4c36fa2bc3
**Documentation Structure:** - Created docs/ subdirectory organization (analysis/, architecture/, bugs/, cluster/, deployments/, roadmaps/, setup/, archived/) - Moved 68 root markdown files to appropriate categories - Root directory now clean (only README.md remains) - Total: 83 markdown files now organized by purpose **New Content:** - Added comprehensive Environment Variable Reference to copilot-instructions.md - 100+ ENV variables documented with types, defaults, purpose, notes - Organized by category: Required (Drift/RPC/Pyth), Trading Config (quality/ leverage/sizing), ATR System, Runner System, Risk Limits, Notifications, etc. - Includes usage examples (correct vs wrong patterns) **File Distribution:** - docs/analysis/ - Performance analyses, blocked signals, profit projections - docs/architecture/ - Adaptive leverage, ATR trailing, indicator tracking - docs/bugs/ - CRITICAL_*.md, FIXES_*.md bug reports (7 files) - docs/cluster/ - EPYC setup, distributed computing docs (3 files) - docs/deployments/ - *_COMPLETE.md, DEPLOYMENT_*.md status (12 files) - docs/roadmaps/ - All *ROADMAP*.md strategic planning files (7 files) - docs/setup/ - TradingView guides, signal quality, n8n setup (8 files) - docs/archived/2025_pre_nov/ - Obsolete verification checklist (1 file) **Key Improvements:** - ENV variable reference: Single source of truth for all configuration - Common Pitfalls #68-71: Already complete, verified during audit - Better findability: Category-based navigation vs 68 files in root - Preserves history: All files git mv (rename), not copy/delete - Zero broken functionality: Only documentation moved, no code changes **Verification:** - 83 markdown files now in docs/ subdirectories - Root directory cleaned: 68 files → 0 files (except README.md) - Git history preserved for all moved files - Container running: trading-bot-v4 (no restart needed) **Next Steps:** - Create README.md files in each docs subdirectory - Add navigation index - Update main README.md with new structure - Consolidate duplicate deployment docs - Archive truly obsolete files (old SQL backups) See: docs/analysis/CLEANUP_PLAN.md for complete reorganization strategy
168 lines
5.1 KiB
Markdown
168 lines
5.1 KiB
Markdown
# Dual v9 Parameter Sweep Package
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**Purpose:** Run two INDEPENDENT parameter sweeps to compare which performs better
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## What This Tests
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**TWO SEPARATE SWEEPS** (not combined):
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1. **Raw v9 Sweep**: v9 Money Line indicator WITHOUT any filter
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- Baseline performance across all parameters
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- File: `scripts/run_backtest_sweep.py`
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- Output: `sweep_v9_raw.csv`
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2. **RSI Filtered Sweep**: v9 Money Line indicator WITH RSI divergence filter
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- Same parameters, but only trades with RSI divergence
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- File: `scripts/run_backtest_sweep_rsi.py`
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- Output: `sweep_v9_rsi_divergence.csv`
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**Both test 65,536 parameter combinations independently, then we compare best results.**
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## Package Contents
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- `data/solusdt_5m.csv` - OHLCV data (Aug 1 - Nov 28, 2024, 34,273 candles)
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- `backtester/` - Core backtesting modules
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- `scripts/run_backtest_sweep.py` - Vanilla v9 sweep
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- `scripts/run_backtest_sweep_rsi.py` - RSI divergence filtered sweep
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- `setup_dual_sweep.sh` - Setup script
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- `run_sweep_vanilla_epyc.sh` - Launch vanilla sweep
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- `run_sweep_rsi_epyc.sh` - Launch RSI sweep
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## Quick Start (EPYC Servers)
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### EPYC Server 1 - Raw v9 Sweep (No Filter)
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```bash
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# Extract package
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tar -xzf backtest_v9_dual_sweep.tar.gz
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cd backtest
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# Setup environment
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./setup_dual_sweep.sh
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# Run raw v9 sweep (65,536 combinations, ~12-13h with 24 workers)
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./run_sweep_vanilla_epyc.sh
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# Monitor progress
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tail -f v9_vanilla_sweep.log
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```
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### EPYC Server 2 - RSI Filtered v9 Sweep
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```bash
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# Extract package
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tar -xzf backtest_v9_dual_sweep.tar.gz
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cd backtest
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# Setup environment
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./setup_dual_sweep.sh
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# Run RSI sweep (65,536 combinations, ~12-13h with 24 workers)
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./run_sweep_rsi_epyc.sh
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# Monitor progress
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tail -f v9_rsi_sweep.log
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```
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## Parameter Grid
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Both sweeps test the same 8 parameters (4 values each = 65,536 combinations):
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- **flip_threshold:** 0.4, 0.5, 0.6, 0.7
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- **ma_gap:** 0.20, 0.30, 0.40, 0.50
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- **momentum_adx:** 18, 21, 24, 27
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- **momentum_long_pos:** 60, 65, 70, 75
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- **momentum_short_pos:** 20, 25, 30, 35
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- **cooldown_bars:** 1, 2, 3, 4
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- **momentum_spacing:** 2, 3, 4, 5
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- **momentum_cooldown:** 1, 2, 3, 4
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## Expected Outputs
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### Vanilla Sweep
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- **File:** `sweep_v9_vanilla_epyc.csv`
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- **Columns:** All 8 parameters + trades, total_pnl, win_rate, avg_pnl, max_drawdown, profit_factor
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- **Sorted by:** total_pnl (descending)
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- **Baseline Performance (default params):** $405.88, 569 trades, 60.98% WR
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### RSI Divergence Sweep
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- **File:** `sweep_v9_rsi_divergence.csv`
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- **Columns:** Same as vanilla
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- **Sorted by:** total_pnl (descending)
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- **Filter:** Only trades with RSI divergence (bullish/bearish patterns, 20-bar lookback)
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- **Top:** 100 results only (to keep file size manageable)
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- **Baseline Performance:** $423.46, 224 trades, 63.39% WR (39% fewer trades but better quality)
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## Key Differences
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### Vanilla v9
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- All signals execute (no post-filter)
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- Tests which parameters maximize profit across all market conditions
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- Higher trade frequency
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### RSI Divergence v9
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- Post-simulation filter: only keeps trades with RSI divergence detected
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- Tests which parameters work best when combined with divergence confirmation
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- Lower trade frequency but potentially higher win rate
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## Performance Estimates
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- **Hardware:** AMD EPYC 7282 (16-core) or similar
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- **Workers:** 24 parallel processes
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- **Speed:** ~1.6s per combination
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- **Total Time:** ~29 hours for 65,536 combinations
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- **Output Size:** ~5-10 MB per CSV (vanilla full results, RSI top 100)
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## Comparison Strategy
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After both sweeps complete:
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1. Find best vanilla result: `head -1 sweep_v9_vanilla_epyc.csv`
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2. Find best RSI result: `head -1 sweep_v9_rsi_divergence.csv`
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3. Compare total P&L, trade count, win rate
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4. Decision: Implement whichever yields highest total profit
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## Monitoring Commands
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```bash
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# Check sweep status
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ps aux | grep run_backtest_sweep
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# Watch progress (vanilla)
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tail -f v9_vanilla_sweep.log
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# Watch progress (RSI)
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tail -f v9_rsi_sweep.log
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# Check completion
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ls -lh sweep_v9_*.csv
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# Kill sweep if needed
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pkill -f run_backtest_sweep
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```
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## Troubleshooting
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### Import Errors
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- Ensure .venv is activated: `source .venv/bin/activate`
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- Check pandas/numpy installed: `pip list | grep -E 'pandas|numpy'`
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### Memory Issues
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- Reduce workers: Edit run script, change `--workers 24` to `--workers 16`
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- Monitor: `htop` or `free -h`
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### Slow Progress
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- Check CPU usage: `htop` (should see 24 python processes at 100%)
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- Check I/O: `iostat -x 1` (shouldn't be bottleneck with CSV in memory)
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## Expected Results Format
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### Vanilla CSV Example
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```
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flip_threshold,ma_gap,momentum_adx,momentum_long_pos,momentum_short_pos,cooldown_bars,momentum_spacing,momentum_cooldown,trades,total_pnl,win_rate,avg_pnl,max_drawdown,profit_factor
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0.6,0.35,23,70,25,2,3,2,569,405.88,60.98,0.71,1360.58,1.022
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```
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### RSI Divergence CSV Example
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```
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flip_threshold,ma_gap,momentum_adx,momentum_long_pos,momentum_short_pos,cooldown_bars,momentum_spacing,momentum_cooldown,total_pnl,num_trades,win_rate,profit_factor,max_drawdown,avg_win,avg_loss
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0.6,0.35,23,70,25,2,3,2,423.46,224,63.39,1.087,1124.33,5.23,-3.42
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```
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## Package Info
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- **Size:** 1.1 MB compressed
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- **MD5:** d540906b1a9a3eaa0404bbd800349c59
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- **Created:** November 29, 2025
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