7e1fe1cc30
Parameter space expansion: - Original 15 params: 101K configurations - NEW: MA gap filter (3 dimensions) = 18× expansion - Total: ~810,000 configurations across 4 time profiles - Chunk size: 1,000 configs/chunk = ~810 chunks MA Gap Filter parameters: - use_ma_gap: True/False (2 values) - ma_gap_min_long: -5.0%, 0%, +5.0% (3 values) - ma_gap_min_short: -5.0%, 0%, +5.0% (3 values) Implementation: - money_line_v9.py: Full v9 indicator with MA gap logic - v9_advanced_worker.py: Chunk processor (1,000 configs) - v9_advanced_coordinator.py: Work distributor (2 EPYC workers) - run_v9_advanced_sweep.sh: Startup script (generates + launches) Infrastructure: - Uses existing EPYC cluster (64 cores total) - Worker1: bd-epyc-02 (32 threads) - Worker2: bd-host01 (32 threads via SSH hop) - Expected runtime: 70-80 hours - Database: SQLite (chunk tracking + results) Goal: Find optimal MA gap thresholds for filtering false breakouts during MA whipsaw zones while preserving trend entries.
220 lines
7.5 KiB
Bash
Executable File
220 lines
7.5 KiB
Bash
Executable File
#!/bin/bash
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# V9 Advanced Parameter Sweep - 810K configs with MA gap filter exploration
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# Uses existing cluster infrastructure with all dependencies already installed
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set -e
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echo "=========================================="
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echo "V9 ADVANCED PARAMETER SWEEP"
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echo "=========================================="
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echo ""
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echo "Configuration:"
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echo " • Total configs: ~810,000 (18 parameters)"
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echo " • New parameters: MA gap filter (3 dimensions)"
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echo " • Chunk size: 1,000 configs/chunk = ~810 chunks"
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echo " • Workers: 2 EPYCs"
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echo " • Expected runtime: 70-80 hours"
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echo ""
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# Check if data file exists
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DATA_FILE="data/solusdt_5m.csv"
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if [ ! -f "$DATA_FILE" ]; then
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echo "❌ Error: Data file not found: $DATA_FILE"
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echo "Please ensure OHLCV data is available"
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exit 1
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fi
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# Activate virtual environment
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echo "Activating Python environment..."
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source .venv/bin/activate
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# Generate parameter configurations
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echo ""
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echo "=========================================="
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echo "STEP 1: Generate Configurations"
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echo "=========================================="
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python3 << 'PYTHON_CODE'
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import itertools
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import json
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from pathlib import Path
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# 18-dimensional parameter space
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ATR_RANGES = {
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"minutes": [10, 12, 14],
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"hours": [8, 10, 12],
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"daily": [8, 10, 12, 14],
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"weekly": [5, 7, 9],
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}
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MULT_RANGES = {
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"minutes": [3.5, 3.8, 4.0],
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"hours": [3.2, 3.5, 3.8],
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"daily": [3.0, 3.2, 3.5, 3.8],
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"weekly": [2.8, 3.0, 3.2],
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}
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RSI_LONG_MIN = [30, 35, 40]
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RSI_LONG_MAX = [65, 70, 75]
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RSI_SHORT_MIN = [25, 30, 35]
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RSI_SHORT_MAX = [65, 70, 75]
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VOL_MAX = [3.0, 3.5, 4.0]
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ENTRY_BUFFER = [0.15, 0.20, 0.25]
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ADX_LENGTH = [14, 16, 18]
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# NEW: MA gap filter parameters (8x expansion)
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USE_MA_GAP = [True, False]
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MA_GAP_MIN_LONG = [-5.0, 0.0, 5.0]
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MA_GAP_MIN_SHORT = [-5.0, 0.0, 5.0]
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print("Generating parameter configurations...")
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configs = []
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for profile in ["minutes", "hours", "daily", "weekly"]:
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for atr in ATR_RANGES[profile]:
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for mult in MULT_RANGES[profile]:
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for rsi_long_min in RSI_LONG_MIN:
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for rsi_long_max in RSI_LONG_MAX:
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if rsi_long_max <= rsi_long_min:
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continue
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for rsi_short_min in RSI_SHORT_MIN:
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for rsi_short_max in RSI_SHORT_MAX:
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if rsi_short_max <= rsi_short_min:
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continue
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for vol_max in VOL_MAX:
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for entry_buffer in ENTRY_BUFFER:
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for adx_len in ADX_LENGTH:
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# NEW: MA gap filter combinations
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for use_ma_gap in USE_MA_GAP:
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for gap_min_long in MA_GAP_MIN_LONG:
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for gap_min_short in MA_GAP_MIN_SHORT:
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config = {
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"profile": profile,
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f"atr_{profile}": atr,
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f"mult_{profile}": mult,
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"rsi_long_min": rsi_long_min,
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"rsi_long_max": rsi_long_max,
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"rsi_short_min": rsi_short_min,
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"rsi_short_max": rsi_short_max,
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"vol_max": vol_max,
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"entry_buffer": entry_buffer,
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"adx_length": adx_len,
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# NEW parameters
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"use_ma_gap": use_ma_gap,
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"ma_gap_min_long": gap_min_long,
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"ma_gap_min_short": gap_min_short,
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}
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configs.append(config)
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print(f"✓ Generated {len(configs):,} configurations")
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# Create chunks (1,000 configs per chunk)
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chunk_dir = Path("chunks")
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chunk_dir.mkdir(exist_ok=True)
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chunk_size = 1000
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chunks = [configs[i:i+chunk_size] for i in range(0, len(configs), chunk_size)]
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print(f"Creating {len(chunks)} chunk files...")
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for i, chunk in enumerate(chunks):
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chunk_file = chunk_dir / f"v9_advanced_chunk_{i:04d}.json"
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with open(chunk_file, 'w') as f:
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json.dump(chunk, f)
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print(f"✓ Created {len(chunks)} chunk files in chunks/")
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print(f" Total configs: {len(configs):,}")
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print(f" Configs per chunk: {chunk_size}")
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print(f" Enhancement: Added MA gap filter (2×3×3 = 18× multiplier)")
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PYTHON_CODE
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# Setup exploration database
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echo ""
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echo "=========================================="
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echo "STEP 2: Setup Database"
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echo "=========================================="
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python3 << 'PYTHON_CODE'
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import sqlite3
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from pathlib import Path
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db_path = Path("exploration.db")
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conn = sqlite3.connect(str(db_path))
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cursor = conn.cursor()
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# Drop existing v9_advanced tables if they exist
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cursor.execute("DROP TABLE IF EXISTS v9_advanced_strategies")
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cursor.execute("DROP TABLE IF EXISTS v9_advanced_chunks")
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# Create chunks table
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cursor.execute("""
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CREATE TABLE v9_advanced_chunks (
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id TEXT PRIMARY KEY,
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start_combo INTEGER NOT NULL,
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end_combo INTEGER NOT NULL,
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total_combos INTEGER NOT NULL,
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status TEXT NOT NULL,
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assigned_worker TEXT,
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started_at INTEGER,
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completed_at INTEGER,
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created_at INTEGER DEFAULT (strftime('%s', 'now'))
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)
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""")
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# Create strategies table
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cursor.execute("""
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CREATE TABLE v9_advanced_strategies (
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id INTEGER PRIMARY KEY AUTOINCREMENT,
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chunk_id TEXT NOT NULL,
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params TEXT NOT NULL,
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pnl REAL NOT NULL,
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win_rate REAL NOT NULL,
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profit_factor REAL NOT NULL,
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max_drawdown REAL NOT NULL,
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total_trades INTEGER NOT NULL,
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created_at INTEGER DEFAULT (strftime('%s', 'now')),
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FOREIGN KEY (chunk_id) REFERENCES v9_advanced_chunks(id)
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)
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""")
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# Register all chunks
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chunk_files = sorted(Path("chunks").glob("v9_advanced_chunk_*.json"))
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for chunk_file in chunk_files:
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chunk_id = chunk_file.stem
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# Each chunk has ~1,000 configs (except possibly last one)
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cursor.execute("""
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INSERT INTO v9_advanced_chunks
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(id, start_combo, end_combo, total_combos, status)
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VALUES (?, 0, 1000, 1000, 'pending')
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""", (chunk_id,))
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conn.commit()
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print(f"✓ Database ready: exploration.db")
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print(f" Registered {len(chunk_files)} chunks")
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conn.close()
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PYTHON_CODE
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echo ""
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echo "=========================================="
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echo "STEP 3: Launch Distributed Coordinator"
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echo "=========================================="
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echo ""
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echo "Starting coordinator in background..."
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echo "Monitor progress at: http://localhost:3001/cluster"
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echo ""
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# Launch distributed coordinator
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nohup python3 distributed_coordinator.py \
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--indicator-type v9_advanced \
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--data-file "$DATA_FILE" \
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--chunk-dir chunks \
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> coordinator_v9_advanced.log 2>&1 &
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COORD_PID=$!
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echo "✓ Coordinator launched (PID: $COORD_PID)"
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echo ""
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echo "Log file: coordinator_v9_advanced.log"
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echo "Monitor: tail -f coordinator_v9_advanced.log"
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echo ""
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echo "Sweep will run for ~70-80 hours (810K configs, 2 workers)"
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echo "Check status: http://localhost:3001/cluster"
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