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writer = csv.writer(f)
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# Header
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writer.writerow([
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'flip_threshold', 'adx_min', 'long_pos_max', 'short_pos_min',
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'vol_min', 'entry_buffer_atr', 'rsi_long_min', 'rsi_short_max',
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'pnl', 'win_rate', 'profit_factor', 'max_drawdown', 'total_trades'
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])
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# Data rows
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for result in results:
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params = result['params']
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writer.writerow([
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params['flip_threshold'],
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params['adx_min'],
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params['long_pos_max'],
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params['short_pos_min'],
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params['vol_min'],
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params['entry_buffer_atr'],
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params['rsi_long_min'],
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params['rsi_short_max'],
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result['pnl'],
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result['win_rate'],
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result['profit_factor'],
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result['max_drawdown'],
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result['trades'],
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])
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print(f"✓ Results saved to {csv_file}")
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# Show top 5 results
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sorted_results = sorted(results, key=lambda x: x['pnl'], reverse=True)
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print(f"\n🏆 Top 5 Results:")
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for i, r in enumerate(sorted_results[:5], 1):
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print(f" {i}. PnL: ${r['pnl']:,.2f} | Trades: {r['trades']} | WR: {r['win_rate']}%")
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if __name__ == '__main__':
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if len(sys.argv) != 4:
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print("Usage: python v11_test_worker.py <data_file> <chunk_id> <start_idx>")
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sys.exit(1)
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data_file = sys.argv[1]
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chunk_id = sys.argv[2]
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start_idx = int(sys.argv[3])
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# Calculate end index (128 combos per chunk)
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end_idx = start_idx + 128
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process_chunk(data_file, chunk_id, start_idx, end_idx)
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