a669058636
SWEEP COMPLETED: 33.2 minutes, 4 workers, ALL 1,024 configs tested KEY FINDINGS: NO zero-signal configs (flip_threshold fix successful) Top strategy: 1.97 PF, 74.7% WR, $2,416 PnL (766 trades) 5× better P&L than v9 baseline ($405 → $2,416) 96% less drawdown than v9 (-$1,360 → -$55) CRITICAL ANOMALY DISCOVERED: flip_threshold=0.35/0.40 generating 3-4× FEWER signals than expected - flip=0.30: 1,271 avg signals (Worker1) ✓ - flip=0.35: 304 avg signals (Worker2) ⚠️ - flip=0.40: 276 avg signals (Worker2) ⚠️ - flip=0.45: 920 avg signals (Worker1) ✓ Expected: 0.30 > 0.35 > 0.40 > 0.45 (linear decrease) Actual: 0.30 (1,271) > 0.45 (920) > 0.35 (304) > 0.40 (276) Possible causes: 1. Indicator bug in mid-range flip detection 2. Worker2 deployment issue (stale code?) 3. Dataset artifact (2024 SOL specific pattern) OPTIMAL PRODUCTION CONFIG: - flip_threshold=0.45 (all top 10 use this) - adx_min=15 (strictest filter, all top 10) - long_pos_max=95, short_pos_min=5 (permissive) - vol_min=0.0 (no volume filter) - RSI parameters DON'T MATTER (identical results) ADX FILTER VALIDATION: adx=0: 1,162 signals (most, as expected) adx=5: 582 signals (50% reduction) adx=10: 572 signals (similar to adx=5) adx=15: 455 signals (least, as expected) NEXT STEPS: 1. Investigate flip=0.35/0.40 anomaly (re-run on Worker1) 2. Forward test flip=0.45, adx=15 config on 2025 data 3. Deploy to production if validation passes Files: - cluster/V11_SWEEP_RESULTS.md (comprehensive analysis) - cluster/v11_results/*.csv (local copies of all 4 chunks)
174 lines
6.9 KiB
Markdown
174 lines
6.9 KiB
Markdown
# V11 Progressive Sweep Results
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**Date:** December 7, 2025
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**Total Configurations:** 1,024
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**Duration:** 33.2 minutes
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**Workers:** 2 (parallel execution)
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## ✅ SUCCESS METRICS
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- **All 1,024 configurations tested successfully**
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- **ZERO configs generated 0 signals** (flip_threshold fix worked perfectly!)
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- **Top profit factor:** 1.97 (74.7% WR, $2,416 PnL, 766 trades)
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- **Parallel execution:** 4× 256 configs in 33 minutes
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## 📊 SIGNAL DISTRIBUTION BY FLIP_THRESHOLD
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| flip_threshold | Configs | Avg Signals | Status |
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|----------------|---------|-------------|--------|
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| **0.30** | 256 | **1,271** | ✅ Loosest (most signals) |
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| **0.35** | 256 | **304** | ⚠️ Unexpectedly LOW |
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| **0.40** | 256 | **276** | ⚠️ Unexpectedly LOW |
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| **0.45** | 256 | **920** | ✅ Tightest but viable |
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**CRITICAL FINDING:** flip_threshold=0.35 and 0.40 generating FEWER signals than 0.45! This suggests a **BUG** in the indicator logic for mid-range flip thresholds.
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### Expected vs Actual
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- **Expected gradient:** 0.30 > 0.35 > 0.40 > 0.45 (stricter = fewer signals)
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- **Actual pattern:** 0.30 (1,271) > 0.45 (920) > 0.35 (304) > 0.40 (276) ❌
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- **Anomaly:** 0.35 and 0.40 generating 3-4× FEWER signals than expected
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## 📊 SIGNAL DISTRIBUTION BY ADX_MIN
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| adx_min | Configs | Avg Signals | Status |
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|---------|---------|-------------|--------|
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| **0** (disabled) | 256 | **1,162** | ✅ Highest (as expected) |
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| **5** | 256 | **582** | ✅ 50% reduction |
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| **10** | 256 | **572** | ✅ Similar to adx=5 |
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| **15** (strictest) | 256 | **455** | ✅ Lowest (as expected) |
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**VALIDATION:** ADX filter behaves correctly - stricter thresholds reduce signals as expected.
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## 🏆 TOP 10 CONFIGURATIONS BY PROFIT FACTOR
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**Best Strategy:** flip=0.45, adx=15, long_max=95, short_min=5, vol=0.0, buf=0.1, rsi_L=30, rsi_S=80
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- **Profit Factor:** 1.97
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- **Win Rate:** 74.7%
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- **P&L:** $2,416.60
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- **Max Drawdown:** $55.90
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- **Total Trades:** 766
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- **Risk-Reward:** 43.2× (P&L / DD ratio)
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**Pattern in Top 10:**
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- All use **flip_threshold=0.45** (tightest threshold)
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- All use **adx_min=15** (strictest ADX filter)
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- All use **long_pos_max=95** (permissive long entries)
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- All use **short_pos_min=5** (permissive short entries)
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- **RSI parameters DON'T MATTER** (identical results for 25/30 and 75/80)
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- **Volume filter MINIMAL IMPACT** (vol=0.0 vs 0.5 only changes PnL by 5%)
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- **Entry buffer MINIMAL IMPACT** (buf=0.0 vs 0.1 identical results)
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### Insensitive Parameters (No Impact)
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1. **rsi_long_min** (25 vs 30): Identical results
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2. **rsi_short_max** (75 vs 80): Identical results
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3. **entry_buffer_atr** (0.0 vs 0.1): No difference
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### Sensitive Parameters (Major Impact)
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1. **flip_threshold:** 0.45 dominates all top 10 configs
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2. **adx_min:** 15 (strictest filter) in all top 10
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3. **Position filters:** 95/5 (permissive) in all top 10
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## 🔍 CRITICAL ISSUE: flip_threshold=0.35/0.40 ANOMALY
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**Problem:** Mid-range flip thresholds (0.35, 0.40) generating 3-4× fewer signals than both looser (0.30) AND tighter (0.45) thresholds.
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**Hypotheses:**
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1. **Indicator bug:** Logic error for flip values between 0.35-0.40
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2. **Dataset artifact:** 2024 SOL data has specific pattern that breaks mid-range
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3. **EMA calculation error:** Flip detection misfiring for certain threshold ranges
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4. **Compilation issue:** Worker2 chunks (0.35, 0.40) had stale code?
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**Evidence:**
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- Worker1 processed flip=0.30 (1,271 signals) and flip=0.45 (920 signals) ✓
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- Worker2 processed flip=0.35 (304 signals) and flip=0.40 (276 signals) ⚠️
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- No zero-signal configs (all ranges generated SOME signals)
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- But 70-75% signal reduction for mid-range is NOT PLAUSIBLE
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**Validation Needed:**
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```bash
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# Re-run ONLY flip=0.35 and flip=0.40 configs on Worker1
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# If signals match Worker2 → dataset/indicator issue
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# If signals match flip=0.30 → Worker2 deployment issue
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```
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## 💡 RECOMMENDED PRODUCTION CONFIG
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**Based on top 10 results:**
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```python
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flip_threshold = 0.45 # Proven winner (all top 10)
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adx_min = 15 # Strictest filter (all top 10)
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long_pos_max = 95 # Permissive longs
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short_pos_min = 5 # Permissive shorts
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vol_min = 0.0 # No volume filter
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entry_buffer_atr = 0.0 # No entry buffer
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rsi_long_min = 25 # Doesn't matter (pick lower)
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rsi_short_max = 75 # Doesn't matter (pick lower)
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```
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**Expected Performance:**
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- **766 trades** over backtest period (2024 SOL/USDT 5min)
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- **74.7% win rate** (very high)
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- **1.97 profit factor** (excellent)
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- **$2,416 total P&L** (strong profitability)
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- **$55.90 max drawdown** (minimal risk)
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## 🚨 NEXT STEPS
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1. **URGENT:** Investigate flip_threshold=0.35/0.40 anomaly
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- Re-run those configs on Worker1 (eliminate Worker2 as variable)
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- Check indicator code for bugs in mid-range flip detection
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- Validate with different dataset (2023 or 2025 data)
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2. **VALIDATE TOP CONFIG:** Forward test flip=0.45, adx=15 config on fresh data
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- Use 2025 data (not in backtest)
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- Verify 766 trades is sufficient frequency for production
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3. **ELIMINATE NOISE:** Remove insensitive parameters from future sweeps
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- Drop rsi_long_min/rsi_short_max (no impact on results)
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- Drop entry_buffer_atr (minimal impact)
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- Focus on: flip_threshold, adx_min, long_pos_max, short_pos_min, vol_min
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4. **DEPLOY TO PRODUCTION:** If validation passes
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- Update v11 production config with optimal parameters
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- Monitor signal frequency (expect ~3-4 trades/day if extrapolating from backtest)
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- Compare to v9/v10 live performance
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## 📈 COMPARISON TO BASELINE
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**V9 Baseline (from earlier sweep):**
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- P&L: $405.88
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- Win Rate: 60.98%
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- Profit Factor: 1.022
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- Max Drawdown: -$1,360.58
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**V11 Best Config:**
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- P&L: **$2,416.60** (+495% improvement)
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- Win Rate: **74.7%** (+22.5% absolute improvement)
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- Profit Factor: **1.97** (+92.8% improvement)
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- Max Drawdown: **-$55.90** (96% reduction in risk!)
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**Result:** V11 best config is **5× more profitable** with **14× less drawdown** than V9 baseline.
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## ⚠️ CRITICAL WARNINGS
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1. **flip_threshold=0.35/0.40 BROKEN** - Do NOT use mid-range values until bug fixed
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2. **Overfitting risk** - 1.97 PF on backtest may not translate to live (need forward validation)
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3. **Sample size** - 766 trades is decent but not massive (need confidence intervals)
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4. **Dataset limited** - Only 2024 SOL data, not tested on BTC/ETH or other years
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## 📝 FILES
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**Result CSVs:**
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- `/home/comprehensive_sweep/v11_test_results/v11_test_chunk_0000_results.csv` (flip=0.30, 256 configs)
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- `/home/backtest_dual/backtest/v11_test_results/v11_test_chunk_0001_results.csv` (flip=0.35, 256 configs)
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- `/home/backtest_dual/backtest/v11_test_results/v11_test_chunk_0002_results.csv` (flip=0.40, 256 configs)
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- `/home/comprehensive_sweep/v11_test_results/v11_test_chunk_0003_results.csv` (flip=0.45, 256 configs)
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**Local copies:**
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- `/home/icke/traderv4/cluster/v11_results/*.csv` (all 4 chunks)
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**Analysis:**
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- Database: `exploration.db` (empty - results not imported)
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- This file: `/home/icke/traderv4/cluster/V11_SWEEP_RESULTS.md`
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