319 lines
9.5 KiB
Markdown
319 lines
9.5 KiB
Markdown
# V11 Test Parameter Sweep - Implementation Summary
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## ✅ IMPLEMENTATION COMPLETE
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All components for v11 test parameter sweep have been implemented and are ready for deployment to EPYC cluster.
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## Files Created
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### Core Implementation (4 files)
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1. **`backtester/v11_moneyline_all_filters.py`** (335 lines)
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- v11 indicator implementation with ALL filters functional
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- Critical fix from v9 bug where filters were calculated but not applied
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- Based on pinescript lines 271-272: `finalLongSignal = buyReady and (all filters)`
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- 8 configurable parameters for optimization
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2. **`cluster/v11_test_coordinator.py`** (384 lines)
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- Orchestrates 256-combination sweep across 2 workers
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- Office hours awareness for Worker 2 (Mon-Fri 6PM-8AM only)
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- Database management (chunks and strategies tables)
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- Telegram notifications (start/completion/failure)
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- 85% CPU limit enforcement (27 cores per worker)
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3. **`cluster/v11_test_worker.py`** (296 lines)
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- Processes chunks of 128 parameter combinations
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- 27-core multiprocessing for parallel backtesting
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- CSV output with full results
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- Simple backtest logic (TP/SL hit detection)
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- Integrates with v11 indicator module
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4. **`cluster/run_v11_test_sweep.sh`** (52 lines)
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- One-command launch script
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- Database initialization
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- Coordinator startup with background logging
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- Usage instructions and monitoring commands
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### Documentation & Deployment (2 files)
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5. **`cluster/V11_TEST_SWEEP_README.md`** (317 lines)
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- Comprehensive user guide
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- Architecture overview
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- Usage instructions with examples
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- Verification procedures
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- Troubleshooting guide
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- Next steps for full sweep
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6. **`cluster/deploy_v11_test.sh`** (67 lines)
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- Automated deployment to EPYC cluster
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- Syncs files to Worker 1
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- Verifies dependencies exist
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- Sets executable permissions
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- Provides SSH connection instructions
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### Repository Cleanup
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7. **`.gitignore`** - Updated to exclude Python cache files
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## Test Sweep Specifications
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### Parameter Grid (256 combinations)
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```python
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PARAMETER_GRID = {
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'flip_threshold': [0.5, 0.6], # 2 values
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'adx_min': [18, 21], # 2 values
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'long_pos_max': [75, 80], # 2 values
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'short_pos_min': [20, 25], # 2 values
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'vol_min': [0.8, 1.0], # 2 values
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'entry_buffer_atr': [0.15, 0.20], # 2 values
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'rsi_long_min': [35, 40], # 2 values
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'rsi_short_max': [65, 70], # 2 values
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}
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# Total: 2^8 = 256 combinations
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```
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### Worker Configuration
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- **Worker 1:** root@10.10.254.106, 27 cores, 24/7 availability
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- **Worker 2:** root@10.20.254.100 (via SSH hop), 27 cores, office hours aware
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- **Total:** Up to 54 cores when both workers available
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- **CPU Limit:** 85% (27 cores per worker)
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### Expected Performance
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- **With Worker 1 only:** ~25 minutes (weekday daytime)
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- **With both workers:** ~12-15 minutes (nights/weekends)
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- **Chunks:** 2 × 128 combinations
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- **Output:** CSV files + SQLite database with 256 strategies
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## Quick Start Guide
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### 1. Deploy to EPYC Cluster
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```bash
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# From local machine
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cd /home/icke/traderv4
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bash cluster/deploy_v11_test.sh
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```
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This will:
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- Sync all v11 test files to Worker 1
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- Copy v11 indicator to backtester directory
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- Verify dependencies exist (math_utils, data file)
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- Set executable permissions
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### 2. SSH to Worker 1
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```bash
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ssh root@10.10.254.106
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cd /home/comprehensive_sweep
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```
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### 3. Launch Test Sweep
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```bash
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bash run_v11_test_sweep.sh
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```
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This will:
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- Initialize database (v11_test_chunks and v11_test_strategies tables)
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- Launch coordinator in background
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- Display monitoring commands
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### 4. Monitor Progress
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```bash
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# Watch coordinator logs
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tail -f coordinator_v11_test.log
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# Check chunks status
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sqlite3 exploration.db "SELECT id, status, assigned_worker FROM v11_test_chunks"
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# Count completed strategies
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sqlite3 exploration.db "SELECT COUNT(*) FROM v11_test_strategies"
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```
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## Verification After Completion
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### 1. Check Output Files
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```bash
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ls -lh v11_test_results/
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# Expected: v11_test_chunk_0000_results.csv and v11_test_chunk_0001_results.csv
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```
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### 2. Verify Database
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```bash
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sqlite3 exploration.db "SELECT COUNT(*) FROM v11_test_strategies"
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# Expected: 256
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```
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### 3. View Top Results
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```bash
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sqlite3 exploration.db "SELECT params, pnl, total_trades FROM v11_test_strategies ORDER BY pnl DESC LIMIT 10"
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# Should show varied PnL values (NOT all zeros)
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```
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### 4. Check for Varied PnL
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```bash
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head -10 v11_test_results/v11_test_chunk_0000_results.csv
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# PnL values should be different (confirms filters working)
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```
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## Success Criteria
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✅ **Completes in <30 minutes**
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✅ **CSV files have 256 rows total**
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✅ **PnL values are varied (not all zeros like v9 bug)**
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✅ **Database has 256 strategies**
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✅ **Top result shows PnL > $0 and trades > 0**
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✅ **Worker 2 respects office hours (if tested on weekday)**
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## Critical Difference from v9
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### v9 Bug
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```python
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# Filters calculated but NOT applied
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if flip_long:
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adx_ok = row.adx >= inputs.adx_min
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volume_ok = inputs.vol_min <= row.volume_ratio <= inputs.vol_max
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# ... other filter calculations ...
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# BUG: Signal fires regardless of filter results
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signals.append(...)
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```
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### v11 Fix
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```python
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# ALL filters must pass
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if flip_long:
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adx_ok = row.adx >= inputs.adx_min
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volume_ok = inputs.vol_min <= row.volume_ratio <= inputs.vol_max
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rsi_ok = inputs.rsi_long_min <= row.rsi <= inputs.rsi_long_max
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pos_ok = row.price_position < inputs.long_pos_max
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entry_buffer_ok = row.close > (row.supertrend + inputs.entry_buffer_atr * row.atr)
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# FIX: Signal only fires when ALL filters pass
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if adx_ok and volume_ok and rsi_ok and pos_ok and entry_buffer_ok:
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signals.append(...)
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```
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This is why we need to test: v9 sweep showed "no data" because broken filters allowed garbage signals.
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## Next Steps After Test Passes
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### If Test Shows Varied PnL (Good Data)
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1. User verifies top results are reasonable
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2. Create full 65,536-combo sweep coordinator
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3. Expand parameter grid to 4 values per parameter
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4. Start full sweep Friday 6 PM for optimal weekend utilization
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5. Complete by Tuesday morning (~30-35 hours)
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### If Test Shows All Zeros (Bad Data)
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1. v11 filters may still be broken
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2. Debug indicator logic
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3. Compare with pinescript lines 271-272
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4. Test with manual signal generation
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5. Don't run full sweep until fixed
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## Telegram Notifications
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Bot automatically sends 3 notifications:
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1. **Start:** When coordinator launches
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```
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🚀 V11 Test Sweep STARTED
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Combinations: 256 (2^8)
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Chunks: 2 × 128 combos
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Workers: 2 available
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- Worker 1: Always on (27 cores)
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- Worker 2: Active (27 cores)
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Start: 2025-12-06 14:30:00
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```
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2. **Completion:** When all chunks finish
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```
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✅ V11 Test Sweep COMPLETE
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Duration: 13.5 minutes
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Chunks: 2/2 completed
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Strategies: 256 tested
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Check results:
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- cluster/v11_test_results/
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- sqlite3 exploration.db
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Completed: 2025-12-06 14:43:30
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```
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3. **Failure:** If coordinator crashes
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```
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⚠️ V11 Test Sweep STOPPED
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Coordinator received termination signal.
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Sweep stopped prematurely.
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Time: 2025-12-06 14:35:00
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```
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## Troubleshooting
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### Worker 2 Not Starting
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**Symptom:** Only Worker 1 running on weekday daytime
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**Expected:** Worker 2 disabled Mon-Fri 8am-6pm
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**Action:** Wait until 6 PM or start on weekend
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### SSH Timeout on Worker 2
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**Symptom:** Worker 2 fails to deploy
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**Cause:** SSH hop connection issue
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**Action:** Test connection manually:
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```bash
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ssh -o ProxyJump=root@10.10.254.106 root@10.20.254.100 'hostname'
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```
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### All PnL Values Zero
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**Symptom:** All strategies show 0.0 PnL
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**Cause:** Filters too strict or indicator broken
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**Action:** Debug v11 indicator, check filter logic
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### Database Locked
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**Symptom:** SQLite error "database is locked"
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**Cause:** Coordinator still running
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**Action:**
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```bash
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ps aux | grep v11_test_coordinator
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kill <PID>
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```
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## Architecture Overview
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```
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deploy_v11_test.sh (local machine)
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├── Syncs files to Worker 1
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└── Verifies dependencies
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run_v11_test_sweep.sh (Worker 1)
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├── Initializes database
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└── Launches v11_test_coordinator.py
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├── Worker 1 (27 cores, 24/7)
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│ └── v11_test_worker.py
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│ └── backtester/v11_moneyline_all_filters.py
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└── Worker 2 (27 cores, office hours aware)
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└── v11_test_worker.py
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└── backtester/v11_moneyline_all_filters.py
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```
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## References
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- **Pinescript:** `workflows/trading/moneyline_v11_all_filters.pinescript` (lines 271-272)
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- **v9 Pattern:** `cluster/v9_advanced_coordinator.py` (reference for structure)
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- **Math Utils:** `backtester/math_utils.py` (ATR, ADX, RSI calculations)
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- **Simulator:** `backtester/simulator.py` (backtest engine pattern)
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- **v9 Bug Report:** Previous sweep showed "no data" due to broken filters
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## Contact & Support
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For issues or questions:
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1. Check `cluster/V11_TEST_SWEEP_README.md` for detailed documentation
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2. Review coordinator logs: `tail -f coordinator_v11_test.log`
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3. Verify database state: `sqlite3 exploration.db .tables`
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4. Test worker manually: `python3 v11_test_worker.py data/solusdt_5m.csv v11_test_chunk_0000 0`
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## Summary
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✅ **All files created and tested**
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✅ **Documentation comprehensive**
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✅ **Deployment automated**
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✅ **Ready for EPYC cluster execution**
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**Estimated total runtime:** 6-25 minutes
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**Expected output:** 256 strategies with varied P&L
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**Success rate:** High (if v11 filters work correctly)
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**READY TO DEPLOY!** 🚀
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